The Discrete Adjoint Method: Efficient Derivatives for Functions of Discrete Sequences

02/02/2020

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by   Michael Betancourt, et al.

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Gradient-based techniques are becoming increasingly critical in quantitative fields, notably in statistics and computer science. The utility of these techniques, however, ultimately depends on how efficiently we can evaluate the derivatives of the complex mathematical functions that arise in applications. In this paper we introduce a discrete adjoint method that efficiently evaluates derivatives for functions of discrete sequences.