Accurate First-Order Sensitivity Analysis for Delay Differential Equations.

In this paper, we derive an equation governing the dynamics offirst-order forward sensitivities for a general system ofparametric neutral delay differential equations. We alsoderive a formula which identifies the size of jumps that appear atdiscontinuity points when the sensitivity equations areintegrated. The formula leads to an algorithm which can computesensitivities for various types of parameters very accurately andefficiently.