Python | C++漂移扩散方程和无风险套利公式算法微分

亚图跨际

已于 2024-06-15 17:42:53 修改

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分类专栏：数学 Python C/C++ 文章标签： python 方程公式数学偏微分累积几何

于 2024-06-15 17:08:30 首次发布

本文链接：https://blog.csdn.net/jiyotin/article/details/139705103

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🎯要点

🍇Python和C++计算微分正反向累积

算法微分在机器学习领域尤为重要。例如，它允许人们在神经网络中实现反向传播，而无需手动计算导数。

计算微分的基础是复合函数偏导数链式法则提供的微分分解。简单结构如：
$\begin{aligned} y & =f(g(h(x)))=f\left(g\left(h\left(w_0\right)\right)\right)=f\left(g\left(w_1\right)\right)=f\left(w_2\right)=w_3 \\ w_0 & =x \\ w_1 & =h\left(w_0\right) \\ w_2 & =g\left(w_1\right) \\ w_3 & =f\left(w_2\right)=y \end{aligned}$
由链式法则得出：
$\frac{\partial y}{\partial x}=\frac{\partial y}{\partial w_2} \frac{\partial w_2}{\partial w_1} \frac{\partial w_1}{\partial x}=\frac{\partial f\left(w_2\right)}{\partial w_2} \frac{\partial g\left(w_1\right)}{\partial w_1} \frac{\partial h\left(w_0\right)}{\partial x}$
通常，存在两种不同的计算微分模式：正向累积和反向累积。

正向累积指定从内到外遍历链式法则（即首先计算 $\partial w_1 / \partial x$ ，然后计算 $\partial w_2 / \partial w_1$ ，最后计算 $\partial y / \partial w_2$ ），而反向累积是从外到内的遍历（首先计算 $\partial y / \partial w_2$ ，然后计算 $\partial w_2 / \partial w_1$ ，最后计算 $\partial w_1 / \partial x$ ）。更简洁地说，

正向累积计算递归关系： $\frac{\partial w_i}{\partial x}=\frac{\partial w_i}{\partial w_{i-1}} \frac{\partial w_{i-1}}{\partial x}$ 且 $w_3=y$

反向累积计算递归关系： $\frac{\partial y}{\partial w_i}=\frac{\partial y}{\partial w_{i+1}} \frac{\partial w_{i+1}}{\partial w_i}$ 且 $w_0=x$

正向累积在一次传递中计算函数和导数（但每个仅针对一个独立变量）。相关方法调用期望表达式 Z 相对于变量 V 导出。该方法返回一对已求值的函数及其导数。该方法递归遍历表达式树，直到到达变量。如果请求相对于此变量的导数，则其导数为 1，否则为 0。然后求偏函数以及偏导数。

伪代码：

tuple<float,float> evaluateAndDerive(Expression Z, Variable V) {
   if isVariable(Z)
      if (Z = V) return {valueOf(Z), 1};
      else return {valueOf(Z), 0};
   else if (Z = A + B)
      {a, a'} = evaluateAndDerive(A, V);
      {b, b'} = evaluateAndDerive(B, V);
      return {a + b, a' + b'};
   else if (Z = A - B)
      {a, a'} = evaluateAndDerive(A, V);
      {b, b'} = evaluateAndDerive(B, V);
      return {a - b, a' - b'};
   else if (Z = A * B)
      {a, a'} = evaluateAndDerive(A, V);
      {b, b'} = evaluateAndDerive(B, V);
      return {a * b, b * a' + a * b'};
}

Python实现正向累积：

class ValueAndPartial:
    def __init__(self, value, partial):
        self.value = value
        self.partial = partial

    def toList(self):
        return [self.value, self.partial]

class Expression:
    def __add__(self, other):
        return Plus(self, other)

    def __mul__(self, other):
        return Multiply(self, other)

class Variable(Expression):
    def __init__(self, value):
        self.value = value

    def evaluateAndDerive(self, variable):
        partial = 1 if self == variable else 0
        return ValueAndPartial(self.value, partial)

class Plus(Expression):
    def __init__(self, expressionA, expressionB):
        self.expressionA = expressionA
        self.expressionB = expressionB

    def evaluateAndDerive(self, variable):
        valueA, partialA = self.expressionA.evaluateAndDerive(variable).toList()
        valueB, partialB = self.expressionB.evaluateAndDerive(variable).toList()
        return ValueAndPartial(valueA + valueB, partialA + partialB)

class Multiply(Expression):
    def __init__(self, expressionA, expressionB):
        self.expressionA = expressionA
        self.expressionB = expressionB

    def evaluateAndDerive(self, variable):
        valueA, partialA = self.expressionA.evaluateAndDerive(variable).toList()
        valueB, partialB = self.expressionB.evaluateAndDerive(variable).toList()
        return ValueAndPartial(valueA * valueB, valueB * partialA + valueA * partialB)

# Example: Finding the partials of z = x * (x + y) + y * y at (x, y) = (2, 3)
x = Variable(2)
y = Variable(3)
z = x * (x + y) + y * y
xPartial = z.evaluateAndDerive(x).partial
yPartial = z.evaluateAndDerive(y).partial
print("∂z/∂x =", xPartial)  # Output: ∂z/∂x = 7
print("∂z/∂y =", yPartial)  # Output: ∂z/∂y = 8

