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Using ADIFOR 1.0 to compute Hessians

ADIFOR provides a simple means to produce code for the first derivatives of functions through the technique of automatic differentiation. However, the fact that ADIFOR currently cannot produce code to compute second derivatives limits its usefulness for certain applications. This paper describes how ADIFOR and related tools can be used to produce code that does compute second derivatives and discusses how to use this code. Conclusions are presented about the limitations of this method and how it might compare with second-derivative code produced directly by ADIFOR.