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

Stability | experimental |

Maintainer | ekmett@gmail.com |

Safe Haskell | None |

This module provides reverse-mode Automatic Differentiation using post-hoc linear time topological sorting.

For reverse mode AD we use `StableName`

to recover sharing information from
the tape to avoid combinatorial explosion, and thus run asymptotically faster
than it could without such sharing information, but the use of side-effects
contained herein is benign.

- 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, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f a)
- jacobian' :: (Traversable f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (a, f a)
- jacobianWith :: (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)
- jacobianWith' :: (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)
- hessian :: (Traversable f, Num a) => (forall s. Mode s => f (AD s a) -> AD s a) -> f a -> f (f a)
- hessianF :: (Traversable f, Functor g, Num a) => (forall s. Mode s => f (AD s a) -> g (AD s a)) -> f a -> g (f (f a))
- diff :: Num a => (forall s. Mode s => AD s a -> AD s a) -> a -> 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
- diffF' :: (Functor f, Num a) => (forall s. Mode s => AD s a -> f (AD s a)) -> a -> f (a, a)
- vgrad :: Grad i o o' a => i -> o
- vgrad' :: Grad i o o' a => i -> o'
- class Num a => Grad i o o' a | i -> a o o', o -> a i o', o' -> a i o

# Gradient

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

The `grad`

function calculates the gradient of a non-scalar-to-scalar function with reverse-mode AD in a single pass.

`>>>`

[2,1,1]`grad (\[x,y,z] -> x*y+z) [1,2,3]`

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

The `grad'`

function calculates the result and gradient of a non-scalar-to-scalar function with reverse-mode AD in a single pass.

`>>>`

(28.566231899122155,[29.5562243957226,29.5562243957226,-0.1411200080598672])`grad' (\[x,y,z] -> 4*x*exp y+cos z) [1,2,3]`

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

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

# Jacobian

jacobian :: (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 `jacobian`

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

passes for `m`

outputs.

`>>>`

[[0,1],[1,0],[1,2]]`jacobian (\[x,y] -> [y,x,x*y]) [2,1]`

`>>>`

[[0.0,7.38905609893065],[-0.8414709848078965,0.0],[1.0,1.0]]`jacobian (\[x,y] -> [exp y,cos x,x+y]) [1,2]`

jacobian' :: (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

The `jacobian'`

function calculates both the result and the Jacobian of a nonscalar-to-nonscalar function, using `m`

invocations of reverse AD,
where `m`

is the output dimensionality. Applying `fmap snd`

to the result will recover the result of `jacobian`

| An alias for `gradF'`

ghci> jacobian' ([x,y] -> [y,x,x*y]) [2,1] [(1,[0,1]),(2,[1,0]),(2,[1,2])]

jacobianWith :: (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

'jacobianWith 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`

.

`jacobian`

=`jacobianWith`

(_ dx -> dx)`jacobianWith`

`const`

= (f x ->`const`

x`<$>`

f x)

jacobianWith' :: (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

`jacobianWith`

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 `jacobianWith`

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

.

`jacobian'`

==`jacobianWith'`

(_ dx -> dx)

# Hessian

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

Compute the `hessian`

via the `jacobian`

of the gradient. gradient is computed in reverse mode and then the `jacobian`

is computed in reverse mode.

However, since the

is square this is not as fast as using the forward-mode `grad`

f :: f a -> f a`jacobian`

of a reverse mode gradient provided by `hessian`

.

`>>>`

[[0,1],[1,0]]`hessian (\[x,y] -> x*y) [1,2]`

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

Compute the order 3 Hessian tensor on a non-scalar-to-non-scalar function via the reverse-mode Jacobian of the reverse-mode Jacobian of the function.

Less efficient than `hessianF`

.

`>>>`

[[[0.0,1.0],[1.0,0.0]],[[0.0,0.0],[0.0,0.0]],[[-1.1312043837568135,-2.4717266720048188],[-2.4717266720048188,1.1312043837568135]]]`hessianF (\[x,y] -> [x*y,x+y,exp x*cos y]) [1,2]`

# Derivatives

diff :: Num a => (forall s. Mode s => AD s a -> AD s a) -> a -> aSource

Compute the derivative of a function.

`>>>`

1.0`diff sin 0`

`>>>`

1.0`cos 0`

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

The `diff'`

function calculates the value and derivative, as a
pair, of a scalar-to-scalar function.

`>>>`

(0.0,1.0)`diff' sin 0`

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

Compute the derivatives of a function that returns a vector with regards to its single input.

`>>>`

[1.0,0.0]`diffF (\a -> [sin a, cos a]) 0`

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

Compute the derivatives of a function that returns a vector with regards to its single input as well as the primal answer.

`>>>`

[(0.0,1.0),(1.0,0.0)]`diffF' (\a -> [sin a, cos a]) 0`