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GPS-X Technical Reference

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393 Optimizer<br />

Gradient of the Objective Function<br />

The gradient vector of the objective function is defined as:<br />

Equation 14.13<br />

where:<br />

F<br />

θ 1, 2 / θ p<br />

= the objective function<br />

= the optimization variables<br />

In the case of parameter estimation these variables are the parameters being estimated.<br />

The vector contains the optimization variables.<br />

The partial derivatives are calculated numerically using the following forward-difference<br />

formula:<br />

Equation 14.14<br />

where:<br />

k = 1<br />

h k<br />

= the step or perturbation size<br />

The step size is calculated using the following formula:<br />

Equation 14.15<br />

<strong>GPS</strong>-X <strong>Technical</strong> <strong>Reference</strong>

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