Update to use ADTypes for specifying AD backend

Project.toml

@@ -4,6 +4,7 @@ authors = ["Nathanael Bosch"]
 version = "0.16.2"
 
 [deps]
+ADTypes = "47edcb42-4c32-4615-8424-f2b9edc5f35b"
 ArrayAllocators = "c9d4266f-a5cb-439d-837c-c97b191379f5"
 DiffEqBase = "2b5f629d-d688-5b77-993f-72d75c75574e"
 DiffEqCallbacks = "459566f4-90b8-5000-8ac3-15dfb0a30def"
@@ -48,6 +49,7 @@ DiffEqDevToolsExt = "DiffEqDevTools"
 RecipesBaseExt = "RecipesBase"
 
 [compat]
+ADTypes = "1.14.0"
 ArrayAllocators = "0.3"
 BlockArrays = "1"
 DiffEqBase = "6.122"

src/ProbNumDiffEq.jl

@@ -37,6 +37,7 @@ using FiniteHorizonGramians
 using FillArrays
 using MatrixEquations
 using DiffEqCallbacks
+using ADTypes
 
 # @reexport using GaussianDistributions
 

src/alg_utils.jl

@@ -12,8 +12,8 @@ OrdinaryDiffEqDifferentiation.concrete_jac(::AbstractEK) = nothing
 OrdinaryDiffEqCore.isfsal(::AbstractEK) = false
 
 for ALG in [:EK1, :DiagonalEK1]
-    @eval OrdinaryDiffEqDifferentiation._alg_autodiff(::$ALG{CS,AD}) where {CS,AD} =
-        Val{AD}()
+    @eval OrdinaryDiffEqDifferentiation._alg_autodiff(alg::$ALG{CS,AD}) where {CS,AD} =
+        alg.autodiff
     @eval OrdinaryDiffEqDifferentiation.alg_difftype(
         ::$ALG{CS,AD,DiffType},
     ) where {CS,AD,DiffType} =

src/algorithms.jl

@@ -182,24 +182,27 @@
     initialization::IT
     pn_observation_noise::RT
     covariance_factorization::CF
+    autodiff::AD
     EK1(;
         order=3,
         prior::PT=IWP(order),
         diffusionmodel::DT=DynamicDiffusion(),
         smooth=true,
         initialization::IT=TaylorModeInit(num_derivatives(prior)),
         chunk_size=Val{0}(),
-        autodiff=Val{true}(),
-        diff_type=Val{:forward},
+        autodiff=AutoForwardDiff(),
+        diff_type=Val{:forward}(),
         standardtag=Val{true}(),
         concrete_jac=nothing,
         pn_observation_noise::RT=nothing,
         covariance_factorization::CF=covariance_structure(EK1, prior, diffusionmodel),
     ) where {PT,DT,IT,RT,CF} = begin
         ekargcheck(EK1; diffusionmodel, pn_observation_noise, covariance_factorization)
+        AD_choice, chunk_size, diff_type =
+            OrdinaryDiffEqCore._process_AD_choice(autodiff, chunk_size, diff_type)
         new{
             _unwrap_val(chunk_size),
-            _unwrap_val(autodiff),
+            typeof(AD_choice),
             diff_type,
             _unwrap_val(standardtag),
             _unwrap_val(concrete_jac),
@@ -215,6 +218,7 @@
             initialization,
             pn_observation_noise,
             covariance_factorization,
+            AD_choice
         )
     end
 end
@@ -226,15 +230,16 @@
     initialization::IT
     pn_observation_noise::RT
     covariance_factorization::CF
+    autodiff::AD
     DiagonalEK1(;
         order=3,
         prior::PT=IWP(order),
         diffusionmodel::DT=DynamicDiffusion(),
         smooth=true,
         initialization::IT=TaylorModeInit(num_derivatives(prior)),
         chunk_size=Val{0}(),
-        autodiff=Val{true}(),
-        diff_type=Val{:forward},
+        autodiff=AutoForwardDiff(),
+        diff_type=Val{:forward}(),
         standardtag=Val{true}(),
         concrete_jac=nothing,
         pn_observation_noise::RT=nothing,
@@ -245,9 +250,11 @@
         ),
     ) where {PT,DT,IT,RT,CF} = begin
         ekargcheck(DiagonalEK1; diffusionmodel, pn_observation_noise, covariance_factorization)
+        AD_choice, chunk_size, diff_type =
+            OrdinaryDiffEqCore._process_AD_choice(autodiff, chunk_size, diff_type)
         new{
             _unwrap_val(chunk_size),
-            _unwrap_val(autodiff),
+            typeof(AD_choice),
             diff_type,
             _unwrap_val(standardtag),
             _unwrap_val(concrete_jac),
@@ -263,6 +270,7 @@
             initialization,
             pn_observation_noise,
             covariance_factorization,
+            AD_choice
         )
     end
 end
@@ -334,16 +342,17 @@
     EK1(; prior=IOUP(order, update_rate_parameter=true), kwargs...)
 
