Merge pull request #274 from avik-pal/ap/rework_jacvec

Fix type stability and allow JacVec to be non-square jacobians

Author: ChrisRackauckas

Project.toml

@@ -1,7 +1,7 @@
 name = "SparseDiffTools"
 uuid = "47a9eef4-7e08-11e9-0b38-333d64bd3804"
 authors = ["Pankaj Mishra <[email protected]>", "Chris Rackauckas <[email protected]>"]
-version = "2.11.0"
+version = "2.12.0"
 
 [deps]
 ADTypes = "47edcb42-4c32-4615-8424-f2b9edc5f35b"
@@ -49,7 +49,7 @@ LinearAlgebra = "1.6"
 PackageExtensionCompat = "1"
 Random = "1.6"
 Reexport = "1"
-SciMLOperators = "0.2.11, 0.3"
+SciMLOperators = "0.3.7"
 Setfield = "1"
 SparseArrays = "1.6"
 StaticArrayInterface = "1.3"

src/SparseDiffTools.jl

@@ -40,6 +40,7 @@ include("coloring/greedy_star1_coloring.jl")
 include("coloring/greedy_star2_coloring.jl")
 include("coloring/matrix2graph.jl")
 
+include("differentiation/common.jl")
 include("differentiation/compute_jacobian_ad.jl")
 include("differentiation/compute_hessian_ad.jl")
 include("differentiation/jaches_products.jl")

src/differentiation/common.jl

@@ -0,0 +1,71 @@
+mutable struct JacFunctionWrapper{iip, oop, mode, F, FU, P, T} <: Function
+    f::F
+    fu::FU
+    p::P
+    t::T
+end
+
+function SciMLOperators.update_coefficients!(L::JacFunctionWrapper{iip, oop, mode}, _,
+        p, t) where {iip, oop, mode}
+    mode == 1 && (L.t = t)
+    mode == 2 && (L.p = p)
+    return L
+end
+function SciMLOperators.update_coefficients(L::JacFunctionWrapper{iip, oop, mode}, _, p,
+        t) where {iip, oop, mode}
+    return JacFunctionWrapper{iip, oop, mode, typeof(L.f), typeof(L.fu), typeof(p),
+        typeof(t)}(L.f, L.fu, p,
+        t)
+end
+
+__internal_iip(::JacFunctionWrapper{iip}) where {iip} = iip
+__internal_oop(::JacFunctionWrapper{iip, oop}) where {iip, oop} = oop
+
+(f::JacFunctionWrapper{true, oop, 1})(fu, u) where {oop} = f.f(fu, u, f.p, f.t)
+(f::JacFunctionWrapper{true, oop, 2})(fu, u) where {oop} = f.f(fu, u, f.p)
+(f::JacFunctionWrapper{true, oop, 3})(fu, u) where {oop} = f.f(fu, u)
+(f::JacFunctionWrapper{true, true, 1})(u) = f.f(u, f.p, f.t)
+(f::JacFunctionWrapper{true, true, 2})(u) = f.f(u, f.p)
+(f::JacFunctionWrapper{true, true, 3})(u) = f.f(u)
+(f::JacFunctionWrapper{true, false, 1})(u) = (f.f(f.fu, u, f.p, f.t); copy(f.fu))
+(f::JacFunctionWrapper{true, false, 2})(u) = (f.f(f.fu, u, f.p); copy(f.fu))
+(f::JacFunctionWrapper{true, false, 3})(u) = (f.f(f.fu, u); copy(f.fu))
+
+(f::JacFunctionWrapper{false, true, 1})(fu, u) = (vec(fu) .= vec(f.f(u, f.p, f.t)))
+(f::JacFunctionWrapper{false, true, 2})(fu, u) = (vec(fu) .= vec(f.f(u, f.p)))
+(f::JacFunctionWrapper{false, true, 3})(fu, u) = (vec(fu) .= vec(f.f(u)))
+(f::JacFunctionWrapper{false, true, 1})(u) = f.f(u, f.p, f.t)
+(f::JacFunctionWrapper{false, true, 2})(u) = f.f(u, f.p)
+(f::JacFunctionWrapper{false, true, 3})(u) = f.f(u)
+
+function JacFunctionWrapper(f::F, fu_, u, p, t) where {F}
+    # The warning instead of error ensures a non-breaking change for users relying on an
+    # undefined / undocumented feature
+    fu = fu_ === nothing ? copy(u) : copy(fu_)
+    if t !== nothing
+        iip = static_hasmethod(f, typeof((fu, u, p, t)))
+        oop = static_hasmethod(f, typeof((u, p, t)))
+        if !iip && !oop
+            @warn """`p` and `t` provided but `f(u, p, t)` or `f(fu, u, p, t)` not defined
+            for `f`! Will fallback to `f(u)` or `f(fu, u)`.""" maxlog=1
+        else
+            return JacFunctionWrapper{iip, oop, 1, F, typeof(fu), typeof(p), typeof(t)}(f,
+                fu, p, t)
+        end
+    elseif p !== nothing
+        iip = static_hasmethod(f, typeof((fu, u, p)))
+        oop = static_hasmethod(f, typeof((u, p)))
+        if !iip && !oop
+            @warn """`p` provided but `f(u, p)` or `f(fu, u, p)` not defined for `f`! Will
+            fallback to `f(u)` or `f(fu, u)`.""" maxlog=1
+        else
+            return JacFunctionWrapper{iip, oop, 2, F, typeof(fu), typeof(p), typeof(t)}(f,
+                fu, p, t)
+        end
+    end
+    iip = static_hasmethod(f, typeof((fu, u)))
+    oop = static_hasmethod(f, typeof((u,)))
+    !iip && !oop && throw(ArgumentError("`f(u)` or `f(fu, u)` not defined for `f`"))
+    return JacFunctionWrapper{iip, oop, 3, F, typeof(fu), typeof(p), typeof(t)}(f,
+        fu, p, t)
+end

