A numerical differentiation library exploiting parallel architectures

Published: 01-08-2009| Version 1 | DOI: 10.17632/tgn6x4c4pp.1
Costas Voglis,
P.E. Hadjidoukas,
I.E. Lagaris,
D.G. Papageorgiou


Abstract We present a software library for numerically estimating first and second order partial derivatives of a function by finite differencing. Various truncation schemes are offered resulting in corresponding formulas that are accurate to order O (h), O (h^2 ), and O (h^4 ), h being the differencing step. The derivatives are calculated via forward, backward and central differences. Care has been taken that only feasible points are used in the case where bound constraints are imposed on the variabl... Title of program: NDL (Numerical Differentiation Library) Catalogue Id: AEDG_v1_0 Nature of problem The numerical estimation of derivatives at several accuracy levels is a common requirement in many computational tasks, such as optimization, solution of nonlinear systems, etc. The parallel implementation that exploits systems with multiple CPUs is very important for large scale and computationally expensive problems. Versions of this program held in the CPC repository in Mendeley Data AEDG_v1_0; NDL (Numerical Differentiation Library); 10.1016/j.cpc.2009.02.004 AEDG_v2_0; NDL-v2.0; 10.1016/j.cpc.2014.04.002 This program has been imported from the CPC Program Library held at Queen's University Belfast (1969-2019)