Algorithm differentiation of implicit functions and optimal values In applied optimization, an understanding of the sensitivity of the optimal value to changes in structural parameters is often essential. Applications include parametric optimization, saddle point problems, Benders decompositions, and multilevel optimization. In this paper we adapt a known automatic differentiation (AD) technique for obtaining derivatives of implicitly defined functions for application to optimal value functions. The formulation we develop is well suited to the evaluation of first and second derivatives of optimal values. The result is a method that yields large savings in time and memory. The savings are demonstrated by a Benders decomposition example using both the ADOL-C and CppAD packages. Some of the source code for these comparisons is included to aid testing with other hardware and compilers, other AD packages, as well as future versions of ADOL-C and CppAD. The source code also serves as an aid in the implementation of the method for actual applications. In addition, it demonstrates how multiple C++ operator overloading AD packages can be used with the same source code. This provides motivation for the coding numerical routines where the floating point type is a C++ template parameter.

References in zbMATH (referenced in 16 articles )

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  1. Gleixner, Ambros M.; Berthold, Timo; Müller, Benjamin; Weltge, Stefan: Three enhancements for optimization-based bound tightening (2017)
  2. Berthold, Timo: RENS. The optimal rounding (2014)
  3. Berthold, Timo; Gleixner, Ambros M.: Undercover: a primal MINLP heuristic exploring a largest sub-MIP (2014)
  4. Bell, Bradley M.; Flaxman, Abraham D.: A statistical model and estimation of disease rates as functions of age and time (2013)
  5. Gleixner, Ambros M.; Weltge, Stefan: Learning and propagating Lagrangian variable bounds for mixed-integer nonlinear programming (2013)
  6. Siehr, Jochen: Numerical optimization methods within a continuation strategy for the reduction of chemical combustion models (2013)
  7. Skanda, Dominik; Lebiedz, Dirk: A robust optimization approach to experimental design for model discrimination of dynamical systems (2013)
  8. Andersson, Joel; Åkesson, Johan; Diehl, Moritz: CasADi: A symbolic package for automatic differentiation and optimal control (2012)
  9. Aravkin, Aleksandr Y.; Van Leeuwen, Tristan: Estimating nuisance parameters in inverse problems (2012)
  10. Gleixner, Ambros M.; Held, Harald; Huang, Wei; Vigerske, Stefan: Towards globally optimal operation of water supply networks (2012)
  11. Lebiedz, Dirk; Siehr, Jochen; Unger, Jonas: A variational principle for computing slow invariant manifolds in dissipative dynamical systems (2011)
  12. Sielemann, M.; Schmitz, G.: A quantitative metric for robustness of nonlinear algebraic equation solvers (2011)
  13. Fourer, Robert; Ma, Jun; Martin, Kipp: OSiL: An instance language for optimization (2010)
  14. Enciu, P.; Wurtz, F.; Gerbaud, L.; Delinchant, B.: Automatic differentiation for electromagnetic models used in optimization (2009)
  15. Bell, Bradley M.; Burke, James V.: Algorithm differentiation of implicit functions and optimal values (2008)
  16. Bischof, Christian H.; Hovland, Paul D.; Norris, Boyana: On the implementation of automatic differentiation tools (2008)