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How much do approximate derivatives hurt filter methods?

Caroline Sainvitu — 2009

RAIRO - Operations Research

In this paper, we examine the influence of approximate first and/or second derivatives on the filter-trust-region algorithm designed for solving unconstrained nonlinear optimization problems and proposed by Gould, Sainvitu and Toint in [12]. Numerical experiments carried out on small-scaled unconstrained problems from the collection describe the effect of the use of approximate derivatives on the robustness and the efficiency of the filter-trust-region method.

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