PID initial values

For those with experience on PID controllers, do you set the Previous_error value to 0 at the startup of the PID or do you set it up to the initial error? With the latter, the Derivative is 0 at the startup though.

PID pseudocode:
Error = Setpoint - Actual
Integral = Integral + (Errordt)
Derivative = (Error - Previous_error)/dt
Drive = (Error
kP) + (IntegralkI) + (DerivativekD)
Previous_error = Error