An Overview of Automatic Differentiation

We provide an overview of automatic differentiation (AD), a technique for the efficient computation of derivatives of functions defined in some programming language. We give a short explanation of how AD works, indicate the anticipated cost of derivatives computed using AD, and survey what AD tools are available. We illustrate the flexibility and utility of AD techniques with a maximum likelihood example and survey other possible applications

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Year of publication:	2005-11-11
Authors:	Utke, Jean ; Hovland, Paul D
Institutions:	Society for Computational Economics - SCE

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Series:	Computing in Economics and Finance 2005.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2005 Number 149
Classification:	C65 - Miscellaneous Mathematical Tools ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005343043