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Add autoscaling for trust region #425

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m-bossart opened this issue May 14, 2024 · 3 comments
Open

Add autoscaling for trust region #425

m-bossart opened this issue May 14, 2024 · 3 comments

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@m-bossart
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Add autoscaling option for trust region (and possibly other) methods.

@m-bossart
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@avik-pal Can you point me to where this should be implemented. I'm trying to transition from NLsolve.jl to NonlinearSolve.jl but for some larger cases NLsolve.jl converges and NonlinearSolve.jl does not (for TrustRegion and Raphson algorithms). The lack of scaling is the most obvious difference to me.

@avik-pal
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I haven't looked too much into how NLsolve does autoscaling. But it should probably go in

@inline (cache::JacobianCache)(u = cache.u) = cache(cache.J, u, cache.p)
@inline function (cache::JacobianCache)(::Nothing)
J = cache.J
J isa JacobianOperator && return StatefulJacobianOperator(J, cache.u, cache.p)
return J
end
function (cache::JacobianCache)(J::JacobianOperator, u, p = cache.p)
return StatefulJacobianOperator(J, u, p)
end
function (cache::JacobianCache)(::Number, u, p = cache.p) # Scalar
cache.stats.njacs += 1
J = last(__value_derivative(cache.autodiff, cache.uf, u))
return J
end
# Compute the Jacobian
function (cache::JacobianCache{iip})(
J::Union{AbstractMatrix, Nothing}, u, p = cache.p) where {iip}
cache.stats.njacs += 1
if iip
if has_jac(cache.f)
cache.f.jac(J, u, p)
else
sparse_jacobian!(J, cache.autodiff, cache.jac_cache, cache.uf, cache.fu, u)
end
J_ = J
else
J_ = if has_jac(cache.f)
cache.f.jac(u, p)
elseif __can_setindex(typeof(J))
sparse_jacobian!(J, cache.autodiff, cache.jac_cache, cache.uf, u)
J
else
sparse_jacobian(cache.autodiff, cache.jac_cache, cache.uf, u)
end
end
return J_
end

@m-bossart
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Thanks. I will try to look into it

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