https://github.com/JuliaDiff/ForwardDiff.jl does this.
I use it all the time to compute jacobians of R^N -> R^N functions (the jacobian of the residual equations in non linear material modeling). On Saturday, November 28, 2015 at 5:41:55 PM UTC+1, Patrick Kofod Mogensen wrote: > > So I have a map from a set of strategies of players to the best response > of each player given the original strategies (a discrete probability > distribution for each player). I want to find the jacobian of this mapping, > because I need to calculate the spectral radius of it. I am using finite > differences at the moment, but I would like to use automatic > differentiation. > > Is this possible? I can't seem to find a JuliaDiff package that does it. > Should I just do it for each element of my best-response mapping one at a > time? So I get N functions from R^N to R ? (really it's from (0,1)^N to > (0,1), but...) > > Best, > Patrick >
