# Approximating derivatives¶

In this workbook, we'll see a few ideas for doing derivative computations. You'll see more on the homework.

## Automatic differentiation¶

The first type of derivative computation is a source code transform. This is called automatic differentiation, and consists of taking in a program and outputing a program. We won't talk too much about this idea, but it's used frequently in optimization. Purdue Prof. Alex Pothen is currently doing research on these ideas.

Julia has a package to do this (actually, a few). There are some bugs with the current one that mean it isn't quite as useful.

In [31]:
Pkg.add("ReverseDiffSource")
using ReverseDiffSource
using Plots
using Interact

INFO: Nothing to be done

Out[31]:
Plots.GadflyPackage()
INFO: METADATA is out-of-date — you may not have the latest version of ReverseDiffSource
INFO: Use Pkg.update() to get the latest versions of your packages

In [34]:
rdiff( :((1 - x[1])^2 + 100(x[2] - x[1]^2)^2) , x=ones(2))

Out[34]:
quote
_tmp1 = zeros(size(x))
_tmp2 = 1 - x[1]
_tmp3 = x[2] - x[1] ^ 2
_tmp4 = 2 * (_tmp3 * 100.0)
_tmp1[1] = 2 * (x[1] * -_tmp4) + -(2_tmp2)
_tmp1[2] = _tmp1[2] + _tmp4
(_tmp2 ^ 2 + 100 * _tmp3 ^ 2,_tmp1)
end
In [35]:
rdiff( :(exp(x^2)*(sin(100x)^2)) , x=1.)

Out[35]:
quote
_tmp1 = 100x
_tmp2 = exp(x ^ 2)
_tmp3 = sin(_tmp1)
_tmp4 = _tmp2 * _tmp3 ^ 2
(_tmp4,100 * (cos(_tmp1) * (2 * (_tmp3 * _tmp2))) + 2 * (x * _tmp4))
end

You should be able to directly evaluate these functions, but I couldn't get that working before class.

In [ ]:
In [36]:
# This should work, but as of 2016-02-23, it doesn't :(
rosenbrock(x) = (1 - x[1])^2 + 100(x[2] - x[1]^2)^2
rdiff( rosenbrock , x=ones(2))  # 'x=2.' indicates the type of x to rdiff

LoadError: [tograph] unmanaged type rosenbrock (Function)
while loading In[36], in expression starting on line 3

in error at /Applications/Julia-0.4.3.app/Contents/Resources/julia/lib/julia/sys.dylib
in explore at /Users/dgleich/.julia/ReverseDiffSource/src/tograph.jl:45
in tograph at /Users/dgleich/.julia/ReverseDiffSource/src/tograph.jl:257
in rdiff at /Users/dgleich/.julia/ReverseDiffSource/src/rdiff.jl:25

## Finite differences¶

We can also use a finite difference approximation. The idea is that the derivative is formally $$f'(x) = \lim_{h\to 0} \frac{f(x+h) - f(x)}{h}$$ and so we should be able to get a good approximation by using $$f'(x) \approx \frac{f(x+h) - f(x)}{h}$$ with $h$ very small

In [37]:
h = 0.01
expderiv(x) = (exp(x+h)-exp(x))./h
xx = linspace(-2,2,1000)
plot(xx,exp(xx))
plot!(xx,expderiv(xx))
title!(string(norm(exp(xx) - expderiv(xx),Inf)))

Out[37]:
In [38]:
@manipulate for h=logspace(-16,-1,16)
expderiv(x) = (exp(x+h)-exp(x))./h
xx = linspace(-2,2,1000)
plot(xx,exp(xx))
plot!(xx,expderiv(xx))
title!(string(norm(exp(xx) - expderiv(xx),Inf))).o
end

Out[38]: