We develped DiscoGrad, a tool for automatic differentiation through C++ programs involving input-dependent control flow (e.g., "if (f(x) < c) { ... }", differentiating wrt. x) and randomness. Our initial motivation was to enable the use of gradient descent with simulations, which often rely heavily on such discrete branching. The latter makes plain autodiff mostly useless, since it can only account for the single path taken through the program. Our tool offers several backends that handle this situation, giving useful descent directions for optimization by accounting for alternative branches. Besides simulations, this problem arises in many other places, for example in deep learning when trying to combine imperative programs with neural networks.

In a nutshell, DiscoGrad applies an (LLVM-based) source-to-source transformation to your C++ program, adding some calls to our header library, which then handles the gradient computation. What sets it apart from similar tools/estimators is that it's fully automatic (no need to come up with a differentiable problem formulation/reparametrization) and that the branching condition can be any function of the program inputs (no need to know upfront what distribution the condition follows).

We're currently a team of two working on DiscoGrad as part of a research project, so don't expect to see production-grade code quality, but we do intend for it to be more than a throwaway research prototype. Use cases we've successfully tested include calibrating simulation models of epidemics or evacuation scenarios via gradient descent, and combining simulations with neural networks in an end-to-end trainable fashion.

We hope you find this interesting and useful, and we're happy to answer questions!