An automatic differentiation library for Python+NumPy.

# auto_diff

An automatic differentiation library for Python+NumPy

## How To Use

There are five public elements of the API:

• `AutoDiff` is a context manager and must be entered with a with statement. The `__enter__` method returns a new version of x that must be used to instead of the x passed as a parameter to the `AutoDiff` constructor.

• `value`, `jacobian`, `get_value_and_jacobian`, these functions, which must be called in an `AutoDiff` context, extract the value, Jacobian, or both from a dependent variable.

• `get_value_and_jacobians`, if multiple vectors are passed in as arguments to `AutoDiff`, this method returns a tuple of Jacobians wrt to the different variables.

If you are using `get_value_and_jacobian`, x must be a 2D column vector, and the value you must be parsing for the derivative must also be a 2D column vector. In most other cases, how to convert to a Jacobian Matrix is non-obvious. If you wish to deal with those cases see the paragraph after the example.

`auto_diff` also supports using sparse matrices instead of `ndarray`s to store the Jacobians. Simple use the `SparseAutoDiff` context manager instead of `AutoDiff`. Also if you use `SparseAutoDiff`, you need to verify that your code and none of non-NumPy dependencies use the `np.ndarray` constructor for a floating point vector. If using `SparseAutoDiff`, `get_value_and_jacobian`, `jacobian`, and `get_value_and_jacobians` return `scipy.sparse.lil_matrix`es instead of `ndarray`s.

### Example

```import auto_diff
import numpy as np

# Define a function f
# f can have other arguments, if they are constant wrt x
# Define the input vector, x

with auto_diff.AutoDiff(x) as x:
f_eval = f(x, u)
y, Jf = auto_diff.get_value_and_jacobian(f_eval)

# y is the value of f(x, u) and Jf is the Jacobian of f with respect to x.
```

If you need both the Jacobian wrt to x and u,

```with auto_diff.AutoDiff(x, u) as (x, u):
f_eval = f(x, u)
y, (Jfx, Jfu) = auto_diff.get_value_and_jacobians(f_eval)

# y is the value of f(x, u), Jfx is the Jacobian of f with respect to x, and
# Jfu is the Jacobian of f with respect to u.
```

Finally, if `f` and `x` are very high-dimensional, then we can use `SparseAutoDiff` to save memory.

```with auto_diff.SparseAutoDiff(x, u) as (x, u):
f_eval = f(x, u)
y, (Jfx, Jfu) = auto_diff.get_value_and_jacobians(f_eval)

# y is the value of f(x, u), Jfx is the Jacobian of f with respect to x, and
# Jfu is the Jacobian of f with respect to u.
# Jfx and Jfu are instances of scipy.sparse.lil_matrix.
```

We can also differentiate functions from arbitrarily shaped numpy arrays to arbitrarily shaped outputs. Let `y = f(x)`, where `x` is a numpy array of shape `x.shape`, and `y` is is the output of the function we wish to differentiate, `f`.

We can then access a numpy array of shape `(*y.shape, *x.shape)`, by accessing `y.der`. This represents the gradients of each component of `y` with respect to `x`. To find the gradient of the norm of a vector x, for example one can do

```import auto_diff
import numpy as np
x = np.array([[np.pi], [3.0], [17.0]])

with auto_diff.AutoDiff(x) as x:
print(np.linalg.norm(x).der)
```

## Restrictions

• You must import numpy and use that object, rather then do something like `from numpy import ...`, where `...` is either `*` or just function names.

Crashes, Bug Reports, and Feedback: Email `parthnobel@berkeley.edu`

There are missing features right now. I'm working on them, feel free to email me if you want something prioritized.

## Prerequisite

A version of NumPy >= 1.17 may be required. Bugs on older versions have always raised errors, so there should be nothing to worry about.

Author: Parth Nobel (Github: /PTNobel, parthnobel@berkeley.edu) Version: 0.3

## Project details

This version 0.4.0 0.3.4 0.3.3 0.3.2 0.3.1 0.3.0

Uploaded `source`
Uploaded `py3`