Automatic Differentiation Tools in Optimization Software

  • Jorge MorĂ©
    • Categories Nonlinear Optimization, Optimization Software and Modeling Systems Tags , , , Short URL: https://optimization-online.org/?p=8737

    We discuss the role of automatic differentiation tools in optimization software. We emphasize issues that are important to large-scale optimization and that have proved useful in the installation of nonlinear solvers in the NEOS Server. Our discussion centers on the computation of the gradient and Hessian matrix for partially separable functions and shows that the gradient and Hessian matrix can be computed with guaranteed bounds in time and memory requirements.

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    Mathematics and Computer Science Division, Argonne National Laboratory, Preprint ANL/MCS-P859-1100, November 2000.

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