Expression templates and forward mode automatic differentiation

Authors:
Pierre Aubert;Nicolas Di Césaré
Affiliations:
Echo Interactive, Mougins, France;-
Venue:
Automatic differentiation of algorithms
Year:
2000

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Abstract

This work deals with an implementation of automatic differentiation of C++ computer programs in forward mode using operator overloading and expression templates. In conjunction with a careful reuse of data, this technique also improves performance of programs involving linear algebra computations mixed or not with automatic differentiation. We give a broad view of implementation and explain some important concepts regarding code optimization. We conclude with some benchmarks applied to our optimal control software.