Algorithmic Differentiation with dco/c++

Contents

The course consists of 

  • lecture-style presentations
  • live coding of examples
  • hands-on mob programming sessions

covering

  • first-order tangents and adjoints
  • beyond black-box adjoints: early intervention
  • beyond black-box adjoints: late intervention
  • second- and higher-order tangents and adjoints
  • extended set of elementals / implicit functions

Preparation

All participants should have access to the latest version of dco/c++.

All participants should be able to

  • built the sample codes in their favorite environment
  • run the sample codes (including simple dco/c++ examples)
  • reproduce the results given in the README.md files in the respective subdirectories
  • edit the source files for hands-on work

Download and Unpack the Sample Code

A zip archive of the sample code can be downloaded from here.

Build the Sample Code

Linux Makefiles are provided as a reference for the build process.

  • "make" builds all
  • "make clean" cleans up

Integration into alternative build environments (e.g. Windows or MacOS) should be performed accordingly.

Run the Sample Code

Reference output is provided in the README.md files located in the

  • fgh
  • SDE
  • Heston

subdirectories.

Material