{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/automatic-differentiation-of-programs-with","title":"Automatic Differentiation of Programs with Discrete Randomness","arxiv_id":"2210.08572","date":"2022-10-16","proceeding":null,"authors":["Gaurav Arya","Moritz Schauer","Frank Schäfer","Chris Rackauckas"],"abstract":"Automatic differentiation (AD), a technique for constructing new programs which compute the derivative of an original program, has become ubiquitous throughout scientific computing and deep learning due to the improved performance afforded by gradient-based optimization. However, AD systems have been restricted to the subset of programs that have a continuous dependence on parameters. Programs that have discrete stochastic behaviors governed by distribution parameters, such as flipping a coin with probability $p$ of being heads, pose a challenge to these systems because the connection between the result (heads vs tails) and the parameters ($p$) is fundamentally discrete. In this paper we develop a new reparameterization-based methodology that allows for generating programs whose expectation is the derivative of the expectation of the original program. We showcase how this method gives an unbiased and low-variance estimator which is as automated as traditional AD mechanisms. We demonstrate unbiased forward-mode AD of discrete-time Markov chains, agent-based models such as Conway's Game of Life, and unbiased reverse-mode AD of a particle filter. Our code package is available at https://github.com/gaurav-arya/StochasticAD.jl.","url_abs":"https://arxiv.org/abs/2210.08572v3","url_pdf":"https://arxiv.org/pdf/2210.08572v3.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"automatic-differentiation-of-programs-with","repo_url":"https://github.com/gaurav-arya/stochasticad.jl","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":{"status":"ok","spdx":"MIT"}}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=2210.08572","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}