calculus: High Dimensional Numerical and Symbolic Calculus in R

Abstract

The R package calculus implements C++ optimized functions for numerical and symbolic calculus, such as the Einstein summing convention, fast computation of the Levi-Civita symbol and generalized Kronecker delta, Taylor series expansion, multivariate Hermite polynomials, high-order derivatives, ordinary differential equations, differential operators and numerical integration in arbitrary orthogonal coordinate systems. The library applies numerical methods when working with R functions or symbolic programming when working with characters or expressions. The package handles multivariate numerical calculus in arbitrary dimensions and coordinates and implements the symbolic counterpart of the numerical methods whenever possible, without depending on external computer algebra systems. Except for Rcpp, the package has no strict dependencies in order to provide a stable self-contained toolbox that invites re-use.

Publication
Journal of Statistical Software (forthcoming)
Emanuele Guidotti
Emanuele Guidotti
PhD Student in Finance

Interdisciplinary research at the intersection of finance, data science, and statistics.