Madness: a package for Multivariate Automatic Differentiation
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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.
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تاریخ انتشار 2017