Rcpp Interface to Hyper-Dual Numbers
Hyper-dual numbers were invented by Jeff Fike to provide exact computation of first and second derivatives. The site by Fike contains documentation, code and papers.
Dirk Eddelbuettel and Ravi Varadhan
The RcppHyperDual package is licensed under the GNU GPL (version 2 or later).
The package includes the header-only C++ implementation hyperdual.h by Jeff
Fike which is under the MIT license.