[R-sig-dyn-mod] Complex-step derivatives

[Ravi Varadhan]

This is a major restriction with complex-step derivatives - it can only apply to functions whose computer implementation extends their domain to complex numbers.  I don't see how this can be done in a straightforward manner for ODEs, PDEs, quadratures, and other complicated numerical analysis techniques.
Best,
Ravi
________________________________________
From: R-sig-dynamic-models <r-sig-dynamic-models-bounces at r-project.org> on behalf of Daniel Kaschek <daniel.kaschek at physik.uni-freiburg.de>
Sent: Thursday, September 17, 2015 12:43 PM
To: r-sig-dynamic-models at r-project.org
Subject: [R-sig-dyn-mod] Complex-step derivatives

Hi everybody,

recently the method of complex-step derivatives came into my mind. The
method is implemented in the numDeriv package. I wonder if I can use the
method for sensitivity computation of ODEs. This would require that the
ODE solver(s) can deal with complex numbers. Has anyone some experience
with this issue?

Best regards,
Daniel

_______________________________________________
R-sig-dynamic-models mailing list
R-sig-dynamic-models at r-project.org
https://stat.ethz.ch/mailman/listinfo/r-sig-dynamic-models