Merge pull request #996 from vyudu/ctrl

feaet: add ControlFunction

Author: ChrisRackauckas

src/SciMLBase.jl

@@ -822,7 +822,7 @@ export ODEFunction, DiscreteFunction, ImplicitDiscreteFunction, SplitFunction, D
        DDEFunction, SDEFunction, SplitSDEFunction, RODEFunction, SDDEFunction,
        IncrementingODEFunction, NonlinearFunction, HomotopyNonlinearFunction,
        IntervalNonlinearFunction, BVPFunction,
-       DynamicalBVPFunction, IntegralFunction, BatchIntegralFunction
+       DynamicalBVPFunction, IntegralFunction, BatchIntegralFunction, ODEInputFunction
 
 export OptimizationFunction, MultiObjectiveOptimizationFunction
 

src/problems/implicit_discrete_problems.jl

@@ -27,7 +27,7 @@ dt: the time step
 
 ### Constructors
 
-- `ImplicitDiscreteProblem(f::ODEFunction,u0,tspan,p=NullParameters();kwargs...)` :
+- `ImplicitDiscreteProblem(f::ImplicitDiscreteFunction,u0,tspan,p=NullParameters();kwargs...)` :
   Defines the discrete problem with the specified functions.
 - `ImplicitDiscreteProblem{isinplace,specialize}(f,u0,tspan,p=NullParameters();kwargs...)` :
   Defines the discrete problem with the specified functions.

src/scimlfunctions.jl

@@ -2094,6 +2094,109 @@ struct MultiObjectiveOptimizationFunction{
     initialization_data::ID
 end
 
