Seventh European Workshop on AD
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Programme of the Seventh Euro AD Workshop

Monday, November 24, 2008

  • 1000 –1030   Coffee and Welcome
  • 1030 –1230   AD Tools, Theory and Applications
    1. Sebastian Walter (HU Berlin)
      Higher Order Forward and Reverse Mode onMatrices with Application to Optimal ExperimentalDesign
    2. John Pryce (Cranfield University)
      A standard for interval arithmetic: IEEE working group P1788
    3. Johannes Willkomm (RWTH Aachen University)
      Comparison of contiuous and discrete adjoints in the IHCP
    4. Paul Hovland (Argonne National Laboratory)
      Discussion on differentiated BLAS
  • 1230 –1400   Lunch
  • 1400 –1530   AD Tools, Theory and Applications
    1. Andrea Walther (TU Dresden)
      Parallel Computation of Greeks Using ADOL-C
    2. Laurent Hascoet (INRIA Sophia-Antipolis, France)
      Data-Flow reversal for Pass-by-Value parameters
    3. Jan Riehme (RWTH Aachen University)
      CompAD II & III -- The AD-enabled NAGWare Fortran 95 compiler
  • 1530 –1600   Coffee
  • 1600 –1800   Special Session: Applications and Challenges in Economics and Finance
    1. Luca Guerrieri (Federal Reserve)
      Use of AD for maximum likehood estimation
    2. Luca Capriotti (Credit Suisse)
      No more bumping: the promise and challenges of Adjoint Algorithmic Differentiation
    3. Thomas Kaminski (FastOpt)
      Efficient Computation of Hedge-Sensitivities via Automatic Differentiation
    4. Benjamin Skrainka (University College London)
      Automating the Implicit Function Theorem in Economics
  • 1800   Dinner (on your own)

Tuesday, November 25, 2008

  • 900 –1100   Special Session: Applications and Challenges in Economics and Finance
    1. Hans Skaug (University of Bergen)
      Automated Likelihood Based Inference for Stochastic Volatility Models using AD Model Builder
    2. Tore Selland Kleppe (University of Bergen)
      Fitting general stochastic volatility models using simulated maximum likelihood and AD
    3. Olivier Pironneau (UPMC - Paris VI)
      Experience with A.D. in Finance
    4. Alex Prideaux (Oxford University)
      Use of adjoint methods with computational finance PDEs
  • 1100 –1130   Coffee
  • 1130 –1300   AD for MATLAB
    1. Cosmin Bocaniala (Cranfield University)
      AD for Collision Avoidance Trajectory Optimisation
    2. Andre Vehreschild (RWTH Aachen University)
      ADiMat: On the way to compute derivatives in MATLAB efficiently.
    3. Marina Menshikova (Cranfield University)
      Software for uncertainty estimation using AD in Matlab
  • 1300 –1400   Lunch
  • 1400   Close
  

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