Title | Cheap Second Order Directional Derivatives of Stiff ODE Embedded Functionals |

Publication Type | Journal Article |

Year of Publication | 2005 |

Authors | Ã–zyurt DB, Barton PI |

Journal | SIAM Journal on Scientific Computing |

Volume | 26 |

Pagination | 1725-1743 |

Keywords | BDF method, Hessian-vector products, second order adjoint method, staggered corrector method |

Abstract | A second order adjoint method is described for calculating directional derivatives of stiff {ODE} embedded functionals. The derivation of the general directional second order adjoint equations for point- and integral-form functionals is presented. A numerical procedure for calculating these directional derivatives that is relatively insensitive to the number of parameters is described and showcased. By combining automatic differentiation ({AD}) to obtain the adjoint and sensitivity equations with the staggered corrector method to solve the sensitivity systems, we achieve computational costs noticeably lower than directional finite differences based on a first order adjoint code. |

URL | http://link.aip.org/link/?SCE/26/1725/1 |

DOI | 10.1137/030601582 |

# Cheap Second Order Directional Derivatives of Stiff ODE Embedded Functionals

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