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Issue RAIRO Oper. Res.
Volume 42, Number 2, April-June 2008
CIRO 05
Page(s) 141 - 155
DOI 10.1051/ro:2008007
Published online 17 May 2008

RAIRO-Oper. Res. 42 (2008) 141-155
DOI: 10.1051/ro:2008007

La différentiation automatique et son utilisation en optimisation

Jean-Pierre Dussault

Département d'informatique, Faculté des Sciences, Université de Sherbrooke, Sherbrooke, Québec J1K 2R1, Canada; Jean-Pierre.Dussault@USherbrooke.ca

(Received May 31, 2007; accepted November 28, 2007 Published online 17 May 2008.)

Abstract
In this work, we present an introduction to automatic differentiation, its use in optimization software, and some new potential usages. We focus on the potential of this technique in optimization. We do not dive deeply in the intricacies of automatic differentiation, but put forward its key ideas. We sketch a survey, as of today, of automatic differentiation software, but warn the reader that the situation with respect to software evolves rapidly. In the last part of the paper, we present some potential future usage of automatic differentiation, assuming an ideal tool is available, which will become true in some unspecified future.


Résumé
Dans ce travail, nous présentons une introduction sur la différentiation automatique, son utilisation dans les logiciels usuels d'optimisation, et enfin des perspectives de l'apport que cette technique promet. L'accent est mis plutôt sur le potentiel de cette technique en optimisation. Ainsi, la présentation se veut simple; nous mentionnons tout de même quelques aspects plus avancés. Les logiciels évoluant assez rapidement, ce document est daté, et il est certain que plusieurs aspects de la présentation ayant trait aux logiciels actuels seront bientôt caduques. Cependant, dans la dernière partie du document dédiée aux perspectives, nous définissons les attentes d'un outil "idéal" sans nous préoccuper de leur disponibilité aujourd'hui.


Mathematics Subject Classification. 90C.

Key words: Différentiation automatique, algorithmes numériques d'optimisation.


© EDP Sciences, ROADEF, SMAI 2008


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