Madness: a package for Multivariate Automatic Differentiation

نویسنده

  • Steven E. Pav
چکیده

The madness package provides a class for automatic differentiation of ‘multivariate’ operations via forward accumulation. By ‘multivariate,’ we mean the class computes the derivative of a vector or matrix or multidimensional array (or scalar) with respect to a scalar, vector, matrix, or multidimensional array. The primary intended use of this class is to support the multivariate delta method for performing inference on multidimensional quantities. Another use case is the automatic computation of the gradient in parameter optimization (e.g., in the computation of an MLE). Examples of the use of this package are given in the realm of quantitative finance.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

ZpL: a p-adic precision package

We present a new package ZpL for the mathematical software system SageMath. It implements a sharp tracking of precision on p-adic numbers, following the theory of ultrametric precision introduced in [4]. The underlying algorithms are mostly based on automatic differentiation techniques. We introduce them, study their complexity and discuss our design choices. We illustrate the benefits of our p...

متن کامل

Users Guide for SnadiOpt: A Package Adding Automatic Differentiation to Snopt

SnadiOpt is a package that supports the use of the automatic differentiation package ADIFOR with the optimization package Snopt. Snopt is a general-purpose system for solving optimization problems with many variables and constraints. It minimizes a linear or nonlinear function subject to bounds on the variables and sparse linear or nonlinear constraints. It is suitable for large-scale linear an...

متن کامل

Expanding Examples of Madness According to the Concept and Criterion of Madness Perspective of Jurisprudence, Law and Psychology

Background and aim: Madness is a subject that has long been the subject of legal attention. Today, Industrial societies are confronted with a phenomenon called mental disorders and those with such disease which unfortunately is increasing day by day. Obviously, laws over time for scientific advances need to be reformed. This article explores the legal status and the way in which mental patients...

متن کامل

Efficient Expression Templates for Operator Overloading-based Automatic Differentiation

Expression templates are a well-known set of techniques for improving the efficiency of operator overloading-based forward mode automatic differentiation schemes in the C++ programming language by translating the differentiation from individual operators to whole expressions. However standard expression template approaches result in a large amount of duplicate computation, particularly for larg...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2017