Merge pull request #131 from CCsimon123/master

Implementation of a Levenberg–Marquardt algorithm
SciML · Jan 23, 2023 · e839519 · e839519
2 parents c62e922 + 518747a
commit e839519
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Showing 5 changed files with 613 additions and 11 deletions.
diff --git a/src/NonlinearSolve.jl b/src/NonlinearSolve.jl
@@ -32,6 +32,7 @@ include("utils.jl")
 include("jacobian.jl")
 include("raphson.jl")
 include("trustRegion.jl")
+include("levenberg.jl")
 include("ad.jl")
 
 import SnoopPrecompile
@@ -40,7 +41,7 @@ SnoopPrecompile.@precompile_all_calls begin for T in (Float32, Float64)
     prob = NonlinearProblem{false}((u, p) -> u .* u .- p, T(0.1), T(2))
 
     precompile_algs = if VERSION >= v"1.7"
-        (NewtonRaphson(), TrustRegion())
+        (NewtonRaphson(), TrustRegion(), LevenbergMarquardt())
     else
         (NewtonRaphson(),)
     end
@@ -55,6 +56,6 @@ SnoopPrecompile.@precompile_all_calls begin for T in (Float32, Float64)
     end
 end end
 
-export NewtonRaphson, TrustRegion
+export NewtonRaphson, TrustRegion, LevenbergMarquardt
 
 end # module
diff --git a/src/ad.jl b/src/ad.jl
@@ -26,7 +26,7 @@ end
 function SciMLBase.solve(prob::NonlinearProblem{<:Union{Number, StaticArraysCore.SVector},
                                                 iip,
                                                 <:Dual{T, V, P}},
-                         alg::Union{NewtonRaphson, TrustRegion},
+                         alg::AbstractNewtonAlgorithm,
                          args...; kwargs...) where {iip, T, V, P}
     sol, partials = scalar_nlsolve_ad(prob, alg, args...; kwargs...)
     return SciMLBase.build_solution(prob, alg, Dual{T, V, P}(sol.u, partials), sol.resid;
@@ -35,7 +35,8 @@ end
 function SciMLBase.solve(prob::NonlinearProblem{<:Union{Number, StaticArraysCore.SVector},
                                                 iip,
                                                 <:AbstractArray{<:Dual{T, V, P}}},
-                         alg::Union{NewtonRaphson, TrustRegion}, args...;
+                         alg::AbstractNewtonAlgorithm,
+                         args...;
                          kwargs...) where {iip, T, V, P}
     sol, partials = scalar_nlsolve_ad(prob, alg, args...; kwargs...)
     return SciMLBase.build_solution(prob, alg, Dual{T, V, P}(sol.u, partials), sol.resid;