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 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 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 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 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 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 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 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 Computational Differentiation written by M. Berz and published by Soc for Industrial & Applied Math. This book was released on 1996 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume encompasses both the automatic transformation of computer programs as well as the methodologies for the efficient exploitation of mathematical underpinnings or program structure.

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 Computational Science ICCS 2002 written by Peter M.A. Sloot and published by Springer. This book was released on 2003-08-01 with total page 1132 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational Science is the scienti?c discipline that aims at the development and understanding of new computational methods and techniques to model and simulate complex systems. The area of application includes natural systems – such as biology, envir- mental and geo-sciences, physics, and chemistry – and synthetic systems such as electronics and ?nancial and economic systems. The discipline is a bridge b- ween ‘classical’ computer science – logic, complexity, architecture, algorithms – mathematics, and the use of computers in the aforementioned areas. The relevance for society stems from the numerous challenges that exist in the various science and engineering disciplines, which can be tackled by advances made in this ?eld. For instance new models and methods to study environmental issues like the quality of air, water, and soil, and weather and climate predictions through simulations, as well as the simulation-supported development of cars, airplanes, and medical and transport systems etc. Paraphrasing R. Kenway (R.D. Kenway, Contemporary Physics. 1994): ‘There is an important message to scientists, politicians, and industrialists: in the future science, the best industrial design and manufacture, the greatest medical progress, and the most accurate environmental monitoring and forecasting will be done by countries that most rapidly exploit the full potential ofcomputational science’. Nowadays we have access to high-end computer architectures and a large range of computing environments, mainly as a consequence of the enormous s- mulus from the various international programs on advanced computing, e.g.

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 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 Applied Mathematics and Parallel Computing written by Herbert Fischer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors of this Festschrift prepared these papers to honour and express their friendship to Klaus Ritter on the occasion of his sixtieth birthday. Be cause of Ritter's many friends and his international reputation among math ematicians, finding contributors was easy. In fact, constraints on the size of the book required us to limit the number of papers. Klaus Ritter has done important work in a variety of areas, especially in var ious applications of linear and nonlinear optimization and also in connection with statistics and parallel computing. For the latter we have to mention Rit ter's development of transputer workstation hardware. The wide scope of his research is reflected by the breadth of the contributions in this Festschrift. After several years of scientific research in the U.S., Klaus Ritter was ap pointed as full professor at the University of Stuttgart. Since then, his name has become inextricably connected with the regularly scheduled conferences on optimization in Oberwolfach. In 1981 he became full professor of Applied Mathematics and Mathematical Statistics at the Technical University of Mu nich. In addition to his university teaching duties, he has made the activity of applying mathematical methods to problems of industry to be centrally important.

Download or read book A Tour of Data Science written by Nailong Zhang and published by CRC Press. This book was released on 2020-11-11 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Tour of Data Science: Learn R and Python in Parallel covers the fundamentals of data science, including programming, statistics, optimization, and machine learning in a single short book. It does not cover everything, but rather, teaches the key concepts and topics in Data Science. It also covers two of the most popular programming languages used in Data Science, R and Python, in one source. Key features: Allows you to learn R and Python in parallel Cover statistics, programming, optimization and predictive modelling, and the popular data manipulation tools – data.table and pandas Provides a concise and accessible presentation Includes machine learning algorithms implemented from scratch, linear regression, lasso, ridge, logistic regression, gradient boosting trees, etc. Appealing to data scientists, statisticians, quantitative analysts, and others who want to learn programming with R and Python from a data science perspective.

Download or read book Applied Shape Optimization for Fluids written by Bijan Mohammadi and published by OUP Oxford. This book was released on 2009-09-24 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fields of computational fluid dynamics (CFD) and optimal shape design (OSD) have received considerable attention in the recent past, and are of practical importance for many engineering applications. This new edition of Applied Shape Optimization for Fluids deals with shape optimization problems for fluids, with the equations needed for their understanding (Euler and Navier Strokes, but also those for microfluids) and with the numerical simulation of these problems. It presents the state of the art in shape optimization for an extended range of applications involving fluid flows. Automatic differentiation, approximate gradients, unstructured mesh adaptation, multi-model configurations, and time-dependent problems are introduced, and their implementation into the industrial environments of aerospace and automobile equipment industry explained and illustrated. With the increases in the power of computers in industry since the first edition, methods which were previously unfeasible have begun giving results, namely evolutionary algorithms, topological optimization methods, and level set algortihms. In this edition, these methods have been treated in separate chapters, but the book remains primarily one on differential shape optimization. This book is essential reading for engineers interested in the implementation and solution of optimization problems using commercial packages or in-house solvers and graduates and researchers in applied mathematics, aerospace, or mechanical engineering, fluid dynamics, and CFD. More generally, anyone needing to understand and solve design problems or looking for new exciting areas for research and development in this area will find this book useful, especially in applying the methodology to practical problems.

Download or read book The Efficient Computation of Sparse Jacobian Matrices Using Automatic Differentiation written by Thomas Frederick Coleman and published by . This book was released on 1995 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: