Portability | GHC only |
---|---|

Stability | experimental |

Maintainer | ekmett@gmail.com |

- Gradients (Reverse Mode)
- Jacobians (Mixed Mode)
- Jacobians (Reverse Mode)
- Jacobians (Forward Mode)
- Hessians (Forward-On-Reverse Mode)
- Derivatives (Forward Mode)
- Derivatives (Tower)
- Directional Derivatives (Forward Mode)
- Taylor Series (Tower)
- Maclaurin Series (Tower)
- Monadic Combinators (Forward Mode)
- Monadic Combinators (Reverse Mode)
- Exposed Types

Mixed-Mode Automatic Differentiation.

Each combinator exported from this module chooses an appropriate AD mode.

- grad :: (Traversable f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f a -> f a
- grad' :: (Traversable f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f a -> (a, f a)
- gradWith :: (Traversable f, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> AD s a) -> f a -> f b
- gradWith' :: (Traversable f, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> AD s a) -> f a -> (a, f b)
- jacobian :: (Traversable f, Traversable g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f a)
- jacobian' :: (Traversable f, Traversable g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (a, f a)
- jacobianWith :: (Traversable f, Traversable g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f b)
- jacobianWith' :: (Traversable f, Traversable g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (a, f b)
- gradF :: (Traversable f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f a)
- gradF' :: (Traversable f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (a, f a)
- gradWithF :: (Traversable f, Functor g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f b)
- gradWithF' :: (Traversable f, Functor g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (a, f b)
- jacobianT :: (Traversable f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> f (g a)
- jacobianWithT :: (Traversable f, Functor g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> f (g b)
- hessianProduct :: (Traversable f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f (a, a) -> f a
- hessianProduct' :: (Traversable f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f (a, a) -> f (a, a)
- diff :: Num a => (forall s. Mode s => AD s a -> AD s a) -> a -> a
- diffF :: (Functor f, Num a) => (forall s. Mode s => AD s a -> f (AD s a)) -> a -> f a
- diff' :: Num a => (forall s. Mode s => AD s a -> AD s a) -> a -> (a, a)
- diffF' :: (Functor f, Num a) => (forall s. Mode s => AD s a -> f (AD s a)) -> a -> f (a, a)
- diffs :: Num a => (forall s. Mode s => AD s a -> AD s a) -> a -> [a]
- diffsF :: (Functor f, Num a) => (forall s. Mode s => AD s a -> f (AD s a)) -> a -> f [a]
- diffs0 :: Num a => (forall s. Mode s => AD s a -> AD s a) -> a -> [a]
- diffs0F :: (Functor f, Num a) => (forall s. Mode s => AD s a -> f (AD s a)) -> a -> f [a]
- du :: (Functor f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f (a, a) -> a
- du' :: (Functor f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f (a, a) -> (a, a)
- duF :: (Functor f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f (a, a) -> g a
- duF' :: (Functor f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f (a, a) -> g (a, a)
- taylor :: Fractional a => (forall s. Mode s => AD s a -> AD s a) -> a -> a -> [a]
- taylor0 :: Fractional a => (forall s. Mode s => AD s a -> AD s a) -> a -> a -> [a]
- maclaurin :: Fractional a => (forall s. Mode s => AD s a -> AD s a) -> a -> [a]
- maclaurin0 :: Fractional a => (forall s. Mode s => AD s a -> AD s a) -> a -> [a]
- diffM :: (Monad m, Num a) => (forall s. Mode s => AD s a -> m (AD s a)) -> a -> m a
- diffM' :: (Monad m, Num a) => (forall s. Mode s => AD s a -> m (AD s a)) -> a -> m (a, a)
- gradM :: (Traversable f, Monad m, Num a) => (forall s. Mode s => f (AD s a) -> m (AD s a)) -> f a -> m (f a)
- gradM' :: (Traversable f, Monad m, Num a) => (forall s. Mode s => f (AD s a) -> m (AD s a)) -> f a -> m (a, f a)
- gradWithM :: (Traversable f, Monad m, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> m (AD s a)) -> f a -> m (f b)
- gradWithM' :: (Traversable f, Monad m, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> m (AD s a)) -> f a -> m (a, f b)
- newtype AD f a = AD {
- runAD :: f a

- class Lifted t => Mode t where

# Gradients (Reverse Mode)

grad' :: (Traversable f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f a -> (a, f a)Source

gradWith :: (Traversable f, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> AD s a) -> f a -> f bSource

function calculates the gradient of a non-scalar-to-scalar function `grad`

g f`f`

with reverse-mode AD in a single pass.
The gradient is combined element-wise with the argument using the function `g`

.

grad == gradWith (\_ dx -> dx) id == gradWith const

gradWith' :: (Traversable f, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> AD s a) -> f a -> (a, f b)Source

# Jacobians (Mixed Mode)

jacobian :: (Traversable f, Traversable g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f a)Source

Calculate the Jacobian of a non-scalar-to-non-scalar function, automatically choosing between forward and reverse mode AD based on the number of inputs and outputs.

If you need to support functions where the output is only a `Functor`

or `Monad`

, consider `Numeric.AD.Reverse.jacobian`

or `gradM`

from Numeric.AD.Reverse.

jacobian' :: (Traversable f, Traversable g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (a, f a)Source

Calculate both the answer and Jacobian of a non-scalar-to-non-scalar function, automatically choosing between forward- and reverse- mode AD based on the relative, number of inputs and outputs.

If you need to support functions where the output is only a `Functor`

or `Monad`

, consider `Numeric.AD.Reverse.jacobian'`

or `gradM'`

from Numeric.AD.Reverse.

jacobianWith :: (Traversable f, Traversable g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f b)Source

calculates the Jacobian of a non-scalar-to-non-scalar function, automatically choosing between forward and reverse mode AD based on the number of inputs and outputs.
`jacobianWith`

g f

The resulting Jacobian matrix is then recombined element-wise with the input using `g`

.

If you need to support functions where the output is only a `Functor`

or `Monad`

, consider `Numeric.AD.Reverse.jacobianWith`

or `gradWithM`

from Numeric.AD.Reverse.

jacobianWith' :: (Traversable f, Traversable g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (a, f b)Source

calculates the answer and Jacobian of a non-scalar-to-non-scalar function, automatically choosing between forward and reverse mode AD based on the number of inputs and outputs.
`jacobianWith'`

g f

The resulting Jacobian matrix is then recombined element-wise with the input using `g`

.

If you need to support functions where the output is only a `Functor`

or `Monad`

, consider `Numeric.AD.Reverse.jacobianWith'`

or `gradWithM'`

from Numeric.AD.Reverse.

# Jacobians (Reverse Mode)

gradF :: (Traversable f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f a)Source

The `gradF`

function calculates the jacobian of a non-scalar-to-non-scalar function with reverse AD lazily in `m`

passes for `m`

outputs.

gradF' :: (Traversable f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (a, f a)Source

gradWithF :: (Traversable f, Functor g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f b)Source

'gradWithF g f' calculates the Jacobian of a non-scalar-to-non-scalar function `f`

with reverse AD lazily in `m`

passes for `m`

outputs.

Instead of returning the Jacobian matrix, the elements of the matrix are combined with the input using the `g`

.

gradF == gradWithF (\_ dx -> dx) gradWithF const == (\f x -> const x <$> f x)

gradWithF' :: (Traversable f, Functor g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (a, f b)Source

`gradWithF`

g f' calculates both the result and the Jacobian of a nonscalar-to-nonscalar function `f`

, using `m`

invocations of reverse AD,
where `m`

is the output dimensionality. Applying `fmap snd`

to the result will recover the result of `gradWithF`

Instead of returning the Jacobian matrix, the elements of the matrix are combined with the input using the `g`

.

jacobian' == gradWithF' (\_ dx -> dx)

# Jacobians (Forward Mode)

jacobianT :: (Traversable f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> f (g a)Source

A fast, simple transposed Jacobian computed with forward-mode AD.

jacobianWithT :: (Traversable f, Functor g, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> f (g b)Source

A fast, simple transposed Jacobian computed with forward-mode AD.

