ScalaGrad: A Statically Typed Automatic Differentiation Library for Safer Data Science

While the data science ecosystem is dominated by programming languages that do not feature a strong type system, it is widely agreed that using strongly typed programming languages leads to more maintainable and less error-prone code and ultimately more trustworthy results. We believe Scala 3 would be an excellent contender for data science in a strongly typed language, but it lacks a general automatic differentiation library, e.g., for gradient-based learning. We present ScalaGrad, a general and type-safe automatic differentiation library designed for Scala. It builds on and improves a novel approach from the functional programming community using immutable duals, which is conceptually simple, asymptotically optimal and allows differentiation of higher-order code. We demonstrate the ease of use, robust performance, and versatility of ScalaGrad through its applications to deep learning, higher-order optimization, and gradient-based sampling. Specifically, we show an execution speed comparable to PyTorch for a simple deep learning use case, capabilities for higher-order differentiation, and opportunities to design more specialized libraries decoupled from ScalaGrad. As data science challenges evolve in complexity, ScalaGrad provides a pathway to harness the inherent advantages of strongly typed languages, ensuring both robustness and maintainability.