Automatic evaluations of cross-derivatives

DOI10.1090/S0025-5718-2013-02717-2MaRDI QIDQ2862529zbMATH OpenOpenAlexWikidataFDO

Authors Andreas Griewank, Lutz Lehmann, Marat Zilberman, Hernan Leovey

Publication date 15 November 2013

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0025-5718-2013-02717-2

zbMATH Keywords

complexity reductioncomputational complexitycross-derivativesfast Fourier transforminterpolationKaratsuba's methodmixed partial derivativespolynomial multiplications

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical differentiation (65D25) Numerical methods for discrete and fast Fourier transforms (65T50) Complexity and performance of numerical algorithms (65Y20) Symbolic computation and algebraic computation (68W30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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Cited in

(3)

• A general approach to generate random variates for multivariate copulae
• Comparing high-order multivariate AD methods
• Quasi-Monte Carlo methods for lattice systems: a first look

Describes a project that uses

Uses Software

• Rapsodia
• MersenneTwister
• sobol.cc

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