GSoC/GCI Archive
Google Summer of Code 2010 R Project for Statistical Computing

rdx - Automatic Differentiation in R

by Chidambaram Annamalai for R Project for Statistical Computing

rdx is a package to compute derivatives (of any order) of native R code for multivariate functions with vector outputs, f:R^m → R^n, through Automatic Differentiation (AD). Numerical evaluation of derivatives has widespread uses in many fields. rdx will implement two modes for the computation of derivatives, the Forward and Reverse modes of AD, combining which we can efficiently compute Jacobians and Hessians. Higher order derivatives will be evaluated through Univariate Taylor Propagation.