+"""
+$(TYPEDEF)
+"""
+abstract type AbstractODEInputFunction{iip} <: AbstractDiffEqFunction{iip} end
+
+@doc doc"""
+$(TYPEDEF)
+
+A representation of a ODE function `f` with inputs, defined by:
+
+```math
+\frac{dx}{dt} = f(x, u, p, t)
+```
+where `x` are the states of the system and `u` are the inputs (which may represent 
+different things in different contexts, such as control variables in optimal control).
+
+Includes all of its related functions, such as the Jacobian of `f`, its gradient
+with respect to time, and more. For all cases, `u0` is the initial condition,
+`p` are the parameters, and `t` is the independent variable.
+
+```julia
+ODEInputFunction{iip, specialize}(f;
+    mass_matrix = __has_mass_matrix(f) ? f.mass_matrix : I,
+    analytic = __has_analytic(f) ? f.analytic : nothing,
+    tgrad= __has_tgrad(f) ? f.tgrad : nothing,
+    jac = __has_jac(f) ? f.jac : nothing,
+    control_jac = __has_controljac(f) ? f.controljac : nothing,
+    jvp = __has_jvp(f) ? f.jvp : nothing,
+    vjp = __has_vjp(f) ? f.vjp : nothing,
+    jac_prototype = __has_jac_prototype(f) ? f.jac_prototype : nothing,
+    controljac_prototype = __has_controljac_prototype(f) ? f.controljac_prototype : nothing,
+    sparsity = __has_sparsity(f) ? f.sparsity : jac_prototype,
+    paramjac = __has_paramjac(f) ? f.paramjac : nothing,
+    syms = nothing,
+    indepsym = nothing,
+    paramsyms = nothing,
+    colorvec = __has_colorvec(f) ? f.colorvec : nothing,
+    sys = __has_sys(f) ? f.sys : nothing)
+```
+
+`f` should be given as `f(x_out,x,u,p,t)` or `out = f(x,u,p,t)`. 
+See the section on `iip` for more details on in-place vs out-of-place handling.
+
+- `mass_matrix`: the mass matrix `M` represented in the BVP function. Can be used
+  to determine that the equation is actually a BVP for differential algebraic equation (DAE)
+  if `M` is singular.
+- `jac(J,dx,x,u,p,gamma,t)` or `J=jac(dx,x,u,p,gamma,t)`: returns ``\frac{df}{dx}``
+- `control_jac(J,du,x,u,p,gamma,t)` or `J=control_jac(du,x,u,p,gamma,t)`: returns ``\frac{df}{du}``
+- `jvp(Jv,v,du,x,u,p,gamma,t)` or `Jv=jvp(v,du,x,u,p,gamma,t)`: returns the directional
+  derivative ``\frac{df}{du} v``
+- `vjp(Jv,v,du,x,u,p,gamma,t)` or `Jv=vjp(v,du,x,u,p,gamma,t)`: returns the adjoint
+  derivative ``\frac{df}{du}^\ast v``
+- `jac_prototype`: a prototype matrix matching the type that matches the Jacobian. For example,
+  if the Jacobian is tridiagonal, then an appropriately sized `Tridiagonal` matrix can be used
+  as the prototype and integrators will specialize on this structure where possible. Non-structured
+  sparsity patterns should use a `SparseMatrixCSC` with a correct sparsity pattern for the Jacobian.
+  The default is `nothing`, which means a dense Jacobian.
+- `controljac_prototype`: a prototype matrix matching the type that matches the Jacobian. For example,
+  if the Jacobian is tridiagonal, then an appropriately sized `Tridiagonal` matrix can be used
+  as the prototype and integrators will specialize on this structure where possible. Non-structured
+  sparsity patterns should use a `SparseMatrixCSC` with a correct sparsity pattern for the Jacobian.
+  The default is `nothing`, which means a dense Jacobian.
+- `paramjac(pJ,x,u,p,t)`: returns the parameter Jacobian ``\frac{df}{dp}``.
+- `colorvec`: a color vector according to the SparseDiffTools.jl definition for the sparsity
+  pattern of the `jac_prototype`. This specializes the Jacobian construction when using
+  finite differences and automatic differentiation to be computed in an accelerated manner
+  based on the sparsity pattern. Defaults to `nothing`, which means a color vector will be
+  internally computed on demand when required. The cost of this operation is highly dependent
+  on the sparsity pattern.
+
+## iip: In-Place vs Out-Of-Place
+For more details on this argument, see the ODEFunction documentation.
+
+## specialize: Controlling Compilation and Specialization
+For more details on this argument, see the ODEFunction documentation.
+
+## Fields
+The fields of the ODEInputFunction type directly match the names of the inputs.
+"""
+struct ODEInputFunction{iip, specialize, F, TMM, Ta, Tt, TJ, CTJ, JVP, VJP,
+    JP, CJP, SP, TW, TWt, WP, TPJ, O, TCV,
+    SYS, ID} <: AbstractODEInputFunction{iip}
+    f::F
+    mass_matrix::TMM
+    analytic::Ta
+    tgrad::Tt
+    jac::TJ
+    controljac::CTJ
+    jvp::JVP
+    vjp::VJP
+    jac_prototype::JP
+    controljac_prototype::CJP
+    sparsity::SP
+    Wfact::TW
+    Wfact_t::TWt
+    W_prototype::WP
+    paramjac::TPJ
+    observed::O
+    colorvec::TCV
+    sys::SYS
+    initialization_data::ID
+end
+
 """
 $(TYPEDEF)
 """
@@ -2493,6 +2596,7 @@ end
 (f::ImplicitDiscreteFunction)(args...) = f.f(args...)
 (f::DAEFunction)(args...) = f.f(args...)
 (f::DDEFunction)(args...) = f.f(args...)
+(f::ODEInputFunction)(args...) = f.f(args...)
 
 function (f::DynamicalDDEFunction)(u, h, p, t)
     ArrayPartition(f.f1(u.x[1], u.x[2], h, p, t), f.f2(u.x[1], u.x[2], h, p, t))
@@ -4595,6 +4699,149 @@ function BatchIntegralFunction(f, integrand_prototype; kwargs...)
     BatchIntegralFunction{calculated_iip}(f, integrand_prototype; kwargs...)
 end
 
