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From: Steven Watanabe (watanabesj_at_[hidden])
Date: 2008-04-14 13:13:29


Hervé Brönnimann wrote:
> Steven: You seem to be following a partial differential approach,
> where you record the partial derivative of an expression wrt to each
> of the variables that compose it. Your particular approach is using
> a sparse representation of the vector of derivatives wrt to all the
> variables in your system. Wrt the evaluation of the uncertainty (sqrt
> (0.2*0.2 + 0.2*0.2) = 0.28 in your example), this just corresponds to
> a norm for the vector, here the Euclidean norm, with a twist that
> you're not dividing by the total number of variables (not even by the
> number of variables that are actually involved in your expression).
> (Note that with a finite number of variables, all norms are
> equivalent anyway.) It's not an especially new idea. If you go to
> second derivatives, you can do the same with the Jacobian matrix of
> your expression.

It should in theory be possible to generalize this to an arbitrary number
of derivatives, specified as a template parameter, right?

> The discussion then becomes sparse vs. dense
> representation. Your idea seems to boil down to using a sparse
> representation of this otherwise well known aproach. Am I missing
> something?

So, I've just reinvented yet another wheel...
Ok. What are the problems with this approach.
For me the most important thing is that I can hide
the messy calculations behind a nice API. The sparse
representation makes this easy.

> BTW, error propagation can also be handled by boost.interval. Note,
> I am not talking about tracking dependencies (it's the same kind of
> thing that makes square(x) have a smaller interval enclosure than x *
> x). Although in general, for small errors, there isn't much
> difference and we've used interval analysis exactly for that purpose,
> assuming all the variables are always independent (you get an
> guaranteed enclosure either way, just not as tight as it could be if
> you had know the dependencies).

I happen to need dependency tracking.

In Christ,
Steven Watanabe

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