|
|
Efficient calculation of sensitivities for optimization problems-
Article in a journal
- | |
|
Area Optimization |
Author(s)
Andreas Kowarz
, Andrea Walther
|
Published in
Discussiones Mathematicae, Differential Inclusions, Control and Optimization |
Year 2007 |
Abstract Sensitivity information is required by numerous applications as for example optimization algorithms, parameter estimations or real time control. Sensitivities can be computed with working accuracy using the forward mode of automatic differentiation (ad). ADOL-C is an ad-tool for programs written in C or C++. Originally, when applying ADOL-C, tapes for values, operations and locations are written during the function evaluation to generate an internal function representation. Subsequently, these tapes are evaluated to compute the derivatives, sparsity patterns etc. using the forward or reverse mode of ad. The generation of the tapes can be completely avoided by applying the recently implemented tapeless variant of the forward mode for scalar and vector calculations. The tapeless forward mode enables the joint computation of function and derivative values directly from main memory within one sweep. Compared to the original approach shorter runtimes are achieved due to the avoidance of tape handling and a more effective, i.e., joint optimization for function and derivative code. Advantages and disadvantages of the tapeless forward mode provided by ADOL-C will be discussed. Furthermore, runtime comparisons for two implemented variants of the tapeless forward mode are presented. The results are based on two numerical examples that require the computation of sensitivity information. |
AD Tools ADOL-C |
AD Theory and Techniques Forward Mode, Implementation Strategies |
BibTeX
@ARTICLE{
Kowarz2007Eco,
title = "Efficient calculation of sensitivities for optimization problems",
author = "Andreas Kowarz and Andrea Walther",
year = "2007",
journal = "Discussiones Mathematicae, Differential Inclusions, Control and Optimization",
volume = "27",
pages = "119--134",
abstract = "Sensitivity information is required by numerous applications as for example
optimization algorithms, parameter estimations or real time control. Sensitivities can be computed
with working accuracy using the forward mode of automatic differentiation (AD). ADOL-C is an AD-tool
for programs written in C or C++. Originally, when applying ADOL-C, tapes for values, operations and
locations are written during the function evaluation to generate an internal function
representation. Subsequently, these tapes are evaluated to compute the derivatives, sparsity
patterns etc. using the forward or reverse mode of AD. The generation of the tapes can be completely
avoided by applying the recently implemented tapeless variant of the forward mode for scalar and
vector calculations. The tapeless forward mode enables the joint computation of function and
derivative values directly from main memory within one sweep. Compared to the original approach
shorter runtimes are achieved due to the avoidance of tape handling and a more effective, i.e.,
joint optimization for function and derivative code. Advantages and disadvantages of the tapeless
forward mode provided by ADOL-C will be discussed. Furthermore, runtime comparisons for two
implemented variants of the tapeless forward mode are presented. The results are based on two
numerical examples that require the computation of sensitivity information.",
ad_area = "Optimization",
ad_tools = "ADOL-C",
ad_theotech = "Forward Mode, Implementation Strategies"
}
| |
back
|
|