Automatic Differentiation

Example of the use of Algorithmic (also known as Automatic) Differentiation

Exact First- and Second-Order Greeks by Algorithmic Differentiation
The Numerical Algorithms Group (NAG) work very closely with Uwe Naumann to help users take advantage of Algorithmic Differentiation methods.

Algorithmic (also known as Automatic) differentiation (AD) is a method for computing sensitivities of outputs of numerical programs with respect to its inputs both accurately (to machine precision) and efficiently. The two basic modes of AD ' forward and reverse ' and combinations thereof yield products of a vector with the Jacobian, its transpose, or the Hessian, respectively..

Differentiation Enabled Fortran Compiler Technology

The CompAD (Compiler for Automatic Differentiation) research project is investigating the integration of Automatic Differentiation (AD) capabilities to the NAG Fortran Compiler. This collaboration with computer scientists at the University of Hertfordshire in Hatfield and at RWTH Aachen University in Germany is funded by EPSRC.

Further information can be found on the CompAD project's main Internet site.

Investigators and Research Associates

... at the University of Hertfordshire (UH) and RWTH Aachen University (RWTH).