Recent Advances In Algorithmic Differentiation

Author : Shaun Forth
Publisher : Springer Science & Business Media
ISBN 13 : 3642300235
Total Pages : 356 pages
Book Rating : 4.33/5 ( download)

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Download or read book Recent Advances in Algorithmic Differentiation written by Shaun Forth and published by Springer Science & Business Media. This book was released on 2012-07-30 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proceedings represent the state of knowledge in the area of algorithmic differentiation (AD). The 31 contributed papers presented at the AD2012 conference cover the application of AD to many areas in science and engineering as well as aspects of AD theory and its implementation in tools. For all papers the referees, selected from the program committee and the greater community, as well as the editors have emphasized accessibility of the presented ideas also to non-AD experts. In the AD tools arena new implementations are introduced covering, for example, Java and graphical modeling environments or join the set of existing tools for Fortran. New developments in AD algorithms target the efficiency of matrix-operation derivatives, detection and exploitation of sparsity, partial separability, the treatment of nonsmooth functions, and other high-level mathematical aspects of the numerical computations to be differentiated. Applications stem from the Earth sciences, nuclear engineering, fluid dynamics, and chemistry, to name just a few. In many cases the applications in a given area of science or engineering share characteristics that require specific approaches to enable AD capabilities or provide an opportunity for efficiency gains in the derivative computation. The description of these characteristics and of the techniques for successfully using AD should make the proceedings a valuable source of information for users of AD tools.

Author : Christian H. Bischof
Publisher : Springer Science & Business Media
ISBN 13 : 3540689427
Total Pages : 366 pages
Book Rating : 4.23/5 ( download)

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Download or read book Advances in Automatic Differentiation written by Christian H. Bischof and published by Springer Science & Business Media. This book was released on 2008-08-17 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Fifth International Conference on Automatic Differentiation held from August 11 to 15, 2008 in Bonn, Germany, is the most recent one in a series that began in Breckenridge, USA, in 1991 and continued in Santa Fe, USA, in 1996, Nice, France, in 2000 and Chicago, USA, in 2004. The 31 papers included in these proceedings re?ect the state of the art in automatic differentiation (AD) with respect to theory, applications, and tool development. Overall, 53 authors from institutions in 9 countries contributed, demonstrating the worldwide acceptance of AD technology in computational science. Recently it was shown that the problem underlying AD is indeed NP-hard, f- mally proving the inherently challenging nature of this technology. So, most likely, no deterministic “silver bullet” polynomial algorithm can be devised that delivers optimum performance for general codes. In this context, the exploitation of doma- speci?c structural information is a driving issue in advancing practical AD tool and algorithm development. This trend is prominently re?ected in many of the pub- cations in this volume, not only in a better understanding of the interplay of AD and certain mathematical paradigms, but in particular in the use of hierarchical AD approaches that judiciously employ general AD techniques in application-speci?c - gorithmic harnesses. In this context, the understanding of structures such as sparsity of derivatives, or generalizations of this concept like scarcity, plays a critical role, in particular for higher derivative computations.

Author : Bruce Christianson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.41/5 ( download)

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Download or read book Advances in Algorithmic Differentiation written by Bruce Christianson and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Antoine Savine
Publisher : John Wiley & Sons
ISBN 13 : 1119539455
Total Pages : 592 pages
Book Rating : 4.52/5 ( download)

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Download or read book Modern Computational Finance written by Antoine Savine and published by John Wiley & Sons. This book was released on 2018-11-20 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill for all quantitative analysts, developers, risk professionals or anyone involved with derivatives. It is increasingly taught in Masters and PhD programs in finance. Danske Bank's wide scale implementation of AAD in its production and regulatory systems won the In-House System of the Year 2015 Risk award. The Modern Computational Finance books, written by three of the very people who designed Danske Bank's systems, offer a unique insight into the modern implementation of financial models. The volumes combine financial modelling, mathematics and programming to resolve real life financial problems and produce effective derivatives software. This volume is a complete, self-contained learning reference for AAD, and its application in finance. AAD is explained in deep detail throughout chapters that gently lead readers from the theoretical foundations to the most delicate areas of an efficient implementation, such as memory management, parallel implementation and acceleration with expression templates. The book comes with professional source code in C++, including an efficient, up to date implementation of AAD and a generic parallel simulation library. Modern C++, high performance parallel programming and interfacing C++ with Excel are also covered. The book builds the code step-by-step, while the code illustrates the concepts and notions developed in the book.

Author : Andreas Griewank
Publisher : SIAM
ISBN 13 : 0898716594
Total Pages : 448 pages
Book Rating : 4.97/5 ( download)

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Download or read book Evaluating Derivatives written by Andreas Griewank and published by SIAM. This book was released on 2008-11-06 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title is a comprehensive treatment of algorithmic, or automatic, differentiation. The second edition covers recent developments in applications and theory, including an elegant NP completeness argument and an introduction to scarcity.