+function ODEInputFunction{iip, specialize}(f;
+        mass_matrix = __has_mass_matrix(f) ? f.mass_matrix :
+                      I,
+        analytic = __has_analytic(f) ? f.analytic : nothing,
+        tgrad = __has_tgrad(f) ? f.tgrad : nothing,
+        jac = __has_jac(f) ? f.jac : nothing,
+        controljac = __has_controljac(f) ? f.controljac : nothing,
+        jvp = __has_jvp(f) ? f.jvp : nothing,
+        vjp = __has_vjp(f) ? f.vjp : nothing,
+        jac_prototype = __has_jac_prototype(f) ?
+                        f.jac_prototype :
+                        nothing,
+        controljac_prototype = __has_controljac_prototype(f) ?
+                        f.controljac_prototype :
+                        nothing,
+        sparsity = __has_sparsity(f) ? f.sparsity :
+                   jac_prototype,
+        Wfact = __has_Wfact(f) ? f.Wfact : nothing,
+        Wfact_t = __has_Wfact_t(f) ? f.Wfact_t : nothing,
+        W_prototype = __has_W_prototype(f) ? f.W_prototype : nothing,
+        paramjac = __has_paramjac(f) ? f.paramjac : nothing,
+        syms = nothing,
+        indepsym = nothing,
+        paramsyms = nothing,
+        observed = __has_observed(f) ? f.observed :
+                   DEFAULT_OBSERVED,
+        colorvec = __has_colorvec(f) ? f.colorvec : nothing,
+        sys = __has_sys(f) ? f.sys : nothing,
+        initializeprob = __has_initializeprob(f) ? f.initializeprob : nothing,
+        update_initializeprob! = __has_update_initializeprob!(f) ?
+                                 f.update_initializeprob! : nothing,
+        initializeprobmap = __has_initializeprobmap(f) ? f.initializeprobmap : nothing,
+        initializeprobpmap = __has_initializeprobpmap(f) ? f.initializeprobpmap : nothing,
+        initialization_data = __has_initialization_data(f) ? f.initialization_data :
+                              nothing,
+        nlprob_data = __has_nlprob_data(f) ? f.nlprob_data : nothing
+) where {iip,
+        specialize
+}
+    if mass_matrix === I && f isa Tuple
+        mass_matrix = ((I for i in 1:length(f))...,)
+    end
+
+    if (specialize === FunctionWrapperSpecialize) &&
+       !(f isa FunctionWrappersWrappers.FunctionWrappersWrapper)
+        error("FunctionWrapperSpecialize must be used on the problem constructor for access to u0, p, and t types!")
+    end
+
+    if jac === nothing && isa(jac_prototype, AbstractSciMLOperator)
+        if iip
+            jac = (J, x, u, p, t) -> update_coefficients!(J, x, p, t) #(J,x,u,p,t)
+        else
+            jac = (x, u, p, t) -> update_coefficients(deepcopy(jac_prototype), x, p, t)
+        end
+    end
+
+    if controljac === nothing && isa(controljac_prototype, AbstractSciMLOperator)
+        if iip_bc
+            controljac = (J, x, u, p, t) -> update_coefficients!(J, u, p, t) #(J,x,u,p,t)
+        else
+            controljac = (x, u, p, t) -> update_coefficients(deepcopy(controljac_prototype), u, p, t)
+        end
+    end
+
+    if jac_prototype !== nothing && colorvec === nothing &&
+       ArrayInterface.fast_matrix_colors(jac_prototype)
+        _colorvec = ArrayInterface.matrix_colors(jac_prototype)
+    else
+        _colorvec = colorvec
+    end
+
+    jaciip = jac !== nothing ? isinplace(jac, 5, "jac", iip) : iip
+    controljaciip = controljac !== nothing ? isinplace(controljac, 5, "controljac", iip) : iip
+    tgradiip = tgrad !== nothing ? isinplace(tgrad, 5, "tgrad", iip) : iip
+    jvpiip = jvp !== nothing ? isinplace(jvp, 6, "jvp", iip) : iip
+    vjpiip = vjp !== nothing ? isinplace(vjp, 6, "vjp", iip) : iip
+    Wfactiip = Wfact !== nothing ? isinplace(Wfact, 6, "Wfact", iip) : iip
+    Wfact_tiip = Wfact_t !== nothing ? isinplace(Wfact_t, 6, "Wfact_t", iip) : iip
