Numerical integration and differentiation techniques are commonly used in engineering, particularly when analyzing experimental data. Integration and differentiation of measured response signals can ...

Description: Error analysis, solution of nonlinear equations, direct and iterative methods for solving linear systems, approximation of functions, numerical ...

We present a novel weak formulation of the system discovery problem that replaces numerical differentiation with local integrations. This so-called Weak SINDy framework (WSINDy) improves on the ...

Standard Monte Carlo algorithms work well for pricing these options but they do not behave stably with respect to numerical differentiation. Hence, to calculate sensitivities, we would typically ...

We demonstrate the flexibility and ease of use of C++ algorithmic differentiation (AD) tools based on overloading through application to numerical patterns (kernels) arising in computational finance.