BibTeX
@INCOLLECTION{
Evtushenko2002FMt,
author = "Yuri G. Evtushenko and E. S. Zasuhina and V. I. Zubov",
title = "{FAD} Method to Compute Second Order Derivatives",
pages = "327333",
chapter = "39",
crossref = "Corliss2002ADo",
booktitle = "Automatic Differentiation of Algorithms: From Simulation to Optimization",
year = "2002",
editor = "George Corliss and Christ{\`e}le Faure and Andreas Griewank and Laurent
Hasco{\"e}t and Uwe Naumann",
series = "Computer and Information Science",
publisher = "Springer",
address = "New York, NY",
abstract = "We develop a unified methodology for computing second order derivatives of
functions obtained in complex multistep processes and derive formulas for Hessians arising in
discretization of optimal control problems. Where a process is described by continuous equations, we
start with a discretization scheme for the state equations and derive exact gradient and Hessian
expressions. We introduce adjoint systems for auxiliary vectors and matrices used for computing the
derivatives. A unique discretization scheme is automatically generated for vector and matrix adjoint
equations. The structure of the adjoint systems for some approximation schemes is found. The
formulas for second derivatives are applied to examples.",
ad_theotech = "Hessian"
}
