What is Automatic Differentiation ?

Automatic Differentiation (A.D.) is a technique to evaluate the derivatives of a function defined by a computer program.
How can one obtain derivatives? Jump there
Automatic Differentiation Jump there
Computer Programs and Mathematical Functions Jump there
Activity of variables Jump there
Focus on the directional derivatives (tangents) Jump there
Focus on the gradients Jump there
Focus on multi-directional mode Jump there

How can one obtain derivatives? Jump to top

There are many ways to obtain derivatives. Maybe the most straightforward is to go back to the equations that led to the program. Suppose that some result is defined by some equations, and the program solved these equations for this result. Then one can write a new set of equations, whose solutions are the derivative of the initial result. Consequently, one can write a new program that solves these new equations for the desired derivatives. This is mathematically very sound, but it probably is the most expensive way, since it implies discretizing new equations, then writing a new program. We all know how difficult this is, and how many errors can be done! Moreover, in some cases there are no simple original equations, and only the program is at hand. Therefore we are looking for another way, more economical and that uses only the original program.

Using only the original program, one can naturally do divided differences. For a given set of program's inputs, X, the program P has computed a result P(X)=Y. In the general case, both X and Y are vectors, i.e. are composed of several real numbers. Given now some normalized direction dX in the space of the inputs, one can run the program P again, on the new set of inputs X+dX, where is some very small positive number. Then a good approximation of the derivative is computed easily by:


The centered divided differences, computed by:


usually give a better approximation, but cost an additional execution of program P. Of course this is just an approximation of the derivatives. Ideally, the exact derivative is the limit of these formulas, when tends to zero. But this makes no sense on a real computer, since very small values of lead to truncation errors, and therefore to erroneous derivatives. This is the main drawback of divided differences: some tradeoff must be found between truncation errors and approximation errors. Finding the best requires numerous executions of the program, and even then the computed derivatives are just approximations.

Automatic Differentiation : Jump to top

Automatic Differentiation, just like divided differences, requires only the original program P. But instead of executing P on different sets of inputs, it builds a new, augmented, program P', that computes the analytical derivatives along with the original program. This new program is called the differentiated program. Precisely, each time the original program holds some value v, the differentiated program holds an additional value dv, the differential of v. Moreover, each time the original program performs some operation, the differentiated program performs additional operations dealing with the differential values. For example, if the original program, at some time during execution, executes the following instruction on variables a, b, c, and array T:

a = b*T(10) + c

then the differentiated program must execute additional operations on the variables and their differentials da, db, dc, and array dT, that must somehow amount to:

da = db*T(10) + b*dT(10) + dc

The derivatives are now computed analytically, using the well known formulas on derivation of elementary operations. Approximation errors have just vanished.

Again, there are two ways to implement A.D.: In the above, we have been very vague on the notions of differentials and derivatives. This is because there are many "derivative objects" one may want, and each of them is obtained through a specific Automatic Differentiation. Here are some examples: Up to now, we in the Tropics team have been concerned with mainly directional derivatives and gradients. We implemented these two modes of Automatic Differentiation in the Tapenade tool, the successor of Odyssée. Some years ago the former SAFIR team of INRIA, who developped Odyssée, implemented also the Jacobian mode to validate their research. This mode has not been maintained in Odyssée, and therefore is not presently available in Tapenade. The TAMC (now TAF) tool also computes directional derivatives and gradients. The ADIFOR tool computes directional derivatives, gradients, and Jacobians, taking advantage of sparsity. All the above tools are based on source transformation. In contrast ADOL-C, based on overloading, has been used for directional derivatives and gradients, but these are relatively slow, and also for directional higher-order derivatives and Taylor series. Other very close tools exist, such as PADRE-2, mainly used for error estimation.

Computer Programs and Mathematical Functions : Jump to top

Before we can focus on directional derivatives and gradients, we need to introduce a general framework in which we can describe precisely these two modes of A.D. Essentially, we identify programs with sequences of instructions, themselves identified with composed functions.

