Adjoint differentiation for generic matrix functions
Year of publication: |
2022
|
---|---|
Authors: | Goloubentsev, Andrei ; Goloubentsev, Dmitri ; Lakshtanov, Evgeny |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 26.2022, 2, p. 101-112
|
Subject: | automatic adjoint differentiation (AAD) | nearest correlation matrix | linear regression regularization | singular value decomposition (SVD) | eigenvalue ecomposition | matrix function |
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