Getting AD library to work with cholesky decomposition

Hi there,

How can I get the Algorithmic Differentiation library to work with the chol command (i.e., the function that does the Cholesky decomposition of a positive semi-definite matrix)?

For example, consider I have a file called mychol.gss that only contains one function:

proc(1) = myproc(a);
   retp(chol(a));
endp;

In the GAUSS command prompt, I use the suggested commands:

library ad;
ad mychol.gss d_mychol.gss;

However, the new file created has this term called d_chol(a), but that procedure was never defined anywhere else.

Am I missing something here?

Thanks!

1 Answer

0

It appears that the Cholesky decomposition has not been added to AD. I have notified the development department about this.

link

aptech

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