Automatic Differentiation Library

AUTOmatic Derivatives & Jacobians by djmaxus and you

• Functionality
  • Single variables
  • Multiple variables
  • Generic dual numbers
• Motivation
• Project goals
• Anticipated features
• Comparison with autodiff

Functionality

Single variables

use autodj::single::*;

let x : DualNumber = 2.0.into_variable();

// values can be borrowed for arithmetic operations
let f = x * x + &1.0.into();

assert_eq!(f.value(), 5.0);
assert_eq!(f.deriv(), 4.0);

// fmt::Display resembles Taylor expansion
assert_eq!(format!("{f}"), "5+4∆");

Multiple variables

Multivariate differentiation is based on multiple dual components. Such an approach requires no repetitive and "backward" differentiations. Each partial derivative is tracked separately from the start, and no repetitive calculations are made.

For built-in multivariate specializations, independent variables can be created consistently using .into_variables() method.

Static number of variables

use autodj::array::*;

// consistent set of independent variables
let vars : DualVariables<2> = [2.0, 3.0].into_variables();
let [x, y] = vars.get().to_owned();

let f = x * (y - 1.0.into());

assert_eq!(f.value(), 4.);
assert_eq!(f.grad() , &[2., 2.]);
assert_eq!(format!("{f}"), "4+[2.0, 2.0]∆");

Dynamic number of variables

use autodj::vector::*;

let x : DualVariables = vec![1., 2., 3., 4., 5.].into_variables();

let f : DualNumber = x.get()
                      .iter()
                      .map(|x : &DualNumber| x * &2.0.into())
                      .sum();

assert_eq!(f.value(), 30.);

f.grad()
 .iter()
 .for_each(|deriv| assert_eq!(deriv, &2.0) );

Generic dual numbers

// can be specialized for your needs
use autodj::common::Common;

Motivation

I do both academic & business R&D in the area of computational mathematics. As well as many of us, I've written a whole bunch of sophisticated Jacobians by hand.

One day, I learned about automatic differentiation based on dual numbers. Almost the same day, I learned about Rust as well 🦀

Then, I decided to:

• Make it automatic and reliable as much as possible
• Use modern and convenient ecosystem of Rust development

Project goals

• Develop open-source automatic differentiation library for both academic and commercial computational mathematicians
• Gain experience of Rust programming

Anticipated features

You are very welcome to introduce issues to promote most wanted features or to report a bug.

• Generic implementation of dual numbers
• Number of variables to differentiate
  • single
  • multiple
    • static
    • dynamic
    • sparse
  • Jacobians for efficient layouts in memory
• Named variables (UUID-based)
• Calculation tracking (partial derivatives of intermediate values)
• Third-party crates support (as features)
  • num
  • linear algebra crates (nalgebra etc.)
• Advanced features
  • Arbitrary number types beside f64
  • Inter-operability of different dual types (e.g., single and multiple dynamic)
  • Numerical verification (or replacement) of derivatives (by definition)
  • Macro for automatic extensions of regular (i.e. non-dual) functions
  • Optional calculation of derivatives
    • Iterator implementation as possible approach to lazy evaluation

Comparison with autodiff

As far as I noticed, autodj currently has the following differences

• Multiple variables out of the box
• fmt::Display for statically-known number of variables
• Left-to-right flow of many operations such as .into-variables(), .eval(), etc.
• Number type is restricted to f64
• No utilization of num and nalgebra crates

Some differences are planned to be eliminated as noted in the roadmap.

Within this crate, you may study & launch test target /tests/autodiff.rs to follow some differences.

cargo test --test autodiff -- --show-output