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Robust Optimal Control using Polynomial Chaos and Adjoints for Systems with Uncertain Inputs
Robust Optimal Control Polynomial Chaos Adjoints Systems Uncertain Inputs
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2015/7/3
The objective of this note is to show how one can combine Polynomial Chaos Expansions(PCE) and adjoint theory to efficiently obtain sensitivities for robust optimal control. A non-intrusive PCE m...
Sensitivity analysis and optimization of sub-wavelength optical gratings using adjoints
Sensitivity analysis sub-wavelength optical gratings
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2015/8/6
Numerical optimization of photonic devices is often limited by a large design space: the finite-differences gradient method requires as many electric field computations as there are design...
Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
Adjoints and Automatic Differentiation Computational Finance
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2011/7/19
Two of the most important areas in computational finance: Greeks and, respectively, calibration, are based on efficient and accurate computation of a large number of sensitivities. This paper gives an...
Adjoints and low-rank covariance representation
Adjoints low-rank covariance representation
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2009/11/12
Quantitative measures of the uncertainty of Earth system estimates can be as important as the estimates themselves. Direct calculation of second moments of estimation errors, as described by the covar...