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Automatic differentiation of algorithms. (English) Zbl 0994.65020
Summary: We introduce the basic notions of automatic differentiation, describe some extensions which are of interest in the context of nonlinear optimization and give some illustrative examples.

MSC:
65D25 Numerical differentiation
65Y05 Parallel numerical computation
65G40 General methods in interval analysis
65K05 Numerical mathematical programming methods
65K10 Numerical optimization and variational techniques
49M30 Other numerical methods in calculus of variations (MSC2010)
90C30 Nonlinear programming
68W30 Symbolic computation and algebraic computation
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