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Higher-order commutative noise produces commutative noise during BacksolveAdjoint¤


Consider solving the Ito SDE

\(\mathrm{d}y(t) = μ(t, y(t))\mathrm{d}t + σ(t, y(t)) \mathrm{d}w(t)\)

or the Stratonovich SDE

\(\mathrm{d}y(t) = μ(t, y(t))\mathrm{d}t + σ(t, y(t))\circ\mathrm{d}w(t)\)

in either case assumed to satisfy the commutativity condition

\(σ_{i\, j_2} \frac{\partial σ_{k\, j_1}}{\partial y_i} = σ_{i\, j_1} \frac{\partial σ_{k\, j_2}}{\partial y_i}\).

Then the backward pass solved during diffrax.BacksolveAdjoint will also satisfy the commutativity condition if and only if the following higher-order commutativity condition is satisfied.

\(σ_{i\, j_2} \frac{\partial^2 σ_{k\, j_1}}{\partial y_i \partial y_m} = σ_{i\, j_1} \frac{\partial^2 σ_{k\, j_2}}{\partial y_i \partial y_m}\)


The commutativity condition is a common prerequisite for solving an SDE with a higher-order solver.


The higher-order commutativity condition is satisfied by all the dominant subclasses of commutative noise: additive noise, diagonal noise, scalar noise. It is also satisfied by noise that is affine in the state \(y\). But it is not obviously satisfied by commutative noise in general?

As far as I know the higher-order commutativity condition is new here.


Without loss of generality we consider specifically the reverse-time adjoint SDE (formally justified using rough path theory, see [1, Appendix C.3.3])

\(\mathrm{d}a_i(t) = -a_j(t) \frac{\partial μ_j}{\partial y_i}(t, y(t))\mathrm{d}t - a_j(t) \frac{\partial σ_{j\, k}}{\partial y_i}(t, y(t)) \circ \mathrm{d}w_k.\)

This is without loss of generality as:

  • If the SDE is Ito then we convert it to Stratonovich; this incurs a correction term in the drift but does not affect the diffusion, and it is only the diffusion we are interested in.
  • We do not consider the derivatives with respect to any parameters \(θ\) as these may be treated as derivatives with respect to \(y(0)\) in the usual way.
  • We do not consider solving the original SDE for \(y\) backwards-in-time. In isolation then by assumption this already has commutative noise. Then, taking any individual path \(y\), we may treat the reverse-time adjoint SDE in isolation. (Note that the coupling between \(y\) and \(w\) is irrelevant: by rough path theory we may place ourselves in the deterministic setting.)

Let \(Σ_{i\, k}(t, a) = -a_j \frac{\partial σ_{j\, k}}{\partial y_i}(t, y(t))\).


\(Σ_{i\, j_2} \frac{\partial Σ_{k\, j_1}}{\partial a_i} = a_m \frac{\partial σ_{m\, j_2}}{\partial y_i} δ_{i\, n} \frac{\partial σ_{n\, j_1}}{\partial y_k} = a_m \frac{\partial σ_{m\, j_2}}{\partial y_i} \frac{\partial σ_{i\, j_1}}{\partial y_k}\)

Now differentiate the commutativity condition for \(σ\), with respect to \(y_m\), to obtain

\(\frac{\partial σ_{i\, j_2}}{\partial y_m} \frac{\partial σ_{k\, j_1}}{\partial y_i} + σ_{i\, j_2} \frac{\partial^2 σ_{k\, j_1}}{\partial y_i \partial y_m} = \frac{\partial σ_{i\, j_1}}{\partial y_m} \frac{\partial σ_{k\, j_2}}{\partial y_i} + σ_{i\, j_1} \frac{\partial^2 σ_{k\, j_2}}{\partial y_i \partial y_m}\)

which may be substituted into the previous equation to obtain

\(a_m \frac{\partial σ_{m\, j_1}}{\partial y_i} \frac{\partial σ_{i j_2}}{\partial y_k} + a_m \left[ σ_{i\, j_2} \frac{\partial^2 σ_{m\, j_1}}{\partial y_i \partial y_k} - σ_{i\, j_1}\frac{\partial^2 σ_{m\, j_2}}{\partial y_i \partial y_k}\right]\)

We recognise the first term as the desired commutativity relation for \(Σ\); that is we will satisfy the commutativity relation if and only if the second term is zero. Now \(a_m\) is arbitrary so by taking it to equal every basis vector in turn, we find that the the higher-order commmutativty condition for \(σ\) is precisely the condition needed for \(Σ\) to satisfy the commutativity condition.


[1] Kidger, On Neural Differential Equations, PhD Thesis, University of Oxford, 2021