| ADtools-package {ADtools} | R Documentation |
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.
Maintainer: Chun Fung Kwok kwokcf@unimelb.edu.au (ORCID)
Authors:
Dan Zhu dan.zhu@monash.edu (ORCID)
Liana Jacobi ljacobi@unimelb.edu.au (ORCID)
Useful links: