sfalmo / implicitdifferentiation.jl

Automatic differentiation of implicit functions

ImplicitDifferentiation.jl

ImplicitDifferentiation.jl is a package for automatic differentiation of functions defined implicitly, i.e., forward mappings

$$x \in \mathbb{R}^n \longmapsto y(x) \in \mathbb{R}^m$$

whose output is defined by conditions

$$c(x,y(x)) = 0 \in \mathbb{R}^m$$

Background

Implicit differentiation is useful to differentiate through two types of functions:

• Those for which automatic differentiation fails. Reasons can vary depending on your backend, but the most common include calls to external solvers, mutating operations or type restrictions.
• Those for which automatic differentiation is very slow. A common example is iterative procedures like fixed point equations or optimization algorithms.

If you just need a quick overview, check out our JuliaCon 2022 talk. If you want a deeper dive into the theory, you can refer to the paper Efficient and modular implicit differentiation by Blondel et al. (2022).

Getting started

To install the stable version, open a Julia REPL and run:

julia> using Pkg; Pkg.add("ImplicitDifferentiation")

For the latest version, run this instead:

julia> using Pkg; Pkg.add(url="https://github.com/gdalle/ImplicitDifferentiation.jl")

Please read the documentation, especially the examples and FAQ.

Related projects

In Julia:

• jump-dev/DiffOpt.jl: differentiation of convex optimization problems
• axelparmentier/InferOpt.jl: approximate differentiation of combinatorial optimization problems
• JuliaNonconvex/NonconvexUtils.jl: contains the original implementation from which this package drew inspiration

In Python:

• google/jaxopt: hardware accelerated, batchable and differentiable optimizers in JAX