src/differentiation/jaches_products.jl

@@ -223,36 +223,72 @@ function Base.resize!(L::FwdModeAutoDiffVecProd, n::Integer)
     end
 end
 
-function JacVec(f, u::AbstractArray, p = nothing, t = nothing;
+"""
+    JacVec(f, u, [p, t]; fu = nothing, autodiff = AutoForwardDiff(), tag = DeivVecTag(),
+        kwargs...)
+
+Returns SciMLOperators.FunctionOperator which computes jacobian-vector product `df/du * v`.
+
+!!! note
+
+    For non-square jacobians with inplace `f`, `fu` must be specified, else `JacVec` assumes
+    a square jacobian.
+
+```julia
+L = JacVec(f, u)
+
+L * v         # = df/du * v
+mul!(w, L, v) # = df/du * v
+
+L(v, p, t)    # = df/dw * v
+L(x, v, p, t) # = df/dw * v
+```
+
+## Allowed Function Signatures for `f`
+
+For Out of Place Functions:
+
+```julia
+f(u, p, t)  # t !== nothing
+f(u, p)     # p !== nothing
+f(u)        # Otherwise
+```
+
+For In Place Functions:
+
+```julia
+f(du, u, p, t)  # t !== nothing
+f(du, u, p)     # p !== nothing
+f(du, u)        # Otherwise
+```
+"""
+function JacVec(f, u::AbstractArray, p = nothing, t = nothing; fu = nothing,
         autodiff = AutoForwardDiff(), tag = DeivVecTag(), kwargs...)
+    ff = JacFunctionWrapper(f, fu, u, p, t)
+    fu === nothing && (fu = __internal_oop(ff) ? ff(u) : u)
+
     cache, vecprod, vecprod! = if autodiff isa AutoFiniteDiff
-        cache1 = similar(u)
+        cache1 = similar(fu)
         cache2 = similar(u)
 
         (cache1, cache2), num_jacvec, num_jacvec!
     elseif autodiff isa AutoForwardDiff
         cache1 = Dual{
             typeof(ForwardDiff.Tag(tag, eltype(u))), eltype(u), 1,
         }.(u, ForwardDiff.Partials.(tuple.(u)))
-
-        cache2 = copy(cache1)
+        cache2 = Dual{
+            typeof(ForwardDiff.Tag(tag, eltype(fu))), eltype(fu), 1,
+        }.(fu, ForwardDiff.Partials.(tuple.(fu)))
 
