Fast, transparent calculations of first and second-order automatic differentiation package

## Overview

The ad package allows you to easily and transparently perform first and second-order automatic differentiation. Advanced math involving trigonometric, logarithmic, hyperbolic, etc. functions can also be evaluated directly using the admath sub-module.

From the Wikipedia entry on Automatic differentiation (AD):

“AD exploits the fact that every computer program, no matter how complicated, executes a sequence of elementary arithmetic operations (addition, subtraction, multiplication, division, etc.) and elementary functions (exp, log, sin, cos, etc.). By applying the chain rule repeatedly to these operations, derivatives of arbitrary order can be computed automatically, and accurate to working precision.”

## Basic examples

>>> from ad import adfloat

Creating AD objects (either a scalar or an array is acceptable):

>>> x = adfloat(2.0)
>>> x

>>> y

>>> z = adfloat(3, tag='z')  # tags can help track variables
>>> z
ad(3.0, z)

Now for some math:

>>> square = x**2
>>> square

>>> sum_value = sum(y)
>>> sum_value

>>> w = x*z**2
>>> w
ad(18.0)

>>> from ad.admath import *  # sin, cos, log, exp, sqrt, etc.
>>> sin(1 + x**2)
ad(-0.958924274663)

Calculating derivatives (evaluated at the given input values):

>>> square.d(x)  # get the first derivative wrt x
4.0

>>> square.d2(x)  # get the second derivative wrt x
2.0

>>> z.d(x)  # returns zero if the derivative doesn't exist
0.0

>>> w.d2c(x, z)  # second cross-derivatives, order doesn't matter
6.0

>>> w.d2c(z, z)  # equivalent to "w.d2(z)"
4.0

>>> w.d()  # a dict of all relevant derivatives shown if no input
{ad(2.0): 9.0, ad(3.0, z): 12.0}

Some convenience functions (useful in optimization):

>>> w.gradient([x, z])  # show the gradient in the order given
[9.0, 12.0]

>>> w.hessian([x, z])
[[0.0, 6.0], [6.0, 4.0]]

>>> sum_value.gradient(y)  # works well with input arrays
[1.0, 1.0, 1.0]

Working with NumPy arrays (most functions should work out-of-the-box):

>>> import numpy as np
>>> arr = np.array(adfloat([1, 2, 3]))  # multiple input support

>>> arr.sum()

>>> arr.max()

>>> arr.mean()

>>> arr.var()  # array variance

>>> sqrt(arr)  # vectorized operations supported with ad operators
array([ad(1.0), ad(1.41421356237), ad(1.73205080757)], dtype=object)

## Main Features

• Transparent calculations with derivatives: no or little modification of existing code is needed, including when using the Numpy module.

• Almost all mathematical operations are supported, including functions from the standard math module (sin, cos, exp, erf, etc.) with additional convenience trigonometric, hyperbolic, and logarithmic functions (csc, acoth, ln, etc.). Comparison operators follow the same rules as float types.

• Nearly all derivative calculations are performed analytically (only the gamma and lgamma functions use a high-accuracy finite difference formula).

## Installation

You have several easy, convenient options to install the ad package (administrative privileges may be required)

1. Download the package files below, unzip to any directory, and run python setup.py install from the command-line.

2. Simply copy the unzipped ad-XYZ directory to any other location that python can find it and rename it ad.

3. If setuptools is installed, run easy_install --upgrade ad from the command-line.

4. If pip is installed, run pip --upgrade ad from the command-line.

## Python 3

To use this package with Python 3.x, you will need to run the 2to3 tool at the command-line using the following syntax while in the unzipped ad directory:

\$ 2to3 -w -f all *.py

This should take care of the main changes required. Then, run python3 setup.py install. If bugs continue to pop up, please email the author.

## Contact

Please send feature requests, bug reports, or feedback to Abraham Lee.

## Acknowledgements

The author expresses his thanks to Eric O. LEBIGOT (EOL), author of the uncertainties package, for providing code insight and inspiration.

## Project details

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