[ADOL-C] Use ADOL-C on a Function Performing a 1-D Optimization and an Interpolation

[Shantanu MULLICK]

Hi,

Thanks for the reply. I will try your suggestion and post again to inform
whether the issue has been resolved.

Best,
Shantanu

On 23 February 2015 at 18:59, Kshitij Kulshreshtha <kshitij at math.upb.de>
wrote:

> Hello,
>
> you could try the following:
>
> Firstly compute the 1-D optimal point without the use of ADOL-C with
> simple double variables. Once you have the optimal point, evaluate the
> interpolation at this point within trace_on() trace_off() using adouble
> variables. Then you can call gradient() and get the derivative of the
> function at the optimal point.
>
> This means that you need to recreate the trace after each 1-D
> optimization step.
>
> The gradient() function results in a zero gradient under two conditions:
> It does not see the whole dependency graph due to programming error, or
> you are evaluating the derivative w.r.t. the optimization variables at
> the local optimal point. In the second case getting an exact zero is
> rather unusual, you should get some very small numbers around machine
> precision.
>
> Best wishes
> Kshitij.
>
> On 2015-02-20 16:18, Shantanu MULLICK wrote:
> > Hello,
> >
> > I've started using ADOL-C for about a month, so I'm just about a
> beginner.
> > I need to differentiate a function which requires me to first compute a
> > 3-D interpolation, and then do a 1-D optimization using Brent's
> > algorithm. I want to know if I can use ADOL-C to differentiate a
> > function like this.
> >
> > I'm particularly concerned by the 1-D optimisation that my function
> > performs. It would probably be important to see how the 1-D optimiser is
> > coded to decide if ADOL-C can work on it.  The C code for the 1-D
> > optimizer using Brent's algorithm can be found
> > here: http://people.sc.fsu.edu/~jburkardt/c_src/brent/brent.c  ( I use
> > the function "local_min").
> >
> > There was a previous query on performing ADOL-C on linear interpolation
> > (http://list.coin-or.org/pipermail/adol-c/2012-December/000881.html). I
> > guess I can adapt the answer given here to perform 3-D linear
> interpolation.
> >
> > I have another question. I previous tried to treat the interpolation and
> > the optimizer part of the function as "constants" (not adoubles ). When
> > I do this, and use the "gradient" driver to find the derivative, I get
> > all zeros as a result ( Despite the "gradient" driver saying that the
> > function is locally analytic). My question is what are the most common
> > reasons that would lead ADOL-C to return zeros while using the
> > "gradient" driver.
> >
> > Thanks in advance!
> >
> > Shantanu,
> >
> > PhD Candidate at ESSEC
> >
> >
> > _______________________________________________
> > ADOL-C mailing list
> > ADOL-C at list.coin-or.org
> > http://list.coin-or.org/mailman/listinfo/adol-c
> >
>
> --
> Dr. Kshitij Kulshreshtha
>
> Institut für Mathematik,
> Universität Paderborn,
> Warburger Straße 100,
> 33098 Paderborn.
>
> Büro: A3.235
>
> Privatanschrift:
> Arnikaweg 62
> 33100 Paderborn.
>
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