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type instability fix #132

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merged 12 commits into from
Jan 25, 2023
Merged

type instability fix #132

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fd8c37e
u eltype cast for TrustRegion
daviehh Jan 23, 2023
fd96bb0
fixing TrustRegion
Deltadahl Jan 23, 2023
9ce3d1e
fixing docs
Deltadahl Jan 23, 2023
8107ad0
Merge pull request #1 from CCsimon123/TrustRegion
daviehh Jan 23, 2023
cf62e01
Merge branch 'master' into utype
daviehh Jan 23, 2023
6a96328
Merge branch 'master' into utype
ChrisRackauckas Jan 24, 2023
8adda38
Fix merge error
ChrisRackauckas Jan 24, 2023
3f66a32
Update trustRegion.jl
ChrisRackauckas Jan 24, 2023
30d8944
Update src/trustRegion.jl
ChrisRackauckas Jan 24, 2023
6947f6a
split types
ChrisRackauckas Jan 25, 2023
b902aa3
Merge remote-tracking branch 'daviehh/utype' into utype
ChrisRackauckas Jan 25, 2023
e438e12
format
ChrisRackauckas Jan 25, 2023
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98 changes: 57 additions & 41 deletions src/trustRegion.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -3,13 +3,13 @@
TrustRegion(; chunk_size = Val{0}(), autodiff = Val{true}(),
standardtag = Val{true}(), concrete_jac = nothing,
diff_type = Val{:forward}, linsolve = nothing, precs = DEFAULT_PRECS,
max_trust_radius::Real = 0.0,
initial_trust_radius::Real = 0.0,
step_threshold::Real = 0.1,
shrink_threshold::Real = 0.25,
expand_threshold::Real = 0.75,
shrink_factor::Real = 0.25,
expand_factor::Real = 2.0,
max_trust_radius::Real = 0 // 1,
initial_trust_radius::Real = 0 // 1,
step_threshold::Real = 1 // 10,
shrink_threshold::Real = 1 // 4,
expand_threshold::Real = 3 // 4,
shrink_factor::Real = 1 // 4,
expand_factor::Real = 2 // 1,
max_shrink_times::Int = 32)
```

Expand Down Expand Up @@ -98,13 +98,13 @@ function TrustRegion(; chunk_size = Val{0}(),
autodiff = Val{true}(),
standardtag = Val{true}(), concrete_jac = nothing,
diff_type = Val{:forward}, linsolve = nothing, precs = DEFAULT_PRECS,
max_trust_radius::Real = 0.0,
initial_trust_radius::Real = 0.0,
step_threshold::Real = 0.1,
shrink_threshold::Real = 0.25,
expand_threshold::Real = 0.75,
shrink_factor::Real = 0.25,
expand_factor::Real = 2.0,
max_trust_radius::Real = 0 // 1,
initial_trust_radius::Real = 0 // 1,
step_threshold::Real = 1 // 10,
shrink_threshold::Real = 1 // 4,
expand_threshold::Real = 3 // 4,
shrink_factor::Real = 1 // 4,
expand_factor::Real = 2 // 1,
max_shrink_times::Int = 32)
TrustRegion{_unwrap_val(chunk_size), _unwrap_val(autodiff), diff_type,
typeof(linsolve), typeof(precs), _unwrap_val(standardtag),
Expand Down Expand Up @@ -140,6 +140,11 @@ mutable struct TrustRegionCache{iip, fType, algType, uType, resType, pType,
prob::probType
trust_r::trustType
max_trust_r::trustType
step_threshold::trustType
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shrink_threshold::trustType
expand_threshold::trustType
shrink_factor::trustType
expand_factor::trustType
loss::floatType
loss_new::floatType
H::jType
Expand All @@ -157,24 +162,29 @@ mutable struct TrustRegionCache{iip, fType, algType, uType, resType, pType,
force_stop::Bool, maxiters::Int, internalnorm::INType,
retcode::SciMLBase.ReturnCode.T, abstol::tolType,
prob::probType, trust_r::trustType,
max_trust_r::trustType, loss::floatType,
loss_new::floatType, H::jType, g::resType,
shrink_counter::Int, step_size::suType, u_tmp::tmpType,
fu_new::resType, make_new_J::Bool,
max_trust_r::trustType, step_threshold::suType,
shrink_threshold::trustType, expand_threshold::trustType,
shrink_factor::trustType, expand_factor::trustType,
loss::floatType, loss_new::floatType, H::jType,
g::resType, shrink_counter::Int, step_size::uType,
u_tmp::tmpType, fu_new::resType, make_new_J::Bool,
r::floatType) where {iip, fType, algType, uType,
resType, pType, INType,
tolType, probType, ufType, L,
jType, JC, floatType, trustType,
suType, tmpType}
new{iip, fType, algType, uType, resType, pType,
