Higher-Order Gradient Computation

You've learned how PyTorch's autograd engine dynamically builds a computational graph and traverses it backward to compute gradients, like $\frac{\partial L}{\partial w}$. This is the foundation for training most neural networks. However, certain advanced techniques require computing gradients of gradients, known as higher-order gradients.

Consider a function $f(x)$. Its first derivative is $f'(x) = \frac{df}{dx}$. The second derivative is $f''(x) = \frac{d^2f}{dx^2}$, which is simply the derivative of the first derivative. Similarly, we can compute third-order, fourth-order, and higher-order derivatives. In the context of multi-variable functions like neural network losses $L(\theta)$ with parameters $\theta$, we often deal with partial derivatives. The first-order gradients form the gradient vector $\nabla L$. Higher-order derivatives involve structures like the Hessian matrix (matrix of second-order partial derivatives, $\nabla^2 L$) or even higher-order tensors.

PyTorch's autograd engine is capable of handling these computations. While the standard .backward() method is primarily designed for first-order gradients, the functional interface torch.autograd.grad provides the flexibility needed for higher-order differentiation.

Why Compute Higher-Order Gradients?

Computing higher-order gradients is essential for several advanced applications:

1. Optimization Algorithms: Methods like Newton's method or trust-region methods utilize second-order information (the Hessian matrix) to potentially achieve faster convergence than first-order methods like SGD or Adam. While computing the full Hessian is often infeasible for large networks, techniques like Hessian-vector products ($\nabla^2 L v$) can be computed efficiently using higher-order autodifferentiation and are used in some optimization strategies.
2. Curvature Analysis: The second derivatives (Hessian) describe the curvature of the loss. Analyzing this curvature can provide insights into the optimization process, generalization properties, and the presence of local minima or saddle points.
3. Meta-Learning: Algorithms like Model-Agnostic Meta-Learning (MAML) involve optimizing model parameters based on their performance after one or more gradient updates on a specific task. This requires differentiating through the gradient update step itself, which necessitates computing gradients of gradients.
4. Regularization Techniques: Certain regularization terms explicitly depend on gradient norms or second derivatives. For example, the gradient penalty in Wasserstein GANs with Gradient Penalty (WGAN-GP) requires computing the norm of the gradient of the critic's output with respect to its input.
5. Physics-Informed Neural Networks (PINNs): PINNs incorporate physical laws, often expressed as partial differential equations (PDEs), into the loss function. These PDEs frequently involve second-order or higher-order derivatives of the network's output with respect to its input coordinates (e.g., time and space).

Computing Higher-Order Gradients with torch.autograd.grad

The primary tool for computing higher-order gradients in PyTorch is torch.autograd.grad. Unlike the tensor.backward() method, which implicitly computes gradients for all leaf nodes requiring gradients, torch.autograd.grad is more explicit.

Its basic signature looks like this:

torch.autograd.grad(
    outputs,        # Scalar or Tensor(s) to be differentiated
    inputs,         # Tensor(s) w.r.t. which the gradient is computed
    grad_outputs=None, # Gradient of the loss w.r.t. 'outputs' (for vector-Jacobian product)
    retain_graph=None, # If True, graph is kept; otherwise freed.
    create_graph=False, # If True, construct graph for the gradient computation itself
    allow_unused=False
)

The critical parameter for higher-order gradients is create_graph=True. When you compute first-order gradients using torch.autograd.grad with create_graph=True, PyTorch not only calculates the gradients but also builds the necessary graph structure that allows you to differentiate through this gradient computation later. If create_graph=False (the default), the gradient calculation is treated as a terminal operation; the resulting gradients are just tensors without any history connecting them back to the original parameters through the differentiation process.

Let's look at a simple example. Suppose we have $y = x^3$. We want to compute $\frac{dy}{dx} = 3x^2$ and $\frac{d^2y}{dx^2} = 6x$.

import torch

# Input tensor requires gradients
x = torch.tensor([2.0], requires_grad=True)

# First computation: y = x^3
y = x**3
print(f"y = {y.item()}")

# Compute first derivative: dy/dx
# Use create_graph=True to allow computing higher-order gradients
grad_y_x = torch.autograd.grad(outputs=y, inputs=x, create_graph=True)[0]
print(f"dy/dx at x={x.item()}: {grad_y_x.item()}") # Should be 3 * (2^2) = 12

# grad_y_x is now a tensor with its own computation graph
print(f"Gradient tensor requires_grad: {grad_y_x.requires_grad}")

# Compute second derivative: d^2y/dx^2 = d/dx (dy/dx)
# We differentiate the *first gradient* (grad_y_x) w.r.t x
# No need for create_graph=True here unless we want third-order gradients
grad2_y_x2 = torch.autograd.grad(outputs=grad_y_x, inputs=x)[0]
print(f"d^2y/dx^2 at x={x.item()}: {grad2_y_x2.item()}") # Should be 6 * 2 = 12

# Check requires_grad status of the second derivative
print(f"Second derivative tensor requires_grad: {grad2_y_x2.requires_grad}")

Notice that grad_y_x has requires_grad=True because we specified create_graph=True during its computation. This allows us to call torch.autograd.grad again with grad_y_x as the output. The final grad2_y_x2 has requires_grad=False because we didn't specify create_graph=True in the second call.

