Save fix for t0==t1 (#494)

* Langevin PR (#453)

* Langevin PR

* Minor fixes

* removed the SORT solver (superseded by QUICSORT)

* made LangevinTerm.term a static field

* temporary fix for _term_compatible and LangevinTerm

* Fixed LangevinTerm YAAAYYYYY

* Nits

* Added Langevin docs, a Langevin example and backwards in time test

* Fixed Patrick's comments

* langevin -> underdamped_langevin

* round of small fixes

* check langevin drift term and diffusion term have same args

* added scan_trick in QUICSORT and ShOULD

* using RuntimeError for when ULD args have wrong structure

* small fixes

* tidy-ups

* Split SDE tests in half, to try and avoid GitHub runner issues?

* Added effects_barrier to fix test issue with JAX 0.4.33+

* small fix of docs in all three and a return type in quicsort

* bump doc building pipeline

* Compatibility with JAX 0.4.36, which removes ConcreteArray

* using a fori_loop to save states in edge case t0==t1

* added case for saving t0 data, which was also not getting updated.

Added a test

* using while_loop, ran into issues with reverse-mode diff using the fori_loop

* bug fix for cases when t0=True

* simplified logic for saving, no loop necessary

* added vmap test

* using a fori_loop to save states in edge case t0==t1

* added case for saving t0 data, which was also not getting updated.

Added a test

* using while_loop, ran into issues with reverse-mode diff using the fori_loop

* bug fix for cases when t0=True

* simplified logic for saving, no loop necessary

* added vmap test

* fix t1 out of bounds issue

* fix for steps: don't want to update those values if t0==t1 since we didn't take any steps.

Added test

---------

Co-authored-by: Andraž Jelinčič <66168650+andyElking@users.noreply.github.com>
Co-authored-by: Patrick Kidger <33688385+patrick-kidger@users.noreply.github.com>
Co-authored-by: andyElking <andraz.jelincic@gmail.com>

Author: 3 people

diffrax/_integrate.py

@@ -775,9 +775,56 @@ def _save_t1(subsaveat, save_state):
                 save_state = _save(tfinal, yfinal, args, subsaveat.fn, save_state)
         return save_state
 
+    def _save_ts(subsaveat: SubSaveAt, save_state: SaveState) -> SaveState:
+        if subsaveat.ts is not None:
+            out_size = 1 if subsaveat.t0 else 0
+            out_size += 1 if subsaveat.t1 and not subsaveat.steps else 0
+            out_size += len(subsaveat.ts)
+            ys = jtu.tree_map(
+                lambda y: jnp.stack([y] * out_size),
+                subsaveat.fn(t0, yfinal, args),
+            )
+            ts = jnp.full(out_size, t0)
+            if subsaveat.steps:
+                ysteps = jtu.tree_map(
+                    lambda y: jnp.stack([y] * max_steps),
+                    subsaveat.fn(t0, jnp.full_like(yfinal, jnp.inf), args),
+                )
+                ys = jtu.tree_map(
+                    lambda _ys, _ysteps: jnp.concatenate([_ys, _ysteps], axis=0),
+                    ys,
+                    ysteps,
+                )
+                ts = jnp.concatenate((ts, jnp.full(max_steps, jnp.inf)))
+            save_state = SaveState(
+                saveat_ts_index=out_size,
+                ts=ts,
+                ys=ys,
+                save_index=out_size,
+            )
+        return save_state
+
     save_state = jtu.tree_map(
         _save_t1, saveat.subs, final_state.save_state, is_leaf=_is_subsaveat
     )
+
+    # if t0 == t1 then we don't enter the integration loop. In this case we have to
+    # manually update the saved ts and ys if we want to save at "intermediate"
+    # times specified by saveat.subs.ts
+    save_state = jax.lax.cond(
+        eqxi.unvmap_any(t0 == t1),
+        lambda __save_state: jax.lax.cond(
+            t0 == t1,
+            lambda _save_state: jtu.tree_map(
+                _save_ts, saveat.subs, _save_state, is_leaf=_is_subsaveat
+            ),
+            lambda _save_state: _save_state,
+            __save_state,
+        ),
+        lambda __save_state: __save_state,
+        save_state,
+    )
+
     final_state = eqx.tree_at(
         lambda s: s.save_state, final_state, save_state, is_leaf=_is_none
     )

test/test_saveat_solution.py

@@ -147,6 +147,91 @@ def test_saveat_solution():
     assert sol.result == diffrax.RESULTS.successful
 
