TapeScript is an open source library for adjoint algorithmic differentiation (AAD) developed and maintained by CompatibL.
It can be downloaded from github.com/compatibl and used free of charge in academic or commercial applications.
TapeScript supports vector AAD (tape compression), an approach pioneered by CompatibL in which each slot of the calculation record (AAD tape) can store not only a single double number, but also an entire array of values. Vector AAD can lead to performance gain of several orders of magnitude due to the reduction of tape size.
- Scalar AAD
- Vector AAD (tape compression)
- APIs for C++, C#, and Java
- Complex numbers
- Works with Boost and QuantLib
- Multithreading support