Automatic Differentiation in MATLAB using ADMAT with Applications

Thomas F. Coleman , Wei Xu

ISBN 10: 1611974356 / ISBN 13: 9781611974355

Editore: Cambridge University Press, 2016

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1st edition. 117 pages. 9.90x7.50x0.20 inches. In Stock. Codice articolo __1611974356

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Titolo: Automatic Differentiation in MATLAB using ...

Casa editrice: Cambridge University Press

Data di pubblicazione: 2016

Legatura: Paperback

Condizione: Brand New

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Riassunto:

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.

Descrizione del libro:

Discussing the efficient use of automatic differentiation 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 in the context of solving scientific computing problems. It will be ideal for financial engineers, quantitative analysts, and researchers.