TMB is an open source R package that enables quick implementation of complex
nonlinear random effect (latent variable) models in a manner similar to the
established AD Model Builder package (ADMB, admb-project.org). In addition, it
offers easy access to parallel computations. The user defines the joint
likelihood for the data and the random effects as a C++ template function,
while all the other operations are done in R; e.g., reading in the data. The
package evaluates and maximizes the Laplace approximation of the marginal
likelihood where the random effects are automatically integrated out. This
approximation, and its derivatives, are obtained using automatic
differentiation (up to order three) of the joint likelihood. The computations
are designed to be fast for problems with many random effects (~10^6) and
parameters (~10^3). Computation times using ADMB and TMB are compared on a
suite of examples ranging from simple models to large spatial models where the
random effects are a Gaussian random field. Speedups ranging from 1.5 to about
100 are obtained with increasing gains for large problems. The package and
examples are available at http://tmb-project.org