AUTOMATIC DIFFERENTIATION FAQ
Is there software for automatic differentiation in Matlab?
There have been some attempts. If it was developed many years ago but I have not heard of it, I doubt its quality. If it was good, I am sure someone would have told me about it in response to all my criticism of Matlab.
There used to be something called Admat (http://www.autodiff.org/?module=Tools&tool=ADMAT%20%2F%20ADMIT) which is old and I was told did not work well. A more recent attempt is MAD http://matlabad.com/
Here is a recent thesis on AD in Matlab that might contain some information: https://dspace.lib.cranfield.ac.uk/handle/1826/7298
Here are some webpages with information on AD software:
The main problem is that the CS guys write software to apply AD to algorithms and code that can have complex structures, such as subroutine calls, loops, etc. This creates overhead that we don’t need if we just want to take derivatives of expressions. This makes me pessimistic about the general purpose software.