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An Overview of Automatic Differentiation

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Author Info
Jean Utke
Paul D Hovland () (Mathematics and Computer Science Divisio Argonne National Laboratory)
Abstract

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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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 149.

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Date of creation: 11 Nov 2005
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Handle: RePEc:sce:scecf5:149

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Find related papers by JEL classification:
C65 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Miscellaneous Mathematical Tools
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques

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This page was last updated on 2009-11-27.


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