A System for Interfacing MATLAB with External Software Geared Toward Automatic Differentiation.

Abstract

MATLAB is commonly considered to be an attractive, high-productivity programming environment by many computational scientists and engineers. So-called MEX-files are dynamically linked subroutines produced from, say, C or Fortran source code that, when compiled, can be run directly from within MATLAB as if they were MATLAB built-in functions. When applying automatic differentiation to a MATLAB program that calls external software via MEX-files, code is mechanically generated for the MATLAB part and for the external part in two separate phases. These resulting code fragments need to be put together via new MEX-files. This work introduces a novel software tool called automatic differentiation mexfunction generator that automatically generates MEX interface functions for gluing these automatically generated code fragments.