Comparison of two methods for the calculation of the gradient and of the Hessian of cost functions associated with differential systems

Jacques Burger, Jean-Sébastien Le Brizaut and Marc Pogu

Mathematics and Computers in Simulation (MATCOM), 1992, vol. 34, issue 6, 551-562

Abstract: Identification and control problems associated with lumped and distributed systems are studied. The problems are set in terms of minimization of a cost function and two methods for the calculation of the gradient and of the Hessian of the cost function are considered: the first method is based on the classical Lagrangian approach using an adjoint state and an adjoint equation, while the second method involves a direct differentiation of the state equation. The paper is devoted to a comparison between the number of elementary calculations required by each method. The Lagrangian method turns out to be more advantageous.

Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:34:y:1992:i:6:p:551-562

DOI: 10.1016/0378-4754(92)90041-E

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