Automatic differentiation in machine learning: a survey

Derivatives, mostly in the form of gradients and Hessians, are ubiquitous in machine learning. Automatic differentiation (AD), also called algorithmic differentiation or simply "autodiff", is a family of techniques similar to but more general than backpropagation for efficiently and accurately evaluating derivatives of numeric functions expressed as computer programs. AD is a small but established field with applications in areas including computational fluid dynamics, atmospheric sciences, and engineering design optimization. Until very recently, the fields of machine learning and AD have largely been unaware of each other and, in some cases, have independently discovered each other's results. Despite its relevance, general-purpose AD has been missing from the machine learning toolbox, a situation slowly changing with its ongoing adoption under the names "dynamic computational graphs" and "differentiable programming". We survey the intersection of AD and machine learning, cover applications where AD has direct relevance, and address the main implementation techniques. By precisely defining the main differentiation techniques and their interrelationships, we aim to bring clarity to the usage of the terms "autodiff", "automatic differentiation", and "symbolic differentiation" as these are encountered more and more in machine learning settings.Comment: 43 pages, 5 figure

Group Communication Patterns for High Performance Computing in Scala

We developed a Functional object-oriented Parallel framework (FooPar) for high-level high-performance computing in Scala. Central to this framework are Distributed Memory Parallel Data structures (DPDs), i.e., collections of data distributed in a shared nothing system together with parallel operations on these data. In this paper, we first present FooPar's architecture and the idea of DPDs and group communications. Then, we show how DPDs can be implemented elegantly and efficiently in Scala based on the Traversable/Builder pattern, unifying Functional and Object-Oriented Programming. We prove the correctness and safety of one communication algorithm and show how specification testing (via ScalaCheck) can be used to bridge the gap between proof and implementation. Furthermore, we show that the group communication operations of FooPar outperform those of the MPJ Express open source MPI-bindings for Java, both asymptotically and empirically. FooPar has already been shown to be capable of achieving close-to-optimal performance for dense matrix-matrix multiplication via JNI. In this article, we present results on a parallel implementation of the Floyd-Warshall algorithm in FooPar, achieving more than 94 % efficiency compared to the serial version on a cluster using 100 cores for matrices of dimension 38000 x 38000