SciML / NonlinearSolve.jl

High-performance and differentiation-enabled nonlinear solvers (Newton methods), bracketed rootfinding (bisection, Falsi), with sparsity and Newton-Krylov support.
https://docs.sciml.ai/NonlinearSolve/stable/
MIT License
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Implicit Function Adjoint Rules for Enzyme #439

Open m-bossart opened 1 month ago

m-bossart commented 1 month ago

I am trying to use Enzyme to differentiate a function which builds and solves a NonlinearProblem. I believ the issue is with the enzyme extension which is why I'm opening the issue here.

Expected behavior I expect the SciMLSensitivity overload for NonlinearProblem to be called by Enzyme when differentiating.

Minimal Reproducible Example πŸ‘‡

using SciMLSensitivity
using NonlinearSolve
using Enzyme
using Zygote
using NonlinearSolve
using Test

function nonlinearf(du, u, p)
    du[1] = u[1] .- p[1]
    nothing 
end 
p = [1.0]
function f(p)
    prob_nl = NonlinearProblem{true}(nonlinearf, [0.0], p)
    sol_nl = solve(prob_nl, TrustRegion(); abstol = 1e-9, reltol=1e-9)
    return sol_nl.u[1] * 2 
end 

dp = zeros(1)
dp_zygote = Zygote.gradient(f, p)[1]    #Zygote Works
Enzyme.autodiff(Reverse, f, Active, Duplicated(p, dp))  #Enzyme Fails

Error & Stacktrace ⚠️ I believe this is the problematic line: https://github.com/SciML/DiffEqBase.jl/blob/1658ed0c18e5e8e6776e7da67c52a56af5076fa7/ext/DiffEqBaseEnzymeExt.jl#L33

ERROR: MethodError: no method matching copyto!(::Float64, ::Base.Broadcast.Broadcasted{…})

Closest candidates are:
  copyto!(::AbstractArray, ::Base.Broadcast.Broadcasted{<:Base.Broadcast.AbstractArrayStyle{0}})
   @ Base broadcast.jl:959
  copyto!(::AbstractArray, ::Base.Broadcast.Broadcasted)
   @ Base broadcast.jl:956
  copyto!(::DiffEqArrayOperator, ::Any)
   @ SciMLBase C:\Users\Matt Bossart\.julia\packages\SciMLBase\SDjaO\src\operators\basic_operators.jl:127
  ...

Environment (please complete the following information):

  [d360d2e6] ChainRulesCore v1.23.0
  [b0b7db55] ComponentArrays v0.15.13
  [2b5f629d] DiffEqBase v6.151.1
  [7da242da] Enzyme v0.12.7
  [8913a72c] NonlinearSolve v3.12.0
  [7f7a1694] Optimization v3.25.1
  [42dfb2eb] OptimizationOptimisers v0.2.1
  [1dea7af3] OrdinaryDiffEq v6.78.0
  [f0f68f2c] PlotlyJS v0.18.13
  [295af30f] Revise v3.5.14
  [1ed8b502] SciMLSensitivity v7.59.0
  [e88e6eb3] Zygote v0.6.70
[47edcb42] ADTypes v1.2.1
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βŒƒ [bca83a33] OptimizationBase v1.0.0
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βŒ… [7cc45869] Enzyme_jll v0.0.111+0
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Julia Version 1.10.2
Commit bd47eca2c8 (2024-03-01 10:14 UTC)
Build Info:
  Official https://julialang.org/ release
Platform Info:
  OS: Windows (x86_64-w64-mingw32)
  CPU: 16 Γ— 11th Gen Intel(R) Core(TM) i7-11800H @ 2.30GHz
  WORD_SIZE: 64
  LIBM: libopenlibm
  LLVM: libLLVM-15.0.7 (ORCJIT, tigerlake)
Threads: 1 default, 0 interactive, 1 GC (on 16 virtual cores)
Environment:
  JULIA_EDITOR = code
  JULIA_NUM_THREADS = 
ChrisRackauckas commented 1 month ago

Note that NonlinearSolve is currently missing Enzyme overloads. Only LinearSolve and ODEProblems have gotten that treatment so far.

wsmoses commented 1 month ago

@ChrisRackauckas I can help with the EnzymeRules infra, is there an adjoint function lying around for this. Similarly what would be the right function to hook into with a rule

ChrisRackauckas commented 1 month ago

It's just like the ODE infrastructure in that it just lowers to call SciMLSensitivity for all of the real work. The current dispatch is in DiffEqBase.jl right next to the ODE one.

wsmoses commented 1 month ago

Sorry you're going to have to give me some more concrete pointers to functions which should have a rule.

m-bossart commented 1 month ago

I believe this is the dispatch Chris is referring to: (https://github.com/SciML/DiffEqBase.jl/blob/08fbaf0561d797359027849bac7797ce10948846/src/solve.jl#L1066C1-L1083C4)

For the ODE case, the enzyme rule is for the solve_up function, so I'm guessing the same should be true for the case of nonlinear problems: https://github.com/SciML/DiffEqBase.jl/blob/08fbaf0561d797359027849bac7797ce10948846/ext/DiffEqBaseEnzymeExt.jl#L9C1-L37C4

I'm not sure though, @ChrisRackauckas can you confirm?

