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SciML / Optimization.jl

Mathematical Optimization in Julia. Local, global, gradient-based and derivative-free. Linear, Quadratic, Convex, Mixed-Integer, and Nonlinear Optimization in one simple, fast, and differentiable interface.
https://docs.sciml.ai/Optimization/stable/
MIT License
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BFGS fails with user-supplied derivative and bounds (regression in v3.25.0, v3.25.1) #754

Closed sjdaines closed 1 month ago

sjdaines commented 1 month ago

Describe the example

OptimizationOptimJL.Optim.BFGS() fails with combination of user-supplied derivative and upper/lower bounds.

Minimal Reproducible Example 👇

import Optimization
import OptimizationOptimJL

rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
rosenbrock_grad!(dx, x, p) = (dx[1] = -2*(p[1] - x[1]) -4 * p[2] * (x[2] - x[1]^2)*x[1];dx[2]= 2*p[2]*(x[2]-x[1]^2); nothing)

optfunc_grad = Optimization.OptimizationFunction(rosenbrock; grad = rosenbrock_grad!)

x0 = zeros(2)
_p = [1.0, 100.0]

prob_grad_lbub = Optimization.OptimizationProblem(optfunc_grad, x0, _p; lb=[-2.0, -1.0], ub=[2.0, 3.0])
sol = Optimization.solve(prob_grad_lbub, OptimizationOptimJL.Optim.BFGS())  # fails

Error & Stacktrace ⚠️

ERROR: ArgumentError: Fminbox(Optim.BFGS{LineSearches.InitialStatic{Float64}, LineSearches.HagerZhang{Float64, Base.RefValue{Bool}}, Nothing, Nothing, Optim.Flat}(LineSearches.InitialStatic{Float64}
  alpha: Float64 1.0
  scaled: Bool false
, LineSearches.HagerZhang{Float64, Base.RefValue{Bool}}
  delta: Float64 0.1
  sigma: Float64 0.9
  alphamax: Float64 Inf
  rho: Float64 5.0
  epsilon: Float64 1.0e-6
  gamma: Float64 0.66
  linesearchmax: Int64 50
  psi3: Float64 0.1
  display: Int64 0
  mayterminate: Base.RefValue{Bool}
, nothing, nothing, Optim.Flat())) requires gradients, since you didn't use `OptimizationFunction` with a valid AD backend https://docs.sciml.ai/Optimization/stable/API/ad/ the lower and upper bounds thus will be ignored.
Stacktrace:
 [1] __init(prob::SciMLBase.OptimizationProblem{…}, opt::Optim.BFGS{…}, data::Base.Iterators.Cycle{…}; callback::Function, maxiters::Nothing, maxtime::Nothing, abstol::Nothing, reltol::Nothing, progress::Bool, kwargs::@Kwargs{})
   @ OptimizationOptimJL ~/.julia/packages/OptimizationOptimJL/As5mV/src/OptimizationOptimJL.jl:98
 [2] __init(prob::SciMLBase.OptimizationProblem{…}, opt::Optim.BFGS{…}, data::Base.Iterators.Cycle{…})
   @ OptimizationOptimJL ~/.julia/packages/OptimizationOptimJL/As5mV/src/OptimizationOptimJL.jl:77
 [3] init(::SciMLBase.OptimizationProblem{…}, ::Optim.BFGS{…}; kwargs::@Kwargs{})
   @ SciMLBase ~/.julia/packages/SciMLBase/SDjaO/src/solve.jl:174
 [4] init(::SciMLBase.OptimizationProblem{…}, ::Optim.BFGS{…})
   @ SciMLBase ~/.julia/packages/SciMLBase/SDjaO/src/solve.jl:172
 [5] solve(::SciMLBase.OptimizationProblem{…}, ::Optim.BFGS{…}; kwargs::@Kwargs{})
   @ SciMLBase ~/.julia/packages/SciMLBase/SDjaO/src/solve.jl:96
 [6] solve(::SciMLBase.OptimizationProblem{…}, ::Optim.BFGS{…})
   @ SciMLBase ~/.julia/packages/SciMLBase/SDjaO/src/solve.jl:93
 [7] top-level scope
   @ REPL[9]:1
Some type information was truncated. Use `show(err)` to see complete types.

Not Working Environment (please complete the following information):

Pkg.status(;mode=Pkg.PKGMODE_MANIFEST)
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  [d7e528f0] FreeType2_jll v2.13.2+0
  [559328eb] FriBidi_jll v1.0.14+0
  [0656b61e] GLFW_jll v3.3.9+0
  [d2c73de3] GR_jll v0.73.5+0
  [78b55507] Gettext_jll v0.21.0+0
⌃ [f8c6e375] Git_jll v2.36.1+2
  [7746bdde] Glib_jll v2.80.2+0
  [3b182d85] Graphite2_jll v1.3.14+0
⌅ [0234f1f7] HDF5_jll v1.12.2+2
  [2e76f6c2] HarfBuzz_jll v2.8.1+1
  [1d5cc7b8] IntelOpenMP_jll v2024.1.0+0
  [aacddb02] JpegTurbo_jll v3.0.3+0
  [f7e6163d] Kaleido_jll v0.2.1+0
  [c1c5ebd0] LAME_jll v3.100.2+0
⌅ [88015f11] LERC_jll v3.0.0+1
  [dad2f222] LLVMExtra_jll v0.0.29+0
  [1d63c593] LLVMOpenMP_jll v15.0.7+0
  [aae0fff6] LSODA_jll v0.1.2+0
  [dd4b983a] LZO_jll v2.10.2+0
  [81d17ec3] L_BFGS_B_jll v3.0.1+0
⌅ [e9f186c6] Libffi_jll v3.2.2+1
  [d4300ac3] Libgcrypt_jll v1.8.11+0
  [7e76a0d4] Libglvnd_jll v1.6.0+0
  [7add5ba3] Libgpg_error_jll v1.49.0+0
  [94ce4f54] Libiconv_jll v1.17.0+0
  [4b2f31a3] Libmount_jll v2.40.1+0
⌅ [89763e89] Libtiff_jll v4.5.1+1
  [38a345b3] Libuuid_jll v2.40.1+0
  [856f044c] MKL_jll v2024.1.0+0
⌃ [7243133f] NetCDF_jll v400.902.5+1
  [c771fb93] ODEInterface_jll v0.0.1+0
  [e7412a2a] Ogg_jll v1.3.5+1
⌅ [458c3c95] OpenSSL_jll v1.1.23+0
  [efe28fd5] OpenSpecFun_jll v0.5.5+0
  [91d4177d] Opus_jll v1.3.2+0
  [30392449] Pixman_jll v0.43.4+0
⌅ [c0090381] Qt6Base_jll v6.5.2+2
  [f50d1b31] Rmath_jll v0.4.2+0
  [63e82ce6] SLEEF_jll v3.5.2+0
⌅ [fb77eaff] Sundials_jll v5.2.2+0
  [a44049a8] Vulkan_Loader_jll v1.3.243+0
  [a2964d1f] Wayland_jll v1.21.0+1
  [2381bf8a] Wayland_protocols_jll v1.31.0+0
  [02c8fc9c] XML2_jll v2.12.7+0
  [aed1982a] XSLT_jll v1.1.34+0
  [ffd25f8a] XZ_jll v5.4.6+0
  [f67eecfb] Xorg_libICE_jll v1.1.1+0
  [c834827a] Xorg_libSM_jll v1.2.4+0
  [4f6342f7] Xorg_libX11_jll v1.8.6+0
  [0c0b7dd1] Xorg_libXau_jll v1.0.11+0
  [935fb764] Xorg_libXcursor_jll v1.2.0+4
  [a3789734] Xorg_libXdmcp_jll v1.1.4+0
  [1082639a] Xorg_libXext_jll v1.3.6+0
  [d091e8ba] Xorg_libXfixes_jll v5.0.3+4
  [a51aa0fd] Xorg_libXi_jll v1.7.10+4
  [d1454406] Xorg_libXinerama_jll v1.1.4+4
  [ec84b674] Xorg_libXrandr_jll v1.5.2+4
  [ea2f1a96] Xorg_libXrender_jll v0.9.11+0
  [14d82f49] Xorg_libpthread_stubs_jll v0.1.1+0
  [c7cfdc94] Xorg_libxcb_jll v1.15.0+0
  [cc61e674] Xorg_libxkbfile_jll v1.1.2+0
  [e920d4aa] Xorg_xcb_util_cursor_jll v0.1.4+0
  [12413925] Xorg_xcb_util_image_jll v0.4.0+1
  [2def613f] Xorg_xcb_util_jll v0.4.0+1
  [975044d2] Xorg_xcb_util_keysyms_jll v0.4.0+1
  [0d47668e] Xorg_xcb_util_renderutil_jll v0.3.9+1
  [c22f9ab0] Xorg_xcb_util_wm_jll v0.4.1+1
  [35661453] Xorg_xkbcomp_jll v1.4.6+0
  [33bec58e] Xorg_xkeyboard_config_jll v2.39.0+0
  [c5fb5394] Xorg_xtrans_jll v1.5.0+0
  [8f1865be] ZeroMQ_jll v4.3.5+0
  [3161d3a3] Zstd_jll v1.5.6+0
  [35ca27e7] eudev_jll v3.2.9+0
⌅ [214eeab7] fzf_jll v0.43.0+0
  [1a1c6b14] gperf_jll v3.1.1+0
  [a4ae2306] libaom_jll v3.9.0+0
  [0ac62f75] libass_jll v0.15.1+0
