Sensitivity evaluation and automatic differentiation
Bijan Mohammadi, Olivier Pironneau · Oxford University Press eBooks · 2009
This chapter describes sensitivity analysis and automatic differentiation (AD). These include the theory, then an object oriented library for AD by operator overloading, and finally the authors' experience with AD systems using code generation operating in both direct and reverse modes. The chapter describes the different possibilities and through simple programs, gives a comprehensive survey of direct AD by operator overloading and for the reverse mode, the adjoint code method. Several elementary and more advanced examples help the understanding of this central concept.