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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
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...
Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
Adjoints and Automatic Differentiation Computational Finance
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...