Algorithmic Differentiation One Day Training Course

The Numerical Algorithms Group (NAG), finance publication Wilmott and the Certificate in Quantitative Finance Program (CQF) are holding a one day training course on Algorithmic Differentiation (AD), taught by Professor Uwe Naumann.

Date: Friday 20th July 2012
Location: Via webcast or 7city Learning, 4 Chiswell Street, London EC1Y 4UP

This training course introduces Algorithmic Differentiation (AD) techniques in the context of applying AD to C++ numerical codes. For those not familiar with AD refer to:

• Exact First- and Second-Order Greeks by Algorithmic Differentiation
• Adjoint Parameter Calibration in Computational Finance

Course Outline

1.1 Motivation. Introduction. Overview

• Requirement for first and second derivatives in numerical algorithms
• First and second-order tangent-linear and adjoint models
• Case studies

1.2 First-Order Algorithmic Differentiation

• Hands-on development of first derivative code, that is
• Hand-coding tangent-linear and adjoint models;
• Tangent-linear and adjoint models by source transformation with dcc 0.9;
• Tangent-linear and adjoint models by overloading with dco 0.9.

1.3 Second-Order Algorithmic Differentiation

Hands-on development of second derivative code, that is:

• Hand-coding second-order tangent-linear and adjoint models;
• Second-order tangent-linear and adjoint models by source transformation with dcc 0.9;
• Second-order tangent-linear and adjoint models by overloading with dco 0.9.

1.4 Further Topics in Algorithmic Differentiation

• Exploitation of sparsity
• Checkpointing in adjoint code
• (Algorithmic) Differentiation of numerical algorithms

The prerequisites for the course are:

• Basic numerical analysis
• C/C++ compiler: Microsoft C++ and/or GNU C
• Text editor
• Your own PC/laptop - Windows 32 or 64 bit
• Software: dco 0.9 and dcc 0.91 - provided upon registration

Registration

The fee to attend the course in the classroom or view webcast will be £300 + VAT (UK & Europe); £300 (AsiaPac + Middle East and Africa); $480 (Americas)

Early bird discount: 20% discount if signed up before 30th June

To register for this event, please send an email to T.McCahill@7city.com T.McCahill@7city.com specifying whether you would like to attend the "Classroom" lecture or view via "Webcast". Once registered, details regarding payment and details regarding the software download for dco 0.9 and dcc 0.91 will be emailed to you.

You will need to bring your own laptop to this session, however, a small number of laptops will be available for classroom delegates. If you will need to borrow a machine please include this in your registration email but please note that this will be on a first come first served basis.