         (cache1, cache2), auto_jacvec, auto_jacvec!
     else
         error("Set autodiff to either AutoForwardDiff(), or AutoFiniteDiff()")
     end
 
-    outofplace = static_hasmethod(f, typeof((u,)))
-    isinplace = static_hasmethod(f, typeof((u, u)))
+    op = FwdModeAutoDiffVecProd(ff, u, cache, vecprod, vecprod!)
 
-    if !(isinplace) & !(outofplace)
-        error("$f must have signature f(u), or f(du, u).")
-    end
-
-    L = FwdModeAutoDiffVecProd(f, u, cache, vecprod, vecprod!)
-
-    return FunctionOperator(L, u, u; isinplace, outofplace, p, t, islinear = true,
-        kwargs...)
+    return FunctionOperator(op, u, fu; isinplace = Val(true), outofplace = Val(true), p, t,
+        islinear = true, kwargs...)
 end
 
 function HesVec(f, u::AbstractArray, p = nothing, t = nothing;

src/differentiation/vecjac_products.jl

@@ -35,7 +35,8 @@ end
 """
     VecJac(f, u, [p, t]; fu = nothing, autodiff = AutoFiniteDiff())
 
-Returns SciMLOperators.FunctionOperator which computes vector-jacobian product `df/du * v`.
+Returns SciMLOperators.FunctionOperator which computes vector-jacobian product
+`(df/du)ᵀ * v`.
 
 !!! note
 
@@ -45,11 +46,11 @@ Returns SciMLOperators.FunctionOperator which computes vector-jacobian product `
 ```julia
 L = VecJac(f, u)
 
-L * v         # = df/du * v
-mul!(w, L, v) # = df/du * v
+L * v         # = (df/du)ᵀ * v
+mul!(w, L, v) # = (df/du)ᵀ * v
 
-L(v, p, t; VJP_input = w)    # = df/dw * v
-L(x, v, p, t; VJP_input = w) # = df/dw * v
+L(v, p, t; VJP_input = w)    # = (df/du)ᵀ * v
+L(x, v, p, t; VJP_input = w) # = (df/du)ᵀ * v
 ```
 
 ## Allowed Function Signatures for `f`
@@ -72,7 +73,7 @@ f(du, u)        # Otherwise
 """
 function VecJac(f, u::AbstractArray, p = nothing, t = nothing; fu = nothing,
         autodiff = AutoFiniteDiff(), kwargs...)
-    ff = VecJacFunctionWrapper(f, fu, u, p, t)
+    ff = JacFunctionWrapper(f, fu, u, p, t)
 
     if !__internal_oop(ff) && autodiff isa AutoZygote
         msg = "Zygote requires an out of place method with signature f(u)."
@@ -83,82 +84,12 @@ function VecJac(f, u::AbstractArray, p = nothing, t = nothing; fu = nothing,
 
     op = _vecjac(ff, fu, u, autodiff)
 
-    # FIXME: FunctionOperator is terribly type unstable. It makes it `::Any`
     # NOTE: We pass `p`, `t` to Function Operator but we always use the cached version from
-    #       VecJacFunctionWrapper
-    return FunctionOperator(op, fu, u; p, t, isinplace = true, outofplace = true,
+    #       JacFunctionWrapper
+    return FunctionOperator(op, fu, u; p, t, isinplace = Val(true), outofplace = Val(true),
         islinear = true, accepted_kwargs = (:VJP_input,), kwargs...)
 end
 
