Upgrade ADNLPModels.jl for SparseMatrixColoring.jl v0.4.0 (#289)

* Upgrade ADNLPModels.jl for SparseMatrixColoring.jl v0.4.0

* Update the documentation about SMC.jl

* Fix a typo

Author: amontoison

Project.toml

@@ -19,6 +19,6 @@ ForwardDiff = "0.9.0, 0.10.0"
 NLPModels = "0.18, 0.19, 0.20, 0.21"
 Requires = "1"
 ReverseDiff = "1"
-SparseConnectivityTracer = "0.6"
-SparseMatrixColorings = "0.3.5"
+SparseConnectivityTracer = "0.6.1"
+SparseMatrixColorings = "0.4.0"
 julia = "^1.6"

docs/src/sparse.md

@@ -31,14 +31,14 @@ x = rand(T, 2)
 H = hess(nlp, x)
 ```
 
-The available backends for sparse derivatives (`SparseADJacobian`, `SparseADHessian` and `SparseReverseADHessian`) have keyword arguments `detector` and `coloring` to specify the sparsity pattern detector and the coloring algorithm, respectively.
+The available backends for sparse derivatives (`SparseADJacobian`, `SparseADHessian` and `SparseReverseADHessian`) have keyword arguments `detector` and `coloring_algorithm` to specify the sparsity pattern detector and the coloring algorithm, respectively.
 
-- **Detector**: A `detector` must be of type `ADTypes.AbstractSparsityDetector`.
+- A **`detector`** must be of type `ADTypes.AbstractSparsityDetector`.
 The default detector is `TracerSparsityDetector()` from the package `SparseConnectivityTracer.jl`.
 Prior to version 0.8.0, the default detector was `SymbolicSparsityDetector()` from `Symbolics.jl`.
 
-- **Coloring**: A `coloring` must be of type `ADTypes.AbstractColoringAlgorithm`.
-The default algorithm is `GreedyColoringAlgorithm()` from the package `SparseMatrixColorings.jl`.
+- A **`coloring_algorithm`** must be of type `SparseMatrixColorings.GreedyColoringAlgorithm`.
+The default algorithm is `GreedyColoringAlgorithm{:direct}()` from the package `SparseMatrixColorings.jl`.
 
 If the sparsity pattern of the Jacobian of the constraint or the Hessian of the Lagrangian is available, you can directly provide them.
 ```@example ex2
@@ -95,4 +95,4 @@ nlp = ADNLPModel!(f, x0, lvar, uvar, c!, lcon, ucon, jacobian_backend=J_backend,
 The package [`SparseConnectivityTracer.jl`](https://github.com/adrhill/SparseConnectivityTracer.jl) is used to compute the sparsity pattern of Jacobians and Hessians.
 The evaluation of the number of directional derivatives and the seeds required to compute compressed Jacobians and Hessians is performed using [`SparseMatrixColorings.jl`](https://github.com/gdalle/SparseMatrixColorings.jl).
 As of release v0.8.1, it has replaced [`ColPack.jl`](https://github.com/exanauts/ColPack.jl).
-We acknowledge Guillaume Dalle (@gdalle), Adrian Hill (@adrhill), and Michel Schanen (@michel2323) for the development of these packages.
+We acknowledge Guillaume Dalle (@gdalle), Adrian Hill (@adrhill), Alexis Montoison (@amontoison), and Michel Schanen (@michel2323) for the development of these packages.

src/ADNLPModels.jl

@@ -6,8 +6,7 @@ using LinearAlgebra, SparseArrays
 # external
 using ADTypes: ADTypes, AbstractColoringAlgorithm, AbstractSparsityDetector
 using SparseConnectivityTracer: TracerSparsityDetector
-using SparseMatrixColorings:
-  GreedyColoringAlgorithm, symmetric_coloring_detailed, symmetric_coefficient
+using SparseMatrixColorings
 using ForwardDiff, ReverseDiff
 
 # JSO

src/sparse_hessian.jl

@@ -1,11 +1,11 @@
-struct SparseADHessian{Tag, GT, S, T} <: ADNLPModels.ADBackend
-  d::BitVector
+struct SparseADHessian{Tag, R, T, C, S, GT} <: ADNLPModels.ADBackend
+  nvar::Int
   rowval::Vector{Int}
   colptr::Vector{Int}
-  colors::Vector{Int}
-  ncolors::Int
-  dcolors::Dict{Int, Vector{Tuple{Int, Int}}}
-  res::S
+  nzval::Vector{R}
+  result_coloring::C
+  compressed_hessian::S
+  seed::BitVector
   lz::Vector{ForwardDiff.Dual{Tag, T, 1}}
   glz::Vector{ForwardDiff.Dual{Tag, T, 1}}
   sol::S
@@ -21,12 +21,12 @@ function SparseADHessian(
   ncon,
   c!;
   x0::AbstractVector = rand(nvar),
-  coloring::AbstractColoringAlgorithm = GreedyColoringAlgorithm(),
+  coloring_algorithm::AbstractColoringAlgorithm = GreedyColoringAlgorithm{:direct}(),
   detector::AbstractSparsityDetector = TracerSparsityDetector(),
   kwargs...,
 )
   H = compute_hessian_sparsity(f, nvar, c!, ncon, detector = detector)
-  SparseADHessian(nvar, f, ncon, c!, H; x0, coloring, kwargs...)
+  SparseADHessian(nvar, f, ncon, c!, H; x0, coloring_algorithm, kwargs...)
 end
 
 function SparseADHessian(
@@ -36,25 +36,20 @@ function SparseADHessian(
   c!,
   H::SparseMatrixCSC{Bool, Int64};
   x0::S = rand(nvar),
-  coloring::AbstractColoringAlgorithm = GreedyColoringAlgorithm(),
+  coloring_algorithm::AbstractColoringAlgorithm = GreedyColoringAlgorithm{:direct}(),
   kwargs...,
 ) where {S}
   T = eltype(S)
 
-  colors, star_set = symmetric_coloring_detailed(H, coloring)
-  ncolors = maximum(colors)
-
-  d = BitVector(undef, nvar)
+  problem = ColoringProblem{:symmetric, :column}()
+  result_coloring = coloring(H, problem, coloring_algorithm, decompression_eltype=T)
 
   trilH = tril(H)
   rowval = trilH.rowval
   colptr = trilH.colptr
-
-  # The indices of the nonzero elements in `vals` that will be processed by color `c` are stored in `dcolors[c]`.
-  dcolors = nnz_colors(trilH, star_set, colors, ncolors)
-
-  # prepare directional derivatives
-  res = similar(x0)
+  nzval = T.(trilH.nzval)
+  compressed_hessian = similar(x0)
+  seed = BitVector(undef, nvar)
 
   function lag(z; nvar = nvar, ncon = ncon, f = f, c! = c!)
     cx, x, y, ob = view(z, 1:ncon),
@@ -82,13 +77,13 @@ function SparseADHessian(
   y = fill!(S(undef, ncon), 0)
 
   return SparseADHessian(
-    d,
+    nvar,
     rowval,
     colptr,
-    colors,
-    ncolors,
-    dcolors,
-    res,
+    nzval,
+    result_coloring,
+    compressed_hessian,
+    seed,
     lz,
     glz,
     sol,
@@ -99,14 +94,14 @@ function SparseADHessian(
   )
 end
 
-struct SparseReverseADHessian{T, S, Tagf, F, Tagψ, P} <: ADNLPModels.ADBackend
-  d::BitVector
+struct SparseReverseADHessian{Tagf, Tagψ, R, T, C, S, F, P} <: ADNLPModels.ADBackend
+  nvar::Int
   rowval::Vector{Int}
   colptr::Vector{Int}
-  colors::Vector{Int}
-  ncolors::Int
-  dcolors::Dict{Int, Vector{Tuple{Int, Int}}}
-  res::S
+  nzval::Vector{R}
+  result_coloring::C
+  compressed_hessian::S
+  seed::BitVector
   z::Vector{ForwardDiff.Dual{Tagf, T, 1}}
   gz::Vector{ForwardDiff.Dual{Tagf, T, 1}}
   ∇f!::F
@@ -125,38 +120,33 @@ function SparseReverseADHessian(
   ncon,
   c!;
   x0::AbstractVector = rand(nvar),
-  coloring::AbstractColoringAlgorithm = GreedyColoringAlgorithm(),
+  coloring_algorithm::AbstractColoringAlgorithm = GreedyColoringAlgorithm{:direct}(),
   detector::AbstractSparsityDetector = TracerSparsityDetector(),
   kwargs...,
 )
   H = compute_hessian_sparsity(f, nvar, c!, ncon, detector = detector)
-  SparseReverseADHessian(nvar, f, ncon, c!, H; x0, coloring, kwargs...)
+  SparseReverseADHessian(nvar, f, ncon, c!, H; x0, coloring_algorithm, kwargs...)
 end
 