Programs contain control, which is essentially discrete and therefore non-differentiable. We identify a program with the set of all possible run-time sequences of instructions. Of course there are many such sequences, and therefore we never build them explicitly. The control is just how one tells the running program to switch to one sequence or another. For example this small program piece: will execute according to the control as one of the following sequences of instructions:
printf("x too small\n");
y = 1.0;
y = 1.0; y = y*x; x = x+0.5;
y = 1.0; y = y*x; x = x+0.5; y = y*x; x = x+0.5;
y = 1.0; y = y*x; x = x+0.5; y = y*x; x = x+0.5; y = y*x; x = x+0.5;
and so on...


Each of these sequences is "differentiable". The new program generated by Automatic Differentiation contains of course some control, such that each of its run-time sequences of instructions computes the derivative of the corresponding sequence of instructions in the initial program. Thus, this differentiated program will probably look like (no matter whether by overloading or by source transformation): But it sometimes happens, like in this example, that the control itself depends on differentiated variables. In that case, a small change of the initial values may result in a change of the control. Here, a small change of x may change the number of iterations of the while loop, and the derivative is not defined any more. Yet the new program generated by Automatic Differentiation will return a result, and using this derivative may lead to errors. In Other words, the original program, with control, is only piecewise differentiable, and most present A.D. tools do not take this into account correctly. This is an open research problem. In the meantime, we simply assume that this problem happens rarely enough. Experience on real programs shows that this is a reasonable assumption.

Now that programs are identified with sequences of instructions, these sequences are identified with composed functions. Precisely, the sequence of instructions :
I1; I2; ... Ip-1; Ip;

is identified to the function :
composed function

Of course each of these functions are extended to operate on the domain of all the program variables, but variables not overwritten by the instruction are just transmitted unchanged to the function's result. We can then use the chain rule to formally write the derivative of the program for a given vector input x :
chain rule

We wrote f'n for the derivatives of function fn. The f'n are thus Jacobian matrices. To write the above in a shorter form, we introduced xn, which is the values of the variables just after executing the first n functions (we set x0 = x).

Therefore, computing the derivatives is just computing and multiplying these elementary Jacobian matrices f'n(xn-1)

Activity of variables : Jump to top

In practice, not all the elements of the Jacobian matrix need to be computed. Some elements can be proved to be always null, some others are simply not needed by the end user. We can take this into account to simplify the differentiated program. This is summarized by the notion of activity of an instance of a variable. The end-user specifies a set of output variables, for which the derivatives are requested. These are called the dependent variables. The end-user also specifies a set of input variables, with respect to which the dependent output must be differentiated. These are called the independent variables. We shall say that an instance of a variable is active if
  1. it depends on some independent, in a differentiable way, and
  2. some dependent depends on it, in a differentiable way.
Activity can be found by a static analysis. The set of the varying variables, those who depend on some independent, is propagated forwards through the program. At the beginning of the program, the varying variables are just initialized to the independent. Similarly, the set of the useful variables, those whose value influence on some dependent, is propagated backwards through the program. At the end of the program, the useful variables are just initialized to the dependent. Finally, at each point in the program, a variable is active if it is both varying and useful. Only the derivatives of active variables need to be computed.

Focus on the directional derivatives (tangents): Jump to top

Computing the product of all the elementary Jacobian matrices returns the complete Jacobian matrix J of f. This is certainly expensive in time and space. Often, one just wants a directional derivative dY = J * dX. If we replace J = f'(x) by its above expansion with the chain rule, we obtain :
directional derivative

which must be computed from right to left, because "matrix time vector" products are so much cheaper than "matrix times matrix" products. Things are easy here, because x0 is required first, then x1, and so on. Therefore differentiated instructions, that compute the Jacobian matrices and multiply them, can be done along with the initial program. We only need to interleave the original instructions and the derivative instructions. This is called the tangent mode of Automatic Differentiation.

