Automatic Differentiation in MATLAB using ADMAT with Applications

Thomas F. Coleman is a Professor in the Department of Combinatorics and Optimization, as well as the Ophelia Lazaridis University Research Chair, at the University of Waterloo. He is also the Director of WatRISQ, an institute composed of finance researchers that spans several faculties at the university. From 2005 to 2010, Dr Coleman was Dean of the Faculty of Mathematics at the University of Waterloo. Prior to this, he was Professor of Computer Science at Cornell University. He was also Director of the Cornell Theory Center (CTC), a supercomputer applications center, and founded and directed CTC-Manhattan, a computational finance venture. Dr Coleman has authored three books on computational mathematics, edited six conference proceedings, and published over 80 journal articles in the areas of optimization, automatic differentiation, parallel computing, computational finance, and optimization applications. Wei Xu is Research Manager at the Global Risk Institute (GRI), Toronto. Before joining GRI, Dr Xu was a Visiting Professor at the University of Waterloo. Previously, he was an Associate Professor at Tongji University, Shanghai. He co-founded Shanghai Raiyun Information Technology Ltd, a risk management services and solutions provider, and currently serves as its Director of R&D. His research has been featured in over 30 publications and he has co-authored a book on risk management.

Preface; 1. Fundamentals of automatic differentiation and the use of ADMAT; 2. Products and sparse problems; 3. Using ADMAT with the MATLAB optimization toolbox; 4. Newton's method and optimization; 5. Structure; 6. Combining C/Fortran with ADMAT; 7. AD for inverse problems with an application to computational finance; 8. A template for structured problems; 9. R&D directions; Appendix A. Installation of ADMAT; Appendix B. How are codes differentiated?; Bibliography; Index.