 function SparseReverseADHessian(
   nvar,
   f,
   ncon,
   c!,
-  H::SparseMatrixCSC{Bool, Int64};
+  H::SparseMatrixCSC{Bool, Int};
   x0::AbstractVector{T} = rand(nvar),
-  coloring::AbstractColoringAlgorithm = GreedyColoringAlgorithm(),
+  coloring_algorithm::AbstractColoringAlgorithm = GreedyColoringAlgorithm{:direct}(),
   kwargs...,
 ) where {T}
-  colors, star_set = symmetric_coloring_detailed(H, coloring)
-  ncolors = maximum(colors)
-
-  d = BitVector(undef, nvar)
+  problem = ColoringProblem{:symmetric, :column}()
+  result_coloring = coloring(H, problem, coloring_algorithm, decompression_eltype=T)
 
   trilH = tril(H)
   rowval = trilH.rowval
   colptr = trilH.colptr
-
-  # The indices of the nonzero elements in `vals` that will be processed by color `c` are stored in `dcolors[c]`.
-  dcolors = nnz_colors(trilH, star_set, colors, ncolors)
-
-  # prepare directional derivatives
-  res = similar(x0)
+  nzval = T.(trilH.nzval)
+  compressed_hessian = similar(x0)
+  seed = BitVector(undef, nvar)
 
   # unconstrained Hessian
   tagf = ForwardDiff.Tag{typeof(f), T}
@@ -188,13 +178,13 @@ function SparseReverseADHessian(
 
   y = similar(x0, ncon)
   return SparseReverseADHessian(
-    d,
+    nvar,
     rowval,
     colptr,
-    colors,
-    ncolors,
-    dcolors,
-    res,
+    nzval,
+    result_coloring,
+    compressed_hessian,
+    seed,
     z,
     gz,
     ∇f!,
@@ -237,76 +227,80 @@ function NLPModels.hess_structure_residual!(
 end
 
 function sparse_hess_coord!(
-  b::SparseADHessian{Tag, GT, S, T},
+  b::SparseADHessian{Tag},
   x::AbstractVector,
   obj_weight,
   y::AbstractVector,
   vals::AbstractVector,
-) where {Tag, GT, S, T}
-  nvar = length(x)
+) where {Tag}
   ncon = length(y)
-
-  b.sol[1:ncon] .= zero(T) # cx
-  b.sol[(ncon + 1):(ncon + nvar)] .= x
-  b.sol[(ncon + nvar + 1):(2 * ncon + nvar)] .= y
+  T = eltype(x)
+  b.sol[1:ncon] .= zero(T)  # cx
+  b.sol[(ncon + 1):(ncon + b.nvar)] .= x
+  b.sol[(ncon + b.nvar + 1):(2 * ncon + b.nvar)] .= y
   b.sol[end] = obj_weight
 
   b.longv .= 0
 
-  for icol = 1:(b.ncolors)
-    dcolor_icol = b.dcolors[icol]
-    if !isempty(dcolor_icol)
-      b.d .= (b.colors .== icol)
-      b.longv[(ncon + 1):(ncon + nvar)] .= b.d
-      map!(ForwardDiff.Dual{Tag}, b.lz, b.sol, b.longv)
-      b.∇φ!(b.glz, b.lz)
-      ForwardDiff.extract_derivative!(Tag, b.Hvp, b.glz)
-      b.res .= view(b.Hvp, (ncon + 1):(ncon + nvar))
-
-      # Store in `vals` the nonzeros of each column of the Hessian computed with color `icol`
-      for (row, k) in dcolor_icol
-        vals[k] = b.res[row]
-      end
+  # SparseMatrixColorings.jl requires a SparseMatrixCSC for the decompression
+  A = SparseMatrixCSC(b.nvar, b.nvar, b.colptr, b.rowval, b.nzval)
+
+  groups = column_groups(b.result_coloring)
+  for (icol, cols) in enumerate(groups)
+    # Update the seed
+    b.seed .= false
+    for col in cols
+      b.seed[col] = true
     end
-  end
 
