The past few years have seen a significant transfer of tools from machine learning to solve quantum physics problems. Automatic differentiation is one standard algorithm used to efficiently compute gradients of loss functions for generic neural networks. In this work we show how to extend automatic differentiation to the case of complex loss function in a way that can be readily implemented in existing frameworks and which is compatible with the common case of real loss functions. We then combine this tool with matrix product states and apply it to compute the ground state and the steady state of a close and an open quantum system. Compared to the traditional density matrix renormalization group algorithm, complex automatic differentiation allows both straightforward GPU accelerations as well as generalizations to different types of tensor and neural networks.