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A mathematical view of automatic differentiation

Published online by Cambridge University Press:  29 July 2003

Andreas Griewank
Affiliation:
Institute of Scientific Computing, Department of Mathematics, Technische Universität Dresden, 01052 Dresden, Germany E-mail: griewank@math.tu-dresden.de

Abstract

Automatic, or algorithmic, differentiation addresses the need for the accurate and efficient calculation of derivative values in scientific computing. To this end procedural programs for the evaluation of problem-specific functions are transformed into programs that also compute the required derivative values at the same numerical arguments in floating point arithmetic. Disregarding many important implementation issues, we examine in this article complexity bounds and other more mathematical aspects of the program transformation task sketched above.

Type
Research Article
Copyright
© Cambridge University Press 2003

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