Hi,
I would like to evaluate the transpose of the jacobian of a function F using ForwardDiff.jl or any AD. Is it possible? I read that reverse mode would provide this but failed to achieve this using ReverseDiff.jl.
I know I can evaluate the matrix-free jacobian using ForwardDiff.derivative(t -> F(x .+ t .* dx), 0.)
Thank you for your suggestions,
Best regards
There is ForwardDiff.jacobian.
julia> ForwardDiff.jacobian(identity, zeros(2))
2×2 Array{Float64,2}:
1.0 0.0
0.0 1.0
Reverse diff is indeed the way to go if you don’t want to form the whole matrix. Try Zygote.
Sorry I cannot form the jacobian as it is way to big. I just want its action on a vector
I was hoping for a simple example, do you know how to do it?
You mean (f, x, v) -> Tracker.gradient(x -> dot(v, f(x)), x)? This is equal to the transpose of the Jacobian of f at x multiplied by v.
Thank you!
No worries 