Cheap Second Order Directional Derivatives of Stiff ODE Embedded Functionals

Title

Cheap Second Order Directional Derivatives of Stiff ODE Embedded Functionals

Publication Type
Journal Article
Year of Publication
2005
Journal
SIAM Journal on Scientific Computing
Number
5
Volume
26
Pagination
1725-1743
Publisher
SIAM
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.