An Automated Method for Sensitivity Analysis Using Complex Variables
نویسندگان
چکیده
The complex-step method for calculating sensitivities and its use in numerical algorithms is presented. A general procedure for the implementation of this method is described in detail and a script is developed that automates its implementation. The numerical examples include the automatic conversion of a structural finite element and a two-dimensional computational fluid dynamics code. In both of these examples, the complex-step method is compared with other existing methods, namely finitedifferencing, automatic differentiation and an analytic method. The complex-step method is shown to have implementation advantages over automatic differentiation and computational advantages over finite-differencing.
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