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AD of Matrix Calculations - Regression and Cholesky

20 Pages Posted: 1 Jun 2017  

Brian Norsk Huge

Danske Bank

Date Written: May 30, 2017

Abstract

Analytical Algorithmic Differentiation in reverse mode for linear regression and Cholesky Decomposition.

Keywords: AD, Analytical Algorithmic Differentiation, SVD, Regression, Cholesky Decomposition

Suggested Citation

Huge, Brian Norsk, AD of Matrix Calculations - Regression and Cholesky (May 30, 2017). Available at SSRN: https://ssrn.com/abstract=2977642 or http://dx.doi.org/10.2139/ssrn.2977642

Brian Huge (Contact Author)

Danske Bank ( email )

DK-1092 Copenhagen K
Denmark

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