ADMAT: Automatic differentiation in MATLAB using object oriented methods
نویسنده
چکیده
Differentiation is one of the fundamental problems in numerical mathematics. The solution of many optimization problems and other applications require knowledge of the gradient, the Jacobian matrix, or the Hessian matrix of a given function. Automatic differentiation (AD) is an upcoming powerful technology for computing the derivatives accurately and fast. ADMAT (Automatic Differentiation for MATLAB) implements AD using the object oriented technology in MATLAB [11] and can compute derivatives of up to second order. ADMAT can be used as a plug-in tool for ADMIT-1 [4] and ADMIT-2 [5] toolboxes, enabling the computation of sparse and structured derivative matrices for nonlinear optimization.
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