Author : Thomas F. Coleman
Publisher : SIAM
ISBN 13 : 1611974356
Total Pages : 114 pages
Book Rating : 4.55/5 ( download)

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Download or read book Automatic Differentiation in MATLAB Using ADMAT with Applications written by Thomas F. Coleman and published by SIAM. This book was released on 2016-06-20 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: The calculation of partial derivatives is a fundamental need in scientific computing. Automatic differentiation (AD) can be applied straightforwardly to obtain all necessary partial derivatives (usually first and, possibly, second derivatives) regardless of a code?s complexity. However, the space and time efficiency of AD can be dramatically improved?sometimes transforming a problem from intractable to highly feasible?if inherent problem structure is used to apply AD in a judicious manner. Automatic Differentiation in MATLAB using ADMAT with Applications discusses the efficient use of AD to solve real problems, especially multidimensional zero-finding and optimization, in the MATLAB environment. This book is concerned with the determination of the first and second derivatives in the context of solving scientific computing problems with an emphasis on optimization and solutions to nonlinear systems. The authors focus on the application rather than the implementation of AD, solve real nonlinear problems with high performance by exploiting the problem structure in the application of AD, and provide many easy to understand applications, examples, and MATLAB templates.

Author : Alexey Lastovetsky
Publisher : Springer
ISBN 13 : 3540874755
Total Pages : 356 pages
Book Rating : 4.51/5 ( download)

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Download or read book Recent Advances in Parallel Virtual Machine and Message Passing Interface written by Alexey Lastovetsky and published by Springer. This book was released on 2008-09-15 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 15th European PVM/MPI Users' Group Meeting held in Dublin, Ireland, in September 2008. The 29 revised full papers presented together with abstracts of 7 invited contributions, 1 tutorial paper and 8 poster papers were carefully reviewed and selected from 55 submissions. The papers are organized in topical sections on applications, collective operations, library internals, message passing for multi-core and mutlithreaded architectures, MPI datatypes, MPI I/O, synchronisation issues in point-to-point and one-sided communications, tools, and verification of message passing programs. The volume is rounded off with 4 contributions to the special ParSim session on current trends in numerical simulation for parallel engineering environments.

Author : Seon Ki Park
Publisher : Cambridge University Press
ISBN 13 : 1108923895
Total Pages : 413 pages
Book Rating : 4.97/5 ( download)

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Download or read book Principles of Data Assimilation written by Seon Ki Park and published by Cambridge University Press. This book was released on 2022-09-29 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data assimilation is theoretically founded on probability, statistics, control theory, information theory, linear algebra, and functional analysis. At the same time, data assimilation is a very practical subject, given its goal of estimating the posterior probability density function in realistic high-dimensional applications. This puts data assimilation at the intersection between the contrasting requirements of theory and practice. Based on over twenty years of teaching courses in data assimilation, Principles of Data Assimilation introduces a unique perspective that is firmly based on mathematical theories, but also acknowledges practical limitations of the theory. With the inclusion of numerous examples and practical case studies throughout, this new perspective will help students and researchers to competently interpret data assimilation results and to identify critical challenges of developing data assimilation algorithms. The benefit of information theory also introduces new pathways for further development, understanding, and improvement of data assimilation methods.

Author : Michael Schäfer
Publisher : Springer
ISBN 13 : 3319938916
Total Pages : 209 pages
Book Rating : 4.12/5 ( download)

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Download or read book Recent Advances in Computational Engineering written by Michael Schäfer and published by Springer. This book was released on 2018-08-21 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book comprises the proceedings of the 4th International Conference on Computational Engineering (ICCE 2017), held in Darmstadt, Germany on September 28-29, 2017. The conference is intended to provide an interdisciplinary meeting place for researchers and practitioners working on computational methods in all disciplines of engineering, applied mathematics and computer science. The aims of the conference are to discuss the state of the art in this challenging field, exchange experiences, develop promising perspectives for future research and initiate further cooperation. Computational Engineering is a modern and multidisciplinary science for computer-based modeling, simulation, analysis, and optimization of complex engineering applications and natural phenomena. The book contains an overview of selected approaches from numerics and optimization of Partial Differential Equations as well as uncertainty quantification techniques, typically in multiphysics environments. Where possible, application cases from engineering are integrated. The book will be of interest to researchers and practitioners of Computational Engineering, Applied Mathematics, Engineering Sciences and Computer Science.

Author : Uwe Naumann
Publisher : SIAM
ISBN 13 : 9781611972078
Total Pages : 358 pages
Book Rating : 4.78/5 ( download)

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Download or read book The Art of Differentiating Computer Programs written by Uwe Naumann and published by SIAM. This book was released on 2012-01-01 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first entry-level book on algorithmic (also known as automatic) differentiation (AD), providing fundamental rules for the generation of first- and higher-order tangent-linear and adjoint code. The author covers the mathematical underpinnings as well as how to apply these observations to real-world numerical simulation programs. Readers will find: examples and exercises, including hints to solutions; the prototype AD tools dco and dcc for use with the examples and exercises; first- and higher-order tangent-linear and adjoint modes for a limited subset of C/C++, provided by the derivative code compiler dcc; a supplementary website containing sources of all software discussed in the book, additional exercises and comments on their solutions (growing over the coming years), links to other sites on AD, and errata.