+    b.longv[(ncon + 1):(ncon + b.nvar)] .= b.seed
+    map!(ForwardDiff.Dual{Tag}, b.lz, b.sol, b.longv)
+    b.∇φ!(b.glz, b.lz)
+    ForwardDiff.extract_derivative!(Tag, b.Hvp, b.glz)
+    b.compressed_hessian .= view(b.Hvp, (ncon + 1):(ncon + b.nvar))
+
+    # Update the coefficients of the lower triangular part of the Hessian that are related to the color `icol`
+    decompress_single_color!(A, b.compressed_hessian, icol, b.result_coloring, :L)
+  end
+  vals .= b.nzval
   return vals
 end
 
 function sparse_hess_coord!(
-  b::SparseReverseADHessian{T, S, Tagf, F, Tagψ, P},
+  b::SparseReverseADHessian{Tagf, Tagψ},
   x::AbstractVector,
   obj_weight,
   y::AbstractVector,
   vals::AbstractVector,
-) where {T, S, Tagf, F, Tagψ, P}
-  nvar = length(x)
-
-  for icol = 1:(b.ncolors)
-    dcolor_icol = b.dcolors[icol]
-    if !isempty(dcolor_icol)
-      b.d .= (b.colors .== icol)
-
-      # objective
-      map!(ForwardDiff.Dual{Tagf}, b.z, x, b.d) # x + ε * v
-      b.∇f!(b.gz, b.z)
-      ForwardDiff.extract_derivative!(Tagf, b.res, b.gz)
-      b.res .*= obj_weight
-
-      # constraints
-      map!(ForwardDiff.Dual{Tagψ}, b.zψ, x, b.d)
-      b.yψ .= y
-      b.∇l!(b.gzψ, b.gyψ, b.zψ, b.yψ)
-      ForwardDiff.extract_derivative!(Tagψ, b.Hv_temp, b.gzψ)
-      b.res .+= b.Hv_temp
-
-      # Store in `vals` the nonzeros of each column of the Hessian computed with color `icol`
-      for (row, k) in dcolor_icol
-        vals[k] = b.res[row]
-      end
+) where {Tagf, Tagψ}
+  # SparseMatrixColorings.jl requires a SparseMatrixCSC for the decompression
+  A = SparseMatrixCSC(b.nvar, b.nvar, b.colptr, b.rowval, b.nzval)
+
+  groups = column_groups(b.result_coloring)
+  for (icol, cols) in enumerate(groups)
+    # Update the seed
+    b.seed .= false
+    for col in cols
+      b.seed[col] = true
     end
-  end
 
+    # objective
+    map!(ForwardDiff.Dual{Tagf}, b.z, x, b.seed)  # x + ε * v
+    b.∇f!(b.gz, b.z)
+    ForwardDiff.extract_derivative!(Tagf, b.compressed_hessian, b.gz)
+    b.compressed_hessian .*= obj_weight
+
+    # constraints
+    map!(ForwardDiff.Dual{Tagψ}, b.zψ, x, b.seed)
+    b.yψ .= y
+    b.∇l!(b.gzψ, b.gyψ, b.zψ, b.yψ)
+    ForwardDiff.extract_derivative!(Tagψ, b.Hv_temp, b.gzψ)
+    b.compressed_hessian .+= b.Hv_temp
+
+    # Update the coefficients of the lower triangular part of the Hessian that are related to the color `icol`
+    decompress_single_color!(A, b.compressed_hessian, icol, b.result_coloring, :L)
+    vals .= b.nzval
+  end
   return vals
 end