[R] Automatic differentiation of compiled code.

[Toby.Patterson@csiro.au]

Hi all, 
I wondered if anyone had used automatic differentiation libraries (e.g
ADIC/ADOL etc.) in conjunction with R? I have a C shared library that
calculates a likelihood within a wrapper function that gets minimized by
optim. This works OK but it would be nice to also have a function that
calculates the gradient etc of the compiled code. 

So I'm not sure how/if this might work in practice and am still at the
stage of making (very) vague enquiries, so any tips or examples would be
very gratefully received. 

Cheers 
Toby 

Toby Patterson
Pelagic Fisheries and Ecosystems
CSIRO Marine Research
PO Box 1538, Hobart Tas, 7001