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add finite_difference_jvp
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c37c302
add `finite_difference_jvp`
oscardssmith f0ac3bd
include file
oscardssmith 82fc83a
typo
oscardssmith b0922f6
typo
oscardssmith aa5b954
actually add cache
oscardssmith 37ccbee
fix sqrt sign
oscardssmith 7d4dfdb
typo
oscardssmith 02286bc
add tests
oscardssmith 062facc
don\'t assume mutability for out of place
oscardssmith c21186b
typo
oscardssmith 39767f4
Update src/jvp.jl
ChrisRackauckas 59b1ebb
Update src/jvp.jl
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,196 @@ | ||
| mutable struct JVPCache{X1, FX1, FDType} | ||
| x1 :: X1 | ||
| fx1 :: FX1 | ||
| end | ||
|
|
||
| """ | ||
| FiniteDiff.JVPCache( | ||
| x, | ||
| fdtype :: Type{T1} = Val{:forward}) | ||
|
|
||
| Allocating Cache Constructor. | ||
| """ | ||
| function JVPCache( | ||
| x, | ||
| fdtype::Union{Val{FD},Type{FD}} = Val(:forward)) where {FD} | ||
| fdtype isa Type && (fdtype = fdtype()) | ||
| JVPCache{typeof(x), typeof(x), fdtype}(copy(x), copy(x)) | ||
| end | ||
|
|
||
| """ | ||
| FiniteDiff.JVPCache( | ||
| x, | ||
| fx1, | ||
| fdtype :: Type{T1} = Val{:forward}, | ||
|
|
||
| Non-Allocating Cache Constructor. | ||
| """ | ||
| function JVPCache( | ||
| x, | ||
| fx, | ||
| fdtype::Union{Val{FD},Type{FD}} = Val(:forward)) where {FD} | ||
| fdtype isa Type && (fdtype = fdtype()) | ||
| JVPCache{typeof(x), typeof(fx), fdtype}(x,fx) | ||
| end | ||
|
|
||
| """ | ||
| FiniteDiff.finite_difference_jvp( | ||
| f, | ||
| x :: AbstractArray{<:Number}, | ||
| v :: AbstractArray{<:Number}, | ||
| fdtype :: Type{T1}=Val{:central}, | ||
| relstep=default_relstep(fdtype, eltype(x)), | ||
| absstep=relstep) | ||
|
|
||
| Cache-less. | ||
| """ | ||
| function finite_difference_jvp(f, x, v, | ||
| fdtype = Val(:forward), | ||
| f_in = nothing; | ||
| relstep=default_relstep(fdtype, eltype(x)), | ||
| absstep=relstep, | ||
| dir=true) | ||
|
|
||
| if f_in isa Nothing | ||
| fx = f(x) | ||
| else | ||
| fx = f_in | ||
| end | ||
| cache = JVPCache(x, fx, fdtype) | ||
| finite_difference_jvp(f, x, v, cache, fx; relstep, absstep, dir) | ||
| end | ||
|
|
||
| """ | ||
| FiniteDiff.finite_difference_jvp( | ||
| f, | ||
| x, | ||
| v, | ||
| cache::JVPCache; | ||
| relstep=default_relstep(fdtype, eltype(x)), | ||
| absstep=relstep, | ||
|
|
||
| Cached. | ||
| """ | ||
| function finite_difference_jvp( | ||
| f, | ||
| x, | ||
| v, | ||
| cache::JVPCache{X1, FX1, fdtype}, | ||
| f_in=nothing; | ||
| relstep=default_relstep(fdtype, eltype(x)), | ||
| absstep=relstep, | ||
| dir=true) where {X1, FX1, fdtype} | ||
|
|
||
| if fdtype == Val(:complex) | ||
| ArgumentError("finite_difference_jvp doesn't support :complex-mode finite diff") | ||
| end | ||
|
|
||
| tmp = sqrt(abs(dot(_vec(x), _vec(v)))) | ||
| epsilon = compute_epsilon(fdtype, tmp, relstep, absstep, dir) | ||
| if fdtype == Val(:forward) | ||
| fx = f_in isa Nothing ? f(x) : f_in | ||
