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Mathematical Programming

, Volume 155, Issue 1–2, pp 81–103 | Cite as

Higher-order reverse automatic differentiation with emphasis on the third-order

  • R. M. GowerEmail author
  • A. L. Gower
Full Length Paper Series A

Abstract

It is commonly assumed that calculating third order information is too expensive for most applications. But we show that the directional derivative of the Hessian (\(D^3 f(x)\cdot d\)) can be calculated at a cost proportional to that of a state-of-the-art method for calculating the Hessian matrix. We do this by first presenting a simple procedure for designing high order reverse methods and applying it to deduce several methods including a reverse method that calculates \(D^3f(x)\cdot d\). We have implemented this method taking into account symmetry and sparsity, and successfully calculated this derivative for functions with a million variables. These results indicate that the use of third order information in a general nonlinear solver, such as Halley–Chebyshev methods, could be a practical alternative to Newton’s method. Furthermore, high-order sensitivity information is used in methods for robust aerodynamic design. An efficient high-order differentiation tool could facilitate the use of similar methods in the design of other mechanical structures.

Keywords

Automatic differentiation High-order methods Tensors vector products  Hessian matrix Sensitivity analysis 

Mathematics Subject Classification

15A69 (Tensor products) 65D25 (Numerical differentiation) 65F50 (Sparse matrices) 49Q12 (Sensitivity analysis) 

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Copyright information

© Springer-Verlag Berlin Heidelberg and Mathematical Optimization Society 2014

Authors and Affiliations

  1. 1.Maxwell Institute for Mathematical Sciences, School of MathematicsUniversity of EdinburghEdinburghUK
  2. 2.School of Mathematics, Statistics and Applied MathematicsNational University of Ireland GalwayGalwayIreland

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