ForwardDiff.jl

ForwardDiff implements methods to take derivatives, gradients, Jacobians, Hessians, and higher-order derivatives of native Julia functions (or any callable object, really) using forward mode automatic differentiation (AD).

While performance can vary depending on the functions you evaluate, the algorithms implemented by ForwardDiff generally outperform non-AD algorithms (such as finite-differencing) in both speed and accuracy.

Here's a simple example showing the package in action:

julia> using ForwardDiff

julia> f(x::Vector) = sin(x[1]) + prod(x[2:end]);  # returns a scalar

julia> x = vcat(pi/4, 2:4)
4-element Vector{Float64}:
 0.7853981633974483
 2.0
 3.0
 4.0

julia> ForwardDiff.gradient(f, x)
4-element Vector{Float64}:
  0.7071067811865476
 12.0
  8.0
  6.0

julia> ForwardDiff.hessian(f, x)
4×4 Matrix{Float64}:
 -0.707107  0.0  0.0  0.0
  0.0       0.0  4.0  3.0
  0.0       4.0  0.0  2.0
  0.0       3.0  2.0  0.0

Functions like f which map a vector to a scalar are the best case for reverse-mode automatic differentiation, but ForwardDiff may still be a good choice if x is not too large, as it is much simpler. The best case for forward-mode differentiation is a function which maps a scalar to a vector, like this g:

julia> g(y::Real) = [sin(y), cos(y), tan(y)];  # returns a vector

julia> ForwardDiff.derivative(g, pi/4)
3-element Vector{Float64}:
  0.7071067811865476
 -0.7071067811865475
  1.9999999999999998

julia> ForwardDiff.jacobian(x) do x  # anonymous function, returns a length-2 vector
         [sin(x[1]), prod(x[2:end])]
       end
2×4 Matrix{Float64}:
 0.707107   0.0  0.0  0.0
 0.0       12.0  8.0  6.0

See ForwardDiff's documentation for full details on how to use this package. ForwardDiff relies on DiffRules for the derivatives of many simple function such as sin.

See the JuliaDiff web page for other automatic differentiation packages.

If you find ForwardDiff useful in your work, we kindly request that you cite the following paper:

@article{RevelsLubinPapamarkou2016,
    title = {Forward-Mode Automatic Differentiation in {J}ulia},
   author = {{Revels}, J. and {Lubin}, M. and {Papamarkou}, T.},
  journal = {arXiv:1607.07892 [cs.MS]},
     year = {2016},
      url = {https://arxiv.org/abs/1607.07892}
}