C++实现正向累积：

#include <iostream>
struct ValueAndPartial { float value, partial; };
struct Variable;
struct Expression {
   virtual ValueAndPartial evaluateAndDerive(Variable *variable) = 0;
};
struct Variable: public Expression {
   float value;
   Variable(float value): value(value) {}
   ValueAndPartial evaluateAndDerive(Variable *variable) {
      float partial = (this == variable) ? 1.0f : 0.0f;
      return {value, partial};
   }
};
struct Plus: public Expression {
   Expression *a, *b;
   Plus(Expression *a, Expression *b): a(a), b(b) {}
   ValueAndPartial evaluateAndDerive(Variable *variable) {
      auto [valueA, partialA] = a->evaluateAndDerive(variable);
      auto [valueB, partialB] = b->evaluateAndDerive(variable);
      return {valueA + valueB, partialA + partialB};
   }
};
struct Multiply: public Expression {
   Expression *a, *b;
   Multiply(Expression *a, Expression *b): a(a), b(b) {}
   ValueAndPartial evaluateAndDerive(Variable *variable) {
      auto [valueA, partialA] = a->evaluateAndDerive(variable);
      auto [valueB, partialB] = b->evaluateAndDerive(variable);
      return {valueA * valueB, valueB * partialA + valueA * partialB};
   }
};
int main () {
   // Example: Finding the partials of z = x * (x + y) + y * y at (x, y) = (2, 3)
   Variable x(2), y(3);
   Plus p1(&x, &y); Multiply m1(&x, &p1); Multiply m2(&y, &y); Plus z(&m1, &m2);
   float xPartial = z.evaluateAndDerive(&x).partial;
   float yPartial = z.evaluateAndDerive(&y).partial;
   std::cout << "∂z/∂x = " << xPartial << ", "
             << "∂z/∂y = " << yPartial << std::endl;
   // Output: ∂z/∂x = 7, ∂z/∂y = 8
   return 0;
}

反向累积需要两次传递：在正向传递中，首先评估函数并缓存部分结果。在反向传递中，计算偏导数并反向传播先前导出的值。相应的方法调用期望表达式 Z 被导出，并以父表达式的导出值为种子。对于顶部表达式 Z 相对于 Z 导出，这是 1。该方法递归遍历表达式树，直到到达变量并将当前种子值添加到导数表达式。

伪代码：

void derive(Expression Z, float seed) {
   if isVariable(Z)
      partialDerivativeOf(Z) += seed;
   else if (Z = A + B)
      derive(A, seed);
      derive(B, seed);
   else if (Z = A - B)
      derive(A, seed);
      derive(B, -seed);
   else if (Z = A * B)
      derive(A, valueOf(B) * seed);
      derive(B, valueOf(A) * seed);
}

Python实现反向累积：

class Expression:
    def __add__(self, other):
        return Plus(self, other)
    def __mul__(self, other):
        return Multiply(self, other)

class Variable(Expression):
    def __init__(self, value):
        self.value = value
        self.partial = 0

    def evaluate(self):
        pass

    def derive(self, seed):
        self.partial += seed

class Plus(Expression):
    def __init__(self, expressionA, expressionB):
        self.expressionA = expressionA
        self.expressionB = expressionB
        self.value = None

    def evaluate(self):
        self.expressionA.evaluate()
        self.expressionB.evaluate()
        self.value = self.expressionA.value + self.expressionB.value

    def derive(self, seed):
        self.expressionA.derive(seed)
        self.expressionB.derive(seed)

class Multiply(Expression):
    def __init__(self, expressionA, expressionB):
        self.expressionA = expressionA
        self.expressionB = expressionB
        self.value = None

    def evaluate(self):
        self.expressionA.evaluate()
        self.expressionB.evaluate()
        self.value = self.expressionA.value * self.expressionB.value

    def derive(self, seed):
        self.expressionA.derive(self.expressionB.value * seed)
        self.expressionB.derive(self.expressionA.value * seed)

# Example: Finding the partials of z = x * (x + y) + y * y at (x, y) = (2, 3)
x = Variable(2)
y = Variable(3)
z = x * (x + y) + y * y
z.evaluate()
print("z =", z.value)        # Output: z = 19
z.derive(1)
print("∂z/∂x =", x.partial)  # Output: ∂z/∂x = 7
print("∂z/∂y =", y.partial)  # Output: ∂z/∂y = 8

C++实现反向累积：

#include <iostream>
struct Expression {
   float value;
   virtual void evaluate() = 0;
   virtual void derive(float seed) = 0;
};
struct Variable: public Expression {
   float partial;
   Variable(float _value) {
      value = _value;
      partial = 0;
   }
   void evaluate() {}
   void derive(float seed) {
      partial += seed;
   }
};
struct Plus: public Expression {
   Expression *a, *b;
   Plus(Expression *a, Expression *b): a(a), b(b) {}
   void evaluate() {
      a->evaluate();
      b->evaluate();
      value = a->value + b->value;
   }
   void derive(float seed) {
      a->derive(seed);
      b->derive(seed);
   }
};
struct Multiply: public Expression {
   Expression *a, *b;
   Multiply(Expression *a, Expression *b): a(a), b(b) {}
   void evaluate() {
      a->evaluate();
      b->evaluate();
      value = a->value * b->value;
   }
   void derive(float seed) {
      a->derive(b->value * seed);
      b->derive(a->value * seed);
   }
};
int main () {
   // Example: Finding the partials of z = x * (x + y) + y * y at (x, y) = (2, 3)
   Variable x(2), y(3);
   Plus p1(&x, &y); Multiply m1(&x, &p1); Multiply m2(&y, &y); Plus z(&m1, &m2);
   z.evaluate();
   std::cout << "z = " << z.value << std::endl;
   // Output: z = 19
   z.derive(1);
   std::cout << "∂z/∂x = " << x.partial << ", "
             << "∂z/∂y = " << y.partial << std::endl;
   // Output: ∂z/∂x = 7, ∂z/∂y = 8
   return 0;
}

👉参阅一：计算思维

👉参阅二：亚图跨际

亚图跨际

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Python | C++漂移扩散方程和无风险套利公式算法微分

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