17 results on '"algorithmic differentiation"'
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2. An Option Pricing Model Calibration Using Algorithmic Differentiation
- Author
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Tadjouddine, Emmanuel M., Cao, Yi, Gelenbe, Erol, editor, Lent, Ricardo, editor, and Sakellari, Georgia, editor
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- 2012
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3. A Case Study in Adjoint Sensitivity Analysis of Parameter Calibration.
- Author
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Lotz, Johannes, Schwalbach, Marc, and Naumann, Uwe
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PARAMETER estimation ,SENSITIVITY analysis ,COMPUTER engineering ,COST functions ,AUTOMATIC differentiation ,REMOTE sensing - Abstract
Adjoint sensitivity computation of parameter estimation problems is a widely used technique in the field of computational science and engineering for retrieving derivatives of a cost functional with respect to parameters efficiently. Those derivatives can be used, e.g., for sensitivity analysis, optimization, or robustness analysis. Deriving and implementing adjoint code is an error-prone, non-trivial task which can be avoided by using Algorithmic Differentiation (AD) software. Generating adjoint code by AD software has the downside of usually requiring a huge amount of memory as well as a non-optimal run time. In this article, we couple two approaches for achieving both, a robust and efficient adjoint code: symbolically derived adjoint formulations are coupled with AD. Comparisons are carried out for a real-world case study originating from the remote atmospheric sensing simulation software JURASSIC developed at the Institute of Energy and Climate Research – Stratosphere, Research Center Jülich. We show, that the coupled approach outperforms the fully algorithmic approach by AD in terms of run time and memory requirement and argue that this can be achieved while still preserving the desireable feature of AD being automatic. [ABSTRACT FROM AUTHOR]
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- 2016
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4. A Hybridized Discontinuous Galerkin Solver for High-Speed Compressible Flow
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Thierry Magin, Koen Devesse, Ajay Rangarajan, and Georg May
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Technology ,ANISOTROPIC MESH ADAPTATION ,EULER ,Discretization ,Computer science ,Automatic differentiation ,Aerospace Engineering ,Context (language use) ,anisotropic adaptation ,Compressible flow ,Computational science ,Engineering ,Discontinuous Galerkin method ,ddc:530 ,OPTIMIZATION ,Engineering, Aerospace ,PROGRESS ,Motor vehicles. Aeronautics. Astronautics ,Science & Technology ,object-oriented programming ,TL1-4050 ,Aerodynamics ,Solver ,FRAMEWORK ,Discontinuous Galerkin Methods ,algorithmic differentiation ,Flow (mathematics) ,SIMULATION ,high-enthalpy flow - Abstract
Aerospace : open access aeronautics journal 8(11), 322 (2021). doi:10.3390/aerospace8110322 special issue: "Special Issue "Computational Fluid Dynamics on High-Speed and Non-Equilibrium Flows" / Special Issue Editor: Prof. Dr. Marco Fossati, Guest Editor", Published by MDPI, Basel
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- 2021
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5. Sensitivity analysis in conjugate heat transfer for electronics cooling.
- Author
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Dogruoz, M. Baris, Sathyamurthy, Prabhu, and Mathur, Sanjay
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This study presents sensitivity analysis in a conjugate heat transfer problem for electronics cooling. An algorithmic differentiation technique shown by Jemkov and Mathur [1] was utilized to obtain the directional derivatives accurately in the sensitivity analysis. For a pin fin heat sink geometry, results of thermophysical property and flow parameter sensitivity analyses were shown and comparisons were made with the single-point simulations. The computed values indicate that the algorithmic differentiation technique used in this study lead to accurate results while accelerating design optimization applications significantly. [ABSTRACT FROM PUBLISHER]
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- 2012
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6. Adaptive sequencing of primal, dual, and design steps in simulation based optimization.
