Checking Derivatives for CNLR and NLR (NLR command)

Upon entering the first iteration, [C]NLR always checks any derivatives that are calculated on the derivatives program by comparing them with numerically calculated derivatives. For each comparison, it computes an agreement score. A score of 1 indicates agreement to machine precision; a score of 0 indicates definite disagreement. If a score is less than 1, either an incorrect derivative was supplied or there were numerical problems in estimating the derivative. The lower the score, the more likely it is that the supplied derivatives are incorrect. Highly correlated parameters may cause disagreement even when a correct derivative is supplied. Be sure to check the derivatives if the agreement score is not 1.

During the first iteration, [C]NLR checks each derivative score. If any score is below 1, it begins displaying a table to show the worst (lowest) score for each derivative. If any score is below the critical value, the program stops.

To specify the critical value, use the following keyword on CRITERIA:

CKDER n. Critical value for derivative checking. Specify a number between 0 and 1 for n. The default is 0.5. Specify 0 to disable this criterion.