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Pass cons_hess_prototype and cons_jac_prototype from user's OptimizationFunction in the created OF in AutoForwardDiff #340

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Merged
merged 2 commits into from
Aug 16, 2022
Merged

Pass cons_hess_prototype and cons_jac_prototype from user's OptimizationFunction in the created OF in AutoForwardDiff #340

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Pass `cons_hess_prototype` and `cons_jac_prototype` from user's Optim…
Vaibhavdixit02 Aug 16, 2022
88b79d9
Add test
Vaibhavdixit02 Aug 16, 2022
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4 changes: 2 additions & 2 deletions src/function/forwarddiff.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -96,8 +96,8 @@ function instantiate_function(f::OptimizationFunction{true}, x, adtype::AutoForw
else
cons_h = f.cons_h
end

return OptimizationFunction{true}(f.f, adtype; grad=grad, hess=hess, hv=hv,
cons=cons, cons_j=cons_j, cons_h=cons_h,
hess_prototype=nothing, cons_jac_prototype=nothing, cons_hess_prototype=nothing)
hess_prototype=nothing, cons_jac_prototype=f.cons_jac_prototype, cons_hess_prototype=f.cons_hess_prototype)
end
8 changes: 8 additions & 0 deletions test/ADtests.jl
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Expand Up @@ -232,6 +232,14 @@ H2 = Array{Float64}(undef, 2, 2)
optprob.hess(H2, [5.0, 3.0])
@test all(isapprox(H2, [28802.0 -2000.0; -2000.0 200.0]; rtol=1e-3))

cons_j = optprob.cons_j
optf = OptimizationFunction(rosenbrock, Optimization.AutoForwardDiff(), cons=con2_c, cons_j=cons_j, cons_jac_prototype=cons_jac_proto)
optprob = Optimization.instantiate_function(optf, x0, Optimization.AutoForwardDiff(), nothing, 2)
@test optprob.cons_jac_prototype == sparse([1.0 1.0; 1.0 1.0]) # make sure it's still using it
J = Array{Float64}(undef, 2, 2)
optprob.cons_j(J, [5.0, 3.0])
@test all(isapprox(J, [10.0 6.0; -0.149013 -0.958924]; rtol=1e-3))

# Can we solve problems? Using AutoForwardDiff to test since we know that works
for consf in [cons, con2_c]
optf1 = OptimizationFunction(rosenbrock, Optimization.AutoFiniteDiff(); cons=consf)
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