Efficient finite difference derivatives for algebraic modelling systems

Efficient finite difference derivatives for algebraic modelling systems

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Article ID: iaor19931561
Country: Switzerland
Volume: 38
Issue: 1/4
Start Page Number: 485
End Page Number: 499
Publication Date: Dec 1992
Journal: Annals of Operations Research
Authors: ,
Keywords: programming: nonlinear
Abstract:

A procedure is described which determines Jacobian incidence structure and the constant/nonconstant nature of each Jacobian element via examination of the text of function expression strings. This procedure may be used to minimize the effort required to evaluate by finite differences the Jacobian of a set of functions. Target applications involve algebraic modelling systems and other systems with interpreted functions which require evaluation of first drivatives. Computational experience is presented and discussed.

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