- Author
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Bosse, Torsten, Lehmann, Lutz, and Griewank, Andreas
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MATHEMATICAL optimization ,EIGENVALUES ,MATRICES (Mathematics) ,HEURISTIC algorithms ,STOCHASTIC convergence - Abstract
Many researchers have used Oneshot optimization methods based on user-specified primal state iterations, the corresponding adjoint iterations, and appropriately preconditioned design steps. Our goal here is to develop heuristics for sequencing these three subtasks, in order to optimize the convergence rate of the resulting coupled iteration cycle. A key ingredient is the preconditioning in the design step by a BFGS approximation of the projected Hessian. We provide a hard bound on the spectral radius of the coupled iteration cycle at local minima satisfying second order sufficiency conditions. Finally, we show how certain problem specific parameters can be estimated by local samples and be used to steer the whole process adaptively. We present limited numerical results that confirm the theoretical analysis. [ABSTRACT FROM AUTHOR]
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- 2014
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7. MODELING AND SIMULATION OF SEQUENTIAL AUCTIONS: PRICING AND CALIBRATION ALGORITHMS.
- Author
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TADJOUDDINE, EMMANUEL M.
- Abstract
We consider sequential auctions wherein seller and bidder agents need to price goods on sale at the 'right' market price. We propose algorithms based on a binomial model for both the seller and buyer. Then, we consider the problem of calibrating pricing models to market data. To this end, we studied a stochastic volatility model used for option pricing, derived, and analyzed Monte Carlo estimators for computing the gradient of a certain payoff function using Finite Differencing and Algorithmic Differentiation. We then assessed the accuracy and efficiency of both methods as well as their impacts into the optimization algorithm. Numerical results are presented and discussed. This work can benefit those engaged in electronic trading or investors in financial products with the need for fast and more precise predictions of future market data. [ABSTRACT FROM AUTHOR]
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- 2012
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8. Calculus-based optimization of the electron dynamics in nanostructures.
- Author
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Walther, Andrea, Reichelt, Matthias, and Meier, Torsten
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ELECTRODYNAMICS ,NANOSTRUCTURES ,CALCULUS ,MATHEMATICAL optimization ,NUMERICAL analysis ,NANOWIRES ,ALGORITHMS - Abstract
Abstract: For numerous applications, the computation and provision of exact derivative information plays an important role for optimizing the considered system. This paper introduces the technique of algorithmic differentiation, a method to compute derivatives of arbitrary order within working precision. This derivative information will be combined with a calculus-based optimization algorithm to optimize a non-trivially shaped laser pulse which coherently steers the electron dynamics in a semiconductor quantum wire. Numerical results illustrating the cost for the derivative computation and the optimization process are presented and discussed. [Copyright &y& Elsevier]
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- 2011
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9. Algorithmic Differentiation: Application to Variational Problems in Computer Vision.
- Author
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Pock, Thomas, Pock, Michael, and Bischof, Horst
- Subjects
- *
ALGOL (Computer program language) , *CALCULUS , *CALCULUS of variations , *LAGRANGE equations , *COMPUTER simulation , *DIRECTIONAL derivatives , *MATHEMATICAL analysis - Abstract
Many vision problems can be formulated as minimization of appropriate energy functionals. These energy functionals are usually minimized, based on the calculus of variations (Euler-Lagrange equation). Once the Euler-Lagrange equation has been determined, it needs to be discretized in order to implement it on a digital computer. This is not a trivial task and, is moreover, error-prone. In this paper, we propose a flexible alternative. We discretize the energy functional and, subsequently, apply the mathematical concept of algorithmic differentiation to directly derive algorithms that implement the energy functional's derivatives. This approach has several advantages: First, the computed derivatives are exact with respect to the implementation of the energy functional. Second, it is basically straightforward to compute second-order derivatives and, thus, the Hessian matrix of the energy functional. Third, algorithmic differentiation is a process which can be automated. We demonstrate this novel approach on three representative vision problems (namely, denoising, segmentation, and stereo) and show that state-of-the-art results are obtained with little effort. [ABSTRACT FROM AUTHOR]
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- 2007
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10. Developments Of A Discrete Adjoint Structual Solver For Shape And Composite Material Optimization
- Author
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Schwalbach, M.
