In-place *_jacvec! assumes square jacobian

[danielwe]

1. auto_jacvec! and num_jacvec! only work when the output and input dimensions are the same, i.e., the jacobian is square. The issue is this line (and the equivalent for num_jacvec!), which should probably use both the length and eltype of dy.

SparseDiffTools.jl/src/differentiation/jaches_products.jl

Line 10 in 2dbe420

cache2 = similar(cache1),

2. Manual cache allocation works but is surprisingly hard to get right, the implicit prescription in the README gets the wrong tag type for the duals: https://github.com/JuliaDiff/SparseDiffTools.jl#jacobian-vector-and-hessian-vector-products

3. The corresponding lines in JacVec should similarly be fixed:

   SparseDiffTools.jl/src/differentiation/jaches_products.jl

   Line 201 in 2dbe420

   cache2 = Dual{typeof(ForwardDiff.Tag(DeivVecTag(),eltype(x))),eltype(x),1}.(x, ForwardDiff.Partials.(tuple.(x)))

---

4. Besides, shouldn't auto_jacvec(!) be upstreamed to ForwardDiff? Strange to have to pull in a sparse-related package to get this functionality. Calculating J_f(x) . y efficiently ForwardDiff.jl#319

---

MWE:

using SparseDiffTools

function f!(dx, x)
    dx[1] = x[2] + x[3]
    dx[2] = x[1]
end

x = randn(3)
v = randn(3)
dx = zeros(2)

auto_jacvec!(dx, f!, x, v)

[ChrisRackauckas]

I think manual cache allocation is what needs to be done, because that's how the output vector would then be defined. Does that make this a documentation issue?

Besides, shouldn't auto_jacvec(!) be upstreamed to ForwardDiff? Strange to have to pull in a sparse-related package to get this functionality. JuliaDiff/ForwardDiff.jl#319

Possibly, or it should be an AbstractDifferentation.jl interface piece, and all AD packages should then adopt that interface.

[danielwe]

A documentation fix would definitely make it easier to preallocate, which is useful regardless, but I think it's possible to make the allocating version work too. Just replace cache2 = similar(cache1) with

    cache2 = Dual{typeof(ForwardDiff.Tag(DeivVecTag(),eltype(dy))),eltype(dy),1}.(dy, ForwardDiff.Partials.(tuple.(dy))),

Here's the adaptation I landed on for my own use. I factored out the cache allocation into a function that can be used separately, making preallocation easy. If upstreamed to ForwardDiff this would of course turn into something like a ForwardDiff.JVPConfig type.

struct MyTag end

function jvp!(f!, dy, x, v, duals=nothing)
    if duals === nothing
        duals = jvpduals(dy, v, x)
    else # jvpduals returns initialized duals, so this init is only needed when preallocated
        duals.x .= ForwardDiff.Dual{_tagtype(x), eltype(x), 1}.(
            x, ForwardDiff.Partials.(tuple.(v))
        )
    end
    f!(duals.dy, duals.x)
    dy .= ForwardDiff.partials.(duals.dy, 1)
    return dy
end

function jvpduals(dy, x, v)
    dualdy = ForwardDiff.Dual{_tagtype(dy), eltype(dy), 1}.(
        dy, ForwardDiff.Partials.(tuple.(dy))
    )
    # This correctly initializes dualx for computing J_f(x) * v
    dualx = ForwardDiff.Dual{_tagtype(x), eltype(x), 1}.(
        x, ForwardDiff.Partials.(tuple.(v))
    )
    return (; dy=dualdy, x=dualx)
end

_tagtype(x) = typeof(ForwardDiff.Tag(MyTag(), eltype(x)))

[ChrisRackauckas]

That does seem like a good fix. Mind opening a PR?

[danielwe]

Been procrastinating on this, since my own version is still developing along with my project (including things like allocation-free 5-arg accumulating jvp, and consistent treatment of in-place vs. immutable versions), and I notice that the landscape of linear operator types is in rapid flux at the moment, at least on the SciML end of things (stoked for https://github.com/SciML/SciMLOperators.jl 🔥). So unless an improvement on this is urgent for anyone else I'll hold off a little and come back when it's more clear how things should look.

[ChrisRackauckas]

There's been a lot of motion in this ocean in the last few weeks. Indeed, This change might want to wait until the end of the month until SciMLOperators is complete and registered.

[gdalle]

Sparse differentiation is now a part of DifferentiationInterface, with automatic cache allocation and (tested) support for non-square Jacobians