Author(s)

Stephen Browif & Bruce Christiansen

Abstract

This paper gives an introduction to a number of methods collectively known as Automatic Differentiation (AD). AD is the systematic application of the rules of calculus to computer programs yielding, as output, programs which accurately compute numerical values of first, second, or higher derivatives. AD is not sym- bolic differentiation nor a divided difference method. It is a process for evaluating derivatives which depends only on the algorithmic specification of the entire pro- gram or part of the program. AD software tools are now available for most languages employed in sc

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