Structured second-and higher-order derivatives through univariate Taylor series*
作者:
C. Bischof,
G. Corliss,
A. Griewank,
期刊:
Optimization Methods and Software
(Taylor Available online 1993)
卷期:
Volume 2,
issue 3-4
页码: 211-232
ISSN:1055-6788
年代: 1993
DOI:10.1080/10556789308805543
出版商: Gordon and Breach Science Publishers
关键词: Automatic differentiation;second-order partial derivatives;Hessian matrices;Taylor series;computational complexity
数据来源: Taylor
摘要:
Second- and higher-order derivatives are required by applications in scientific computation, especially for optimization algorithms. The two complementary ideas of interpolating partial derivatives from univariate Taylor series and preaccumulating of “local” derivatives form the mathematical foundations for accurate, efficient computation of second-and higher-order partial derivatives for large codes. We compute derivatives in a fashion that parallelizes well, exploits sparsity or other structure frequently found in Hessian matrices, can compute only selected elements of a Hessian matrix, and computes Hessian × vector products.
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