Mathias Brandewinder on .NET, F#, VSTO and Excel development, and quantitative analysis / machine learning.
21. February 2015 12:23

A few weeks ago, I came across DiffSharp, an automatic differentiation library in F#. As someone whose calculus skills have always been rather mediocre (thanks Wolfram Alpha!), but who needs to deal with gradients and the like on a regular basis because they are quite useful in machine learning and numerical methods, the project looked pretty interesting: who wouldn’t want exact and efficient calculations of derivatives? So I figured I would take a couple of hours to experiment with the library. This post is by no means an in-depth evaluation, but rather intended as “notes from the road” from someone entirely new to DiffSharp.

## Basics

Suppose I want to compute the derivative of f(x) = √ x at, say, 42.0. Double-checking Wolfram Alpha confirms that f has derivative f’(x) = 1 / (2 x √ x) .

Once DiffSharp is installed via Nuget, we can automatically evaluate f’(x) :

#r @"..\packages\DiffSharp.0.5.7\lib\DiffSharp.dll"

let f x = sqrt x
diff f 42. |> printfn "Evaluated: %f"
1. / (2. * sqrt 42.)  |> printfn "Actual: %f"

Evaluated: 0.077152
Actual: 0.077152

val f : x:Dual -> Dual
val it : unit = ()

First off, obviously, it worked. Without any need for us to perform anything, DiffSharp took in our implementation of f, and computed the correct value. This is really nifty.

The piece which is interesting here is the inferred signature of f. If I were to remove the line that immediately follows the function declaration, f would have the following signature:

val f : x:float –> float

The moment you include the line diff f 42., the inferred type changes drastically, and becomes

val f : x:Dual –> Dual

This is pretty interesting. Because we call diff on f, which expects Duals (a type that is defined in DiffSharp), our function isn’t what we originally defined it to be – and calling f 42.0 at that point (for instance) will fail, because 42.0 is a float, and not a Dual. In other words, DiffSharp leverages type inference pretty aggressively, to convert functions into the form it needs to perform its magic.

Edit: Atilim Gunes Baydin suggested another way around that issue, which is inlining f. The following works perfectly well, and allows to both differentiate f, and use this against floats:

let inline f x = sqrt x
let f' = diff f
f 42.

Thanks for the input!

This has a couple of implications. First, if you work in a script, you need to be careful about how you send your code to the F# interactive for execution. If you process the sample code above line by line in FSI, the evaluation will fail, because f will be inferred to be float –> float. Then, you will potentially need to annotate your functions with type hints, to help inference. As an example, the following doesn’t work:

let g x = 3. * x
diff g 42.

As is, g is still inferred to be of type float –> float, because of the presence of the constant term, which is by default inferred as a float. That issue can be addressed at least two ways – by explicitly marking x or 3. as dual in g, like this:

let g x = (dual 3.) * x
let h (x:Dual) = 3. * x

That’s how far we will go on this – if you want to dive in deeper, the Type Inference page discusses the topic in much greater detail

## A tiny example

So why is this interesting? As I mentioned earlier, differentiation is used heavily in numeric algorithms to identify values that minimize a function, a prime example being the gradient descent algorithm. The simplest example possible would be finding a (local) minimum of a single-argument function: starting from an arbitrary value x, we can iteratively follow the direction of steepest descent, until no significant change is observed.

Here is a quick-and-dirty implementation, using DiffSharp:

let minimize f x0 alpha epsilon =
let rec search x =
let fx' = diff f x
if abs fx' < epsilon
then x
else
let x = x - alpha * fx'
search x
search x0

Edit, 3/4/2015: fixed issue in code, using abs fx’ instead of fx’

Because DiffSharp handles the differentiation part automatically for us, with only 10 lines of code, we can now pass in arbitrary functions we want to minimize, and (with a few caveats…), and get a local minimum, no calculus needed:

let epsilon = 0.000001

let g (x:Dual) = 3. * pown x 2 + 2. * x + 1.
minimize g 0. 0.1 epsilon |> printfn "Min of g at x = %f"

let h (x:Dual) = x + x * sin(x) + cos(x) * (3. * x  - 7.)
minimize h 0. 0.1 epsilon |> printfn "Min of h at x = %f"

>
Min of g at x = -0.333333
Min of h at x = -0.383727

Let’s make sure this is reasonable. g is a quadratic function, which has a minimum or maximum at –b/2*a, that is, –2 / 2 x 3 - this checks out. As for h, inspecting the function plot confirms that it has a minimum around the identified value:

Edit, 3/4/2015: changed function h to a simpler shape.

## Conclusion

I have barely started to scratch the surface of DiffSharp in this post, but so far, I really, really like its promise. While I limited my examples to single-variable functions, DiffSharp supports multivariate functions, and vector operations as well. The way it uses type inference is a bit challenging at first, but seems a reasonable price to pay for the resulting magic. My next step will probably be a less tiny example, perhaps a logistic regression against realistic data. I am very curious to try out the algebra bits – and also wondering in the back of my head how to best use the library in general. For instance, how easy is it to construct a function from external data, and turn it into the appropriate types for DiffSharp to work its magic? How well does this integrate with other libraries, say, Math.NET? We’ll see!

In the meanwhile, I’d recommend checking out the project page, which happens to also be beautifully documented! And, as always, you can ping me on twitter for comments or question.

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