FastDifferentiation
FastDifferentiation (FD) is a package for generating efficient executables to evaluate derivatives of Julia functions. It can also generate efficient true symbolic derivatives for symbolic analysis.
Unlike forward and reverse mode automatic differentiation FD automatically generates efficient derivatives for arbitrary function types: ℝ¹->ℝ¹, ℝ¹->ℝᵐ, ℝⁿ->ℝ¹, and ℝⁿ->ℝᵐ, m≠1,n≠1. FD is similar to D* in that it uses the derivative graph but FD is asymptotically faster so it can be applied to much larger expression graphs.
For f:ℝⁿ->ℝᵐ with n,m large FD may have better performance than conventional AD algorithms because the FD algorithm finds expressions shared between partials and computes them only once. In some cases FD derivatives can be as efficient as manually coded derivatives (see the Lagrangian dynamics example in the D* paper or the Benchmarks section of the documentation for another example).
FD may take much less time to compute symbolic derivatives than Symbolics.jl even in the ℝ¹->ℝ¹ case. The executables generated by FD may also be much faster (see the documentation for more details).
You should consider using FastDifferentiation when you need:
- a fast executable for evaluating the derivative of a function if the overhead of the preprocessing/compilation time is swamped by evaluation time.
- to do additional symbolic processing on your derivative. FD can generate a true symbolic derivative to be processed further in Symbolics.jl or another computer algebra system^{[1]}.
Features
This is the FD feature set:
Dense Jacobian | Sparse Jacobian | Dense Hessian | Sparse Hessian | Higher order derivatives | Jᵀv | Jv | Hv | |
Compiled function | ✅ | ✅ | ✅ | ✅ | ✅ | ✅ | ✅ | ✅ |
Symbolic expression | ✅ | ✅ | ✅ | ✅ | ✅ | ✅ | ✅ | ✅ |
Jᵀv and Jv compute the Jacobian transpose times a vector and the Jacobian times a vector, without explicitly forming the Jacobian matrix. For applications see this paper. Hv computes the Hessian times a vector without explicitly forming the Hessian matrix.
Benchmarks
See Benchmarks.jl for the benchmark code used to generate these results.
The benchmarks test the speed of gradients, Jacobians, Hessians, and the ability to exploit sparsity in the derivative. The last problem, ODE
, also compares the AD algorithms to a hand optimized Jacobian.
There are not many benchmarks so take these results with a grain of salt. Also, two of these packages, FastDifferentiation and Enzyme, are under active development; their benchmark results could change materially in the near future.
I am indebted to Yingbo Ma and Billy Moses for their help debugging and improving the benchmark code for ForwardDiff and Enzyme, respectively.
These are the benchmarks:
Compute the gradient and the Hessian of the Rosenbrock function. The Hessian is extremely sparse so algorithms that can detect sparsity will have an advantage.
function rosenbrock(x)
a = one(eltype(x))
b = 100 * a
result = zero(eltype(x))
for i in 1:length(x)-1
result += (a - x[i])^2 + b * (x[i+1] - x[i]^2)^2
end
return result
end
export rosenbrock
Compute the Jacobian of a small matrix function.
f(a, b) = (a + b) * (a * b)'
Compute the Jacobian of SHFunctions which constructs the spherical harmonics of order n:
@memoize function P(l, m, z)
if l == 0 && m == 0
return 1.0
elseif l == m
return (1 - 2m) * P(m - 1, m - 1, z)
elseif l == m + 1
return (2m + 1) * z * P(m, m, z)
else
return ((2l - 1) / (l - m) * z * P(l - 1, m, z) - (l + m - 1) / (l - m) * P(l - 2, m, z))
end
end
export P
@memoize function S(m, x, y)
if m == 0
return 0
else
return x * C(m - 1, x, y) - y * S(m - 1, x, y)
end
end
export S
@memoize function C(m, x, y)
if m == 0
return 1
else
return x * S(m - 1, x, y) + y * C(m - 1, x, y)
end
end
export C
function factorial_approximation(x)
local n1 = x
sqrt(2 * π * n1) * (n1 / ℯ * sqrt(n1 * sinh(1 / n1) + 1 / (810 * n1^6)))^n1
end
export factorial_approximation
function compare_factorial_approximation()
for n in 1:30
println("n $n relative error $((factorial(big(n))-factorial_approximation(n))/factorial(big(n)))")
end
end
export compare_factorial_approximation
@memoize function N(l, m)
@assert m >= 0
if m == 0
return sqrt((2l + 1 / (4π)))
else
# return sqrt((2l+1)/2π * factorial(big(l-m))/factorial(big(l+m)))
#use factorial_approximation instead of factorial because the latter does not use Stirlings approximation for large n. Get error for n > 2 unless using BigInt but if use BigInt get lots of rational numbers in symbolic result.
