Algorithmic Differentiation in Python with Application Examples
Algorithmic Differentiation in Python with Application Examples
Algorithmic Differentiation in Python with Application Examples
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What is <strong>Algorithmic</strong> <strong>Differentiation</strong> (AD)<br />
Name confusion: <strong>Algorithmic</strong> <strong>Differentiation</strong> aka Automatic<br />
<strong>Differentiation</strong> aka Computational <strong>Differentiation</strong> aka AD<br />
Considered one of the most important algorithmic techniques “<strong>in</strong>vented”<br />
<strong>in</strong> the 20’th century 1<br />
Can be used to differentiate large-scale problems, e.g. <strong>in</strong> PDE<br />
constra<strong>in</strong>ed optimization.<br />
Generally much more efficient than symbolic/numerical differentiation<br />
and also accurate close to mach<strong>in</strong>e precision<br />
1 Nick Trefethen, http://www.comlab.ox.ac.uk/nick.trefethen/<strong>in</strong>ventorstalk.pdf<br />
Sebastian F. Walter, Humboldt-Universität zu Berl<strong>in</strong> <strong>Algorithmic</strong> () <strong>Differentiation</strong> <strong>in</strong> <strong>Python</strong> <strong>with</strong> <strong>Application</strong> <strong>Examples</strong>Wednesday, 10.07.2010 3 / 27
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