Reorganised AD dependencies

Author: kaandocal

Project.toml

@@ -8,32 +8,24 @@ ArrayInterface = "4fba245c-0d91-5ea0-9b3e-6abc04ee57a9"
 ConsoleProgressMonitor = "88cd18e8-d9cc-4ea6-8889-5259c0d15c8b"
 DiffResults = "163ba53b-c6d8-5494-b064-1a9d43ac40c5"
 DocStringExtensions = "ffbed154-4ef7-542d-bbb7-c09d3a79fcae"
-FiniteDiff = "6a86dc24-6348-571c-b903-95158fe2bd41"
-ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 Logging = "56ddb016-857b-54e1-b83d-db4d58db5568"
 LoggingExtras = "e6f89c97-d47a-5376-807f-9c37f3926c36"
 Printf = "de0858da-6303-5e67-8744-51eddeeeb8d7"
 ProgressLogging = "33c8b6b6-d38a-422a-b730-caa89a2f386c"
 Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
 Requires = "ae029012-a4dd-5104-9daa-d747884805df"
-ReverseDiff = "37e2e3b7-166d-5795-8a7a-e32c996b4267"
 SciMLBase = "0bca4576-84f4-4d90-8ffe-ffa030f20462"
 TerminalLoggers = "5d786b92-1e48-4d6f-9151-6b4477ca9bed"
-Tracker = "9f7883ad-71c0-57eb-9f7f-b5c9e6d3789c"
-Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f"
 
 [compat]
 ArrayInterface = "2.13, 3.0"
 ConsoleProgressMonitor = "0.1"
 DiffResults = "1.0"
 DocStringExtensions = "0.8"
-FiniteDiff = "2.5"
-ForwardDiff = "0.10"
 LoggingExtras = "0.4"
 ProgressLogging = "0.1"
 Reexport = "0.2, 1.0"
 Requires = "1.0"
-ReverseDiff = "1.4"
 SciMLBase = "1.8.1"
 TerminalLoggers = "0.1"
 Tracker = "0.2"
@@ -45,7 +37,9 @@ BlackBoxOptim = "a134a8b2-14d6-55f6-9291-3336d3ab0209"
 CMAEvolutionStrategy = "8d3b24bd-414e-49e0-94fb-163cc3a3e411"
 DiffEqFlux = "aae7a2af-3d4f-5e19-a356-7da93b79d9d0"
 Evolutionary = "86b6b26d-c046-49b6-aa0b-5f0f74682bd6"
+FiniteDiff = "6a86dc24-6348-571c-b903-95158fe2bd41"
 Flux = "587475ba-b771-5e3f-ad9e-33799f191a9c"
+ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 IterTools = "c8e1da08-722c-5040-9ed9-7db0dc04731e"
 ModelingToolkit = "961ee093-0014-501f-94e3-6117800e7a78"
 MultistartOptimization = "3933049c-43be-478e-a8bb-6e0f7fd53575"
@@ -54,8 +48,11 @@ Optim = "429524aa-4258-5aef-a3af-852621145aeb"
 OrdinaryDiffEq = "1dea7af3-3e70-54e6-95c3-0bf5283fa5ed"
 Pkg = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
+ReverseDiff = "37e2e3b7-166d-5795-8a7a-e32c996b4267"
 SafeTestsets = "1bc83da4-3b8d-516f-aca4-4fe02f6d838f"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
+Tracker = "9f7883ad-71c0-57eb-9f7f-b5c9e6d3789c"
+Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f"
 
