An investigation of new methods for estimating parameter sensitivities

Parameter sensitivity is defined as the estimation of changes in the modeling functions and the design variables due to small changes in the fixed parameters of the formulation. There are currently several methods for estimating parameter sensitivities requiring either difficult to obtain second order information, or do not return reliable estimates for the derivatives. Additionally, all the methods assume that the set of active constraints does not change in a neighborhood of the estimation point. If the active set does in fact change, than any extrapolations based on these derivatives may be in error. The objective here is to investigate more efficient new methods for estimating parameter sensitivities when the active set changes. The new method is based on the recursive quadratic programming (RQP) method and in conjunction a differencing formula to produce estimates of the sensitivities. This is compared to existing methods and is shown to be very competitive in terms of the number of function evaluations required. In terms of accuracy, the method is shown to be equivalent to a modified version of the Kuhn-Tucker method, where the Hessian of the Lagrangian is estimated using the BFS method employed by the RPQ algorithm. Inital testing on a test set with known sensitivities demonstrates that the method can accurately calculate the parameter sensitivity. To handle changes in the active set, a deflection algorithm is proposed for those cases where the new set of active constraints remains linearly independent. For those cases where dependencies occur, a directional derivative is proposed. A few simple examples are included for the algorithm, but extensive testing has not yet been performed.