Algorithmic Differentiation of Numerical Methods : Tangent-Linear and Adjoint Direct Solvers for Systems of Linear Equations

Abstract

We consider the Algorithmic Differentiation (also know as Automatic Differentiation; AD) of numerical simulation programs that contain calls to direct solvers for systems of n linear equations. AD of the linear solvers yields a local overhead of O(n) for the computation of directional derivatives or adjoints of the solution vector with respect to the system… (More)

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