In the tangent mode, the differentiated program is just a copy of the given program, Additional derivative instructions are inserted just before each instruction that involves active variables. Each active variable gives birth to a new variable, of same type and size, which is called its derivative variable. The control structures of the program are unchanged, i.e. the Call Graph and Flow Graph keep the same shape.

Here is an example. Consider the original (piece of) program: Suppose that only v1, v2, v3 and v4 are active, as defined above. Then AD introduces new differentiated variables, that we shall write dv1, dv2, dv3 and dv4. Differentiated variables retain the type and dimension of the original variable. The tangent mode AD will generate the corresponding piece of program, with differentiated instructions (in blue) inserted just before their original instruction: Notice that the control structure is preserved (if-then-endif), and instructions dealing with non-active variables are kept and not differentiated.

Intrinsic functions, such as sin, are differentiated directly, "in line", using an external configuration file which specifies, for example, that the (partial) derivative of sin(x) with respect to x is cos(x)

The structure of subroutine calls is also preserved, but differs slightly: Since a routine call is in fact a shorthand for another piece of program, and that this piece of program will be augmented with differentiated instructions too, the call to the differentiated routine sub1_d simply replaces the call to sub1. In other words sub1_d does the previous work of sub1 plus the derivatives computations. Of course, these derivative instructions use the derivative variables, and therefore each parameter which is active at the beginning or at the end of the routine requires an extra parameter holding its derivative.

Consider now the special case of a call to a black-box routine. This is basically the same as the FORTRAN EXTERNAL routines but we generalize it as follows: we call black-box a routine on which we cannot, or must not, or do not want to run AD! This can be because we don't have the source for it (EXTERNAL routines), or because we want to provide a much better hand-written derivative routine. In this case, AD of the calling program needs additional information about the black-box routine. Suppose that sub1 above is black-box. If AD knows nothing about it, then it must make the conservative assumption that p1, although not active at call time, may become active at return time. For example, its exit value might depend on the active input v2. Therefore AD must introduce a derivative dp1, initialized to 0.0 before the call, and containing some nontrivial result upon return. The last lines of the differentiated code should be: If the user knows that this is not the case, there must be a way to tell the tool. For example in Tapenade, one can give the "dependences" of each output with respect to each input. The Tapenade FAQ has a section that explains how to give information on black-box routines. For example, the following matrix indicates that the exit p1 does not depend on any active entry variable.

dependence matrix of sub1

This matrix can capture precise behavior. For example it also implies here that although the entry active v2 is used to compute the exit, active, v4, the exit v2 is not active any more, because it only depends on the input p1, which is not active. When AD is provided with this dependence matrix for black-box sub1 (e.g. in an external configuration file), it generates a program that calls If the user then provides a hand-made sub1_d, with correct arguments at the correct places, everything will run fine!

+ non-specialization principle for multiple routine calls + specifics of commons, data structures non-specialization principle.

This is all we will say here about the general principles of AD in direct mode. To go further, you may read the Tapenade reference article and the Tapenade 2.1 user's guide, that will describe conventions about variable names and declarations, differentiation of individual instructions and control structures, and in general all you must know to understand and use differentiated programs produced by Tapenade.

Focus on the gradients : Jump to top

Whereas the tangent mode of AD is maybe the most immediate, it turns out that many applications indeed need gradients. The reverse mode of AD does just that! In fact, the reverse mode computes gradients in an extremenly efficient way, at least theoretically. This is why it is one of the most promising modes of AD.

Strictly speaking, the gradient of a function f is defined only when f returns a scalar. In other words, there can be only one optimization criterion. If f returns a vector Y of results, we must define from Y a scalar composite result, i.e. a linear combination of its elements. We write this scalar optimization criterion as a dot product
Y_bar^* . Y
where is nothing but the vector of the weights of each component of Y. The gradient of this scalar optimization criterion is therefore, after transposition:
gradient

Again, this is most efficiently computed from right to left, because matrix-times-vector products are so much cheaper than matrix-times-matrix products. This is the principle of the reverse mode.

