Lecture Notes in Computational Science and Engineering, 2008, Volume 64, 35-44, DOI: 10.1007/978-3-540-68942-3_4

Collected Matrix Derivative Results for Forward and Reverse Mode Algorithmic Differentiation

Mike B. Giles

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Abstract

This paper collects together a number of matrix derivative results which are very useful in forward and reverse mode algorithmic differentiation. 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.

Keywords  Forward mode - reverse mode - numerical linear algebra

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