+    paramjaciip = paramjac !== nothing ? isinplace(paramjac, 5, "paramjac", iip) : iip
+
+    nonconforming = (jaciip, tgradiip, jvpiip, vjpiip, Wfactiip, Wfact_tiip,
+        paramjaciip) .!= iip
+    if any(nonconforming)
+        nonconforming = findall(nonconforming)
+        functions = ["jac", "tgrad", "jvp", "vjp", "Wfact", "Wfact_t", "paramjac"][nonconforming]
+        throw(NonconformingFunctionsError(functions))
+    end
+
+    _f = prepare_function(f)
+
+    sys = sys_or_symbolcache(sys, syms, paramsyms, indepsym)
+    initdata = reconstruct_initialization_data(
+        initialization_data, initializeprob, update_initializeprob!,
+        initializeprobmap, initializeprobpmap)
+
+    if specialize === NoSpecialize
+        ODEInputFunction{iip, specialize,
+            Any, Any, Any, Any,
+            Any, Any, Any, Any, typeof(jac_prototype), typeof(controljac_prototype),
+            typeof(sparsity), Any, Any, typeof(W_prototype), Any,
+            Any,
+            typeof(_colorvec),
+            typeof(sys), Union{Nothing, OverrideInitData}}(
+            _f, mass_matrix, analytic, tgrad, jac, controljac,
+            jvp, vjp, jac_prototype, controljac_prototype, sparsity, Wfact,
+            Wfact_t, W_prototype, paramjac,
+            observed, _colorvec, sys, initdata)
+    elseif specialize === false
+        ODEInputFunction{iip, FunctionWrapperSpecialize,
+            typeof(_f), typeof(mass_matrix), typeof(analytic), typeof(tgrad),
+            typeof(jac), typeof(controljac), typeof(jvp), typeof(vjp), typeof(jac_prototype), typeof(controljac_prototype),
+            typeof(sparsity), typeof(Wfact), typeof(Wfact_t), typeof(W_prototype),
+            typeof(paramjac),
+            typeof(observed),
+            typeof(_colorvec),
+            typeof(sys), typeof(initdata)}(_f, mass_matrix,
+            analytic, tgrad, jac, controljac,
+            jvp, vjp, jac_prototype, controljac_prototype, sparsity, Wfact,
+            Wfact_t, W_prototype, paramjac,
+            observed, _colorvec, sys, initdata)
+    else
+        ODEInputFunction{iip, specialize,
+            typeof(_f), typeof(mass_matrix), typeof(analytic), typeof(tgrad),
+            typeof(jac), typeof(controljac), typeof(jvp), typeof(vjp), typeof(jac_prototype), typeof(controljac_prototype),
+            typeof(sparsity), typeof(Wfact), typeof(Wfact_t), typeof(W_prototype),
+            typeof(paramjac),
+            typeof(observed),
+            typeof(_colorvec),
+            typeof(sys), typeof(initdata)}(
+            _f, mass_matrix, analytic, tgrad,
+            jac, controljac, jvp, vjp, jac_prototype, controljac_prototype, sparsity, Wfact,
+            Wfact_t, W_prototype, paramjac,
+            observed, _colorvec, sys, initdata)
+    end
+end
+
+function ODEInputFunction{iip}(f; kwargs...) where {iip}
+    ODEInputFunction{iip, FullSpecialize}(f; kwargs...)
+end
+ODEInputFunction{iip}(f::ODEInputFunction; kwargs...) where {iip} = f
+ODEInputFunction(f; kwargs...) = ODEInputFunction{isinplace(f, 5), FullSpecialize}(f; kwargs...)
+ODEInputFunction(f::ODEInputFunction; kwargs...) = f
+
 ########## Utility functions
 
 function sys_or_symbolcache(sys, syms, paramsyms, indepsym = nothing)
@@ -4628,6 +4875,7 @@ __has_Wfact_t(f) = isdefined(f, :Wfact_t)
 __has_W_prototype(f) = isdefined(f, :W_prototype)
 __has_paramjac(f) = isdefined(f, :paramjac)
 __has_jac_prototype(f) = isdefined(f, :jac_prototype)
+__has_controljac_prototype(f) = isdefined(f, :controljac_prototype)
 __has_sparsity(f) = isdefined(f, :sparsity)
 __has_mass_matrix(f) = isdefined(f, :mass_matrix)
 __has_syms(f) = isdefined(f, :syms)