 
+@pytest.mark.parametrize("subs", [True, False])
+def test_t0_eq_t1(subs):
+    y0 = jnp.array([2.0])
+    ts = jnp.linspace(1.0, 1.0, 3)
+    max_steps = 256
+    if subs:
+        get0 = diffrax.SubSaveAt(
+            ts=ts,
+            t1=True,
+        )
+        get1 = diffrax.SubSaveAt(
+            t0=True,
+            ts=ts,
+        )
+        get2 = diffrax.SubSaveAt(
+            t0=True,
+            ts=ts,
+            steps=True,
+        )
+        subs = (get0, get1, get2)
+        saveat = diffrax.SaveAt(subs=subs)
+    else:
+        saveat = diffrax.SaveAt(t0=True, t1=True, ts=ts)
+    term = diffrax.ODETerm(lambda t, y, args: y)
+    sol = diffrax.diffeqsolve(
+        term,
+        t0=ts[0],
+        t1=ts[-1],
+        y0=y0,
+        dt0=0.1,
+        solver=diffrax.Dopri5(),
+        saveat=saveat,
+        max_steps=max_steps,
+    )
+    if subs:
+        compare = jnp.full((len(ts) + 1, *y0.shape), y0)
+        compare_2 = jnp.concatenate(
+            (compare, jnp.full((max_steps, *y0.shape), jnp.inf))
+        )
+        assert tree_allclose(sol.ys[0], compare)  # pyright: ignore
+        assert tree_allclose(sol.ys[1], compare)  # pyright: ignore
+        assert tree_allclose(sol.ys[2], compare_2)  # pyright: ignore
+    else:
+        compare = jnp.full((len(ts) + 2, *y0.shape), y0)
+        assert tree_allclose(sol.ys, compare)
+
+
+@pytest.mark.parametrize("subs", [True, False])
+def test_vmap_t0_eq_t1(subs):
+    ntsave = 4
+    y0 = jnp.array([2.0])
+    term = diffrax.ODETerm(lambda t, y, args: y)
+
+    def _solve(tf):
+        ts = jnp.linspace(0.0, tf, ntsave)
+        get0 = diffrax.SubSaveAt(
+            ts=ts,
+            t1=True,
+        )
+        get1 = diffrax.SubSaveAt(
+            t0=True,
+            ts=ts,
+        )
+        subs = (get0, get1)
+        saveat = diffrax.SaveAt(subs=subs)
+        return diffrax.diffeqsolve(
+            term,
+            t0=ts[0],
+            t1=ts[-1],
+            y0=y0,
+            dt0=0.1,
+            solver=diffrax.Dopri5(),
+            saveat=saveat,
+        )
+
+    compare = jnp.full((ntsave + 1, *y0.shape), y0)
+    sol = jax.vmap(_solve)(jnp.array([0.0, 1.0]))
+    assert tree_allclose(sol.ys[0][0], compare)  # pyright: ignore
+    assert tree_allclose(sol.ys[1][0], compare)  # pyright: ignore
+
+    regular_solve = _solve(1.0)
+    assert tree_allclose(sol.ys[0][1], regular_solve.ys[0])  # pyright: ignore
+    assert tree_allclose(sol.ys[1][1], regular_solve.ys[1])  # pyright: ignore
+
+
 def test_trivial_dense():
     term = diffrax.ODETerm(lambda t, y, args: -0.5 * y)
     y0 = jnp.array([2.1])