- Subjects
algorithmic differentiation ,adjoint ,fluid dynamics ,turbomachinery ,optimization - Abstract
In the field of turbomachinery, a multidisciplinary optimization may seek to optimize an objective in the discipline of fluid dynamics, e.g. maximizing efficiency, while satisfying constraints in the discipline of structural mechanics, e.g.keeping the maximum von Mises stress beneath a defined threshhold. This enables the design of components that are both aerodynamically optimized and structurally feasible. In order to respect structural constraints, gradient-based optimization methods require the sensitivities of the structural objectives with respect to the design variables. A discrete adjoint structural solver, based on the finite element method (FEM), and differentiated using adjoint algorithmic differentiation (AD), plays a key role in computing the structural sensitivities efficiently. The gradients can be computed at a cost of a single adjoint run for each objective function, independent on the size of the design space. Not only does this give us the opportunity to include a large number of design parameters, e.g. a large number of control points for a CAD-based shape paremetrization, but even to go beyond the usual shape design parameters and include composite material design parameters [1], [2] as well. This paves the way for an efficient simultaneous shape and material optimization using adjoint AD. In this work, we introduce the ongoing developments of a discrete adjoint structural solver that has the capabilities of computing sensitivities with respect to shape design parameters, as well as composite material design parameters, with a single adjoint run for each structural objective function. The solver is written in C++ and differentiated using the AD tool CoDiPack [3]. The theory behind this concept is discussed first, followed by preliminary results and a conclusion.
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- 2018
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11. Discrete Adjoint Optimization with OpenFOAM
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Towara, Markus, Naumann, Uwe, and Schröder, Wolfgang
- Subjects
algorithmic differentiation ,adjoint ,CFD ,openFOAM ,optimization ,ddc:004 - Abstract
Dissertation, RWTH Aachen University, 2018; Aachen 1 Online-Ressource (vii, 232 Seiten) : Illustrationen (2019). = Dissertation, RWTH Aachen University, 2018, Computer simulations and computer aided design in the past decades have evolved into a valuable instrument, penetrating just about every branch of engineering in industry and academia. More specifically, computational fluid dynamics (CFD) simulations allow to inspect flow phenomena in a variety of applications. As simulation methods evolve, mature, and are adopted by a rising number of users, the demand for methods which not only predict the result of a specific configuration, but can give indications on how to improve the design, increases. This thesis is concerned with the efficient calculation of sensitivity information of CFD algorithms, and their application to numerical optimization. The sensitivities are obtained by applying Algorithmic Differentiation (AD).A specific emphasis of this thesis is placed on the efficient application of adjoint methods, including parallelism, for commonly used CFD finite volume methods (FVM) and their implementation in the open source framework OpenFOAM., Published by Aachen
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- 2018
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12. Hybrid approaches to adjoint code generation with dco/c++
- Author
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Lotz, Johannes, Naumann, Uwe, and Gauger, Nicolas Ralph
- Subjects
algorithmic differentiation ,adjoints ,ddc:004 ,optimization ,C++ - Abstract
This dissertation is concerned with the computation of arbitrary-order derivative projections (tangents and adjoints) of numerical simulation programs written in C++. Thanks to the increasing computational power, simulation nowadays plays a fundamental role within a wide range of applications. On this basis, in the last decades simulation programs became the foundation for optimization problems in a wide variety of domains, e.g. design optimization in computational fluid dynamics. When using derivative-based algorithms to carry out the optimization, first- and higher-order sensitivities of the underlying simulation program are required. Since in many cases gradients of scalar objective functions need to be computed, the adjoint method should be used. Adjoint programs can either be written by hand or generated by Algorithmic (or Automatic) Differentiation (AD) tools. AD is a semantic program transformation exploiting the chain rule of differential calculus to automatically generate programs such that sensitivities are computed in addition to the original function values. Writing adjoint programs by hand can be a tedious, time-consuming, and error-prone task, but on the other hand, the well-versed programmer can possibly write much more efficient code, especially when exploiting mathematical properties by symbolic transformations. When hand-coding an adjoint simulation program, an incremental software development process is difficult. To achieve an effective development process and get an efficient program, hybridization techniques can be used to couple an AD tool with hand-written code. This makes a top-down adjoint code development possible -- beginning with a pure AD solution, going step by step to a more efficient implementation.This thesis consists of three main points. First, the software dco/c++ is presented. dco/c++ implements AD by overloading in C++ and features hybridization techniques in a flexible and efficient way. Flexibility is meant in terms of compliance with a modern C++ environment (e.g. generic concepts, exception-safety, thread-safety, or portability), and in terms of a convenient interface with emphasis on the support for arbitrary-order derivatives. Efficiency on the other hand is ensured by the newly developed AD test suite, which carries out performance tests also in comparison to other AD tools.As the second main point, arbitrary-order derivative projections of common numerical algorithms like linear and nonlinear solvers are derived symbolically, exploiting mathematical properties. Those results are shown to be of practical relevance by connecting them to the hybridization capabilities of dco/c++. This combination is presented with the help of an extensive case study demonstrating the effectiveness of the approach. In addition, dco/c++ was successfully used in many projects and its applicability is therefore shown in terms of "reference projects".When using AD to generate an adjoint program, the resulting executable typically requires a huge amount of memory. The third point of this thesis therefore covers the Call Tree Reversal (CTR) problem. CTR is a checkpointing technique, which allows for a tradeoff between additional runtime and memory requirements. The problem itself is an NP-complete optimization problem, which in this thesis is approached by a mixed integer programming formulation for the first time.
