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A warning is issued on calling second-order optimizers with explicit hvp #864

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kiranshila opened this issue Dec 12, 2024 · 1 comment
Open

A warning is issued on calling second-order optimizers with explicit hvp #864

kiranshila opened this issue Dec 12, 2024 · 1 comment
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@kiranshila
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Describe the bug 🐞

In some situations (like precise control of Enzyme, or hand-written hessians and gradients), I would like to not use any AutoX() AD backend and prefer to provide explicit grad, hess, and hv functions.

When doing so, I get the warning emitted

┌ Warning: The selected optimization algorithm requires second order derivatives, but `SecondOrder` ADtype was not provided. 
│         So a `SecondOrder` with SciMLBase.NoAD() for both inner and outer will be created, this can be suboptimal and not work in some cases so 
│         an explicit `SecondOrder` ADtype is recommended.
└ @ OptimizationBase ~/.julia/packages/OptimizationBase/gvXsf/src/cache.jl:49

which is erroneous, as it isn't stated that explicit AD is ever necessary anywhere in Optimization.jl

Expected behavior

I would expect this warning to be thrown if there is no explicit SecondOrder ADtype AND there was no explicit hessian/HV.

Minimal Reproducible Example 👇

using OptimizationOptimJL, Enzyme

f(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
x0 = zeros(2)
_p = [1.0, 100.0]

function df!(dx, x, p)
    Enzyme.make_zero!(dx)
    Enzyme.autodiff(Reverse, f, Active, Duplicated(x, dx), Const(p))
    dx
end

function hvp!(Hv, x, v, p)
    grad = make_zero(x)
    Enzyme.autodiff(
        Forward,
        df!,
        DuplicatedNoNeed(grad, Hv),
        Duplicated(x, v),
        Const(p),
    )
    return Hv
end

fun = OptimizationFunction(f; grad=df!, hv=hvp!)
prob = OptimizationProblem(fun, x0, _p)
sol = solve(prob, Optim.KrylovTrustRegion())

Error & Stacktrace ⚠️

┌ Warning: The selected optimization algorithm requires second order derivatives, but `SecondOrder` ADtype was not provided. 
│         So a `SecondOrder` with SciMLBase.NoAD() for both inner and outer will be created, this can be suboptimal and not work in some cases so 
│         an explicit `SecondOrder` ADtype is recommended.
└ @ OptimizationBase ~/.julia/packages/OptimizationBase/gvXsf/src/cache.jl:49
retcode: Success
u: 2-element Vector{Float64}:
 0.999999999999108
 0.9999999999981819

Environment (please complete the following information):

