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Concept
Adjoint state method
Summary
The adjoint state method is a numerical method for efficiently computing the gradient of a function or operator in a numerical optimization problem. It has applications in geophysics, seismic imaging, photonics and more recently in neural networks.
The adjoint state space is chosen to simplify the physical interpretation of equation constraints.
Adjoint state techniques allow the use of integration by parts, resulting in a form which explicitly contains the physically interesting quantity. An adjoint state equation is introduced, including a new unknown variable.
The adjoint method formulates the gradient of a function towards its parameters in a constraint optimization form. By using the dual form of this constraint optimization problem, it can be used to calculate the gradient very fast. A nice property is that the number of computations is independent of the number of parameters for which you want the gradient.
The adjoint method is derived from the dual problem and is used e.g. in the Landweber iteration method.
The name adjoint state method refers to the dual form of the problem, where the adjoint matrix is used.
When the initial problem consists of calculating the product and must satisfy , the dual problem can be realized as calculating the product (), where must satisfy .
And
is called the adjoint state vector.
The original adjoint calculation method goes back to Jean Cea, with the use of the lagrangian of the optimization problem to compute the derivative of a functional with respect to a shape parameter.
For a state variable , an optimization variable , an objective functional is defined. The state variable is often implicitly dependant on through the (direct) state equation (usually the weak form of a partial differential equation), thus the considered objective is . Usually, one would be interested in calculating using the chain rule:
Unfortunately, the term is often very hard to differentiate analytically since the dependance is defined through an implicit equation.
Official source
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