 [targets]
-test = ["Flux", "ModelingToolkit", "Optim", "BlackBoxOptim", "Evolutionary", "DiffEqFlux", "IterTools", "OrdinaryDiffEq", "NLopt", "CMAEvolutionStrategy", "Pkg", "Random", "SafeTestsets", "Test"]
+test = ["Flux", "ModelingToolkit", "Optim", "BlackBoxOptim", "Evolutionary", "DiffEqFlux", "IterTools", "OrdinaryDiffEq", "NLopt", "CMAEvolutionStrategy", "Pkg", "Random", "SafeTestsets", "Test", "FiniteDiff", "ForwardDiff", "Tracker", "ReverseDiff", "Zygote"]

src/GalacticOptim.jl

@@ -7,15 +7,14 @@ using DocStringExtensions
 using Reexport
 @reexport using SciMLBase
 using Requires
-using DiffResults, ForwardDiff, Zygote, ReverseDiff, Tracker, FiniteDiff
+using DiffResults
 using Logging, ProgressLogging, Printf, ConsoleProgressMonitor, TerminalLoggers, LoggingExtras
 using ArrayInterface, Base.Iterators
 
-using ForwardDiff: DEFAULT_CHUNK_THRESHOLD
 import SciMLBase: OptimizationProblem, OptimizationFunction, AbstractADType, __solve
 
 include("solve/solve.jl")
-include("function.jl")
+include("function/function.jl")
 
 function __init__()
     # Optimization backends
@@ -27,6 +26,13 @@ function __init__()
     @require NLopt="76087f3c-5699-56af-9a33-bf431cd00edd" include("solve/nlopt.jl")
     @require Optim="429524aa-4258-5aef-a3af-852621145aeb" include("solve/optim.jl")
     @require QuadDIRECT="dae52e8d-d666-5120-a592-9e15c33b8d7a" include("solve/quaddirect.jl")
+
+    # AD backends
+    @require FiniteDiff="6a86dc24-6348-571c-b903-95158fe2bd41" include("function/finitediff.jl")
+    @require ForwardDiff="f6369f11-7733-5829-9624-2563aa707210" include("function/forwarddiff.jl")
+    @require ReverseDiff="37e2e3b7-166d-5795-8a7a-e32c996b4267" include("function/reversediff.jl")
+    @require Tracker="9f7883ad-71c0-57eb-9f7f-b5c9e6d3789c" include("function/tracker.jl")
+    @require Zygote="e88e6eb3-aa80-5325-afca-941959d7151f" include("function/zygote.jl")
 end
 
 export solve

src/function.jl

@@ -0,0 +1,36 @@
+struct AutoFiniteDiff{T1,T2} <: AbstractADType
+    fdtype::T1
+    fdhtype::T2
+end
+
+AutoFiniteDiff(;fdtype = Val(:forward), fdhtype = Val(:hcentral)) =
+                                                  AutoFiniteDiff(fdtype,fdhtype)
+
+function instantiate_function(f, x, adtype::AutoFiniteDiff, p, num_cons = 0)
+    num_cons != 0 && error("AutoFiniteDiff does not currently support constraints")
+    _f = (θ, args...) -> first(f.f(θ, p, args...))
+
+    if f.grad === nothing
+        grad = (res, θ, args...) -> FiniteDiff.finite_difference_gradient!(res, x ->_f(x, args...), θ, FiniteDiff.GradientCache(res, x, adtype.fdtype))
+    else
+        grad = f.grad
+    end
+
+    if f.hess === nothing
+        hess = (res, θ, args...) -> FiniteDiff.finite_difference_hessian!(res, x ->_f(x, args...), θ, FiniteDiff.HessianCache(x, adtype.fdhtype))
+    else
+        hess = f.hess
+    end
+
+    if f.hv === nothing
+        hv = function (H, θ, v, args...)
+            res = ArrayInterface.zeromatrix(θ)
+            hess(res, θ, args...)
+            H .= res*v
+        end
+    else
+        hv = f.hv
+    end
+
+    return OptimizationFunction{false,AutoFiniteDiff,typeof(f),typeof(grad),typeof(hess),typeof(hv),Nothing,Nothing,Nothing}(f,adtype,grad,hess,hv,nothing,nothing,nothing)
+end