ChrisRackauckas commented 1 month ago

Yup and then the adjoint just passes it on: https://github.com/SciML/DiffEqBase.jl/blob/08fbaf0561d797359027849bac7797ce10948846/ext/DiffEqBaseChainRulesCoreExt.jl#L22C28-L29 . Looking at the ODE one, the NonlinearProblem one might just work if NonlinearProblem is made a mutable struct.

m-bossart commented 1 month ago

I tried making NonlinearProblem a mutable struct but am still getting an error:

Closest candidates are:
  copyto!(::OrdinaryDiffEq.ArrayFuse, ::Base.Broadcast.Broadcasted)
   @ OrdinaryDiffEq C:\Users\Matt Bossart\.julia\packages\OrdinaryDiffEq\tAI61\src\wrappers.jl:26
  copyto!(::AbstractArray, ::Base.Broadcast.Broadcasted{<:Base.Broadcast.AbstractArrayStyle{0}})
   @ Base broadcast.jl:959
  copyto!(::AbstractArray, ::Base.Broadcast.Broadcasted)
   @ Base broadcast.jl:956
  ...

It is failing at this line: https://github.com/SciML/DiffEqBase.jl/blob/1658ed0c18e5e8e6776e7da67c52a56af5076fa7/ext/DiffEqBaseEnzymeExt.jl#L33

wsmoses commented 1 month ago

What is the type of the variable being zero's there

Enzyme semantics require it be zeroed but it looks like it may not be defined for that type?

m-bossart commented 1 month ago

The type of the variable being zero'd is Float64. The error I hit above as the same error you get if you do (trying to broadcast a value to a float):

x = 1.0
x .= 0.0

The part I'm unclear on is why this works for an ODEProblemand not a NonlinearProblem. @ChrisRackauckas is it expected that the return from _solve_adjoint would be different for those two?

wsmoses commented 1 month ago

Oh that's definitely it.

Here's a solution. Replace the deepcopy with an Enzyme.make_zero and get rid of the for loop

avik-pal commented 1 month ago

Will https://github.com/SciML/SimpleNonlinearSolve.jl/blob/6b682af1e2155298064d2a035939e6aa373edbed/test/gpu/cuda_tests.jl#L40-L72 these still work if we make the struct mutable?

ChrisRackauckas commented 1 month ago

No, which makes this a major PITA. With DiffEqGPU we had to create a separate immutable problem that gets used internally to keep CUDA kernel compatibility. It converts under the hood so the user doesn't know, but it's definitely code smell.

m-bossart commented 1 month ago

I can confirm that by using Enzyme.make_zero instead of the for loop a simple case runs. It seems to work as well even without making NonlinearProblem mutable. What is the underlying reason for needing it to be mutable?

ChrisRackauckas commented 1 month ago

Limitation of Enzyme mixed activities.

wsmoses commented 1 month ago

At one point it’s on the roadmap to remove the mixed activity limitation, but some other GPU, type stability and blas stuff is currently higher priority

On Wed, Jun 5, 2024 at 7:20β€―PM Christopher Rackauckas < @.***> wrote:

Limitation of Enzyme mixed activities.

β€” Reply to this email directly, view it on GitHub https://github.com/SciML/NonlinearSolve.jl/issues/439#issuecomment-2150575969, or unsubscribe https://github.com/notifications/unsubscribe-auth/AAJTUXCT4AV2UTFAW4BR5FLZF5CGZAVCNFSM6AAAAABIJ3YE3WVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMZDCNJQGU3TKOJWHE . You are receiving this because you commented.Message ID: @.***>

m-bossart commented 1 month ago

Interesting, I think I am hitting this same mixed activity limitation for another non-mutable struct in my application. @wsmoses would you expect passing a reference to the struct as in the docs here: https://enzyme.mit.edu/julia/stable/faq/#Mixed-activity would be a suitable workaround for the mixed activity limitation?

m-bossart commented 1 month ago

I ask because I've tried it and still get Mixed activity errors when passing the reference instead

m-bossart commented 4 weeks ago

I started two draft PRs above. @ChrisRackauckas I just added the code to SimpleNonlinearSolve because that is where the tests are. Should it be moved somewhere else? I'm hitting a method error when trying to convert which I don't understand; I mentioned it in the PR. Can you see what I'm doing wrong there?

m-bossart commented 3 weeks ago

@wsmoses let me know when the new make_zero! is available. Then I will fix the enzyme rule in DiffEqBase.jl and add a test in SciMLSensitivity.jl and we should be all set.

wsmoses commented 3 weeks ago

@m-bossart see here: https://github.com/EnzymeAD/Enzyme.jl/pull/1518 maybe test it out and see if it works [and in interim getting things ready for to release]

wsmoses commented 3 weeks ago

It is released

On Sat, Jun 8, 2024 at 11:49β€―AM Matt Bossart @.***> wrote:

@wsmoses https://github.com/wsmoses let me know when the new make_zero! is available. Then I will fix the enzyme rule in DiffEqBase.jl and add a test in SciMLSensitivity.jl and we should be all set.

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m-bossart commented 3 weeks ago

Ok I now have 4 PRs open that should address this. @ChrisRackauckas can you review these collectively? @wsmoses is the use of make_zero and make_zero correct?

wsmoses commented 3 weeks ago

Reviewed the ones I can offer comments on