return sqrt((2l + 1) / 2π * factorial_approximation(l - m) / factorial_approximation(l + m))
end
end
export N
"""l is the order of the spherical harmonic"""
@memoize function Y(l, m, x, y, z)
@assert l >= 0
@assert abs(m) <= l
if m < 0
return N(l, abs(m)) * P(l, abs(m), z) * S(abs(m), x, y)
else
return N(l, m) * P(l, m, z) * C(m, x, y)
end
end
export Y
function SHFunctions(max_l, x::T, y::T, z::T) where {T}
shfunc = Vector{T}(undef, max_l^2)
for l in 0:max_l-1
for m in -l:l
push!(shfunc, Y(l, m, x, y, z))
end
end
return shfunc
end
function SHFunctions(max_l, x::FastDifferentiation.Node, y::FastDifferentiation.Node, z::FastDifferentiation.Node)
shfunc = FastDifferentiation.Node[]
for l in 0:max_l-1
for m in -l:l
push!(shfunc, (Y(l, m, x, y, z)))
end
end
return shfunc
end
export SHFunctions
Compute the 20x20 Jacobian, ∂dy/∂y, of a function in an ODE problem and compare to a hand optimized Jacobian. The Jacobian is approximately 25% non-zeros so algorithms that exploit sparsity in the derivative will have an advantage.
const k1 = .35e0
const k2 = .266e2
const k3 = .123e5
const k4 = .86e-3
const k5 = .82e-3
const k6 = .15e5
const k7 = .13e-3
const k8 = .24e5
const k9 = .165e5
const k10 = .9e4
const k11 = .22e-1
const k12 = .12e5
const k13 = .188e1
const k14 = .163e5
const k15 = .48e7
const k16 = .35e-3
const k17 = .175e-1
const k18 = .1e9
const k19 = .444e12
const k20 = .124e4
const k21 = .21e1
const k22 = .578e1
const k23 = .474e-1
const k24 = .178e4
const k25 = .312e1
function f(dy, y, p, t)
r1 = k1 * y[1]
r2 = k2 * y[2] * y[4]
r3 = k3 * y[5] * y[2]
r4 = k4 * y[7]
r5 = k5 * y[7]
r6 = k6 * y[7] * y[6]
r7 = k7 * y[9]
r8 = k8 * y[9] * y[6]
r9 = k9 * y[11] * y[2]
r10 = k10 * y[11] * y[1]
r11 = k11 * y[13]
r12 = k12 * y[10] * y[2]
r13 = k13 * y[14]
r14 = k14 * y[1] * y[6]
r15 = k15 * y[3]
r16 = k16 * y[4]
r17 = k17 * y[4]
r18 = k18 * y[16]
r19 = k19 * y[16]
r20 = k20 * y[17] * y[6]
r21 = k21 * y[19]
r22 = k22 * y[19]
r23 = k23 * y[1] * y[4]
r24 = k24 * y[19] * y[1]
r25 = k25 * y[20]
dy[1] = -r1 - r10 - r14 - r23 - r24 +
r2 + r3 + r9 + r11 + r12 + r22 + r25
dy[2] = -r2 - r3 - r9 - r12 + r1 + r21
dy[3] = -r15 + r1 + r17 + r19 + r22
dy[4] = -r2 - r16 - r17 - r23 + r15
dy[5] = -r3 + r4 + r4 + r6 + r7 + r13 + r20
dy[6] = -r6 - r8 - r14 - r20 + r3 + r18 + r18
dy[7] = -r4 - r5 - r6 + r13
dy[8] = r4 + r5 + r6 + r7
dy[9] = -r7 - r8
dy[10] = -r12 + r7 + r9
dy[11] = -r9 - r10 + r8 + r11
dy[12] = r9
dy[13] = -r11 + r10
dy[14] = -r13 + r12
dy[15] = r14
dy[16] = -r18 - r19 + r16
dy[17] = -r20
dy[18] = r20
dy[19] = -r21 - r22 - r24 + r23 + r25
dy[20] = -r25 + r24
end
This is the hand optimized Jacobian, ∂dy/∂y, from the ODE function, above.
