The calculus module is great for performing finite differences for derivative, jacobian and hessian
But when I tried to use it with my own type of floating point numbers, it fails and I track down why it fails.
julia> using PDFPs
julia> Base.float(x::PDFP) = x
julia> using Calculus
julia> Calculus.derivative( x->x^2 , PDFP(7) ) # returns 14
PDFP(0, 1, [1, 4, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0])
julia> Calculus.gradient(x -> sin(x[1]) + cos(x[2]), [PDFP(0), PDFP(0)])
2-element Array{Float64,1}:
0.99999999999
0.0
Now Calculus.gradient return an Array of Float64 instead of Array of PDFP
I have track down the problem to
URL https : //github.com/JuliaMath/Calculus.jl/blob/master/src/finite_difference.jl
Now, I have ZERO experiences with github and I have no idea how to fix the issue.