Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Already on GitHub? Sign in to your account

Stack overflows on some large problems #6

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

Comments

Projects
None yet
1 participant
Owner

ekmett commented Aug 18, 2012

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!

Owner

ekmett commented Mar 30, 2014

This should be fixed by the new Reverse mode.

@ekmett ekmett closed this Mar 30, 2014

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment