{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/automatic-adjoint-differentiation-for-special","title":"Automatic Adjoint Differentiation for special functions involving expectations","arxiv_id":"2204.05204","date":"2022-04-11","proceeding":null,"authors":["José Brito","Andrei Goloubentsev","Evgeny Goncharov"],"abstract":"We explain how to compute gradients of functions of the form $G = \\frac{1}{2} \\sum_{i=1}^{m} (E y_i - C_i)^2$, which often appear in the calibration of stochastic models, using Automatic Adjoint Differentiation and parallelization. We expand on the work of arXiv:1901.04200 and give faster and easier to implement approaches. We also provide an implementation of our methods and apply the technique to calibrate European options.","url_abs":"https://arxiv.org/abs/2204.05204v2","url_pdf":"https://arxiv.org/pdf/2204.05204v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"automatic-adjoint-differentiation-for-special","repo_url":"https://github.com/jncbrito/methods","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}