• AIB 2015-14: Symbolic vs. Algorithmic Differentiation of GSL Integratio

    From Jera Hensel@21:1/5 to All on Wed Nov 11 09:03:35 2015
    The following technical report is available from http://aib.informatik.rwth-aachen.de:

    Symbolic vs. Algorithmic Differentiation of GSL Integration Routines
    Niloofar Safiran and Uwe Naumann
    AIB 2015-14

    Forward and reverse modes of algorithmic differentiation (AD) transform implementations of multivariate vector functions as computer programs
    into tangent and adjoint code, respectively. The adjoint mode is of
    particular interest in large-scale functions due to the independence of
    its computational cost on the number of free variables. The additional
    memory requirement for the computation of derivatives of the output with respect to parameters by a fully algorithmic method (derived by AD) can
    quickly become prohibitive for large values of n. This can be reduced significantly by the symbolic approach to differentiation of the
    underlying integration routine. Vectorizing gsl routines for integration
    and applying symbolic adjoint on them has considerably less memory
    requirement with nearly the same runtime overhead and in most cases
    faster convergence in comparison with algorithmic adjoint.

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