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autodiff
: add support for Jacobian and Hessian matrices.
#87
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@avhz Hi, I am not familiar with the codebase but I will try to figure something out in the next couple of days. Any specific reason why this issue is considered difficult? |
Jacobian matrices shouldn't be too bad to implement (just a collection of gradients) but I have not figured out higher order derivatives. |
I have looked through and I am interested in tackling this issue, but will need a bit of time, since I just recently started playing with Rust and have plenty of knowledge gaps to fill...
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The two best references I know of are:
The The last point about the Hessian is what would be ideal, but since the current methods return |
Currently only gradients can be computed via the
RustQuant::autodiff
module.Adding support for full Jacobians and also higher-order derivatives like the Hessian would be nice.
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