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lua-ad-reverse's Introduction

Lua Reverse Mode Automatic Differentiation

Resources

  • Evaluating Derivatives: Principles and Techniques of Algorithmic Differentiation, Second Edition: clear exposition of the thoery and practice of forward and reverse mode automatic diffentation
  • David Gay's RAD library: see dep/rad folder into this repository,
  • Adept: A fast automatic differentiation library for C++: one of the fastes implementations of reverse mode AD in C++ via operator overloading and template metaprogramming
  • Stan: framework for frequentist and bayesian inference of statistical distribution-based models, includes reverse mode automatic differentiation engine (not explicitely documented)

Plan

  1. Understand reverse mode logic, convert/extend RAD library to Lua
  2. Implement efficient Lua version of reverse mode differentiation based on Adept and Stan
  3. Optimize implementation of point 2 for LuaJIT/FFI

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