Tag: Differentiation

Numerical Differentiation

I present the initial release of a new modern Fortran library for computing Jacobian matrices using numerical differentiation. It is called NumDiff and is available on GitHub. The Jacobian is the matrix of partial derivatives of a set of \(m\) functions

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Complex Step Differentiation

Complex step differentiation is a method for estimating the derivative of a function  using the equation: Unlike finite-difference formulas, the complex-step formula does not suffer from roundoff errors due to subtraction, so a very small value of the step size can be

Posted in Algorithms Tagged with: , ,