Training of deep learning models depends on gradient descent and end-to-end differentiation. Under the slogan of differentiable programming, there is an increasing demand for efficient automatic gradient computation for emerging network architectures that incorporate dynamic control flow, especially in NLP.

In this paper we propose an implementation of backpropagation using functions with callbacks, where the forward pass is executed as a sequence of function calls, and the backward pass as a corresponding sequence of function returns. A key realization is that this technique of chaining callbacks is well known in the programming languages community as continuation-passing style (CPS). Any program can be converted to this form using standard techniques, and hence, any program can be mechanically converted to compute gradients.

Our approach achieves the same flexibility as other reverse-mode automatic differentiation (AD) techniques, but it can be implemented without any auxiliary data structures besides the function call stack, and it can easily be combined with graph construction and native code generation techniques through forms of multi-stage programming, leading to a highly efficient implementation that combines the performance benefits of define-then-run software frameworks such as TensorFlow with the expressiveness of define-by-run frameworks such as PyTorch.