- Published
- 2016
13. Semantics driven adjoints of the message passing interface
- Author
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Michel Schanen, Naumann, Uwe, and Bücker, Martin
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algorithmic differentiation ,gradient ,Informatik ,adjoints ,steepest descent ,MPI ,Message Passing Interface ,differentiation ,ddc:004 ,automatic differentiation ,optimization ,gradient descent - Abstract
Access to correct derivative information is crucial in numerical simulations andoptimization. While finite differences easily provide derivative approximationsthrough perturbing a function's inputs, the adjoint derivative model is the onlyway of acquiring a function's gradient both at machine precision and at the sametime complexity as the initial function evaluation. However, the adjoint model implies acomplete data flow reversal of an executed program. The same implication holds for the Message Passing Interface (MPI) of a parallel implementation. Everycommunication pattern has to be reversed when the adjoint model is applied. This work establishes a framework forthe semantic analysis of MPI communication patterns. It formulates a semanticdriven generation of adjoint patterns of the corresponding original patterns. The MPI standarddefines the semantics of every MPI communication in English language. A moreabstract representation of the MPI semantics is extracted and used in order toapply the logic of Algorithmic Differentiation (AD). Based on these adjointpattern representations a generic adjoint MPI library is implemented that may be usedsemi-automatically with any AD tool. Moreover, theruntime expectation of such an implementation on current cluster systems isanalyzed. The outcome is tested with two software packages used in numericalscience. One is the Portable Extensible Toolkit for Scientific computation(PETSc). It is currently one of the most robust frameworks for parallel linearand nonlinear solvers that exist. The other one is Sisyphe, a sedimenttransport simulation software used in the context of the fluid solver OpenTELEMAC.
- Published
- 2016
14. A Case Study in Adjoint Sensitivity Analysis of Parameter Calibration
- Author
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Johannes Lotz, Uwe Naumann, and Marc Schwalbach
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Optimization ,Mathematical optimization ,021103 operations research ,Algorithmic Differentiation ,010504 meteorology & atmospheric sciences ,Automatic differentiation ,Computer science ,Estimation theory ,Computation ,0211 other engineering and technologies ,02 engineering and technology ,computer.software_genre ,01 natural sciences ,Adjoints ,Simulation software ,Robustness (computer science) ,General Earth and Planetary Sciences ,ddc:004 ,Algorithm ,computer ,C++ ,0105 earth and related environmental sciences ,General Environmental Science - Abstract
International Conference on Computational Science 2016, ICCS 2016, 6-8 June 2016, San Diego, California, USA / Edited by Ilkay Altintas, Michael Norman, Jack Dongarra, ValeriaV. Krzhizhanovskaya, Michael Lees and Peter M.A. Sloot International Conference on Computational Science 2016, ICCS 2016, San Diego, California, USA, 6 Jun 2016 - 8 Jun 2016; Amsterdam [u.a.] : Elsevier, Procedia computer science, 80, 201-211 (2016). doi:10.1016/j.procs.2016.05.310, Published by Elsevier, Amsterdam [u.a.]
