Nonlinear robust performance analysis using complex-step gradient approximation

Kim, Jongrae, Bates, Declan and Postlethwaite, Ian (2006) Nonlinear robust performance analysis using complex-step gradient approximation. Automatica, 42 (1). pp. 177-182. ISSN 0005-1098

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Official URL: http://dx.doi.org/10.1016/j.automatica.2005.09.008

Abstract

In this paper, the complex-step method is applied in the setting of numerical optimisation problems involving dynamical systems modelled as nonlinear differential equations. The main advantage of the complex-step method for gradient approximation is that it entails no subtractive cancellation error, and therefore the truncation error can be made arbitrarily (to machine precision) small. The method is applied to two robust performance analysis problems. The accuracy and convergence rate of the solutions computed using the proposed approach are seen to be significantly better than those achieved using standard gradient approximation methods.

Item Type: Article
Subjects: H600 Electronic and Electrical Engineering
Department: Faculties > Engineering and Environment > Mathematics, Physics and Electrical Engineering
Depositing User: Sarah Howells
Date Deposited: 11 Dec 2012 10:24
Last Modified: 10 Aug 2015 11:35
URI: http://nrl.northumbria.ac.uk/id/eprint/10716

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