Automatic differentiation and its use in optimization

Automatic differentiation and its use in optimization

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Article ID: iaor20091369
Country: France
Volume: 42
Issue: 2
Start Page Number: 141
End Page Number: 155
Publication Date: Apr 2008
Journal: RAIRO Operations Research
Authors:
Abstract:

In this work, we present an introduction to automatic differentiation, its use in optimization software, and some new potential usages. We focus on the potential of this technique in optimization. We do not dive deeply in the intricacies of automatic differentiation, but put forward its key ideas. We sketch a survey, as of today, of automatic differentiation software, but warn the reader that the situation with respect to software evolves rapidly. In the last part of the paper, we present some potential future usage of automatic differentiation, assuming an ideal tool is available, which will become true in some unspecified future.

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