- Published
- 2016
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15. Improved Efficiency Of A Discrete Adjoint Cfd Code For Design Optimization Problems
- Author
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Dastouri, Z and Naumann, U
- Subjects
Algorithmic Differentiation ,Computational Fluid Dynamics CFD ,Adjoint ,linear solver ,optimization - Abstract
Sensitivity analysis with the aim of design optimization is a growing area of interest in Computational Fluid Dynamics (CFD) simulations. However, one of the major challenges is to deal with a large number of design variables for largescale industrial applications. One of the effective solution approaches is to compute adjoint-based sensitivities in the differentiated CFD code. In this paper, we develop a discrete adjoint code for an unstructured pressure-based steady Navier-Stokes solver using Algorithmic Differentiation (AD) by operator overloading (OO) tool. To reduce the huge memory requirement of the adjoint code we apply effective techniques by implementation of checkpointing schemes and by symbolic differentiation of the iterative linear solver. We combine the flexibility of an operator overloading tool with the efficiency of an adjoint code generated by source transformation through coupling these approaches. Moreover, we improve the performance of the adjoint computation by exploiting the mathematical aspects of the involved fixed-point iteration through reverse accumulation. We compare the effectiveness of these methods in terms of reduction of the numerical cost and accuracy of the sensitivities for the optimization of a vehicle climate duct industrial test case.
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- 2015
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16. TAPENADE 2.1 user's guide
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Hascoët, Laurent, Pascual, Valérie, Program transformations for scientific computing (TROPICS), Inria Sophia Antipolis - Méditerranée (CRISAM), Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria), and INRIA
- Subjects
ADJOINT ,GRADIENT ,[INFO.INFO-OH]Computer Science [cs]/Other [cs.OH] ,AUTOMATIC DIFFERENTIATION ,ALGORITHMIC DIFFERENTIATION ,STATIC ANALYSIS ,COMPILATION ,OPTIMIZATION ,DATA-FLOW ANALYSIS ,INVERSE PROBLEMS - Abstract
This is the user's manual for the version 2.1 of the Automatic Differentiation tool TAPENADE. Given a source computer program that computes a differentiable mathematical function $F$, TAPENADE builds a new source program that computes some of the derivatives of $F$, specifically directional derivatives ("tangent mode") and gradients ("reverse mode"). This report summarizes the mathematical justifications of Automatic Differentiation, then describes in full detail the differentiation model that TAPENADE implements. Our goal is to give the users of TAPENADE a precise understanding of the actions and choices made while differentiating programs, so as to improve their confidence in the produced source programs. This report documents all the available options and parameterizations that the users can give to TAPENADE, and conversely all the diagnosis and requirements that TAPENADE may issue towards the users. After a brief description of TAPENADE's architecture and performances, this report describes more fully the validation and improvement techniques for differentiated codes.
- Published
- 2004
17. Optimization for Bursting Neural Models
- Author
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Tien, Joseph
- Subjects
- optimization, bursting, neural models, parameter estimation, preBotzinger, Hodgkin-Huxley, automatic differentiation, algorithmic differentiation, dynamical systems, differential equations
- Abstract
This thesis concerns parameter estimation for bursting neural models. Parameter estimation for differential equations is a difficult task due to complicated objective function landscapes and numerical challenges. These difficulties are particularly salient in bursting models and other multiple time scale systems. Here we make use of the geometry underlying bursting by introducing defining equations for burst initiation and termination. Fitting the timing of these burst events simplifies objective function landscapes considerably. We combine this with automatic differentiation to accurately compute gradients for these burst events, and implement these features using standard unconstrained optimization algorithms. We use trajectories from a minimal spiking model and the Hindmarsh-Rose equations as test problems, and bursting respiratory neurons in the preBotzinger complex as an application. These geometrical ideas and numerical improvements significantly enhance algorithm performance. Excellent fits are obtained to the preBotzinger data both in control conditions and when the neuromodulator norepinephrine is added. The results suggest different possible neuromodulatory mechanisms, and help analyze the roles of different currents in shaping burst duration and period.
- Published
- 2006
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