Differentiable Scripting

arXiv (Cornell University)

Abstract

In Computational Science, Engineering and Finance (CSEF) scripts typically serve as the "glue" between potentially highly complex and computationally expensive external subprograms. Differentiability of the resulting programs turns out to be essential in the context of derivative-based methods for error analysis, uncertainty quantification, optimization or training of surrogates. We argue that it should be enforced by the scripting language itself through exclusive support of differentiable (smoothed) external subprograms and differentiable intrinsics combined with prohibition of nondifferentiable branches in the data flow. Illustration is provided by a prototype adjoint code compiler for a simple Python-like scripting language.

Authors 1

1. Uwe Naumann corresponding Aachen Department of Computer Science

   RWTH Aachen University

   Affiliation as printed

   Department of Computer Science , RWTH Aachen University 52056 Aachen , Germany