Sensitivity analysis and design optimization through automatic differentiation

Abstract

Automatic differentiation is a technique for transforming a program or subprogram that computes a function, including arbitrarily complex simulation codes, into one that computes the derivatives of that function. We describe the implementation and application of automatic differentiation tools. We highlight recent advances in the combinatorial algorithms and compiler technology that underlie successful implementation of automatic differentiation tools. We discuss applications of automatic differentiation in design optimization and sensitivity analysis. We also describe ongoing research in the design of language-independent source transformation infrastructures for automatic differentiation algorithms. © 2005 IOP Publishing Ltd.