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boost

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bob-carpenter
bob-carpenter commented May 16, 2022

Description

Add adjoint-Jacobian specialization for reverse mode for the fast Fourier transform (FFT) and its inverse.

Example

FFT case

If y = fft(x), then the adjoint-Jacobian is just the inverse FFT applied to the adjoint of the result,

adjoint(x) += ifft(adjoint(y))

Inverse FFT case

If y = ifft(x), then the adjoint-Jacobian update rule is inve

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