I have uploaded to SIMTEL20 an Automatic Differentiation program,
GRAD. This was a by-product from my growth modelling work. It may
be too esoteric and specialized, but somebody working with large
estimation or optimization problems and having problems with
derivative computations might find it useful.
SIMTEL20 is a huge repository of free and shareware software. The
software can be obtained through e-mail or FTP. Send me a note if
you do not know how to access it (if there is enough interest I might
post details to the List). GRAD is in the directory MSDOS.MATH as
GRAD.ZIP. A description/announcement follows:
AUTOMATIC DIFFERENTIATION FOR FORTRAN
Given a function coded in Fortran, GRAD produces Fortran code to compute
the derivatives with respect to specified variables (i.e. the GRADient).
Derivatives are required in optimization, parameter estimation, sensitivity
analysis, and other problems. Often, hand-coding of analytical derivative
computations is too laborious and error-prone, and the use of finite
difference approximations is too expensive and/or inaccurate. Sometimes
computer algebra packages can help, but these are generally inadequate
when the functions to be differentiated are defined by computer programs
containing intermediate variables, loops, and conditionals. This is where
Automatic Differentiation (AD) comes in. GRAD is described in detail in:
Garcia, O. A system for the differentiation of Fortran code and an
application to parameter estimation in forest growth models. In
A.Griewank and G.Corliss (Eds.) Automatic Differentiation of
Algorithms: Theory, Implementation, and Application. Society
for Industrial and Applied Mathematics. 1991.
GRAD was written in APL. This release contains a stand-alone executable
file for IBM-compatible PC's, produced with the packaging facility of IBM's
APL2/PC. There are no special software or hardware requirements. APL2 and
STSC APL*PLUS sources are available upon request.
Oscar Garcia - ogarcia@uchcecvm.bitnet
Instituto Forestal, Huerfanos 554, Santiago, Chile.
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