  [2db6ffa8] libevdev_jll v1.11.0+0
  [f638f0a6] libfdk_aac_jll v2.0.2+0
  [36db933b] libinput_jll v1.18.0+0
  [b53b4c65] libpng_jll v1.6.43+1
  [a9144af2] libsodium_jll v1.0.20+0
  [f27f6e37] libvorbis_jll v1.3.7+1
  [009596ad] mtdev_jll v1.1.6+0
  [1317d2d5] oneTBB_jll v2021.12.0+0
  [1270edf5] x264_jll v2021.5.5+0
  [dfaa095f] x265_jll v3.5.0+0
  [d8fb68d0] xkbcommon_jll v1.4.1+1
  [0dad84c5] ArgTools v1.1.1
  [56f22d72] Artifacts
  [2a0f44e3] Base64
  [ade2ca70] Dates
  [8ba89e20] Distributed
  [f43a241f] Downloads v1.6.0
  [7b1f6079] FileWatching
  [9fa8497b] Future
  [b77e0a4c] InteractiveUtils
  [4af54fe1] LazyArtifacts
  [b27032c2] LibCURL v0.6.4
  [76f85450] LibGit2
  [8f399da3] Libdl
  [37e2e46d] LinearAlgebra
  [56ddb016] Logging
  [d6f4376e] Markdown
  [a63ad114] Mmap
  [ca575930] NetworkOptions v1.2.0
  [44cfe95a] Pkg v1.10.0
  [de0858da] Printf
  [9abbd945] Profile
  [3fa0cd96] REPL
  [9a3f8284] Random
  [ea8e919c] SHA v0.7.0
  [9e88b42a] Serialization
  [1a1011a3] SharedArrays
  [6462fe0b] Sockets
  [2f01184e] SparseArrays v1.10.0
  [10745b16] Statistics v1.10.0
  [4607b0f0] SuiteSparse
  [fa267f1f] TOML v1.0.3
  [a4e569a6] Tar v1.10.0
  [8dfed614] Test
  [cf7118a7] UUIDs
  [4ec0a83e] Unicode
  [e66e0078] CompilerSupportLibraries_jll v1.1.1+0
  [781609d7] GMP_jll v6.2.1+6
  [deac9b47] LibCURL_jll v8.4.0+0
  [e37daf67] LibGit2_jll v1.6.4+0
  [29816b5a] LibSSH2_jll v1.11.0+1
  [3a97d323] MPFR_jll v4.2.0+1
  [c8ffd9c3] MbedTLS_jll v2.28.2+1
  [14a3606d] MozillaCACerts_jll v2023.1.10
  [4536629a] OpenBLAS_jll v0.3.23+4
  [05823500] OpenLibm_jll v0.8.1+2
  [efcefdf7] PCRE2_jll v10.42.0+1
  [bea87d4a] SuiteSparse_jll v7.2.1+1
  [83775a58] Zlib_jll v1.2.13+1
  [8e850b90] libblastrampoline_jll v5.8.0+1
  [8e850ede] nghttp2_jll v1.52.0+1
  [3f19e933] p7zip_jll v17.4.0+2
Info Packages marked with ⌃ and ⌅ have new versions available. Those with ⌃ may be upgradable, but those with ⌅ are restricted by compatibility constraints from upgrading. To see why use `status --outdated -m`
ulia> versioninfo()
Julia Version 1.10.3
Commit 0b4590a5507 (2024-04-30 10:59 UTC)
Build Info:
  Official https://julialang.org/ release
Platform Info:
  OS: Linux (x86_64-linux-gnu)
  CPU: 12 × AMD Ryzen 5 7600 6-Core Processor
  WORD_SIZE: 64
  LIBM: libopenlibm
  LLVM: libLLVM-15.0.7 (ORCJIT, znver3)
Threads: 1 default, 0 interactive, 1 GC (on 12 virtual cores)
Environment:
  JULIA_EDITOR = code
  JULIA_NUM_THREADS =

Working Environment (please complete the following information):

This worked using Optimization v3.24.3

See below for breaking change

Additional context

See https://github.com/SciML/Optimization.jl/issues/747 I think this another example of a breaking change introduced by this commit: https://github.com/SciML/Optimization.jl/commit/3d5d10261f2c9d6b2bd2d6f443f4fd1a456ebe2c PR https://github.com/SciML/Optimization.jl/pull/741 @Vaibhavdixit02

The real problem here I think is missing tests: for user-supplied derivatives (grad), upper/lower bounds, and the combination