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madness (version 0.2.8)

madness-pkg: Multivariate Automatic Differentiation.

Description

Automatic Differentiation of Matrix Operations.

Arguments

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.

Author

Steven E. Pav shabbychef@gmail.com

Maintainer: Steven E. Pav shabbychef@gmail.com (ORCID)

References

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

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

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,

See Also