A review of automatic differentiation and its efficient implementation

Derivatives play a critical role in computational statistics, examples being Bayesian inference using Hamiltonian Monte Carlo sampling and the training of neural networks. Automatic differentiation (AD) is a powerful tool to automate the calculation of derivatives and is preferable to more traditional methods, especially when differentiating complex algorithms and mathematical functions. The implementation of AD, however, requires some care to insure efficiency. Modern differentiation packages deploy a broad range of computational techniques to improve applicability, run time, and memory management. Among these techniques are operation overloading, region‐based memory, and expression templates. There also exist several mathematical techniques which can yield high performance gains when applied to complex algorithms. For example, semi‐analytical derivatives can reduce by orders of magnitude the runtime required to numerically solve and differentiate an algebraic equation. Open and practical problems include the extension of current packages to provide more specialized routines, and finding optimal methods to perform higher‐order differentiation. This article is categorized under: Algorithmic Development > Scalable Statistical Methods Automatic differentiation is a powerful tool to differentiate mathematical functions and algorithms. It has, over the past years, been applied to many branches of computational statistics. This article reviews some important mathematical and computational considerations required for its efficient implementation.