# Hessians (Forward-On-Reverse Mode)

hessianProduct :: (Traversable f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f (a, a) -> f aSource

computes the product of the hessian `hessianProduct`

f wv`H`

of a non-scalar-to-scalar function `f`

at `w = `

with a vector `fst`

$ wv`v = snd $ wv`

using "Pearlmutter's method" from http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.29.6143, which states:

H v = (d/dr) grad_w (w + r v) | r = 0

Or in other words, we take the directional derivative of the gradient.

hessianProduct' :: (Traversable f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f (a, a) -> f (a, a)Source

computes both the gradient of a non-scalar-to-scalar `hessianProduct'`

f wv`f`

at `w = `

and the product of the hessian `fst`

$ wv`H`

at `w`

with a vector `v = snd $ wv`

using "Pearlmutter's method". The outputs are returned wrapped in the same functor.

H v = (d/dr) grad_w (w + r v) | r = 0

Or in other words, we take the directional derivative of the gradient.

# Derivatives (Forward Mode)

diff' :: Num a => (forall s. Mode s => AD s a -> AD s a) -> a -> (a, a)Source

The `d'UU`

function calculates the result and first derivative of scalar-to-scalar function by F`orward`

`AD`

d' sin == sin &&& cos d' f = f &&& d f

# Derivatives (Tower)

# Directional Derivatives (Forward Mode)

duF :: (Functor f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f (a, a) -> g aSource

duF' :: (Functor f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f (a, a) -> g (a, a)Source

# Taylor Series (Tower)

# Maclaurin Series (Tower)

maclaurin0 :: Fractional a => (forall s. Mode s => AD s a -> AD s a) -> a -> [a]Source

# Monadic Combinators (Forward Mode)

diffM :: (Monad m, Num a) => (forall s. Mode s => AD s a -> m (AD s a)) -> a -> m aSource

The `dUM`

function calculates the first derivative of scalar-to-scalar monadic function by F`orward`

`AD`

diffM' :: (Monad m, Num a) => (forall s. Mode s => AD s a -> m (AD s a)) -> a -> m (a, a)Source

The `d'UM`

function calculates the result and first derivative of a scalar-to-scalar monadic function by F`orward`

`AD`

# Monadic Combinators (Reverse Mode)

gradM :: (Traversable f, Monad m, Num a) => (forall s. Mode s => f (AD s a) -> m (AD s a)) -> f a -> m (f a)Source

gradM' :: (Traversable f, Monad m, Num a) => (forall s. Mode s => f (AD s a) -> m (AD s a)) -> f a -> m (a, f a)Source

gradWithM :: (Traversable f, Monad m, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> m (AD s a)) -> f a -> m (f b)Source

gradWithM' :: (Traversable f, Monad m, Num a) => (a -> a -> b) -> (forall s. Mode s => f (AD s a) -> m (AD s a)) -> f a -> m (a, f b)Source

# Exposed Types

`AD`

serves as a common wrapper for different `Mode`

instances, exposing a traditional
numerical tower. Universal quantification is used to limit the actions in user code to
machinery that will return the same answers under all AD modes, allowing us to use modes
interchangeably as both the type level "brand" and dictionary, providing a common API.

Primal f => Primal (AD f) | |

Mode f => Mode (AD f) | |

Lifted f => Lifted (AD f) | |

Var (AD Reverse) | |

Iso (f a) (AD f a) | |

(Num a, Lifted f, Bounded a) => Bounded (AD f a) | |

(Num a, Lifted f, Enum a) => Enum (AD f a) | |

(Num a, Lifted f, Eq a) => Eq (AD f a) | |

(Lifted f, Floating a) => Floating (AD f a) | |

(Lifted f, Fractional a) => Fractional (AD f a) | |

(Lifted f, Num a) => Num (AD f a) | |

(Num a, Lifted f, Ord a) => Ord (AD f a) | |

(Lifted f, Real a) => Real (AD f a) | |

(Lifted f, RealFloat a) => RealFloat (AD f a) | |

(Lifted f, RealFrac a) => RealFrac (AD f a) | |

(Lifted f, Show a) => Show (AD f a) |

class Lifted t => Mode t whereSource

lift :: Num a => a -> t aSource

Embed a constant

(<+>) :: Num a => t a -> t a -> t aSource

Vector sum

(*^) :: Num a => a -> t a -> t aSource

Scalar-vector multiplication

(^*) :: Num a => t a -> a -> t aSource

Vector-scalar multiplication

(^/) :: Fractional a => t a -> a -> t aSource

Scalar division

'zero' = 'lift' 0