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Outline:

1. Motivation and Basic AAD

        - Tangents and Adjoints: Story in a Nutshell
        - Implementation (Code Generation Rules vs. Overloading)
        - Case Study: Black-Scholes SDE (Euler-Maruyama Scheme)

        - Case Study: Black-Scholes PDE (Explicit Scheme)

2. AAD of Linear Algebra and Implicit Functions

        - Nonlinear Equations
        - Basic Linear Algebra Subprograms
        - Systems of Linear Equations
        - Systems of Nonlinear Equations
        - Convex Optimization
        - Ordinary Differential Equations

        - Case Study: Black-Scholes PDE (Implicit Scheme)


3. Checkpointing in AAD

        - Adjoint Ensembles
        - Adjoint Evolutions
        - Multi-Level Checkpointing
        - DAG and Call Tree Reversal Problems

        - Case Study: Black-Scholes SDE and PDE

4. Second- and Higher-Order AAD

        - Tangents and Adjoints
        - Implementation (Code Generation Rules vs. Overloading)

        - Case Study: Black-Scholes PDE


Course Tutor:
Image result for uwe nauman rwth
Uwe Naumann, Professor of Computer Science, RWTH Aachen University

Uwe Naumann is the author of the popular text book on (Adjoint) Algorithmic Differentiation (AAD) titled “The Art of Differentiating Computer Programs” and published by SIAM in 2012. He holds a Ph.D. in Applied Mathematics / Scientific Computing from the Technical University Dresden, Germany.

Following post-doctoral appointments in France, the UK and the US, he has been a professor for Computer Science at RWTH Aachen University, Germany, since 2004. As a Technical Consultant for the Numerical Algorithms Group (NAG) Ltd. Uwe has been playing a leading role in the delivery of AAD software and services to a growing number of tier-1 investment banks since 2008.


Workshop Schedule: 09:00 – 17:30 

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30