function fjac(J, y, p, t)
J .= zero(eltype(J))
J[1, 1] = -k1 - k10 * y[11] - k14 * y[6] - k23 * y[4] - k24 * y[19]
J[1, 11] = -k10 * y[1] + k9 * y[2]
J[1, 6] = -k14 * y[1]
J[1, 4] = -k23 * y[1] + k2 * y[2]
J[1, 19] = -k24 * y[1] + k22
J[1, 2] = k2 * y[4] + k9 * y[11] + k3 * y[5] + k12 * y[10]
J[1, 13] = k11
J[1, 20] = k25
J[1, 5] = k3 * y[2]
J[1, 10] = k12 * y[2]
J[2, 4] = -k2 * y[2]
J[2, 5] = -k3 * y[2]
J[2, 11] = -k9 * y[2]
J[2, 10] = -k12 * y[2]
J[2, 19] = k21
J[2, 1] = k1
J[2, 2] = -k2 * y[4] - k3 * y[5] - k9 * y[11] - k12 * y[10]
J[3, 1] = k1
J[3, 4] = k17
J[3, 16] = k19
J[3, 19] = k22
J[3, 3] = -k15
J[4, 4] = -k2 * y[2] - k16 - k17 - k23 * y[1]
J[4, 2] = -k2 * y[4]
J[4, 1] = -k23 * y[4]
J[4, 3] = k15
J[5, 5] = -k3 * y[2]
J[5, 2] = -k3 * y[5]
J[5, 7] = 2k4 + k6 * y[6]
J[5, 6] = k6 * y[7] + k20 * y[17]
J[5, 9] = k7
J[5, 14] = k13
J[5, 17] = k20 * y[6]
J[6, 6] = -k6 * y[7] - k8 * y[9] - k14 * y[1] - k20 * y[17]
J[6, 7] = -k6 * y[6]
J[6, 9] = -k8 * y[6]
J[6, 1] = -k14 * y[6]
J[6, 17] = -k20 * y[6]
J[6, 2] = k3 * y[5]
J[6, 5] = k3 * y[2]
J[6, 16] = 2k18
J[7, 7] = -k4 - k5 - k6 * y[6]
J[7, 6] = -k6 * y[7]
J[7, 14] = k13
J[8, 7] = k4 + k5 + k6 * y[6]
J[8, 6] = k6 * y[7]
J[8, 9] = k7
J[9, 9] = -k7 - k8 * y[6]
J[9, 6] = -k8 * y[9]
J[10, 10] = -k12 * y[2]
J[10, 2] = -k12 * y[10] + k9 * y[11]
J[10, 9] = k7
J[10, 11] = k9 * y[2]
J[11, 11] = -k9 * y[2] - k10 * y[1]
J[11, 2] = -k9 * y[11]
J[11, 1] = -k10 * y[11]
J[11, 9] = k8 * y[6]
J[11, 6] = k8 * y[9]
J[11, 13] = k11
J[12, 11] = k9 * y[2]
J[12, 2] = k9 * y[11]
J[13, 13] = -k11
J[13, 11] = k10 * y[1]
J[13, 1] = k10 * y[11]
J[14, 14] = -k13
J[14, 10] = k12 * y[2]
J[14, 2] = k12 * y[10]
J[15, 1] = k14 * y[6]
J[15, 6] = k14 * y[1]
J[16, 16] = -k18 - k19
J[16, 4] = k16
J[17, 17] = -k20 * y[6]
J[17, 6] = -k20 * y[17]
J[18, 17] = k20 * y[6]
J[18, 6] = k20 * y[17]
J[19, 19] = -k21 - k22 - k24 * y[1]
J[19, 1] = -k24 * y[19] + k23 * y[4]
J[19, 4] = k23 * y[1]
J[19, 20] = k25
J[20, 20] = -k25
J[20, 1] = k24 * y[19]
J[20, 19] = k24 * y[1]
return nothing
end
Results
Several of the AD algorithms have unexpectedly slow timings; the Enzyme Rosenbrock Hessian timings are notable in this respect since for the other benchmarks Enzyme has excellent performance. Perhaps this code can be rewritten to be more efficient. If you are expert in any of these packages please submit a PR to fix, improve, or correct a benchmark.
These timings are just for evaluating the derivative function. They do not include preprocessing time required to generate and compile the function nor any time needed to generate auxiliary data structures that make the evaluation more efficient.
The times in each row are normalized to the shortest time in that row. The fastest algorithm will have a relative time of 1.0 and all other algorithms will have a time ≥ 1.0. Smaller numbers are better.
