Giles, M. B. (2008) An extended collection of matrix derivative results for forward and reverse mode automatic differentiation. Technical Report. Unspecified. (Submitted)
This paper collects together a number of matrix derivative results which are very useful in forward and reverse mode algorithmic differentiation (AD). It highlights in particular the remarkable contribution of a 1948 paper by Dwyer and Macphail which derives the linear and adjoint sensitivities of a matrix product, inverse and determinant, and a number of related results motivated by applications in multivariate analysis in statistics.
This is an extended version of a paper which will appear in the proceedings of AD2008, the 5th International Conference on Automatic Differentiation.
|Item Type:||Technical Report (Technical Report)|
|Subjects:||H - N > Numerical analysis|
|Research Groups:||Numerical Analysis Group|
|Deposited By:||Lotti Ekert|
|Deposited On:||06 May 2011 08:22|
|Last Modified:||06 May 2011 08:22|
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