A Finite Algorithm for the Exact Evaluation of Higher-Order Partial Derivatives of Functions of Many Variables
AbstractThis article develops an algorithm for the exact forward-mode automatic evaluation of higher order partial derivatives using derivative arrays, now referred to as the FEED (Fast Efficient Evaluation of Derivatives) algorithm. Building on previous work by R. Wengert, the FEED algorithm proceeds by decomposing the evaluation of complicated functions of many variables into a sequence of simpler evaluations of special functions of one or two variables. Annotated pointers to related work can be accessed here: http://www.econ.iastate.edu/tesfatsi/nasahome.htm
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Bibliographic InfoPaper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 11211.
Date of creation: 01 Jan 1983
Date of revision:
Publication status: Published in Journal of Mathematical Analysis and Applications 1983, vol. 92, pp. 552-563
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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
Web page: http://www.econ.iastate.edu
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automatic differentiation; higher-order partial derivatives; FEED algorithm;
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- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
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- Max E. Jerrell, 1999. "Environments for Global Optimization Using Interval Arithmetic and Computational (Automatic) Differentiation," Computing in Economics and Finance 1999 1321, Society for Computational Economics.
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