Entries with footnotes generally are for benchmarks I couldn’t get to execute properly. This does not mean the package cannot compute the required derivative, just that I couldn’t figure out how to do it. Submit a PR if you figure it out and I’ll update the benchmarks.
All benchmarks were run on this system:
Julia Version 1.9.2
Commit e4ee485e90 (2023-07-05 09:39 UTC)
Platform Info:
OS: Windows (x86_64-w64-mingw32)
CPU: 32 × AMD Ryzen 9 7950X 16-Core Processor
WORD_SIZE: 64
LIBM: libopenlibm
LLVM: libLLVM-14.0.6 (ORCJIT, znver3)
Threads: 1 on 32 virtual cores
Environment:
JULIA_EDITOR = code.cmd
Function | FD sparse | FD dense | ForwardDiff | ReverseDiff | Enzyme | Zygote |
---|---|---|---|---|---|---|
Rosenbrock Hessian | 1.00 | 8.31 | 33455.33 | 99042.70 | 194.5 | 85003.60 |
Rosenbrock gradient | ^{[2]} | 1.29 | 674.82 | 299.67 | 1.00 | 4208.30 |
Simple matrix Jacobian | ^{[2:1]} | 1.00 | 34.09 | 51.25 | ^{[3]} | 125.26 |
Spherical harmonics Jacobian | ^{[2:2]} | 1.00 | 29.25 | ^{[4]} | ^{[5]} | ^{[6]} |
Comparison to hand optimized Jacobian.
This compares AD algorithms to a hand optimized Jacobian (in file ODE.jl in the Benchmarks.jl repo). As before timings are relative to the fastest time.
Enzyme (array) is written to accept a vector input and return a matrix output to be compatible with the calling convention for the ODE function. This is very slow because Enzyme does not yet do full optimizations on these input/output types. Enzyme (tuple) is written to accept a tuple input and returns tuple(tuples). This is much faster but not compatible with the calling convetions of the ODE function. This version uses features not available in the registered version of Enzyme (as of 7-9-2023). You will need to ] add Enzyme#main
instead of using the registered version.
FD sparse | FD Dense | ForwardDiff | ReverseDiff | Enzyme (array) | Enzyme (tuple) | Zygote | Hand optimized |
---|---|---|---|---|---|---|---|
1.00 | 1.83 | 32.72 | ^{[7]} | 281.05 | 4.30 | 554767.55 | 2.50 |
It is worth nothing that both FD sparse and FD dense are faster than the hand optimized Jacobian.
Limitations
FD currently unrolls loops. This limits the size of the expressions FD can handle to somewhere in the range of 10⁵-10⁶ operations. Beyond that range executable code size becomes very large and LLVM compile times very long.
FD does not support expressions with conditionals on FD variables. For example, you can do this:
julia> @variables x y
julia> f(a,b,c) = a< 1.0 ? cos(b) : sin(c)
f (generic function with 2 methods)
julia> f(0.0,x,y)
cos(x)
julia> f(1.0,x,y)
sin(y)
but you can’t do this:
julia> @variables x y
julia> f(a,b) = a < b ? cos(a) : sin(b)
f (generic function with 2 methods)
julia> f(x,y)
ERROR: MethodError: no method matching isless(::FastDifferentiation.Node{Symbol, 0}, ::FastDifferentiation.Node{Symbol, 0})
Closest candidates are:
isless(::Any, ::DataValues.DataValue{Union{}})
@ DataValues ~/.julia/packages/DataValues/N7oeL/src/scalar/core.jl:291
isless(::S, ::DataValues.DataValue{T}) where {S, T}
@ DataValues ~/.julia/packages/DataValues/N7oeL/src/scalar/core.jl:285
isless(::DataValues.DataValue{Union{}}, ::Any)
@ DataValues ~/.julia/packages/DataValues/N7oeL/src/scalar/core.jl:293
...
I am working on addressing both these limitations but this is in the earliest stages.
I am working with the SciML team to incorporate into Symbolics.jl conversion from FD => Symbolics and vice versa. ↩︎
FD sparse was slower than FD dense so results are only shown for dense. ↩︎ ↩︎ ↩︎
Enzyme prints “Warning: using fallback BLAS replacements, performance may be degraded”, followed by stack overflow error or endless loop. ↩︎
ReverseDiff failed on Spherical harmonics. ↩︎
Enzyme crashes Julia REPL for SHFunctions benchmark. ↩︎
Zygote doesn’t work with Memoize ↩︎
ODE not implemented for ReverseDiff ↩︎