{-# LANGUAGE CPP #-} ----------------------------------------------------------------------------- -- | -- Copyright : (c) Edward Kmett 2010-2015 -- License : BSD3 -- Maintainer : ekmett@gmail.com -- Stability : experimental -- Portability : GHC only -- -- Higher order derivatives via a \"dual number tower\". -- ----------------------------------------------------------------------------- module Numeric.AD.Rank1.Sparse ( Sparse , auto -- * Sparse Gradients , grad , grad' , gradWith , gradWith' -- * Variadic Gradients -- $vgrad , Grad , vgrad -- * Higher-Order Gradients , grads -- * Variadic Higher-Order Gradients , Grads , vgrads -- * Sparse Jacobians (synonyms) , jacobian , jacobian' , jacobianWith , jacobianWith' , jacobians -- * Sparse Hessians , hessian , hessian' , hessianF , hessianF' ) where import Control.Comonad #if __GLASGOW_HASKELL__ < 710 import Data.Traversable #endif import Control.Comonad.Cofree import Numeric.AD.Jet import Numeric.AD.Internal.Sparse import Numeric.AD.Internal.Combinators import Numeric.AD.Mode second :: (a -> b) -> (c, a) -> (c, b) second g (a,b) = (a, g b) {-# INLINE second #-} grad :: (Traversable f, Num a) => (f (Sparse a) -> Sparse a) -> f a -> f a grad f as = d as $ apply f as {-# INLINE grad #-} grad' :: (Traversable f, Num a) => (f (Sparse a) -> Sparse a) -> f a -> (a, f a) grad' f as = d' as $ apply f as {-# INLINE grad' #-} gradWith :: (Traversable f, Num a) => (a -> a -> b) -> (f (Sparse a) -> Sparse a) -> f a -> f b gradWith g f as = zipWithT g as $ grad f as {-# INLINE gradWith #-} gradWith' :: (Traversable f, Num a) => (a -> a -> b) -> (f (Sparse a) -> Sparse a) -> f a -> (a, f b) gradWith' g f as = second (zipWithT g as) $ grad' f as {-# INLINE gradWith' #-} jacobian :: (Traversable f, Functor g, Num a) => (f (Sparse a) -> g (Sparse a)) -> f a -> g (f a) jacobian f as = d as <$> apply f as {-# INLINE jacobian #-} jacobian' :: (Traversable f, Functor g, Num a) => (f (Sparse a) -> g (Sparse a)) -> f a -> g (a, f a) jacobian' f as = d' as <$> apply f as {-# INLINE jacobian' #-} jacobianWith :: (Traversable f, Functor g, Num a) => (a -> a -> b) -> (f (Sparse a) -> g (Sparse a)) -> f a -> g (f b) jacobianWith g f as = zipWithT g as <$> jacobian f as {-# INLINE jacobianWith #-} jacobianWith' :: (Traversable f, Functor g, Num a) => (a -> a -> b) -> (f (Sparse a) -> g (Sparse a)) -> f a -> g (a, f b) jacobianWith' g f as = second (zipWithT g as) <$> jacobian' f as {-# INLINE jacobianWith' #-} grads :: (Traversable f, Num a) => (f (Sparse a) -> Sparse a) -> f a -> Cofree f a grads f as = ds as $ apply f as {-# INLINE grads #-} jacobians :: (Traversable f, Functor g, Num a) => (f (Sparse a) -> g (Sparse a)) -> f a -> g (Cofree f a) jacobians f as = ds as <$> apply f as {-# INLINE jacobians #-} d2 :: Functor f => Cofree f a -> f (f a) d2 = headJet . tailJet . tailJet . jet {-# INLINE d2 #-} d2' :: Functor f => Cofree f a -> (a, f (a, f a)) d2' (a :< as) = (a, fmap (\(da :< das) -> (da, extract <$> das)) as) {-# INLINE d2' #-} hessian :: (Traversable f, Num a) => (f (Sparse a) -> Sparse a) -> f a -> f (f a) hessian f as = d2 $ grads f as {-# INLINE hessian #-} hessian' :: (Traversable f, Num a) => (f (Sparse a) -> Sparse a) -> f a -> (a, f (a, f a)) hessian' f as = d2' $ grads f as {-# INLINE hessian' #-} hessianF :: (Traversable f, Functor g, Num a) => (f (Sparse a) -> g (Sparse a)) -> f a -> g (f (f a)) hessianF f as = d2 <$> jacobians f as {-# INLINE hessianF #-} hessianF' :: (Traversable f, Functor g, Num a) => (f (Sparse a) -> g (Sparse a)) -> f a -> g (a, f (a, f a)) hessianF' f as = d2' <$> jacobians f as {-# INLINE hessianF' #-} -- $vgrad -- -- Variadic combinators for variadic mixed-mode automatic differentiation. -- -- Unfortunately, variadicity comes at the expense of being able to use -- quantification to avoid sensitivity confusion, so be careful when -- counting the number of 'auto' calls you use when taking the gradient -- of a function that takes gradients!