Computing sparse Hessians with automatic differentiation

A Walther - ACM Transactions on Mathematical Software (TOMS), 2008 - dl.acm.org
ACM Transactions on Mathematical Software (TOMS), 2008dl.acm.org
A new approach for computing a sparsity pattern for a Hessian is presented: nonlinearity
information is propagated through the function evaluation yielding the nonzero structure. A
complexity analysis of the proposed algorithm is given. Once the sparsity pattern is
available, coloring algorithms can be applied to compute a seed matrix. To evaluate the
product of the Hessian and the seed matrix, a vector version for evaluating second order
adjoints is analysed. New drivers of ADOL-C are provided implementing the presented …
A new approach for computing a sparsity pattern for a Hessian is presented: nonlinearity information is propagated through the function evaluation yielding the nonzero structure. A complexity analysis of the proposed algorithm is given. Once the sparsity pattern is available, coloring algorithms can be applied to compute a seed matrix. To evaluate the product of the Hessian and the seed matrix, a vector version for evaluating second order adjoints is analysed. New drivers of ADOL-C are provided implementing the presented algorithms. Runtime analyses are given for some problems of the CUTE collection.
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