rjhogan/Adept-2

Combined array and automatic differentiation library in C++

Adept 2: Combined array and automatic differentiation library in C++

Introduction

The Adept version 2.1 software library provides three different functionalities:

• Its automatic differentiation capability enables algorithms written in C++ to be differentiated with little code modification, very useful for a wide range of applications that involve mathematical optimization. It is backwards compatible with and as fast as Adept 1.1. The name "Adept" refers to "Automatic Differentiation using Expression Templates".

• Its array capability provides support for vectors, matrices, arrays of up to 7 dimensions and linear algebra. Adept 2 uses a single expression-template framework under the hood to enable array operations to be differentiated with very good computational performance.

• Its optimization capability provides the various minimization algorithms (Levenberg, Levenberg-Marquardt, Conjugate Gradient and Limited Memory BFGS) each of which can be used with or without box constraints on the state variables. The interface to the optimization functionality is in terms of Adept vectors and matrices.

If you are not interested in the array or optimization capabilities of Adept 2 then Adept 1.1 may be more to your liking as a very lightweight library that has virtually all the automatic-differentiation capabilities of version 2.

Documentation and links

• The Adept web site for formal Adept releases
• The Adept-2 GitHub page for the latest snapshot
• The Adept-1.1 GitHub page for the older (scalar) library
• A detailed User Guide
• A paper describing the automatic differentiation capability: Hogan, R. J., 2014: Fast reverse-mode automatic differentiation using expression templates in C++. ACM Trans. Math. Softw. 40, 26:1-26:16
• The Adept Wikipedia page
• Bug fixes, and queries not answered by the documentation, should be addressed to Robin Hogan (r.j.hogan at ecmwf.int)

Installation

To build Adept from a GitHub snapshot, first do the following to recreate the configure script (requiring the autotools package):

autoreconf -i

Formal release packages already contain a configure script. The normal build sequence is then:

./configure
make
make check
make install

Please consult the User Guide for further installation options; in particular, if you plan to make serious us of matrix multiplication and linear algebra then you should compile Adept to use an optimized BLAS library such as OpenBLAS.

License and copyright

The code in this package has a mix of copyright owners:

Copyright (C) 2012-2015 University of Reading

Copyright (C) 2015- European Centre for Medium-Range Weather Forecasts

Two licenses are used for the code in this package:

• The files that form the Adept library are distributed under the conditions of the Apache License, Version 2 - see the COPYING file for details. This is a permissive free-software license but one that does impose a few conditions if you intend to distribute derivative works. The files this license applies to are those in the include/ and adept/ directories, and the subdirectories below them.

• All code in the test/ and benchmark/ directories is subject to the terms of the GNU all-permissive license, given at the top of those files - basically you can do what you like with the code from these files.

If you use Adept in published scientific work then it is requested that you cite the Hogan (2014) paper above, but this is not a condition of the license.