Limitations of ForwardDiff
ForwardDiff works by injecting user code with new number types that collect derivative information at runtime. Naturally, this technique has some limitations. Here's a list of all the roadblocks we've seen users run into ("target function" here refers to the function being differentiated):
The target function can only be composed of generic Julia functions. ForwardDiff cannot propagate derivative information through non-Julia code. Thus, your function may not work if it makes calls to external, non-Julia programs, e.g. uses explicit BLAS calls instead of
The target function must be unary (i.e., only accept a single argument).
ForwardDiff.jacobianis an exception to this rule.
The target function must be written generically enough to accept numbers of type
T<:Realas input (or arrays of these numbers). The function doesn't require a specific type signature, as long as the type signature is generic enough to avoid breaking this rule. This also means that any storage assigned used within the function must be generic as well (see this comment for an example).
The types of array inputs must be subtypes of
AbstractArrayarray-like types are not officially supported.