ADIFOR - Generating Derivative Codes form Fortran Programs

The numerical methods employed in the solution of many scientiic computing problems require the computation of derivatives of a function f : R n ! R m. Both the accuracy and the computationalrequirements of the derivativecomputation are usually of critical importance for the robustness and speed of the numerical solution. ADIFOR (Automatic Diierentiation In FORtran) is a source transformation tool that accepts Fortran 77 code for the computation of a function and writes portable Fortran 77 code for the computation of the derivatives. In contrast to previous approaches, ADIFOR views automatic diierentiation as a source transformation problem. ADIFOR employs the data analysis capabilities of the ParaScope Parallel ProgrammingEnvironment, which enable us to handle arbitraryFortran 77 codes and to exploit the computationalcontext in the computation of derivatives. Experimental results show that ADIFOR can handle real-life codes and that ADIFOR-generated codes are competitive with divided-dierence approximations of derivatives. In addition, studies suggest that the source-transformation approach to automatic diierentation may improve the time to compute derivatives by orders of magnitude.