May 26, 2018

Algorithmic Differentiation (AD) and Taylor polynomial approximations

The purpose of AlgoPy is the evaluation of higher-order derivatives in the forward and reverse mode of Algorithmic Differentiation AD of functions that are implemented as Python programs. Particular focus are functions that contain numerical linear algebra functions as they often appear in statistically motivated functions. The intended use of AlgoPy is for easy prototyping at reasonable execution speeds. More precisely, for a typical program a directional derivative takes order 10 times as much time as time as the function evaluation. This is approximately also true for the gradient.

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