INType, tolType, probType, ufType, L, jType, JC, floatType,
trustType, suType, tmpType}(f, alg, u, fu, p, uf, linsolve, J,
jac_config, iter, force_stop,
maxiters, internalnorm, retcode,
abstol, prob, trust_r, max_trust_r, loss,
loss_new, H, g, shrink_counter,
step_size, u_tmp, fu_new,
make_new_J, r)
INType, tolType, probType, ufType, L, jType, JC, floatType, trustType,
suType, tmpType}(f, alg, u, fu, p, uf, linsolve, J,
jac_config, iter, force_stop,
maxiters, internalnorm, retcode,
abstol, prob, trust_r, max_trust_r,
step_threshold, shrink_threshold,
expand_threshold, shrink_factor,
expand_factor, loss,
loss_new, H, g, shrink_counter,
step_size, u_tmp, fu_new,
make_new_J, r)
end
end

Expand Down Expand Up @@ -228,15 +238,19 @@ function SciMLBase.__init(prob::NonlinearProblem{uType, iip}, alg::TrustRegion,
loss = get_loss(fu)
uf, linsolve, J, u_tmp, jac_config = jacobian_caches(alg, f, u, p, Val(iip))

max_trust_radius = convert(eltype(u), alg.max_trust_radius)
initial_trust_radius = convert(eltype(u), alg.initial_trust_radius)
step_threshold = convert(eltype(u), alg.step_threshold)
shrink_threshold = convert(eltype(u), alg.shrink_threshold)
expand_threshold = convert(eltype(u), alg.expand_threshold)
shrink_factor = convert(eltype(u), alg.shrink_factor)
expand_factor = convert(eltype(u), alg.expand_factor)
# Set default trust region radius if not specified
max_trust_radius = alg.max_trust_radius
initial_trust_radius = alg.initial_trust_radius
if max_trust_radius == 0.0
max_trust_radius = convert(typeof(max_trust_radius),
max(norm(fu), maximum(u) - minimum(u)))
if iszero(max_trust_radius)
max_trust_radius = convert(eltype(u), max(norm(fu), maximum(u) - minimum(u)))
end
if initial_trust_radius == 0.0
initial_trust_radius = max_trust_radius / 11
if iszero(initial_trust_radius)
initial_trust_radius = convert(eltype(u), max_trust_radius / 11)
end

loss_new = loss
Expand All @@ -251,8 +265,10 @@ function SciMLBase.__init(prob::NonlinearProblem{uType, iip}, alg::TrustRegion,
return TrustRegionCache{iip}(f, alg, u, fu, p, uf, linsolve, J, jac_config,
1, false, maxiters, internalnorm,
ReturnCode.Default, abstol, prob, initial_trust_radius,
max_trust_radius, loss, loss_new, H, g, shrink_counter,
step_size, u_tmp, fu_new, make_new_J, r)
max_trust_radius, step_threshold, shrink_threshold,
expand_threshold, shrink_factor, expand_factor, loss,
loss_new, H, g, shrink_counter, step_size, u_tmp, fu_new,
make_new_J, r)
end

function perform_step!(cache::TrustRegionCache{true})
Expand Down Expand Up @@ -301,27 +317,27 @@ function perform_step!(cache::TrustRegionCache{false})
end

function trust_region_step!(cache::TrustRegionCache)
@unpack fu_new, step_size, g, H, loss, alg, max_trust_r = cache
@unpack fu_new, step_size, g, H, loss, max_trust_r = cache
cache.loss_new = get_loss(fu_new)

# Compute the ratio of the actual reduction to the predicted reduction.
cache.r = -(loss - cache.loss_new) / (step_size' * g + step_size' * H * step_size / 2)
@unpack r = cache

# Update the trust region radius.
if r < alg.shrink_threshold
cache.trust_r *= alg.shrink_factor
if r < cache.shrink_threshold
cache.trust_r *= cache.shrink_factor
cache.shrink_counter += 1
else
cache.shrink_counter = 0
end
if r > alg.step_threshold
if r > cache.step_threshold
take_step!(cache)
cache.loss = cache.loss_new

# Update the trust region radius.
if r > alg.expand_threshold
cache.trust_r = min(alg.expand_factor * cache.trust_r, max_trust_r)
if r > cache.expand_threshold
cache.trust_r = min(cache.expand_factor * cache.trust_r, max_trust_r)
end

cache.make_new_J = true
Expand Down
2 changes: 1 addition & 1 deletion test/basictests.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -186,7 +186,7 @@ sol = benchmark_inplace(ffiip, u0)
u0 = [1.0, 1.0]
probN = NonlinearProblem{true}(ffiip, u0)
solver = init(probN, TrustRegion(), abstol = 1e-9)
@test (@ballocated solve!(solver)) < 120
@test (@ballocated solve!(solver)) < 200

# AD Tests
using ForwardDiff
Expand Down