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Zbl 1153.65027
Dussault, Jean-Pierre
Automatic differentiation and its use in optimization. (La différentiation automatique et son utilisation en optimisation.) (French)
[J] RAIRO, Oper. Res. 42, No. 2, 141-155 (2008). ISSN 0399-0559; ISSN 1290-3868/e

Summary: We present an introduction to automatic differentiation, its use in optimization software, and some new potential usages. We focus on the potential of this technique in optimization. We do not dive deeply in the intricacies of automatic differentiation, but put forward its key ideas. We sketch a survey, as of today, of automatic differentiation software, but warn the reader that the situation with respect to software evolves rapidly. In the last part of the paper, we present some potential future usage of automatic differentiation, assuming an ideal tool is available, which will become true in some unspecified future.

MSC 2000:: *65D25 Numerical differentiation
68W30 Symbolic computation and algebraic computation
90-04 Machine computation, programs (optimization)
65K05 Mathematical programming (numerical methods)
90C30 Nonlinear programming

Keywords: automatic differentiation; optimization

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