ENGLISH

Automatic Differentiation in MATLAB using ADMAT with Applications

By Thomas F. Coleman , Wei Xu

Book information

Publisher
Society for Industrial and Applied Mathematics
Year
2016
ISBN
1611974356, 9781611974355
Language
english
Format
PDF
Filesize
3 MB (3415352 bytes)
Series
Software, Environments and Tools, 27
Pages
117\114
Time added
2020-12-16 01:09:59

Description

The calculation of partial derivatives is fundamental in scientific computing. Automatic differentiation (AD) can be applied straightforwardly to obtain all necessary partial 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. Discussing the efficient use of AD to solve real problems in the MATLAB environment, especially multidimensional zero-finding and optimization, this book is concerned with determination of the first and second derivatives, with emphasis placed on optimization and solutions to nonlinear systems. The authors focus on the application, rather than the implementation, of AD and solve real nonlinear problems with high performance by exploiting the problem structure in AD's application. Many easy-to-understand applications, examples, and MATLAB templates are provided, meaning this book will prove useful to financial engineers, quantitative analysts, and researchers.

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