View of Graph Modification

When create_graph=True is used, the backward pass itself adds nodes to the computational graph.

Consider $y=x^2$, so $\frac{dy}{dx} = 2x$.

1. Forward Pass: x -> pow(2) -> y
2. Backward Pass (create_graph=False): Computes gradient ($2x$) and returns it as a new tensor detached from the graph used to compute it.
3. Backward Pass (create_graph=True): Computes gradient ($2x$), but adds operations to the graph representing how this gradient was calculated. : x -> pow(2) -> y; grad_y -> MulBackward (using saved x) -> grad_x. The output grad_x is attached to this extended graph.

The diagram contrasts the result of torch.autograd.grad with create_graph=False (middle) and create_graph=True (right). With create_graph=True, the computed gradient grad_x remains connected to the graph via the gradient computation operation (PowBackward), allowing further differentiation.

Example: Hessian-Vector Product

Let's compute the Hessian-vector product (HVP) for a simple function $f(w_1, w_2) = w_1^2 \sin(w_2)$. The gradient is $\nabla f = [\frac{\partial f}{\partial w_1}, \frac{\partial f}{\partial w_2}] = [2w_1 \sin(w_2), w_1^2 \cos(w_2)]$. The Hessian is $\nabla^2 f = \begin{pmatrix} \frac{\partial^2 f}{\partial w_1^2} & \frac{\partial^2 f}{\partial w_1 \partial w_2} \\ \frac{\partial^2 f}{\partial w_2 \partial w_1} & \frac{\partial^2 f}{\partial w_2^2} \end{pmatrix} = \begin{pmatrix} 2\sin(w_2) & 2w_1 \cos(w_2) \\ 2w_1 \cos(w_2) & -w_1^2 \sin(w_2) \end{pmatrix}$.

We want to compute $(\nabla^2 f) v$ for some vector $v$ without explicitly forming $\nabla^2 f$. We can achieve this using two torch.autograd.grad calls. The main insight is that $(\nabla^2 f) v = \nabla (\nabla f \cdot v)$, where $\nabla f \cdot v$ is the dot product (a scalar).

import torch

w = torch.tensor([1.0, torch.pi / 2.0], requires_grad=True) # w1=1, w2=pi/2
v = torch.tensor([0.5, 1.0]) # An arbitrary vector

# Define the function
f = w[0]**2 * torch.sin(w[1])

# Compute first gradient: grad_f = nabla f
grad_f = torch.autograd.grad(f, w, create_graph=True)[0]
# Expected grad_f: [2*1*sin(pi/2), 1^2*cos(pi/2)] = [2, 0]
print(f"Gradient (nabla f): {grad_f}")

# Compute the dot product: grad_f_dot_v = (nabla f) . v
# This operation needs to be part of the graph for the second differentiation
grad_f_dot_v = torch.dot(grad_f, v)
print(f"Dot product (nabla f . v): {grad_f_dot_v}") # Expected: 2*0.5 + 0*1 = 1.0

# Compute the gradient of the dot product w.r.t w: nabla (nabla f . v)
# This gives the Hessian-vector product (nabla^2 f) v
hvp = torch.autograd.grad(grad_f_dot_v, w)[0]

# Expected Hessian: [[2*sin(pi/2), 2*1*cos(pi/2)], [2*1*cos(pi/2), -1^2*sin(pi/2)]]
# = [[2, 0], [0, -1]]
# Expected HVP: [[2, 0], [0, -1]] @ [0.5, 1.0] = [2*0.5 + 0*1, 0*0.5 + (-1)*1] = [1.0, -1.0]
print(f"Hessian-vector product (nabla^2 f) v: {hvp}")

This technique avoids materializing the potentially huge Hessian matrix, requiring only vector products and gradient computations, which is much more memory-efficient for large models.

Considerations

• Computational Cost: Computing higher-order gradients is more expensive than first-order gradients. Each call to torch.autograd.grad with create_graph=True essentially doubles the depth of the graph that needs to be traversed in subsequent backward passes.
• Memory Usage: Storing the graph needed for higher-order derivatives consumes more memory.
• Double Backward: The process of calculating second derivatives is sometimes referred to as "double backward".

Understanding how to compute higher-order gradients using torch.autograd.grad and the create_graph=True flag unlocks a range of advanced capabilities in optimization, model analysis, and the implementation of complex algorithms like meta-learning and physics-informed modeling within the PyTorch framework.