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Efficient finite difference derivatives for algebraic modelling systems

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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 derivatives. Computational experience is presented and discussed.

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Authors and Affiliations

  1. Department of CIS/ADS, Southwest Texas State University, San Marcos, TX, USA

    J. C. Plummer

  2. Department of MSIS, University of Texas at Austin, 78712, Austin, TX, USA

    L. S. Lasdon

Authors
  1. J. C. Plummer
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  2. L. S. Lasdon
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Plummer, J.C., Lasdon, L.S. Efficient finite difference derivatives for algebraic modelling systems. Ann Oper Res 38, 485–499 (1992). https://doi.org/10.1007/BF02283662

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  • DOI: https://doi.org/10.1007/BF02283662

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