Higher-order reverse automatic differentiation with emphasis on the third-order
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Publication:5962714
Abstract: It is commonly assumed that calculating third order information is too expensive for most applications. But we show that the directional derivative of the Hessian () can be calculated at a cost proportional to that of a state-of-the-art method for calculating the Hessian matrix. We do this by first presenting a simple procedure for designing high order reverse methods and applying it to deduce several methods including a reverse method that calculates . We have implemented this method taking into account symmetry and sparsity, and successfully calculated this derivative for functions with a million variables. These results indicate that the use of third order information in a general nonlinear solver, such as Halley-Chebyshev methods, could be a practical alternative to Newton's method.
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