An Overview of Automatic Differentiation

Jean Utke and Paul D Hovland ()
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Paul D Hovland: Mathematics and Computer Science Divisio Argonne National Laboratory

No 149, Computing in Economics and Finance 2005 from Society for Computational Economics

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

JEL-codes: C61 C63 C65 (search for similar items in EconPapers)
Date: 2005-11-11
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf5:149

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