 function DiffEqBase.remake(thing::EK1{CS,AD,DT,ST,CJ}; kwargs...) where {CS,AD,DT,ST,CJ}
+    if haskey(kwargs, :autodiff) && kwargs[:autodiff] isa AutoForwardDiff
+        chunk_size = OrdinaryDiffEqCore._get_fwd_chunksize(kwargs[:autodiff])
+    else
+        chunk_size = Val{CS}()
+    end
+
     T = SciMLBase.remaker_of(thing)
-    T(;
-        SciMLBase.struct_as_namedtuple(thing)...,
-        chunk_size=Val{CS}(),
-        autodiff=Val{AD}(),
-        standardtag=Val{ST}(),
+    T(; SciMLBase.struct_as_namedtuple(thing)...,
+        chunk_size=chunk_size, autodiff=thing.autodiff, standardtag=Val{ST}(),
         concrete_jac=CJ === nothing ? CJ : Val{CJ}(),
-        diff_type=DT,
-        kwargs...,
-    )
+        kwargs...)
 end
 
 function DiffEqBase.prepare_alg(
@@ -357,21 +366,25 @@
     # use the prepare_alg from OrdinaryDiffEqCore; but right now, we do not use `linsolve` which
     # is a requirement.
 
-    if (isbitstype(T) && sizeof(T) > 24) || (
-        prob.f isa ODEFunction &&
-        prob.f.f isa FunctionWrappersWrappers.FunctionWrappersWrapper
-    )
-        return remake(alg, chunk_size=Val{1}())
-    end
+    prepped_AD = OrdinaryDiffEqDifferentiation.prepare_ADType(OrdinaryDiffEqDifferentiation.alg_autodiff(alg), prob, u0, p, OrdinaryDiffEqDifferentiation.standardtag(alg))
+
+    sparse_prepped_AD = OrdinaryDiffEqDifferentiation.prepare_user_sparsity(prepped_AD, prob)
 
     L = StaticArrayInterface.known_length(typeof(u0))
     @assert L === nothing "ProbNumDiffEq.jl does not support StaticArrays yet."
 
-    x = if prob.f.colorvec === nothing
-        length(u0)
+    if (
+        (
+            (eltype(u0) <: Complex) ||
+            (!(prob.f isa DAEFunction) && prob.f.mass_matrix isa MatrixOperator)
+        ) && sparse_prepped_AD isa AutoSparse
+    )
+        @warn "Input type or problem definition is incompatible with sparse automatic differentiation. Switching to using dense automatic differentiation."
+        autodiff = ADTypes.dense_ad(sparse_prepped_AD)
     else
-        maximum(prob.f.colorvec)
+        autodiff = sparse_prepped_AD
     end
-    cs = ForwardDiff.pickchunksize(x)
-    return remake(alg, chunk_size=Val{cs}())
+
+
+    return remake(alg, autodiff = autodiff)
 end

src/solution.jl

@@ -66,6 +66,19 @@ ProbODESolution{T,N}(
     pnstats, prob, alg, interp, cache, dense, tslocation, stats, retcode,
 )
 
