Automatic Differentiation for Matlab

This package provides automatic first and second derivatives for vector-functions and matrices.

Description

This package uses forward automatic differentiation to calculate the first and second derivatives of provided user functions. It is 25-30 times faster than
commercially available packages (June 2006).

To calculate the derivatives of function myFunc with respect to x at x=x0 you call

x = myAD(x0);
result = myFunc(x);
functionValue = getvalues(result);
derivatives = getderivs(result);

• MATLAB release: MATLAB 7.0.4 (R14SP2)

[carlos david vinante bewaller]

 

[Julian Montanez Vega]

is very insteresting
excellent work

[Cristian Montes]

This is great! Thanks so much. Would you like to port it to R?

[masharvi shams]

how to use this?plz, help me

[Adam Attarian]

 

[David]

This package is only useful if there are no matrix operations in your function, and this includes repmat on vectors. An operation as simple as

est = input_variable(1) * internal_function_vector(1:N)

falls outside the bounds of this routine, so be warned!

[Achim Schaedle]

nice and usefull

[Gabriel Peyre]