Source Transformation for MATLAB Automatic Differentiation.

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2005-12

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Postprint

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Kharche RV, Forth SA. (2006) Source transformation for MATLAB automatic differentiation. Computational Science - ICCS 2006, 6th International Conference, 28-31 May 2006, Reading, UK, Part IV, pp. 558-565

Abstract

We present MSAD, a source transformation implementation of forward mode automatic differentiation for MATLAB. MSAD specialises and inlines operations from the fmad and derivvec classes of the MAD package. The operator overloading overheads inherent in MAD are eliminated while preserving the derivvec class's optimised derivative combination operations. Compared to MAD, results from several test cases demonstrate significant improvement in efficiency across all problem sizes.

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