AD-HOC: A C++ Expression Template package for high-order derivatives backpropagation
Mathematical Software
2024-12-13 v2 Computational Finance
Abstract
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
Keywords
Cite
@article{arxiv.2412.05300,
title = {AD-HOC: A C++ Expression Template package for high-order derivatives backpropagation},
author = {Juan Lucas Rey},
journal= {arXiv preprint arXiv:2412.05300},
year = {2024}
}