Compute JVP in line searches #1210
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this one also has conflicts for the same reason as the AD pr I suppseo |
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I see you're hitting all the wrappers |
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| elseif !NLSolversBase.isfinite_value(d) | ||
| TerminationCode.ObjectiveNotFinite | ||
| elseif !NLSolversBase.isfinite_gradient(d) | ||
| TerminationCode.GradientNotFinite |
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@pkofod a random bug I came across when fixing these lines
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I'm wondering if I had that f_calls there for a reason
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The logic is not changed, it's just moved to NLSolversBase to avoid having to expose jvp(obj) (IMO such calls are quite unsafe in general, so I'd like to avoid having to introduce new ones at least).
My point's just that currently the termination code is a GradientNotFinite when the objective function is not finite.
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I understood the part of about the wrong code but had missed the part about the new function . Great
| initial_x = copy(initial_x) | ||
| retract!(method.manifold, initial_x) | ||
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| value_gradient!!(d, initial_x) |
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@pkofod why would we ever want to call the !! methods explicitly? If the input is different from the one that the value and gradient were evaluated with the value/gradient will be recomputed anyway.
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An alternative is to create new instances of OnceDifferentiable, but the "problem" is Fminbox that has outer and inner loops. In the previous inner loop you may evaluate the objective at x but then Fminbox updates a parameter that changes the function essentially and then the stored value is not correct.
Without getting too specific here, you can thing of it as the EBEs in Laplace's method. If you have an outer objective that performs an EBE optimization on the inside then a OnceDifferentiable for the outside objective of the marginal loglikelihood cannot know if we changes the inner EBEs or not.
As I said above, maybe a better approach is to construct a new OnceDifferentiable per outer iteration.
I believe other users have relied on it in the past as well, because they are doing the same. Allocating / constructing the OnceDifferntiable once and then they're solving a sequence of optimize with some parameter that's updated between optimize calls. I'm not completely sure if it's documented or not, but the idea is that each initial evaluation and each reset! for Fminbox forces an evaluation even if x is not updated.
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In the previous inner loop you may evaluate the objective at x but then Fminbox updates a parameter that changes the function essentially and then the stored value is not correct.
It sounds like we should just use NLSolversBase.clear! instead of only resetting the number of calls in the loop of the algorithm?
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yes we can call clear before value!, gradient! etc is called in those places
| bw.Fb = value(bw.b, x) | ||
| bw.Ftotal = bw.mu * bw.Fb | ||
| NLSolversBase.value(obj::BarrierWrapper) = obj.Ftotal | ||
| function NLSolversBase.value!(bw::BarrierWrapper, x) |
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I didn't check CI yet, but I think these may call failures because the multiplier could have been updated
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I guess you can rewrite these to check if mu was updated in the same manner...
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| results = optimize(dfbox, x, _optimizer, options, state) | ||
| stopped_by_callback = results.stopped_by.callback | ||
| dfbox.obj.f_calls[1] = 0 | ||
| # TODO: Reset everything? Add upstream API for resetting call counters? |
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As discussed above, clear! should suffice
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It didn't but maybe I did something wrong. I spent a day trying to fix the errors but then decided to revert back to not touching any of the !! etc. functionality in this PR. The problem - and why I wanted to get rid of them in the first place - is that the JVP function messes up any of such implicit assumptions. There's no guarantee anymore that during/after the line search the gradient will be available or that a new gradient is used at all in the line search. IMO one should (at some point, but maybe not in this PR) get rid of the value(d) etc. API and any such implicit assumptions completely. If a specific gradient etc. has to be passed, it should be passed explicitly; and IMO the objective function structs should be treated as black boxes that just perform some optimisations by caching evaluations.
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Based on JuliaNLSolvers/NLSolversBase.jl#168 and JuliaNLSolvers/LineSearches.jl#187.
The diff would be cleaner if #1195 (which depends on #1209) would be available on the master branch.
Currently, tests are failing due to missing definitions of
NLSolversBase.value_jvp!etc. forManifoldObjective.