This turns out to make a very efficient program, at least theoretically (cf Section 3.4 of [Griewank00]). The computation time required for the gradient is only a small multiple of the run time of the original program. It is independent from the number of inputs in X. Moreover, if there are only a small number m of scalar outputs in Y, one can compute the whole Jacobian matrix row by row very efficiently.

However, we observe that the Xn are required in the inverse of their computation order. If the original program overwrites a part of Xn, the differentiated program must restore it before it is used by f'n+1(Xn).
This is the biggest problem of the reverse mode !!
But the potential advantages of the reverse mode are so promising that we are constantly working on how to overcome this problem... There are two strategies to solve it: Both RA and SA strategies need a special storage/recomputation trade-off in order to be really profitable, and this makes them become very similar. This trade-off is called checkpointing. Checkpointing consists in selecting some part of the program, and in not storing the values overwritten by this part (in SA mode) nor repeating execution of this part (in RA mode), at the cost of some extra memorization of the complete state of the program, that we call a snapshot. For instance in Tapenade, the strategy is Store All (SA), and the nested checkpointed parts are the subroutine calls. In the model case where the program is a sequence of N parts, all of them with grossly the same cost. it was shown that the cost of the reverse differentiated program, in terms of memory size and in terms of number of duplicated executions, grow only like the logarithm of N, which is very good.

In the sequel, we shall concentrate on the Store All (SA) strategy.

The structure of a reverse differentiated program is therefore more complex than in the tangent mode. There is first a forward sweep, identical to the original program augmented with instructions that memorize the intermediate values before they are overwritten, and instructions that memorize the control flow in order to reproduce the control flow in reverse during the backward sweep. Then starts the backward sweep, that actually computes the derivatives, and uses the memorized values both to compute the derivatives of each instruction and to choose its flow of control. Here is the same example as for the tangent mode. Consider again this original (piece of) program: Suppose that only v1, v2, v3 and v4 are active, as defined above. Then AD introduces new differentiated variables, that we shall write v1b, v2b, v3b and v4b. Here also, differentiated variables retain the type and dimension of the original variable. Suppose that memorizations are done with a stack, used through procedures push and pop. The forward sweep will look like: The isolated push are memorizations of intermediate values and control. The group of three push before the subroutine call is a snapshot because the call will be checkpointed. The corresponding backward sweep will then be: Notice that the adjoint of one original instruction is now very often a sequence of instructions. Notice also that subroutine sub1_b is the result of checkpointing on sub1, and therefore itself consists of a forward sweep followed by a backward sweep. On the other hand, intrinsic functions are better differentiated in line, like here where there is no call to a sin_b procedure, but rather an explicit use of the partioal derivative cos(v1).

The additional parameters passed to the call to sub1_b strongly depend on the results of activity analysis. If an argument is not active at the entry into the procedure nor at the exit from the procedure, then we need not pass a derivative argument. Otherwise we must pass one, and it must be initialized when necessary.

When the procedure is a function, then its derivative procedure may have an extra derivative parameter, which is the differential of the function's output. On the other hand, the function's output itself can very well be forgotten: remember the call to the derivative function are enclosed in a backward sweep, so there is no one left there to use this function's result!

This is all we will say here about the general principles of AD in reverse mode. To go further, you may read the Tapenade reference article and the Tapenade 2.1 user's guide, that will describe conventions about variable names and declarations, differentiation of individual instructions, control structures, procedure calls, and in general all you must know to understand and use differentiated programs produced by Tapenade.

Focus on multi-directional mode : Jump to top


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Under development ... To be continued ... Under development

Last modified: Wed Apr 17 15:39:30 CEST 2013 by the Tropics team Mail to ...