Automatic evaluations of cross-derivatives

DOI10.1090/S0025-5718-2013-02717-2zbMATH Open1278.65022OpenAlexW2006353862WikidataQ57389583 ScholiaQ57389583MaRDI QIDQ2862529FDOQ2862529

Marat Zilberman, Hernan Leovey, Andreas Griewank, Lutz Lehmann

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

computational complexityinterpolationcomplexity reductionfast Fourier transformmixed partial derivativescross-derivativesKaratsuba's methodpolynomial multiplications

Mathematics Subject Classification ID

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

Cites Work

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• Mersenne twister
• Fast higher-order derivative tensors with Rapsodia
• Constructing Sobol Sequences with Better Two-Dimensional Projections
• Evaluating Derivatives
• On constrained optimization by adjoint based quasi-Newton methods
• Tractability of multivariate problems. Volume I: Linear information
• Tractability of multivariate problems. Volume II: Standard information for functionals.
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Fourier meets M\"{o}bius: fast subset convolution
• Accurate Sum and Dot Product
• The effective dimension and quasi-Monte Carlo integration
• Evaluating higher derivative tensors by forward propagation of univariate Taylor series
• The smoothing effect of the ANOVA decomposition
• Maintaining factorized KKT systems subject to rank-one updates of Hessians and Jacobians
• Brownian bridge and principal component analysis: towards removing the curse of dimensionality

Cited In (3)

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

Uses Software

• MersenneTwister
• Rapsodia
• sobol.cc

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