Orbits/julia_code/DerivativesOfProfit_enzyme.ipynb

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 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "id": "41dcca64-963f-488e-b92e-f1dc5109359a",
   "metadata": {},
   "outputs": [],
   "source": [
    "using Enzyme"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "ca966ab8-469e-4f8c-af54-579c55f54bd4",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "()"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "\n",
    "function mymul!(R, A, B)\n",
    "    @assert axes(A,2) == axes(B,1)\n",
    "    @inbounds @simd for i in eachindex(R)\n",
    "        R[i] = 0\n",
    "    end\n",
    "    @inbounds for j in axes(B, 2), i in axes(A, 1)\n",
    "        @inbounds @simd for k in axes(A,2)\n",
    "            R[i,j] += A[i,k] * B[k,j]\n",
    "        end\n",
    "    end\n",
    "    nothing\n",
    "end\n",
    "\n",
    "\n",
    "A = rand(5, 3)\n",
    "B = rand(3, 7)\n",
    "\n",
    "R = zeros(size(A,1), size(B,2))\n",
    "∂z_∂R = rand(size(R)...)  # Some gradient/tangent passed to us\n",
    "\n",
    "∂z_∂A = zero(A)\n",
    "∂z_∂B = zero(B)\n",
    "\n",
    "Enzyme.autodiff(mymul!, Const, Duplicated(R, ∂z_∂R), Duplicated(A, ∂z_∂A), Duplicated(B, ∂z_∂B))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "7442bfb5-3146-493d-9abc-9afeb56c0471",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "true"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "R ≈ A * B            &&\n",
    "∂z_∂A ≈ ∂z_∂R * B'   &&  # equivalent to Zygote.pullback(*, A, B)[2](∂z_∂R)[1]\n",
    "∂z_∂B ≈ A' * ∂z_∂R       # equivalent to Zygote.pullback(*, A, B)[2](∂z_∂R)[2]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "36a4cd0f-c5e2-4a6f-b434-2d347686a08b",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "3×7 Matrix{Float64}:\n",
       " 0.0  0.0  0.0  0.0  0.0  0.0  0.0\n",
       " 0.0  0.0  0.0  0.0  0.0  0.0  0.0\n",
       " 0.0  0.0  0.0  0.0  0.0  0.0  0.0"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "#reset\n",
    "R = zeros(size(A,1), size(B,2))\n",
    "∂z_∂R = rand(size(R)...)  # Some gradient/tangent passed to us\n",
    "\n",
    "∂z_∂A = zero(A)\n",
    "∂z_∂B = zero(B)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "49cbf4e1-1ef0-4428-90af-02ac2b46c2a8",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "revenue! (generic function with 1 method)"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "function revenue!(R, A, B)\n",
    "    @assert axes(A,2) == axes(B,1)\n",
    "    @inbounds @simd for i in eachindex(R)\n",
    "        R[i] = 0\n",
    "    end\n",
    "    @inbounds for j in axes(B, 2), i in axes(A, 1)\n",
    "        @inbounds @simd for k in axes(A,2)\n",
    "            R[i,j] += A[i,k] * B[k,j]\n",
    "        end\n",
    "    end\n",
    "    nothing\n",
    "end\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "5fea97a5-39ac-4ade-9cb4-4aba66a80825",
   "metadata": {},
   "outputs": [],
   "source": [
    "batch_size = 5;\n",
    "constellations = 2;\n",
    "payoff_mat = zeros(batch_size,1);\n",
    "\n",
    "stocks = rand(batch_size, constellations);\n",
    "\n",
    "payoffs = rand(constellations,1);"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "d06ec650-621c-4a97-8bbd-0bfcfd4ab8d5",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "5×1 Matrix{Float64}:\n",
       " 0.05943992677268309\n",
       " 0.16746133343364858\n",
       " 0.22311130107900645\n",
       " 0.1326381498910713\n",
       " 0.23997313509634804"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "revenue!(payoff_mat, stocks,payoffs)\n",
    "\n",
    "payoff_mat"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "id": "86425c6b-baa3-494d-8c2c-35eaf08cefaf",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "5×1 Matrix{Float64}:\n",
       " 1.0\n",
       " 1.0\n",
       " 1.0\n",
       " 1.0\n",
       " 1.0"
      ]
     },
     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "payoff_mat = zero(payoff_mat)\n",
    "∂payoff_mat = ones(size(payoff_mat)...)\n",
    "\n",
    "∂stocks = zero(stocks)\n",
    "∂payoff_mat"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "fbb5fa3f-b3c6-48bf-9df2-657d5d7aae18",
   "metadata": {},
   "outputs": [],
   "source": [
    "autodiff(revenue!\n",
    "    ,Duplicated(payoff_mat, ∂payoff_mat)\n",
    "    ,Const(payoffs)\n",
    "    ,Duplicated(stocks,∂stocks)\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "0872e372-f3d1-4fca-b89f-f134a3dc563d",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "984b1bd7-e53a-41c3-bafd-f56aacdae4b7",
   "metadata": {},
   "outputs": [],
   "source": []
  }
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