# fdm Release 0.4.1

Compute derivatives with finite-difference methods

Keywords
finite-difference, python
MIT
Install
``` pip install fdm==0.4.1 ```

# FDM: Finite Difference Methods

## Installation

FDM requires Python 3.6 or higher.

`pip install fdm`

## Multivariate Derivatives

`from fdm import gradient, jacobian, jvp, hvp`

For the purpose of illustration, let us consider a quadratic function:

```>>> a = np.random.randn(3, 3); a = a @ a.T
>>> a
array([[ 3.57224794,  0.22646662, -1.80432262],
[ 0.22646662,  4.72596213,  3.46435663],
[-1.80432262,  3.46435663,  3.70938152]])

>>> def f(x):
...     return 0.5 * x @ a @ x```

Consider the following input value:

`>>> x = np.array([1.0, 2.0, 3.0])`

```>>> grad = gradient(f)
array([-1.38778668, 20.07146076, 16.25253519])

>>> a @ x
array([-1.38778668, 20.07146076, 16.25253519])```

### Jacobians

```>>> jac = jacobian(f)
>>> jac(x)
array([[-1.38778668, 20.07146076, 16.25253519]])

>>> a @ x
array([-1.38778668, 20.07146076, 16.25253519])```

But `jacobian` also works for multi-valued functions.

```>>> def f2(x):
...     return a @ x

>>> jac2 = jacobian(f2)
>>> jac2(x)
array([[ 3.57224794,  0.22646662, -1.80432262],
[ 0.22646662,  4.72596213,  3.46435663],
[-1.80432262,  3.46435663,  3.70938152]])

>>> a
array([[ 3.57224794,  0.22646662, -1.80432262],
[ 0.22646662,  4.72596213,  3.46435663],
[-1.80432262,  3.46435663,  3.70938152]])```

### Jacobian-Vector Products (Directional Derivatives)

In the scalar case, `jvp` computes directional derivatives:

```>>> v = np.array([0.5, 0.6, 0.7])  # A direction

>>> dir_deriv = jvp(f, v)
>>> dir_deriv(x)
22.725757753354657

22.72575775335481```

In the multivariate case, `jvp` generalises to Jacobian-vector products:

```>>> prod = jvp(f2, v)
>>> prod(x)
array([0.65897811, 5.37386023, 3.77301973])

>>> a @ v
array([0.65897811, 5.37386023, 3.77301973])```

### Hessian-Vector Products

```>>> prod = hvp(f, v)
>>> prod(x)
array([[0.6589781 , 5.37386023, 3.77301973]])

>>> 0.5 * (a + a.T) @ v
array([0.65897811, 5.37386023, 3.77301973])```

## Scalar Derivatives

`>>> from fdm import central_fdm`

Let's try to estimate the first derivative of `np.sin` at `1` with a second-order method.

```>>> central_fdm(order=2, deriv=1)(np.sin, 1) - np.cos(1)
-1.2914319613699377e-09```

And let's try to estimate the second derivative of `np.sin` at `1` with a third-order method.

```>>> central_fdm(order=3, deriv=2)(np.sin, 1) + np.sin(1)
1.6342919018086377e-08```

Hm. Let's check the accuracy of this third-order method. The step size and accuracy of the method are computed upon calling `FDM.estimate`.

```>>> central_fdm(order=3, deriv=2).estimate(np.sin, 1).acc
5.476137293912896e-06```

We might want a little more accuracy. Let's check the accuracy of a fifth-order method.

```>>> central_fdm(order=5, deriv=2).estimate(np.sin, 1).acc
7.343652562575157e-10```

And let's estimate the second derivative of `np.sin` at `1` with a fifth-order method.

```>>> central_fdm(order=5, deriv=2)(np.sin, 1) + np.sin(1)
-1.7121615236703747e-10```

Hooray!

Finally, let us verify that increasing the order generally increases the accuracy.

```>>> for i in range(3, 10):
...      print(central_fdm(order=i, deriv=2)(np.sin, 1) + np.sin(1))
1.6342919018086377e-08
8.604865264771888e-09
-1.7121615236703747e-10
8.558931341440257e-12
-2.147615418834903e-12
6.80566714095221e-13
-1.2434497875801753e-14```

## Testing Sensitivities in a Reverse-Mode Automatic Differentation Framework

Consider the function

```def mul(a, b):
return a * b```

and its sensitivity

```def s_mul(s_y, y, a, b):
return s_y * b, a * s_y```

The sensitivity `s_mul` takes in the sensitivity `s_y` of the output `y`, the output `y`, and the arguments of the function `mul`; and returns a tuple containing the sensitivities with respect to `a` and `b`. Then function `check_sensitivity` can be used to assert that the implementation of `s_mul` is correct:

```>>> from fdm import check_sensitivity

>>> check_sensitivity(mul, s_mul, (2, 3))  # Test at arguments `2` and `3`.```

Suppose that the implementation were wrong, for example

```def s_mul_wrong(s_y, y, a, b):
return s_y * b, b * s_y  # Used `b` instead of `a` for the second sensitivity!```

Then `check_sensitivity` should throw an `AssertionError`:

```>>> check_sensitivity(mul, s_mul, (2, 3))
AssertionError: Sensitivity of argument 2 of function "mul" did not match numerical estimate.```