Merge pull request #137 from dingraha/jacobian_range_arg

Make `finite_difference_jacobian` work with range argument

Author: ChrisRackauckas

Project.toml

@@ -1,6 +1,6 @@
 name = "FiniteDiff"
 uuid = "6a86dc24-6348-571c-b903-95158fe2bd41"
-version = "2.12.1"
+version = "2.12.2"
 
 [deps]
 ArrayInterfaceCore = "30b0a656-2188-435a-8636-2ec0e6a096e2"

src/jacobians.jl

@@ -1,8 +1,8 @@
-mutable struct JacobianCache{CacheType1,CacheType2,CacheType3,ColorType,SparsityType,fdtype,returntype}
+mutable struct JacobianCache{CacheType1,CacheType2,CacheType3,CacheType4,ColorType,SparsityType,fdtype,returntype}
     x1  :: CacheType1
-    x2  :: CacheType1
-    fx  :: CacheType2
-    fx1 :: CacheType3
+    x2  :: CacheType2
+    fx  :: CacheType3
+    fx1 :: CacheType4
     colorvec :: ColorType
     sparsity :: SparsityType
 end
@@ -98,7 +98,7 @@ function JacobianCache(
         _fx = fx
     end
     _x2 = zero(_x1)
-    JacobianCache{typeof(_x1),typeof(_fx),typeof(fx1),typeof(colorvec),typeof(sparsity),fdtype,returntype}(_x1,_x2,_fx,fx1,colorvec,sparsity)
+    JacobianCache{typeof(_x1),typeof(_x2),typeof(_fx),typeof(fx1),typeof(colorvec),typeof(sparsity),fdtype,returntype}(_x1,_x2,_fx,fx1,colorvec,sparsity)
 end
 
 function _make_Ji(::SparseMatrixCSC, rows_index,cols_index,dx,colorvec,color_i,nrows,ncols)
@@ -157,14 +157,14 @@ void_setindex!(args...) = (setindex!(args...); return)
 function finite_difference_jacobian(
     f,
     x,
-    cache::JacobianCache{T1,T2,T3,cType,sType,fdtype,returntype},
+    cache::JacobianCache{T1,T2,T3,T4,cType,sType,fdtype,returntype},
     f_in=nothing;
     relstep=default_relstep(fdtype, eltype(x)),
     absstep=relstep,
     colorvec = cache.colorvec,
     sparsity = cache.sparsity,
     jac_prototype = nothing,
-    dir=true) where {T1,T2,T3,cType,sType,fdtype,returntype}
+    dir=true) where {T1,T2,T3,T4,cType,sType,fdtype,returntype}
 
     x1, fx, fx1 = cache.x1, cache.fx, cache.fx1
 
@@ -325,13 +325,13 @@ function finite_difference_jacobian!(
     J,
     f,
     x,
-    cache::JacobianCache{T1,T2,T3,cType,sType,fdtype,returntype},
+    cache::JacobianCache{T1,T2,T3,T4,cType,sType,fdtype,returntype},
     f_in = nothing;
     relstep = default_relstep(fdtype, eltype(x)),
     absstep = relstep,
     colorvec = cache.colorvec,
     sparsity = cache.sparsity,
-    dir = true) where {T1,T2,T3,cType,sType,fdtype,returntype}
+    dir = true) where {T1,T2,T3,T4,cType,sType,fdtype,returntype}
 
     m, n = size(J)
     _color = reshape(colorvec, axes(x)...)

test/finitedifftests.jl

@@ -409,6 +409,32 @@ J_ref = Matrix{Float64}(I,4,4)
     @test err_func(test_iipJac(J_ref, iipf, x, Val{:central}, eltype(x), iipf(similar(x),x)), J_ref) < 1e-8
     @test err_func(test_iipJac(J_ref, iipf, x, Val{:complex}, eltype(x), iipf(similar(x),x)), J_ref) < 1e-8
 end
+
+# Range input for out-of-place function
+x = range(rand(), rand(); length=2)
+z = copy(x)
+y = similar(x)
+oopf(x) = @. x^2 + sin(x)
+J_ref = [2*x[1] + cos(x[1]) 0.0; 0.0 2*x[2] + cos(x[2])]
+J = zero(J_ref)
+oopff(x) = !all(x .<= z) ? error() : oopf(x)
+epsilon = zero(x)
+forward_cache = FiniteDiff.JacobianCache(x,Val{:forward},eltype(x))
+central_cache = FiniteDiff.JacobianCache(x,Val{:central},eltype(x))
+complex_cache = FiniteDiff.JacobianCache(x,Val{:complex},eltype(x))
+f_in = oopf(x)
+
+@time @testset "Out-of-Place Jacobian real-valued tests with range input" begin
+    @test err_func(FiniteDiff.finite_difference_jacobian(oopf, x, forward_cache), J_ref) < 1e-4
+    @test err_func(FiniteDiff.finite_difference_jacobian(oopff, x, forward_cache, dir=-1), J_ref) < 1e-4
+    @test_throws Any err_func(FiniteDiff.finite_difference_jacobian(oopff, x, forward_cache), J_ref) < 1e-4
+    @test err_func(FiniteDiff.finite_difference_jacobian(oopf, x, forward_cache, relstep=sqrt(eps())), J_ref) < 1e-4
+    @test err_func(FiniteDiff.finite_difference_jacobian(oopf, x, forward_cache, f_in), J_ref) < 1e-4
+    @test err_func(FiniteDiff.finite_difference_jacobian(oopf, x, central_cache), J_ref) < 1e-8
+    @test err_func(FiniteDiff.finite_difference_jacobian(oopf, x, Val{:central}), J_ref) < 1e-8
+    @test err_func(FiniteDiff.finite_difference_jacobian(oopf, x, complex_cache), J_ref) < 1e-14
+end
+
 # Hessian tests
 
 f(x) = sin(x[1]) + cos(x[2])