Obtaining sample path derivatives by source code instrumentation

Abstract

This paper describes a process for determining the value of the gradient of the real outputs of a program with respect to its real parameters. CalledGradient Instrumentation, it is a mechanical process of insertion into the program's source code. The resulting program yields the gradient without the re-execution of the program. The sample path derivatives of many discrete event dynamical system simulations can be found using Gradient Instrumentation, by treating them as deterministic programs. The technique can also be applied to continuous simulations. The subject of a patent, Gradient Instrumentation yields derivatives of any order.