auto_diff: Automatic differentiation
In ADtools: Automatic Differentiation Toolbox

Description Usage Arguments Value Examples

Automatic differentiation

1	auto_diff(f, wrt = NULL, at)

`f`	A function of which the derivative is sought.
`wrt`	A character vector; the name of the variables to differentiate with respect to.
`at`	A named list of variables; the point at which the derivative is evaluated.

A dual number with components "x" and "dx". The first gives the value of 'f', and the second gives the derivative of 'f'.

f <- function(y, X, beta) { y - X %*% beta }
auto_diff(
  f, wrt = "beta",
  at = list(beta = c(5,6), X = matrix(1:4, 2, 2), y = c(2,3))
)

g <- function(X, Y) { X %*% Y }
X <- randn(2, 2)
Y <- randn(2, 2)
auto_diff(g, at = list(X = X, Y = Y))