Download or read book Automatic Differentiation written by Louis B. Rall and published by Springer. This book was released on 1981 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Automatic Differentiation Applications Theory and Implementations written by H. Martin Bücker and published by Springer Science & Business Media. This book was released on 2006-02-03 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers the state of the art in automatic differentiation theory and practice. Intended for computational scientists and engineers, this book aims to provide insight into effective strategies for using automatic differentiation for design optimization, sensitivity analysis, and uncertainty quantification.
Download or read book Automatic Differentiation of Algorithms written by George Corliss and published by Springer Science & Business Media. This book was released on 2013-11-21 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: A survey book focusing on the key relationships and synergies between automatic differentiation (AD) tools and other software tools, such as compilers and parallelizers, as well as their applications. The key objective is to survey the field and present the recent developments. In doing so the topics covered shed light on a variety of perspectives. They reflect the mathematical aspects, such as the differentiation of iterative processes, and the analysis of nonsmooth code. They cover the scientific programming aspects, such as the use of adjoints in optimization and the propagation of rounding errors. They also cover "implementation" problems.
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.
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.
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.
Download or read book Algorithmic Differentiation in Finance Explained written by Marc Henrard and published by Springer. This book was released on 2017-09-04 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the first practical guide to the function and implementation of algorithmic differentiation in finance. Written in a highly accessible way, Algorithmic Differentiation Explained will take readers through all the major applications of AD in the derivatives setting with a focus on implementation. Algorithmic Differentiation (AD) has been popular in engineering and computer science, in areas such as fluid dynamics and data assimilation for many years. Over the last decade, it has been increasingly (and successfully) applied to financial risk management, where it provides an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Calculating derivatives exposure across a portfolio is no simple task. It requires many complex calculations and a large amount of computer power, which in prohibitively expensive and can be time consuming. Algorithmic differentiation techniques can be very successfully in computing Greeks and sensitivities of a portfolio with machine precision. Written by a leading practitioner who works and programmes AD, it offers a practical analysis of all the major applications of AD in the derivatives setting and guides the reader towards implementation. Open source code of the examples is provided with the book, with which readers can experiment and perform their own test scenarios without writing the related code themselves.
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.
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.
Download or read book Algorithmic Differentiation of Pragma Defined Parallel Regions written by Michael Förster and published by Springer. This book was released on 2014-10-09 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical programs often use parallel programming techniques such as OpenMP to compute the program's output values as efficient as possible. In addition, derivative values of these output values with respect to certain input values play a crucial role. To achieve code that computes not only the output values simultaneously but also the derivative values, this work introduces several source-to-source transformation rules. These rules are based on a technique called algorithmic differentiation. The main focus of this work lies on the important reverse mode of algorithmic differentiation. The inherent data-flow reversal of the reverse mode must be handled properly during the transformation. The first part of the work examines the transformations in a very general way since pragma-based parallel regions occur in many different kinds such as OpenMP, OpenACC, and Intel Phi. The second part describes the transformation rules of the most important OpenMP constructs.
Download or read book Encyclopedia of Optimization written by Christodoulos A. Floudas and published by Springer Science & Business Media. This book was released on 2008-09-04 with total page 4646 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of the Encyclopedia of Optimization is to introduce the reader to a complete set of topics that show the spectrum of research, the richness of ideas, and the breadth of applications that has come from this field. The second edition builds on the success of the former edition with more than 150 completely new entries, designed to ensure that the reference addresses recent areas where optimization theories and techniques have advanced. Particularly heavy attention resulted in health science and transportation, with entries such as "Algorithms for Genomics", "Optimization and Radiotherapy Treatment Design", and "Crew Scheduling".
Download or read book Introduction to Maple written by Andre HECK and published by Springer Science & Business Media. This book was released on 2003-04-08 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a fully revised edition of the best-selling Introduction to Maple. The book presents the modern computer algebra system Maple, teaching the reader not only what can be done by Maple, but also how and why it can be done. The book also provides the necessary background for those who want the most of Maple or want to extend its built-in knowledge. Emphasis is on understanding the Maple system more than on factual knowledge of built-in possibilities. To this end, the book contains both elementary and more sophisticated examples as well as many exercises. The typical reader should have a background in mathematics at the intermediate level. Andre Heck began developing and teaching Maple courses at the University of Nijmegen in 1987. In 1989 he was appointed managing director of the CAN Expertise Center in Amsterdam. CAN, Computer Algebra in the Netherlands, stimulates and coordinates the use of computer algebra in education and research. In 1996 the CAN Expertise Center was integrated into the Faculty of Science at the University of Amsterdam, into what became the AMSTEL Institute. The institute program focuses on the innovation of computer activities in mathematics and science education on all levels of education. The author is actively involved in the research and development aimed at the integrated computer learning environment Coach for mathematics and science education at secondary school level.
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.
Download or read book Nonlinear Finite Element Methods written by Peter Wriggers and published by Springer Science & Business Media. This book was released on 2008-09-24 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finite element methods have become ever more important to engineers as tools for design and optimization, now even for solving non-linear technological problems. However, several aspects must be considered for finite-element simulations which are specific for non-linear problems: These problems require the knowledge and the understanding of theoretical foundations and their finite-element discretization as well as algorithms for solving the non-linear equations. This book provides the reader with the required knowledge covering the complete field of finite element analyses in solid mechanics. It is written for advanced students in engineering fields but serves also as an introduction into non-linear simulation for the practising engineer.
Download or read book Computational Methods in Decision Making Economics and Finance written by Erricos John Kontoghiorghes and published by Springer Science & Business Media. This book was released on 2002-08-31 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria. Optimization is at the core of rational decision making. Even when the decision maker has more than one goal or there is significant uncertainty in the system, optimization provides a rational framework for efficient decisions. The Markowitz mean-variance formulation is a classical example. The first part of the book is on recent developments in optimization decision models for finance and economics. The first four chapters of this part focus directly on multi-stage problems in finance. Chapters 5-8 involve the use of worst-case robust analysis. Chapters 9-11 are devoted to portfolio optimization. The final four chapters are on transportation-inventory with stochastic demand; optimal investment with CRRA utility; hedging financial contracts; and, automatic differentiation for computational finance. The uncertainty associated with prediction and modeling constantly requires the development of improved methods and models. Similarly, as systems strive towards equilibria, the characterization and computation of equilibria assists analysis and prediction. The second part of the book is devoted to recent research in computational tools and models of equilibria, prediction, and pricing. The first three chapters of this part consider hedging issues in finance. Chapters 19-22 consider prediction and modeling methodologies. Chapters 23-26 focus on auctions and equilibria. Volatility models are investigated in chapters 27-28. The final two chapters investigate risk assessment and product pricing. Audience: Researchers working in computational issues related to economics, finance, and management science.
Download or read book The Application of Automatic Differentiation to Problems in Engineering Analysis written by Shirish Chinchalkar and published by . This book was released on 1993 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