-mutable struct VecJacFunctionWrapper{iip, oop, mode, F, FU, P, T} <: Function
-    f::F
-    fu::FU
-    p::P
-    t::T
-end
-
-function SciMLOperators.update_coefficients!(L::VecJacFunctionWrapper{iip, oop, mode}, _,
-        p, t) where {iip, oop, mode}
-    mode == 1 && (L.t = t)
-    mode == 2 && (L.p = p)
-    return L
-end
-function SciMLOperators.update_coefficients(L::VecJacFunctionWrapper{iip, oop, mode}, _, p,
-        t) where {iip, oop, mode}
-    return VecJacFunctionWrapper{iip, oop, mode, typeof(L.f), typeof(L.fu), typeof(p),
-        typeof(t)}(L.f, L.fu, p,
-        t)
-end
-
-__internal_iip(::VecJacFunctionWrapper{iip}) where {iip} = iip
-__internal_oop(::VecJacFunctionWrapper{iip, oop}) where {iip, oop} = oop
-
-(f::VecJacFunctionWrapper{true, oop, 1})(fu, u) where {oop} = f.f(fu, u, f.p, f.t)
-(f::VecJacFunctionWrapper{true, oop, 2})(fu, u) where {oop} = f.f(fu, u, f.p)
-(f::VecJacFunctionWrapper{true, oop, 3})(fu, u) where {oop} = f.f(fu, u)
-(f::VecJacFunctionWrapper{true, true, 1})(u) = f.f(u, f.p, f.t)
-(f::VecJacFunctionWrapper{true, true, 2})(u) = f.f(u, f.p)
-(f::VecJacFunctionWrapper{true, true, 3})(u) = f.f(u)
-(f::VecJacFunctionWrapper{true, false, 1})(u) = (f.f(f.fu, u, f.p, f.t); copy(f.fu))
-(f::VecJacFunctionWrapper{true, false, 2})(u) = (f.f(f.fu, u, f.p); copy(f.fu))
-(f::VecJacFunctionWrapper{true, false, 3})(u) = (f.f(f.fu, u); copy(f.fu))
-
-(f::VecJacFunctionWrapper{false, true, 1})(fu, u) = (vec(fu) .= vec(f.f(u, f.p, f.t)))
-(f::VecJacFunctionWrapper{false, true, 2})(fu, u) = (vec(fu) .= vec(f.f(u, f.p)))
-(f::VecJacFunctionWrapper{false, true, 3})(fu, u) = (vec(fu) .= vec(f.f(u)))
-(f::VecJacFunctionWrapper{false, true, 1})(u) = f.f(u, f.p, f.t)
-(f::VecJacFunctionWrapper{false, true, 2})(u) = f.f(u, f.p)
-(f::VecJacFunctionWrapper{false, true, 3})(u) = f.f(u)
-
-function VecJacFunctionWrapper(f::F, fu_, u, p, t) where {F}
-    fu = fu_ === nothing ? copy(u) : copy(fu_)
-    if t !== nothing
-        iip = static_hasmethod(f, typeof((fu, u, p, t)))
-        oop = static_hasmethod(f, typeof((u, p, t)))
-        if !iip && !oop
-            throw(ArgumentError("`f(u, p, t)` or `f(fu, u, p, t)` not defined for `f`"))
-        end
-        return VecJacFunctionWrapper{iip, oop, 1, F, typeof(fu), typeof(p), typeof(t)}(f,
-            fu, p, t)
-    elseif p !== nothing
-        iip = static_hasmethod(f, typeof((fu, u, p)))
-        oop = static_hasmethod(f, typeof((u, p)))
-        if !iip && !oop
-            throw(ArgumentError("`f(u, p)` or `f(fu, u, p)` not defined for `f`"))
-        end
-        return VecJacFunctionWrapper{iip, oop, 2, F, typeof(fu), typeof(p), typeof(t)}(f,
-            fu, p, t)
-    else
-        iip = static_hasmethod(f, typeof((fu, u)))
-        oop = static_hasmethod(f, typeof((u,)))
-        if !iip && !oop
-            throw(ArgumentError("`f(u)` or `f(fu, u)` not defined for `f`"))
-        end
-        return VecJacFunctionWrapper{iip, oop, 3, F, typeof(fu), typeof(p), typeof(t)}(f,
-            fu, p, t)
-    end
-end
-
 function _vecjac(f::F, fu, u, autodiff::AutoFiniteDiff) where {F}
     cache = (similar(fu), similar(fu))
     pullback = nothing