Skip to content
This repository

HTTPS clone URL

Subversion checkout URL

You can clone with HTTPS or Subversion.

Download ZIP

Stack overflows on some large problems #6

Closed
ekmett opened this Issue August 18, 2012 · 1 comment

1 participant

Edward Kmett
Edward Kmett
Owner

From Lennart Augustsson,

Hi,

I'm trying to use your AD package for some fairly serious computations.
I'm using grad' to compute the partial derivatives for a function of about 800 variables.
The computation itself take 10-20s.
A problem I frequently experience is that I get a stack overflow.
I think it happens while the partial derivatives are evaluated rather than the regular computation, because using Double rather than AD numbers behaves well.

It's not a serious problem, but maybe you want to take a look.

And no, I can't send you the code. It's computing PV and delta risk for some actual products.

Thanks for a great package!

Edward Kmett
Owner

This should be fixed by the new Reverse mode.

Edward Kmett ekmett closed this March 30, 2014
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Something went wrong with that request. Please try again.