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included complex step finite method for the gradient computation #74

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included complex step finite method for the gradient computation #74

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b2d008a
included complex step finite method for the gradient computation
flavioluiz Aug 15, 2015
6a5f478
solves a problem for derivative when x = 0
flavioluiz Aug 18, 2015
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13 changes: 11 additions & 2 deletions src/finite_difference.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -38,7 +38,7 @@ end
macro complexrule(x, e)
x, e = esc(x), esc(e)
quote
$e = eps($x)
$e = eps($x + 1e-200)
end
end

Expand Down Expand Up @@ -129,8 +129,17 @@ function finite_difference!{S <: Number, T <: Number}(f::Function,
x[i] = oldx
g[i] = (f_xplusdx - f_xminusdx) / (epsilon + epsilon)
end
elseif dtype == :complex
xcomplex = x + 0.*im
for i = 1:n
@complexrule x[i] epsilon
oldxi = xcomplex[i]
xcomplex[i] = oldxi + epsilon * im
g[i] = imag(f(xcomplex)) / epsilon
xcomplex[i] = oldxi
end
else
error("dtype must be :forward or :central")
error("dtype must be :forward, :central or :complex")
end

return
Expand Down