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Complex-step differentiation and automatic differentiation (2001) [pdf]

56 点作者 aidanrocke大约 5 年前

3 条评论

thatcherc大约 5 年前
This paper does a weird thing by introducing complex numbers and then presenting a code solution that effectively implements dual numbers [0] while still calling them complex:<p><i>&quot;The new version of the complexify module has been improved by using the new function definitons discussed in the previous section, i.e., definitions that use the original real function for the real part and </i>the derivative of the function multiplied by h for the imaginary part<i>, rather than the complex function definition.&quot;</i> (emphasis mine)<p>Dual numbers ( &quot;a + bE&quot;, where E [usually small epsilon] is a symbol defined by E^2=0, but E itself doesn&#x27;t equal 0) are perfectly suited for automatic differentiation [1,2], so this paper is accurate. I just think it&#x27;s confusing, probably especially for someone new to the topic, to kind of conflate dual and complex numbers in this way.<p>[0] - <a href="https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;Dual_number" rel="nofollow">https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;Dual_number</a><p>[1] - <a href="https:&#x2F;&#x2F;github.com&#x2F;JuliaDiff&#x2F;DualNumbers.jl" rel="nofollow">https:&#x2F;&#x2F;github.com&#x2F;JuliaDiff&#x2F;DualNumbers.jl</a><p>[2] - <a href="https:&#x2F;&#x2F;blog.demofox.org&#x2F;2014&#x2F;12&#x2F;30&#x2F;dual-numbers-automatic-differentiation&#x2F;" rel="nofollow">https:&#x2F;&#x2F;blog.demofox.org&#x2F;2014&#x2F;12&#x2F;30&#x2F;dual-numbers-automatic-d...</a>
anonsivalley652大约 5 年前
It doesn&#x27;t make much sense to me. In the 90&#x27;s, my HP 48 from Service Merchandise (0, lol) could solve most PDEs, ODEs, systems of equations and integrals symbolically. MATHLAB has been doing it since the late 1960&#x27;s, and Mathematica since the late 80&#x27;s. They&#x27;re CASes. [1]<p>If you wanted to solve something more complicated, like simulate a nuclear reactor, simplify it as much as possible and then use Monte Carlo or other heuristics. (I worked on such a product.)<p>0. <a href="https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;Service_Merchandise" rel="nofollow">https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;Service_Merchandise</a><p>^The article failed to mention the most interesting part of the pickup area: the enormous conveyor belt, long set of rollers and noises from the upstairs inventory warehouse.<p>1. <a href="https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;Computer_algebra_system" rel="nofollow">https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;Computer_algebra_system</a>
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aidanrocke大约 5 年前
tl;dr<p>1. The objective of this paper is to show how the complex-step derivative approximation is related to algorithmic differentiation.<p>2. For a tutorial on complex-step differentiation, I can recommend the blog post of John Lapeyre: <a href="http:&#x2F;&#x2F;www.johnlapeyre.com&#x2F;posts&#x2F;complex-step-differentiation&#x2F;" rel="nofollow">http:&#x2F;&#x2F;www.johnlapeyre.com&#x2F;posts&#x2F;complex-step-differentiatio...</a>