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ADMC++: Automatic Differentiation of Matlab and C++

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Introduction

ADMC++ is short for "Automatic Differentiation of Matlab and C++" and is a package for computing derivatives of functions written in Matlab or C++. For a given function , the package can calculate the forward mode derivative

the reverse mode derivative

and the Taylor coefficients

for given seed matrices , , and Taylor coefficients , . Here . Each of these differentiation modes can also be combined to compute any form of mixed higher derivative.

Obtaining the code

See Obtaining the code.

Class Overview

See Class Overview.

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