Automatic adjoint differentiation for gradient descent and model calibration

DOI10.1142/S0219691320400044MaRDI QIDQ5090102FDO

Authors Dmitri Goloubentsev, E. Lakshtanov

Publication date 15 July 2022

Published in International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.04200

zbMATH Keywords

single instruction multiple dataautomatic vectorizationAAD-compilerautomatic adjoint differentiation

Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17) Parallel algorithms in computer science (68W10) Other programming paradigms (object-oriented, sequential, concurrent, automatic, etc.) (68N19)

Recommendations

• Publication:3474197
• scientific article; zbMATH DE number 2065146
• scientific article; zbMATH DE number 992807
• Introduction to automatic differentiation
• Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations

Cites work

• scientific article; zbMATH DE number 6982909 (Why is no real title available?)
• A benchmark of selected algorithmic differentiation tools on some problems in computer vision and machine learning
• Automatic differentiation of algorithms
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Likelihood ratio method and algorithmic differentiation: fast second order Greeks
• Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations
• The calibration of stochastic local-volatility models: an inverse problem perspective

Cited in

(2)

• 15 years of Adjoint Algorithmic Differentiation (AAD) in finance
• AD Model Builder: using automatic differentiation for statistical inference of highly parameterized complex nonlinear models

This page was built for publication: Automatic adjoint differentiation for gradient descent and model calibration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5090102)