Sparse Automatic Differentiation for Large-Scale Computations Using Abstract Elementary Algebra

Most numerical solvers and libraries nowadays are implemented to use mathematical models created with language-specific built-in data types (e.g. real in Fortran or double in C) and their respective elementary algebra implementations. However, built-in elementary algebra typically has limited functionality and often restricts flexibility of mathematical models and analysis types that can be applied to those models. To overcome this limitation, a number of domain-specific languages with more feature-rich built-in data types have been proposed. In this paper, we argue that if numerical libraries and solvers are designed to use abstract elementary algebra rather than language-specific built-in algebra, modern mainstream languages can be as effective as any domain-specific language. We illustrate our ideas using the example of sparse Jacobian matrix computation. We implement an automatic differentiation method that takes advantage of sparse system structures and is straightforward to parallelize in MPI setting. Furthermore, we show that the computational cost scales linearly with the size of the system.Comment: Submitted to ACM Transactions on Mathematical Softwar

Increasing the Reliability of Adaptive Quadrature Using Explicit Interpolants

We present two new adaptive quadrature routines. Both routines differ from previously published algorithms in many aspects, most significantly in how they represent the integrand, how they treat non-numerical values of the integrand, how they deal with improper divergent integrals and how they estimate the integration error. The main focus of these improvements is to increase the reliability of the algorithms without significantly impacting their efficiency. Both algorithms are implemented in Matlab and tested using both the "families" suggested by Lyness and Kaganove and the battery test used by Gander and Gautschi and Kahaner. They are shown to be more reliable, albeit in some cases less efficient, than other commonly-used adaptive integrators.Comment: 32 pages, submitted to ACM Transactions on Mathematical Softwar