The Mathematical Institute, University of Oxford, Eprints Archive

An extended collection of matrix derivative results for forward and reverse mode automatic differentiation

Giles, M. B. (2008) An extended collection of matrix derivative results for forward and reverse mode automatic differentiation. Technical Report. Unspecified. (Submitted)

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Abstract

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
ID Code:1079
Deposited By:Lotti Ekert
Deposited On:06 May 2011 08:22
Last Modified:06 May 2011 08:22

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