DifferentiableExpectations.jl

A Julia package for differentiating through expectations with Monte-Carlo estimates.

It allows the computation of approximate derivatives for functions of the form

$$F(\theta) = \mathbb{E}_{p(\theta)}[f(X)]$$

The following estimators are implemented:

• REINFORCE
• Reparametrization

Warning: this package is experimental, use at your own risk and expect frequent breaking releases.