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

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...

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Publication date:
2008-01-05
URN:
uuid:8d0c0a29-c92b-4153-a1d2-38b276e93124
Local pid:
oai:eprints.maths.ox.ac.uk:1079

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