Automatic Differentiation

In this case study we reimplement automatic differentiation as presented in

Demystifying Differentiable Programming: Shift/Reset the Penultimate Backpropagator Fei Wang et al. ICFP 2019

Instead of using the control operators shift and reset, we are using effects and handlers.

module examples/casestudies/ad

import immutable/list
import mutable/heap

Representing Differentiable Expressions

Like Wang et al. we start by defining our own representation of differentiable expressions. We represent the language of differentiable expressions by an effect AD, which operates on Num. The effect AD can be thought of as an embedded DSL.

record Num(value: Double, d: Ref[Double])

effect AD {
  def num(x: Double): Num
  def add(x: Num, y: Num): Num
  def mul(x: Num, y: Num): Num

If Effekt would support polymorphic effects (or abstract type members on effects) we could abstract over the domain Num, which is hard-coded above to contain a double value and a mutable reference. We make use of operator overloading by defining infixAdd and infixMul, whch are special-cased in the Effekt compiler.

def infixAdd(x: Num, y: Num) = add(x, y)
def infixMul(x: Num, y: Num) = mul(x, y)

We can use the number DSL to express an example program.

// d = 3 + 3x^2
def prog(x: Num): Num / AD =
  (num(3.0) * x) + (x * x * x)

This program uses effect operations for multiplication, addition, and for embedding constant literals.

Forwards Propagation

To compute the derivative of an expression like prog, we start with forwards propagation. A differentiable function has type Num => Num / AD and computing the derivative is expressed as a handler.

For forwards propagation, we do not use the fact that the derivative stored in Num is a mutable box. This is only necessary for backwards propagation.

def forwards(in: Double) { prog: Num => Num / AD }: Double =
  try { prog(Num(in, fresh(1.0))).d.get } with AD {
    def num(v)    = resume(Num(v, fresh(0.0)))
    def add(x, y) = resume(Num(
      x.value + y.value,
      fresh(x.d.get + y.d.get)))
    def mul(x, y) = resume(Num(
      x.value * y.value,
      fresh(x.d.get * y.value + y.d.get * x.value)))

Except for the wrapping and unwrapping of the references, the definition of add and mul are exactly the ones we would expect from a text book.

Backwards Propagation

We can use the same differentiable expression and compute its derivative by using backwards propagation. Since we modeled the DSL as an effect, we automatically get access to the continuation in the implementation of add and mul. We thus do not have to use shift and reset. Otherwise the implementation closely follows the one by Wang et al.

def backwards(in: Double) { prog: Num => Num / AD }: Double = {
  // the representation of our input
  val input = Num(in, fresh(0.0))

  // a helper function to update the derivative of a given number by adding v
  def push(n: Num)(v: Double): Unit = n.d.put(n.d.get + v)

  try { prog(input).push(1.0) } with AD {
    def num(v) = resume(Num(v, fresh(0.0)))
    def add(x, y) = {
      val z = Num(x.value + y.value, fresh(0.0))
    def mul(x, y) = {
      val z = Num(x.value * y.value, fresh(0.0))
      x.push(y.value * z.d.get);
      y.push(x.value * z.d.get)
  // the derivative of `prog` at `in` is stored in the mutable reference

Example Usages

We can use forwards and backwards propagation to compute derivatives of a few examples.

def main() = {
  println(forwards(2.0) { x => prog(x) })
  println(backwards(2.0) { x => prog(x) })

  println(forwards(3.0) { x => prog(x) })
  println(backwards(3.0) { x => prog(x) })

  println(forwards(0.0) { x => prog(x) })
  println(backwards(0.0) { x => prog(x) })

  // we have the same pertubation confusion as in Lantern
  val result = forwards(1.0) { x =>
    val shouldBeOne = forwards(1.0) { y => x + y }
    val z = num(shouldBeOne)
    x * z

  val result2 = backwards(1.0) { x =>
    val shouldBeOne = backwards(1.0) { y => x + y }
    val z = num(shouldBeOne)
    x * z

  // this is proposed by Wang et al. as a solution to pertubation confusion
  val result3 = backwards(1.0) { x =>
    val shouldBeOne = forwards(1.0) { y => x + y }
    val z = num(shouldBeOne)
    x * z