The Complex-Step Derivative Approximation on Matrix Lie Groups

Abstract: The complex-step derivative approximation is a numerical differentiation technique that can achieve analytical accuracy, to machine precision, with a single function evaluation. In this letter, the complex-step derivative approximation is extended to be compatible with elements of matrix Lie groups. As with the standard complex-step derivative, the method is still able to achieve analytical accuracy, up to machine precision, with a single function evaluation. Compared to a central-difference scheme, the proposed complex-step approach is shown to have superior accuracy. The approach is applied to two different pose estimation problems, and is able to recover the same results as an analytical method when available.