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shabbychef / madness

Multivariate Automatic Differentiation R package
GNU Lesser General Public License v3.0
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eigen for non symmetric matrices #21

Open thorek1 opened 4 years ago

thorek1 commented 4 years ago

I cannot verify your results using numderiv for non-symmetric matrices (I can for symmetric matrices). Could you implement an error that this is not implemented yet?

shabbychef commented 4 years ago

I've cribbed most of my derivatives from the "Matrix Cookbook" and the works of Magnus and Neudecker. I think perhaps the derivative for non-symmetric matrices can be in Magnus or maybe Abou-Moustafa.

In either case, it should be easy to add a warning for now.

thorek1 commented 4 years ago

Thanks for the sources, I had Magnus open but didn’t read it.

Indeed he has it under IV. Would be a nice addition/better alternative to a warning.

shabbychef commented 4 years ago

I am not sure what to do if the results are complex. I don't have much experience with complex numbers in R, and am a little out of my depth. I should have some time this week to tackle this problem.