Automatic differentiation of Hessian matrices

• Grant number: 09/04785-7
• Support Opportunities: Scholarships in Brazil - Master
• Start date: August 01, 2009
• End date: February 28, 2011
• Field of knowledge: Physical Sciences and Mathematics - Mathematics - Applied Mathematics
• Principal Investigator: Margarida Pinheiro Mello
• Grantee: Robert Mansel Gower
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Associated research grant: 06/53768-0 - Computational methods of optimization, AP.TEM

Abstract

The approximate or analytical computation of large scale sparse Hessian and Jacobian matrices can be improved using graph coloring. Although the coloring problem is NP-hard, several heuristics have been proved successful in practice. We intend to investigate the impact, in the solution of specific classes of optimization problems, of incorporating these heuristics in optimization routines. The second objective of the project is the implementation in parallel of coloring heuristics. (AU)

Scientific publications

(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)

GOWER, R. M.; MELLO, M. P.. A new framework for the computation of Hessians. OPTIMIZATION METHODS & SOFTWARE, v. 27, n. 2, p. 23-pg., 2012-01-01. (06/53768-0, 09/04785-7)

GOWER, R. M.; MELLO, M. P.. A new framework for the computation of Hessians. OPTIMIZATION METHODS & SOFTWARE, v. 27, n. 2, SI, p. 251-273, 2012. (06/53768-0, 09/04785-7)

GOWER, ROBERT MANSEL; MELLO, MARGARIDA PINHEIRO. Computing the Sparsity Pattern of Hessians Using Automatic Differentiation. ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE, v. 40, n. 2, FEB 2014. (06/53768-0, 09/04785-7)

Academic Publications

(References retrieved automatically from State of São Paulo Research Institutions)

GOWER, Robert Mansel. Automatic differentiation of hessian matrices. 2011. Master's Dissertation - Universidade Estadual de Campinas (UNICAMP). Instituto de Matemática, Estatística e Computação Científica Campinas, SP.