madness-pkg: Multivariate Automatic Differentiation.

Description Legal Mumbo Jumbo Note Author(s) References

Description

Automatic Differentiation of Matrix Operations.

Legal Mumbo Jumbo

madness is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License for more details.

Note

This package is maintained as a hobby.

Author(s)

Steven E. Pav shabbychef@gmail.com

Steven E. Pav shabbychef@gmail.com

References

Griewank, Andreas and Walther, Andrea. "Evaluating Derivatives: principles and techniques of algorithmic differentiation." SIAM (2008).

Petersen, Kaare Brandt and Pedersen, Michael Syskind. "The Matrix Cookbook." Technical University of Denmark (2012). http://www2.imm.dtu.dk/pubdb/p.php?3274

Magnus, Jan R. and Neudecker, H. "Matrix Differential Calculus with Applications in Statistics and Econometrics." 3rd Edition. Wiley Series in Probability and Statistics: Texts and References Section (2007).

Magnus, Jan R. and Neudecker, H. "The elimination matrix: some lemmas and applications," SIAM Journal on Algebraic Discrete Methods 1, no. 4 (1980): 422-449. http://www.janmagnus.nl/papers/JRM008.pdf

Magnus, Jan R. and Neudecker, H. "Symmetry, 0-1 Matrices and Jacobians," Econometric Theory 2 (1986): 157-190. http://www.janmagnus.nl/papers/JRM014.pdf,

Fackler, Paul L. "Notes on Matrix Calculus." (2005). http://www4.ncsu.edu/~pfackler/MatCalc.pdf

MM: DO use @importFrom (whimps use full imports ..) !


shabbychef/madness documentation built on April 11, 2021, 11:03 p.m.