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6 - 9 December 2021
Hotel ArtsBarcelona

6 - 9 December 2021
Hotel Arts,
Barcelona

Hands-On Differentiable Programming

Friday 10 December 2021

Led by Uwe Naumann, Professor of Computer Science at RWTH Aachen University

YOUR WORKSHOP LEADER

Uwe Naumann is the author of the popular text book on (Adjoint) Algorithmic Differentiation (AAD) titled “The Art of Differentiating Computer Programs”, published by SIAM in 2012. He holds a Ph.D. in Applied Mathematics and Scientific Computing from the Technical University Dresden, Germany. 

Following post-doctoral appointments in France, the UK and the US, he has been a professor for Computer Science at RWTH Aachen University, Germany, since 2004. As a Technical Consultant for the Numerical Algorithms Group (NAG) Ltd. since 2008, Uwe has been playing a leading role in the delivery of AAD software and services to a growing number of tier-1 investment banks.

WORKSHOP OVERVIEW

This workshop is designed for those who want to learn to generate adjoints of payoffs given in a relatively simple scripting language automatically by source-to-source transformation.

The presentation of the conceptual and algorithmic foundations will be supported by hands-on experiments with a given prototype based on a flex/bison parser generator and C++.

The given software represents a good starting point for seamless extension / modification to suit the specific requirements of different banks.

Modules include:

  • Algorithmic Differentiation (AD)
  • Automatic Source-to-Source Transformation
  • Syntax-Directed adjoint AD of SL**2
  • Syntax-Directed adjoint AD of SL