BibTeX
@INCOLLECTION{
Gay1996MAo,
author = "David M. Gay",
editor = "Martin Berz and Christian Bischof and George Corliss and Andreas Griewank",
title = "More {AD} of Nonlinear {AMPL} Models: Computing {Hessian} Information and Exploiting
Partial Separability",
booktitle = "Computational Differentiation: Techniques, Applications, and Tools",
pages = "173184",
publisher = "SIAM",
address = "Philadelphia, PA",
key = "Gay1996MAo",
crossref = "Berz1996CDT",
abstract = "We describe computational experience with automatic differentiation of mathematical
programming problems expressed in the modeling language AMPL. Nonlinear expressions are translated
to loopfree code, which makes it easy to compute gradients and Jacobians by backward automatic
differentiation. The nonlinear expressions may be interpreted or, to gain some evaluation speed at
the cost of increased preparation time, converted to Fortran or C. We have extended the interpretive
scheme to evaluate Hessian (of Lagrangian) times vector. Detecting partially separable structure
(sums of terms, each depending, perhaps after a linear transformation, on only a few variables) is
of independent interest, as some solvers exploit this structure. It can be detected automatically by
suitable ``tree walks''. Exploiting this structure permits an AD computation of the entire
Hessian matrix by accumulating Hessian times vector computations for each term, and can lead to a
much faster computation of the Hessian than by computing the whole Hessian times each unit vector.",
keywords = "AMPL, Hessian, partial separability, tree walks.",
year = "1996",
ad_theotech = "Hessian"
}