| x1 = @. x + epsilon * v | ||
| fx1 = f(x1) | ||
| fx1 = @. (fx1-fx)/epsilon | ||
| elseif fdtype == Val(:central) | ||
| x1 = @. x + epsilon * v | ||
| fx1 = f(x1) | ||
| x1 = @. x - epsilon * v | ||
| fx = f(x1) | ||
| fx1 = @. (fx1-fx)/(2epsilon) | ||
| else | ||
| fdtype_error(eltype(x)) | ||
| end | ||
| fx1 | ||
| end | ||
|
|
||
| """ | ||
| finite_difference_jvp!( | ||
| jvp::AbstractArray{<:Number}, | ||
| f, | ||
| x::AbstractArray{<:Number}, | ||
| v::AbstractArray{<:Number}, | ||
| fdtype :: Type{T1}=Val{:forward}, | ||
| returntype :: Type{T2}=eltype(x), | ||
| f_in :: Union{T2,Nothing}=nothing; | ||
| relstep=default_relstep(fdtype, eltype(x)), | ||
| absstep=relstep) | ||
|
|
||
| Cache-less. | ||
| """ | ||
| function finite_difference_jvp!(jvp, | ||
| f, | ||
| x, | ||
| v, | ||
| fdtype = Val(:forward), | ||
| f_in = nothing; | ||
| relstep=default_relstep(fdtype, eltype(x)), | ||
| absstep=relstep) | ||
| if !isnothing(f_in) | ||
| cache = JVPCache(x, f_in, fdtype) | ||
| elseif fdtype == Val(:forward) | ||
| fx = zero(x) | ||
| f(fx,x) | ||
| cache = JVPCache(x, fx, fdtype) | ||
| else | ||
| cache = JVPCache(x, fdtype) | ||
| end | ||
| finite_difference_jvp!(jvp, f, x, v, cache, cache.fx1; relstep, absstep) | ||
| end | ||
|
|
||
| """ | ||
| FiniteDiff.finite_difference_jvp!( | ||
| jvp::AbstractArray{<:Number}, | ||
| f, | ||
| x::AbstractArray{<:Number}, | ||
| v::AbstractArray{<:Number}, | ||
| cache::JVPCache; | ||
| relstep=default_relstep(fdtype, eltype(x)), | ||
| absstep=relstep,) | ||
|
|
||
| Cached. | ||
| """ | ||
| function finite_difference_jvp!( | ||
| jvp, | ||
| f, | ||
| x, | ||
| v, | ||
| cache::JVPCache{X1, FX1, fdtype}, | ||
| f_in = nothing; | ||
| relstep = default_relstep(fdtype, eltype(x)), | ||
| absstep = relstep, | ||
| dir = true) where {X1, FX1, fdtype} | ||
|
|
||
| if fdtype == Val(:complex) | ||
| ArgumentError("finite_difference_jvp doesn't support :complex-mode finite diff") | ||
| end | ||
|
|
||
| (;x1, fx1) = cache | ||
| tmp = sqrt(abs(dot(_vec(x), _vec(v)))) | ||
| epsilon = compute_epsilon(fdtype, tmp, relstep, absstep, dir) | ||
| if fdtype == Val(:forward) | ||
| if f_in isa Nothing | ||
| f(fx1, x) | ||
| else | ||
| fx1 = f_in | ||
| end | ||
| @. x1 = x + epsilon * v | ||
| f(jvp, x1) | ||
| @. jvp = (jvp-fx1)/epsilon | ||
| elseif fdtype == Val(:central) | ||
| @. x1 = x - epsilon * v | ||
| f(fx1, x1) | ||
| @. x1 = x + epsilon * v | ||
| f(jvp, x1) | ||
| @. jvp = (jvp-fx1)/(2epsilon) | ||
| else | ||
| fdtype_error(eltype(x)) | ||
| end | ||
| nothing | ||
| end | ||
|
|
||
| function resize!(cache::JVPCache, i::Int) | ||
| resize!(cache.x1, i) | ||
| cache.fx1 !== nothing && resize!(cache.fx1, i) | ||
| nothing | ||
| end | ||
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well it does make a copy of
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yes the non-allocating cache is expected to just use the arrays as given 😅