Merge pull request #286 from avik-pal/ap/jvp

Allow specifying custom jvp

Author: ChrisRackauckas

Project.toml

@@ -1,7 +1,7 @@
 name = "NonlinearSolve"
 uuid = "8913a72c-1f9b-4ce2-8d82-65094dcecaec"
 authors = ["SciML"]
-version = "2.8.0"
+version = "2.8.1"
 
 [deps]
 ADTypes = "47edcb42-4c32-4615-8424-f2b9edc5f35b"
@@ -19,6 +19,7 @@ PrecompileTools = "aea7be01-6a6a-4083-8856-8a6e6704d82a"
 RecursiveArrayTools = "731186ca-8d62-57ce-b412-fbd966d074cd"
 Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
 SciMLBase = "0bca4576-84f4-4d90-8ffe-ffa030f20462"
+SciMLOperators = "c0aeaf25-5076-4817-a8d5-81caf7dfa961"
 SimpleNonlinearSolve = "727e6d20-b764-4bd8-a329-72de5adea6c7"
 SparseArrays = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
 SparseDiffTools = "47a9eef4-7e08-11e9-0b38-333d64bd3804"
@@ -48,14 +49,15 @@ FastLevenbergMarquardt = "0.1"
 FiniteDiff = "2"
 ForwardDiff = "0.10.3"
 LeastSquaresOptim = "0.8"
-LinearAlgebra = "1.9"
 LineSearches = "7"
+LinearAlgebra = "1.9"
 LinearSolve = "2.12"
 NonlinearProblemLibrary = "0.1"
 PrecompileTools = "1"
 RecursiveArrayTools = "2"
 Reexport = "0.2, 1"
 SciMLBase = "2.4"
+SciMLOperators = "0.3"
 SimpleNonlinearSolve = "0.1.23"
 SparseArrays = "1.9"
 SparseDiffTools = "2.11"

src/NonlinearSolve.jl

@@ -23,6 +23,7 @@ import PrecompileTools: @recompile_invalidations, @compile_workload, @setup_work
     import RecursiveArrayTools: ArrayPartition,
         AbstractVectorOfArray, recursivecopy!, recursivefill!
     import SciMLBase: AbstractNonlinearAlgorithm, NLStats, _unwrap_val, has_jac, isinplace
+    import SciMLOperators: FunctionOperator
     import StaticArraysCore: StaticArray, SVector, SArray, MArray
     import UnPack: @unpack
 

src/jacobian.jl

@@ -77,8 +77,21 @@ function jacobian_caches(alg::AbstractNonlinearSolveAlgorithm, f::F, u, p, ::Val
     # FIXME: To properly support needsJᵀJ without Jacobian, we need to implement
     #        a reverse diff operation with the seed being `Jx`, this is not yet implemented
     J = if !(linsolve_needs_jac || alg_wants_jac || needsJᵀJ)
-        # We don't need to construct the Jacobian
-        JacVec(uf, u; autodiff = __get_nonsparse_ad(alg.ad))
+        if f.jvp === nothing
+            # We don't need to construct the Jacobian
+            JacVec(uf, u; autodiff = __get_nonsparse_ad(alg.ad))
+        else
+            if iip
+                jvp = (_, u, v) -> (du = similar(fu); f.jvp(du, v, u, p); du)
+                jvp! = (du, _, u, v) -> f.jvp(du, v, u, p)
+            else
+                jvp = (_, u, v) -> f.jvp(v, u, p)
+                jvp! = (du, _, u, v) -> (du .= f.jvp(v, u, p))
+            end
+            op = SparseDiffTools.FwdModeAutoDiffVecProd(f, u, (), jvp, jvp!)
+            FunctionOperator(op, u, fu; isinplace = Val(true), outofplace = Val(false),
+                p, islinear = true)
+        end
     else
         if has_analytic_jac
             f.jac_prototype === nothing ? undefmatrix(u) : f.jac_prototype

test/basictests.jl

@@ -973,3 +973,41 @@ end
             termination_condition).u .≈ sqrt(2.0))
     end
 end
+
+# Miscelleneous Tests
+@testset "Custom JVP" begin
+    function F(u::Vector{Float64}, p::Vector{Float64})
+        Δ = Tridiagonal(-ones(99), 2 * ones(100), -ones(99))
+        return u + 0.1 * u .* Δ * u - p
+    end
+
+    function F!(du::Vector{Float64}, u::Vector{Float64}, p::Vector{Float64})
+        Δ = Tridiagonal(-ones(99), 2 * ones(100), -ones(99))
+        du .= u + 0.1 * u .* Δ * u - p
+        return nothing
+    end
+
+    function JVP(v::Vector{Float64}, u::Vector{Float64}, p::Vector{Float64})
+        Δ = Tridiagonal(-ones(99), 2 * ones(100), -ones(99))
+        return v + 0.1 * (u .* Δ * v + v .* Δ * u)
+    end
+
+    function JVP!(du::Vector{Float64}, v::Vector{Float64}, u::Vector{Float64},
+            p::Vector{Float64})
+        Δ = Tridiagonal(-ones(99), 2 * ones(100), -ones(99))
+        du .= v + 0.1 * (u .* Δ * v + v .* Δ * u)
+        return nothing
+    end
+
+    u0 = rand(100)
+
+    prob = NonlinearProblem(NonlinearFunction{false}(F; jvp = JVP), u0, u0)
+    sol = solve(prob, NewtonRaphson(; linsolve = KrylovJL_GMRES()))
+
+    @test norm(F(sol.u, u0)) ≤ 1e-8
+
+    prob = NonlinearProblem(NonlinearFunction{true}(F!; jvp = JVP!), u0, u0)
+    sol = solve(prob, NewtonRaphson(; linsolve = KrylovJL_GMRES()))
+
+    @test norm(F(sol.u, u0)) ≤ 1e-8
+end