+
+function SciMLBase.constructorof(
+    ::Type{
+        ProbNumDiffEq.ProbODESolution{T,N,uType,puType,uType2,DType,tType,rateType,xType,
+            diffType,bkType,PN,P,A,IType,
+            CType,DE}}
+) where {T,N,uType,puType,uType2,DType,tType,rateType,xType,
+    diffType,bkType,PN,P,A,IType,
+    CType,DE}
+    ProbODESolution{T,N}
+end
+
+
 function DiffEqBase.solution_new_retcode(sol::ProbODESolution{T,N}, retcode) where {T,N}
     return ProbODESolution{T,N}(
         sol.u, sol.pu, sol.u_analytic, sol.errors, sol.t, sol.k, sol.x_filt, sol.x_smooth,

test/Project.toml

@@ -19,11 +19,13 @@ Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
 ProbNumDiffEq = "bf3e78b0-7d74-48a5-b855-9609533b56a5"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 SafeTestsets = "1bc83da4-3b8d-516f-aca4-4fe02f6d838f"
+SciMLStructures = "53ae85a6-f571-4167-b2af-e1d143709226"
 SimpleUnPack = "ce78b400-467f-4804-87d8-8f486da07d0a"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 TestSetExtensions = "98d24dd4-01ad-11ea-1b02-c9a08f80db04"
 TimerOutputs = "a759f4b9-e2f1-59dc-863e-4aeb61b1ea8f"
 
+
 [compat]
 Aqua = "0.8.2"

test/autodiff.jl

@@ -4,6 +4,7 @@ using Test
 using LinearAlgebra
 using FiniteDifferences
 using ForwardDiff
+import SciMLStructures
 # using ReverseDiff
 # using Zygote
 
@@ -17,15 +18,20 @@ import ODEProblemLibrary: prob_ode_fitzhughnagumo
         _prob.tspan,
         jac=true,
     )
-    prob = remake(prob, p=collect(_prob.p))
+    #prob = remake(prob, p=collect(_prob.p))
+    ps = ModelingToolkit.parameter_values(prob)
+    ps = SciMLStructures.replace(SciMLStructures.Tunable(), ps, [1.0, 2.0, 3.0, 4.0])
+    prob = remake(prob, p=ps)
 
     function param_to_loss(p)
+        ps = ModelingToolkit.parameter_values(prob)
+        ps = SciMLStructures.replace(SciMLStructures.Tunable(), ps, p)
         sol = solve(
-            remake(prob, p=p),
+            remake(prob, p=ps),
             ALG(order=3, smooth=false),
             sensealg=SensitivityADPassThrough(),
-            abstol=1e-3,
-            reltol=1e-2,
+            abstol=1e-6,
+            reltol=1e-5,
             save_everystep=false,
             dense=false,
         )
@@ -36,22 +42,24 @@ import ODEProblemLibrary: prob_ode_fitzhughnagumo
             remake(prob, u0=u0),
             ALG(order=3, smooth=false),
             sensealg=SensitivityADPassThrough(),
-            abstol=1e-3,
-            reltol=1e-2,
+            abstol=1e-6,
+            reltol=1e-5,
             save_everystep=false,
             dense=false,
         )
         return norm(sol.u[end])  # Dummy loss
     end
 
-    # dldp = FiniteDiff.finite_difference_gradient(param_to_loss, prob.p)
-    # dldu0 = FiniteDiff.finite_difference_gradient(startval_to_loss, prob.u0)
+    p, _, _ = SciMLStructures.canonicalize(SciMLStructures.Tunable(), prob.p)
+
+    #dldp = FiniteDiff.finite_difference_gradient(param_to_loss, p)
+    #dldu0 = FiniteDiff.finite_difference_gradient(startval_to_loss, prob.u0)
     # For some reason FiniteDiff.jl is not working anymore so we use FiniteDifferences.jl:
-    dldp = grad(central_fdm(5, 1), param_to_loss, prob.p)[1]
+    dldp = grad(central_fdm(5, 1), param_to_loss, p)[1]
     dldu0 = grad(central_fdm(5, 1), startval_to_loss, prob.u0)[1]
 
     @testset "ForwardDiff.jl" begin
-        @test ForwardDiff.gradient(param_to_loss, prob.p) ≈ dldp rtol = 1e-2
+        @test ForwardDiff.gradient(param_to_loss, p) ≈ dldp rtol = 1e-2
         @test ForwardDiff.gradient(startval_to_loss, prob.u0) ≈ dldu0 rtol = 5e-2
     end