pv / adjac

Automatic Differentiation (1st order) for Fortran 95

adjac

Automatic Differentiation for generating sparse Jacobians, using Fortran 95 and operator overloading.

Provides three AD data types:

• adjac_double: double precision AD variable
• adjac_complex: double complex AD variable
• adjac_complexan: double complex analytic AD variable

and the support routines:

• adjac_reset: initialize storage space
• adjac_free: free storage space
• adjac_set_independent: initialize independent variable (dy_i/dx_j = delta_ij)
• adjac_get_value: get values from a dependent variables
• adjac_get_coo_jacobian: get Jacobian in sparse coordinate format
• adjac_get_dense_jacobian: get Jacobian as a full matrix

The complex analytic adjac_complexan generates complex-valued Jacobians corresponding to the complex derivative, whereas adjac_complex can be used to generate real-valued Jacobians corresponding to separate derivatives vs. real and imaginary parts of the variables. In complex-analytic cases, the results will be equivalent, but adjac_complexan is more efficient computationally.

The data types support operations =,*,+,-,matmul,exp,sin,cos,log,dble,aimag,conjg. However, adjac_complexan does not support operations that break complex analyticity.

For more information about automatic differentiation, and other AD software , see http://autodiff.org/ Adjac performance appears to be roughly similar to ADOLC, and within a factor of 2-3 from ADEPT.

Versions

There are two versions of ADJAC, adjac.f95 and adjac_tapeless.f95 which differ only in the internal implementation of the differentiation. Their performance and memory usage characteristics differ; adjac.f95 usually needs more memory and can be faster, depending on the problem, whereas adjac_pure.f95 needs less and may be slower.

Fourier transforms

The supplied adjac_fft module provides discrete Fourier transforms:

• fft(n, z) compute DFT in-place
• ifft(n, z) compute inverse DFT in-place

These are mainly useful in the tape mode, where they allow storing the FFT Jacobian with ~ 4 n log(n) tape usage.

Example

Adjac enables computation of the Jacobian of a multivariate function, requiring only slightly modified code computing the value of the function.

For example, consider the following:

subroutine my_func(x, y)
    implicit none
    double complex, dimension(3), intent(in) :: x
    double complex, dimension(2), intent(out) :: y

    integer :: j
    do j = 1, 2
        y(j) = log(x(j) / ((0d0,1d0) + cos(x(j+1))**2))
    end do
end subroutine my_func

The following function calculates the same as the above, and in addition the partial derivatives with respect to x:

subroutine my_func_jac(x_value, y_value, dy_dx)
    use adjac
    implicit none
    double complex, dimension(3), intent(in) :: x_value
    double complex, dimension(2), intent(out) :: y_value
    double complex, dimension(2,3), intent(out) :: dy_dx

    type(adjac_complexan), dimension(3) :: x
    type(adjac_complexan), dimension(2) :: y
    integer :: j

    call adjac_reset()
    call adjac_set_independent(x, x_value)

    do j = 1, 2
        y(j) = log(x(j) / ((0d0,1d0) + cos(x(j+1))**2))
    end do

    call adjac_get_value(y, y_value)
    call adjac_get_dense_jacobian(y, dy_dx)
end subroutine my_func_jac

Note that the computational part of the code is unchanged. In general, only data type replacements of the form double precision -> adjac_double are usually necessary to make things work.

See examples/*.f95 for mode a usage examples.