Automatic adjoint differentiation for gradient descent and model calibration

DOI10.1142/S0219691320400044MaRDI QIDQ5090102FDOQ5090102

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

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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)

Cites Work

• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Likelihood ratio method and algorithmic differentiation: fast second order Greeks
• The calibration of stochastic local-volatility models: an inverse problem perspective
• Title not available (Why is that?)
• Automatic differentiation of algorithms
• A benchmark of selected algorithmic differentiation tools on some problems in computer vision and machine learning
• Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations

Cited In (2)

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

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