AD-HOC: A C++ Expression Template package for high-order derivatives backpropagation
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866912153070469120 |
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| author | Rey, Juan Lucas |
| author_facet | Rey, Juan Lucas |
| contents | This document presents a new C++ Automatic Differentiation (AD) tool, AD-HOC (Automatic Differentiation for High-Order Calculations). This tool aims to have the following features: -Calculation of user specified derivatives of arbitrary order -To be able to run with similar speeds as handwritten code -All derivatives calculations are computed in a single backpropagation tree pass -No source code generation is used, relying heavily on the C++ compiler to statically build the computation tree before runtime -A simple interface -The ability to be used \textit{in conjunction} with other established, general-purpose dynamic AD tools -Header-only library, with no external dependencies -Open source, with a business-friendly license |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_05300 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | AD-HOC: A C++ Expression Template package for high-order derivatives backpropagation Rey, Juan Lucas Mathematical Software Computational Finance This document presents a new C++ Automatic Differentiation (AD) tool, AD-HOC (Automatic Differentiation for High-Order Calculations). This tool aims to have the following features: -Calculation of user specified derivatives of arbitrary order -To be able to run with similar speeds as handwritten code -All derivatives calculations are computed in a single backpropagation tree pass -No source code generation is used, relying heavily on the C++ compiler to statically build the computation tree before runtime -A simple interface -The ability to be used \textit{in conjunction} with other established, general-purpose dynamic AD tools -Header-only library, with no external dependencies -Open source, with a business-friendly license |
| title | AD-HOC: A C++ Expression Template package for high-order derivatives backpropagation |
| topic | Mathematical Software Computational Finance |
| url | https://arxiv.org/abs/2412.05300 |