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Fix manual pushforward splitting #27

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Jun 30, 2020
Merged

Fix manual pushforward splitting #27

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67229f2
Fix manual splitting
YingboMa Jun 30, 2020
54d6235
update tests
YingboMa Jun 30, 2020
45636c4
Fix iip
YingboMa Jun 30, 2020
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51 changes: 38 additions & 13 deletions src/Quadrature.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -462,34 +462,59 @@ end
### Forward-Mode AD Intercepts

# Direct AD on solvers with QuadGK and HCubature
function __solvebp(prob,alg::QuadGKJL,sensealg,lb,ub,p::AbstractArray{<:ForwardDiff.Dual,N},args...;kwargs...) where N
function __solvebp(prob,alg::QuadGKJL,sensealg,lb,ub,p::AbstractArray{<:ForwardDiff.Dual{T,V,P},N},args...;kwargs...) where {T,V,P,N}
__solvebp_call(prob,alg,sensealg,lb,ub,p,args...;kwargs...)
end

function __solvebp(prob,alg::HCubatureJL,sensealg,lb,ub,p::AbstractArray{<:ForwardDiff.Dual,N},args...;kwargs...) where N
function __solvebp(prob,alg::HCubatureJL,sensealg,lb,ub,p::AbstractArray{<:ForwardDiff.Dual{T,V,P},N},args...;kwargs...) where {T,V,P,N}
__solvebp_call(prob,alg,sensealg,lb,ub,p,args...;kwargs...)
end

# Manually split for the pushforward
function __solvebp(prob,alg,sensealg,lb,ub,p::AbstractArray{<:ForwardDiff.Dual,N},args...;kwargs...) where N
function __solvebp(prob,alg,sensealg,lb,ub,p::AbstractArray{<:ForwardDiff.Dual{T,V,P},N},args...;kwargs...) where {T,V,P,N}
primal = __solvebp_call(prob,alg,sensealg,lb,ub,ForwardDiff.value.(p),args...;kwargs...)
nout = prob.nout*P

if isinplace(prob)
dx = similar(ForwardDiff.partials(prob.f(lb,p)))
dfdp = function (_dx,x,p)
prob.f(dx,x,p)
_dx .= ForwardDiff.partials.(dx)
dx = similar(p, V, nout)
dfdp = function (out,x,p)
dualp = reinterpret(ForwardDiff.Dual{T,V,P}, p)
prob.f(dx,x,dualp)
ys = reinterpret(ForwardDiff.Dual{T,V,P}, dx)
idx = 0
for y in ys
for p in ForwardDiff.partials(y)
out[idx+=1] = p
end
end
return out
end
else
dfdp = function (x,p)
convert(Array,ForwardDiff.partials(prob.f(x,p)))
dualp = reinterpret(ForwardDiff.Dual{T,V,P}, p)
ys = prob.f(x,dualp)
out = zeros(nout)
idx = 0
for y in ys
for p in ForwardDiff.partials(y)
out[idx+=1] = p
end
end
return out
end
end
dualp = convert(Array,ForwardDiff.partials.(p))

dp_prob = QuadratureProblem(dfdp,lb,ub,dualp;nout=length(dualp),batch = prob.batch,kwargs...)
dual = __solvebp_call(dp_prob,alg,sensealg,lb,ub,dualp,args...;kwargs...)
res = ForwardDiff.Dual{ForwardDiff.tagtype(p[1])}.(primal.u,dual.u)
rawp = copy(reinterpret(V, p))

dp_prob = QuadratureProblem(dfdp,lb,ub,rawp;nout=nout,batch = prob.batch,kwargs...)
dual = __solvebp_call(dp_prob,alg,sensealg,lb,ub,rawp,args...;kwargs...)
res = similar(p, prob.nout)
partials = reinterpret(typeof(first(res).partials), dual.u)
for idx in eachindex(res)
res[idx] = ForwardDiff.Dual{T,V,P}(primal.u[idx], partials[idx])
end
if primal.u isa Number
res = first(res)
end
DiffEqBase.build_solution(prob,alg,res,primal.resid)
end

Expand Down
14 changes: 5 additions & 9 deletions test/derivative_tests.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -12,7 +12,7 @@ sol = solve(prob,QuadGKJL(),reltol=1e-3,abstol=1e-3)

function testf(lb,ub,p)
prob = QuadratureProblem(f,lb,ub,p)
solve(prob,QuadGKJL(),reltol=1e-3,abstol=1e-3)[1]
sin(solve(prob,QuadGKJL(),reltol=1e-3,abstol=1e-3)[1])
end
dlb1,dub1,dp1 = Zygote.gradient(testf,lb,ub,p)
dlb2 = FiniteDiff.finite_difference_derivative(lb->testf(lb,ub,p),lb)
Expand All @@ -38,12 +38,12 @@ sol = solve(prob,CubaCuhre(),reltol=1e-3,abstol=1e-3)

function testf(lb,ub,p)
prob = QuadratureProblem(f,lb,ub,p)
solve(prob,CubaCuhre(),reltol=1e-6,abstol=1e-6)[1]
sin(solve(prob,CubaCuhre(),reltol=1e-6,abstol=1e-6)[1])
end

function testf2(lb,ub,p)
prob = QuadratureProblem(f,lb,ub,p)
solve(prob,HCubatureJL(),reltol=1e-6,abstol=1e-6)[1]
sin(solve(prob,HCubatureJL(),reltol=1e-6,abstol=1e-6)[1])
end

dlb1,dub1,dp1 = Zygote.gradient(testf,lb,ub,p)
Expand All @@ -63,15 +63,13 @@ dp3 = ForwardDiff.gradient(p->testf2(lb,ub,p),p)
#@test dub1 ≈ dub3
@test dp1 ≈ dp3

#=
# dlb4 = ForwardDiff.gradient(lb->testf(lb,ub,p),lb)
# dub4 = ForwardDiff.gradient(ub->testf(lb,ub,p),ub)
dp4 = ForwardDiff.gradient(p->testf(lb,ub,p),p)

#@test dlb1 ≈ dlb4
#@test dub1 ≈ dub4
@test dp1 ≈ dp4
=#

### N-dimensional N-out

Expand All @@ -84,12 +82,12 @@ sol = solve(prob,CubaCuhre(),reltol=1e-3,abstol=1e-3)

function testf(lb,ub,p)
prob = QuadratureProblem(f,lb,ub,p,nout=2)
sum(solve(prob,CubaCuhre(),reltol=1e-6,abstol=1e-6))
sin(sum(solve(prob,CubaCuhre(),reltol=1e-6,abstol=1e-6)))
end

function testf2(lb,ub,p)
prob = QuadratureProblem(f,lb,ub,p,nout=2)
sum(solve(prob,HCubatureJL(),reltol=1e-6,abstol=1e-6))
sin(sum(solve(prob,HCubatureJL(),reltol=1e-6,abstol=1e-6)))
end

dlb1,dub1,dp1 = Zygote.gradient(testf,lb,ub,p)
Expand All @@ -109,12 +107,10 @@ dp3 = ForwardDiff.gradient(p->testf2(lb,ub,p),p)
#@test dub1 ≈ dub3
@test dp1 ≈ dp3

#=
# dlb4 = ForwardDiff.gradient(lb->testf(lb,ub,p),lb)
# dub4 = ForwardDiff.gradient(ub->testf(lb,ub,p),ub)
dp4 = ForwardDiff.gradient(p->testf(lb,ub,p),p)

#@test dlb1 ≈ dlb4
#@test dub1 ≈ dub4
@test dp1 ≈ dp4
=#