[Rd] Automatic Differentiation for R

[Gabor Grothendieck]

Not sure if this is sufficient for your needs but R does include symbolic
differentiation, see ?D, and the Ryacas and rSymPy
packages interface R to the yacas and sympy computer algebra
systems (CAS) and those system include symbolic differentiation.

http://ryacas.googlecode.com
http://rsympy.googlecode.com

Note that Ryacas communicates with yacas via XML but recent
versions of the XML package changed in a way that breaks
Ryacas so you will likely have to use an old version of XML
and Ryacas if you want to try that one -- see home page.

The rsympy interface is early stage but its functional and is
easier to install since it includes the entire CAS right in
the R package.

On Wed, Apr 15, 2009 at 9:30 AM, John C Nash <nashjc at uottawa.ca> wrote:
> In efforts to improve optimization tools for R, one of my
> interests has been getting automatic differentiation capabilities
> so that analytic rather than numerical derivatives can be used. They
> would be helpful in several other areas besides optimization, My timings
> show
> factors of the order of 1000s in time improvements by avoiding
> numerical derivatives in some cases.
>
> There has been some work in this e.g.,
> http://code.google.com/p/pbs-software/
> is an R interface to ADMB (Automatic Differentiation Model Builder).
> However,
> as far as I can see, this is directed essentially to nonlinear least squares
> modelling,
> an important but not general problem.
>
> Tom Coleman of Waterloo responded favourably with some advice, but the most
> enthusiastic answer came from Shaun Forth, which I have included below. I
> read
> this as an opportunity to develop what could be a profitable collaboration
> with
> the AD community. Unfortunately, I cannot take up the invitation to join the
> AD
> folk in Oxford due to a pre-existing obligation. Nor am I more than a
> complete
> novice with S3 and S4 classes etc. I am, nevertheless, willing to help
> organize
> the effort e.g., do some of the communications, chasing grant money, getting
> Google Summer of Code applications filled in etc.
>
> Can the R community come up with a few people who can provide the AD
> workers with appropriate information? If so, is there a reasonable chance to
> generate sufficient funding for a student? I suspect the answer in both
> cases
> is yes, but that we need some form of "booster cables" to get things going.
> (In Canada, booster cables are used to get cars started in winter by
> connecting
> a running vehicle's battery to that of a dead one.)
>
> I suggest communications off-list until there is progress to report.
> Possibly
> there is a better forum for this -- suggestions welcome.
>
> John Nash
>
> ---- included msg from Shaun Forth ---
>
> Hi John,
> My computational statistics colleague Trevor Ringrose has asked me to
> consider AD in R in the past. As you may or may not be aware AD is
> implemented in one of two ways: overloading using OO features of the
> target language, or source transformation using compiler tools (after
> several man years of development) to read in the target code and spit
> out the differentiated code. Last time I looked I didn't think the
> object oriented features of R were up to overloading but on checking
> today I can see that this might now be possible (I can see overloading
> of arithmetic operators and functions for example now which I didn't see
> last time).
> I'd certainly be interested in following this up particularly on the
> overloading side but would need to get funding for a PhD student to do
> the graft. It would be particularly interesting doing this in an open
> source language because we could then perhaps tweak some of the core
> language features if they didn't seamlessly support the AD (we can't do
> this in Matlab and that is a pain!).
>
> My immediate suggestion is that you, or some other more local (to UK) R
> expert talks at the next European AD workshop in Oxford
> http://www.autodiff.org/?module=Workshops&submenu=EuroAD/8/main
> We're a very friendly group and I'm sure there are others who might like
> to tackle R or perhaps we could put together a multigroup project. If
> someone could give a talk on R, its language features including the OO
> aspects, and some optimisation examples with associated code, the group
> there would be able to give you the best feedback on the planet on the
> possibilities.
>
> Please do treat this as a positive response and let's keep in touch on
> this.
>
> Regards
>
> Shaun
>
>
> ####################################################################
> Dr Shaun Forth
> Applied Mathematics & Scientific Computation
> Cranfield Defence and Security Cranfield University, Shrivenham Campus
> Swindon SN6 8LA, England
> tel: +44 (0)1793 785311
> fax: +44 (0)1793 784196
> email: S.A.Forth at cranfield.ac.uk
> http://www.amorg.co.uk
> #####################################################################
>
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