Error bounds for overdetermined and underdetermined generalized centred simplex gradients (2006.00742v1)

Abstract: Using the Moore--Penrose pseudoinverse, this work generalizes the gradient approximation technique called centred simplex gradient to allow sample sets containing any number of points. This approximation technique is called the \emph{generalized centred simplex gradient}. We develop error bounds and, under a full-rank condition, show that the error bounds have order $O(\Delta^2)$, where $\Delta$ is the radius of the sample set of points used. We establish calculus rules for generalized centred simplex gradients, introduce a calculus-based generalized centred simplex gradient and confirm that error bounds for this new approach are also order $O(\Delta^2)$. We provide several examples to illustrate the results and some benefits of these new methods.