dual-class

This class attaches a dual component to a number / matrix.

Implements the forward-mode automatic differentiation for
multivariate functions using the matrix-calculus notation from Magnus and
Neudecker (2019) <doi:10.1002/9781119541219>. Two key features of the package
are: (i) it incorporates various optimisation strategies to improve performance;
this includes applying memoisation to cut down object construction time, using
sparse matrix representation to speed up derivative calculation, and creating
specialised matrix operations to reduce computation time; (ii) it supports
differentiating random variates with respect to their parameters, targeting
Markov chain Monte Carlo (MCMC) and general simulation-based applications.

Chun Fung Kwok

ADtools

Automatic Differentiation Toolbox

Dan Zhu

Liana Jacobi

dual-class function

<dl class="dl-horizontal">
<dt><code>x</code></dt><dd>scalar, vector or matrix; also accepts any matrix classes from the "Matrix" package.</dd></dl><dt><code>dx</code></dt><dd>matrix; also accepts any matrix classes from the "Matrix" package.</dd><dt><code>param</code></dt><dd>a named list, containing the column indices each variable occupies.</dd>

dual-class: S4 class "dual"

Description

Arguments

Slots