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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,4 +1,161 @@ | ||
| # Here we write out Newton Raphson and test integration with LineSearch.jl. Main tests are | ||
| # over at NonlinearSolve.jl and SimpleNonlinearSolve.jl | ||
| @testsetup module RootFinding | ||
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| using SciMLBase, DifferentiationInterface, ForwardDiff | ||
| using SciMLBase: AbstractNonlinearProblem | ||
| const DI = DifferentiationInterface | ||
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| function newton_raphson(prob::AbstractNonlinearProblem, ls) | ||
| if SciMLBase.isinplace(prob) | ||
| return newton_raphson_iip(prob, ls) | ||
| else | ||
| return newton_raphson_oop(prob, ls) | ||
| end | ||
| end | ||
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| function newton_raphson_oop(prob::AbstractNonlinearProblem, ls) | ||
| u = copy(prob.u0) | ||
| fu = prob.f(u, prob.p) | ||
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| ls_cache = init(prob, ls, fu, u) | ||
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| alphas = Float64[] | ||
| iter = 0 | ||
| for _ in 1:100 | ||
| iter += 1 | ||
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| maximum(abs, fu) < 1e-8 && return true, fu, u, iter, alphas | ||
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| J = DI.jacobian(prob.f, AutoForwardDiff(), u, Constant(prob.p)) | ||
| δu = -J \ fu | ||
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| ls_sol = solve!(ls_cache, u, δu) | ||
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| push!(alphas, ls_sol.step_size) | ||
| @. u = u + ls_sol.step_size * δu | ||
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| fu = prob.f(u, prob.p) | ||
| end | ||
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| return false, fu, u, iter, alphas | ||
| end | ||
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| function newton_raphson_iip(prob::AbstractNonlinearProblem, ls) | ||
| u = copy(prob.u0) | ||
| fu = similar(u) | ||
| fu2 = similar(u) | ||
| prob.f(fu, u, prob.p) | ||
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| ls_cache = init(prob, ls, fu, u) | ||
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| alphas = Float64[] | ||
| iter = 0 | ||
| for _ in 1:100 | ||
| iter += 1 | ||
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| maximum(abs, fu) < 1e-8 && return true, fu, u, iter, alphas | ||
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| J = DI.jacobian(prob.f, fu2, AutoForwardDiff(), u, Constant(prob.p)) | ||
| δu = -J \ fu | ||
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| ls_sol = solve!(ls_cache, u, δu) | ||
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| push!(alphas, ls_sol.step_size) | ||
| @. u = u + ls_sol.step_size * δu | ||
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| prob.f(fu, u, prob.p) | ||
| end | ||
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| return false, fu, u, iter, alphas | ||
| end | ||
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| export newton_raphson | ||
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| end | ||
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| @testitem "LineSearches.jl: Newton Raphson" setup=[RootFinding] begin | ||
| using LineSearches, SciMLBase | ||
| using ADTypes, Tracker, ForwardDiff, Zygote, Enzyme, ReverseDiff, FiniteDiff | ||
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| @testset "OOP Problem" begin | ||
| nlf(x, p) = x .^ 2 .- p | ||
| nlp = NonlinearProblem(nlf, [-1.0, 1.0], [3.0]) | ||
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| @testset for autodiff in ( | ||
| AutoTracker(), AutoForwardDiff(), AutoZygote(), | ||
| AutoEnzyme(), AutoReverseDiff(), AutoFiniteDiff() | ||
| ) | ||
| @testset "method: $(nameof(typeof(method)))" for method in ( | ||
| BackTracking(; order = 3), | ||
| StrongWolfe(), | ||
| HagerZhang(), | ||
| MoreThuente(), | ||
| Static() | ||
| ) | ||
| linesearch = LineSearchesJL(; method, autodiff) | ||
| converged, fu, u, iter, alphas = newton_raphson(nlp, linesearch) | ||
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| @test fu≈[0.0, 0.0] atol=1e-3 | ||
| @test abs.(u)≈sqrt.([3.0, 3.0]) atol=1e-3 | ||
| end | ||
| end | ||
| end | ||
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| @testset "In-Place Problem" begin | ||
| nlf(dx, x, p) = (dx .= x .^ 2 .- p) | ||
| nlp = NonlinearProblem(nlf, [-1.0, 1.0], [3.0]) | ||
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| @testset for autodiff in ( | ||
| AutoForwardDiff(), AutoEnzyme(), AutoReverseDiff(), AutoFiniteDiff() | ||
| ) | ||
| @testset "method: $(nameof(typeof(method)))" for method in ( | ||
| BackTracking(; order = 3), | ||
| StrongWolfe(), | ||
| HagerZhang(), | ||
| MoreThuente(), | ||
| Static() | ||
| ) | ||
| linesearch = LineSearchesJL(; method, autodiff) | ||
| converged, fu, u, iter, alphas = newton_raphson(nlp, linesearch) | ||
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| @test fu≈[0.0, 0.0] atol=1e-3 | ||
| @test abs.(u)≈sqrt.([3.0, 3.0]) atol=1e-3 | ||
| end | ||
| end | ||
| end | ||
| end | ||
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| @testitem "Native Line Search: Newton Raphson" setup=[RootFinding] begin | ||
| using LineSearches, SciMLBase | ||
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| @testset "OOP Problem" begin | ||
| nlf(x, p) = x .^ 2 .- p | ||
| nlp = NonlinearProblem(nlf, [-1.0, 1.0], [3.0]) | ||
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| @testset "method: $(nameof(typeof(method)))" for method in ( | ||
| LiFukushimaLineSearch(), | ||
| NoLineSearch(0.5) | ||
| ) | ||
| converged, fu, u, iter, alphas = newton_raphson(nlp, method) | ||
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| @test fu≈[0.0, 0.0] atol=1e-1 | ||
| @test abs.(u)≈sqrt.([3.0, 3.0]) atol=1e-1 | ||
| end | ||
| end | ||
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| @testset "In-Place Problem" begin | ||
| nlf(dx, x, p) = (dx .= x .^ 2 .- p) | ||
| nlp = NonlinearProblem(nlf, [-1.0, 1.0], [3.0]) | ||
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| @testset "method: $(nameof(typeof(method)))" for method in ( | ||
| LiFukushimaLineSearch(), | ||
| NoLineSearch(0.5) | ||
| ) | ||
| converged, fu, u, iter, alphas = newton_raphson(nlp, method) | ||
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| @test fu≈[0.0, 0.0] atol=1e-1 | ||
| @test abs.(u)≈sqrt.([3.0, 3.0]) atol=1e-1 | ||
| end | ||
| end | ||
| end |
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Registration pull request created: JuliaRegistries/General/116359
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