Dan Simpson 5/29/2022

Sparse matrices 6: To catch a derivative, first you’ve got to think like a derivative

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This technical article details implementing differentiation rules (Jacobian-vector products) for custom JAX primitives related to sparse matrix operations. It is part of an ongoing series aimed at enabling differentiable sparse linear algebra for advanced statistical computing. The post dives into deriving and coding the derivative for a linear solve operation in a JAX-traceable manner.

Sparse matrices 6: To catch a derivative, first you’ve got to think like a derivative

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