  • Output of using Pkg; Pkg.status()
Status `~/sync/Projects/Julia/julia_cal/Project.toml`
  [47edcb42] ADTypes v1.11.0
  [6e4b80f9] BenchmarkTools v1.5.0
  [052768ef] CUDA v5.5.2
  [7da242da] Enzyme v0.13.22
  [f6369f11] ForwardDiff v0.10.38
  [f67ccb44] HDF5 v0.17.2
  [b6b21f68] Ipopt v1.7.0
  [c3a54625] JET v0.9.12
  [0fc2ff8b] LeastSquaresOptim v0.8.6
  [33e6dc65] MKL v0.7.0
⌅ [1cead3c2] Manifolds v0.9.18
  [15e1cf62] NPZ v0.4.3
  [8913a72c] NonlinearSolve v4.2.0
  [429524aa] Optim v1.10.0
  [3bd65402] Optimisers v0.4.2
  [7f7a1694] Optimization v4.0.5
  [fd9f6733] OptimizationMOI v0.5.1
  [e57b7fff] OptimizationManopt v0.0.4
  [4e6fcdb7] OptimizationNLopt v0.3.2
  [36348300] OptimizationOptimJL v0.4.1
  [42dfb2eb] OptimizationOptimisers v0.3.6
  [91a5bcdd] Plots v1.40.9
  [37e2e3b7] ReverseDiff v1.15.3
  [9f842d2f] SparseConnectivityTracer v0.6.9
  [10745b16] Statistics v1.11.1
  [2913bbd2] StatsBase v0.34.3
  [4297ee4d] SymbolicAnalysis v0.3.0
  [0c5d862f] Symbolics v6.22.0
Info Packages marked with ⌅ have new versions available but compatibility constraints restrict them from upgrading. To see why use `status --outdated`
  • Output of using Pkg; Pkg.status(; mode = PKGMODE_MANIFEST)
Status `~/sync/Projects/Julia/julia_cal/Manifest.toml`
  [47edcb42] ADTypes v1.11.0
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  [4fba245c] ArrayInterface v7.17.1
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  [a9b6321e] Atomix v1.0.1
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  [6e4b80f9] BenchmarkTools v1.5.0
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  [fa961155] CEnum v0.5.0
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  [00ebfdb7] CSTParser v3.4.3
  [052768ef] CUDA v5.5.2
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  [7057c7e9] Cassette v0.3.14
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⌅ [3da002f7] ColorTypes v0.11.5
⌃ [c3611d14] ColorVectorSpace v0.10.0
⌅ [5ae59095] Colors v0.12.11
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  [bbf7d656] CommonSubexpressions v0.3.1
  [f70d9fcc] CommonWorldInvalidations v1.0.0
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⌅ [717857b8] DSP v0.7.10
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  [b7d42ee7] Einsum v0.4.1
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  [7da242da] Enzyme v0.13.22
  [f151be2c] EnzymeCore v0.8.8
  [460bff9d] ExceptionUnwrapping v0.1.11
  [e2ba6199] ExprTools v0.1.10
⌅ [6b7a57c9] Expronicon v0.8.5
  [c87230d0] FFMPEG v0.4.2
  [7a1cc6ca] FFTW v1.8.0
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  [d9f16b24] Functors v0.5.2
⌅ [0c68f7d7] GPUArrays v10.3.1
⌅ [46192b85] GPUArraysCore v0.1.6
⌅ [61eb1bfa] GPUCompiler v0.27.8
  [28b8d3ca] GR v0.73.9
  [c27321d9] Glob v1.3.1
  [86223c79] Graphs v1.12.0
  [42e2da0e] Grisu v1.0.2
  [f67ccb44] HDF5 v0.17.2
  [cd3eb016] HTTP v1.10.13
  [3e5b6fbb] HostCPUFeatures v0.1.17
  [1baab800] HybridArrays v0.4.16
  [34004b35] HypergeometricFunctions v0.3.25
  [615f187c] IfElse v0.1.1
  [313cdc1a] Indexing v1.1.1
  [d25df0c9] Inflate v0.1.5
  [842dd82b] InlineStrings v1.4.2
  [18e54dd8] IntegerMathUtils v0.1.2
  [8197267c] IntervalSets v0.7.10
  [3587e190] InverseFunctions v0.1.17
  [41ab1584] InvertedIndices v1.3.0
  [b6b21f68] Ipopt v1.7.0
  [92d709cd] IrrationalConstants v0.2.2
  [c8e1da08] IterTools v1.10.0
  [82899510] IteratorInterfaceExtensions v1.0.0
  [c3a54625] JET v0.9.12
  [1019f520] JLFzf v0.1.9
  [692b3bcd] JLLWrappers v1.6.1
  [682c06a0] JSON v0.21.4
  [98e50ef6] JuliaFormatter v1.0.62
  [aa1ae85d] JuliaInterpreter v0.9.38
  [ccbc3e58] JumpProcesses v9.14.0
  [ef3ab10e] KLU v0.6.0
  [63c18a36] KernelAbstractions v0.9.31
  [2c470bb0] Kronecker v0.5.5
  [ba0b0d4f] Krylov v0.9.8
  [5be7bae1] LBFGSB v0.4.1
  [929cbde3] LLVM v9.1.3
  [8b046642] LLVMLoopInfo v1.0.0
  [b964fa9f] LaTeXStrings v1.4.0
  [23fbe1c1] Latexify v0.16.5
  [10f19ff3] LayoutPointers v0.1.17
  [5078a376] LazyArrays v2.3.1
  [0fc2ff8b] LeastSquaresOptim v0.8.6
  [1d6d02ad] LeftChildRightSiblingTrees v0.2.0
  [87fe0de2] LineSearch v0.1.4
  [d3d80556] LineSearches v7.3.0
  [7a12625a] LinearMaps v3.11.3
  [7ed4a6bd] LinearSolve v2.38.0
  [2ab3a3ac] LogExpFunctions v0.3.29
  [e6f89c97] LoggingExtras v1.1.0
  [bdcacae8] LoopVectorization v0.12.171
  [6f1432cf] LoweredCodeUtils v3.1.0
  [33e6dc65] MKL v0.7.0
  [d8e11817] MLStyle v0.4.17
  [3da0fdf6] MPIPreferences v0.1.11
  [1914dd2f] MacroTools v0.5.13
⌅ [af67fdf4] ManifoldDiff v0.3.13
⌅ [1cead3c2] Manifolds v0.9.18
  [3362f125] ManifoldsBase v0.15.23
⌅ [0fc0a36d] Manopt v0.4.69
  [d125e4d3] ManualMemory v0.1.8
  [b8f27783] MathOptInterface v1.34.0
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  [739be429] MbedTLS v1.1.9
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  [e1d29d7a] Missings v1.2.0
  [961ee093] ModelingToolkit v9.58.0
  [46d2c3a1] MuladdMacro v0.2.4
  [102ac46a] MultivariatePolynomials v0.5.7
  [d8a4904e] MutableArithmetics v1.6.0
  [d41bc354] NLSolversBase v7.8.3
  [76087f3c] NLopt v1.1.1
  [15e1cf62] NPZ v0.4.3
  [5da4648a] NVTX v0.3.5
  [77ba4419] NaNMath v1.0.2
  [356022a1] NamedDims v1.2.2
  [8913a72c] NonlinearSolve v4.2.0
  [be0214bd] NonlinearSolveBase v1.3.3
  [5959db7a] NonlinearSolveFirstOrder v1.1.0
  [9a2c21bd] NonlinearSolveQuasiNewton v1.0.0
  [26075421] NonlinearSolveSpectralMethods v1.0.0
  [d8793406] ObjectFile v0.4.2
  [6fe1bfb0] OffsetArrays v1.14.2
  [4d8831e6] OpenSSL v1.4.3
  [429524aa] Optim v1.10.0
  [3bd65402] Optimisers v0.4.2
  [7f7a1694] Optimization v4.0.5
  [bca83a33] OptimizationBase v2.4.0
  [fd9f6733] OptimizationMOI v0.5.1
  [e57b7fff] OptimizationManopt v0.0.4
  [4e6fcdb7] OptimizationNLopt v0.3.2
  [36348300] OptimizationOptimJL v0.4.1
  [42dfb2eb] OptimizationOptimisers v0.3.6
  [bac558e1] OrderedCollections v1.7.0
  [90014a1f] PDMats v0.11.31
  [d96e819e] Parameters v0.12.3
  [69de0a69] Parsers v2.8.1
  [b98c9c47] Pipe v1.3.0
  [ccf2f8ad] PlotThemes v3.3.0
  [995b91a9] PlotUtils v1.4.3
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  [1d0040c9] PolyesterWeave v0.2.2
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  [85a6dd25] PositiveFactorizations v0.2.4
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⌅ [4ee394cb] CUDA_Driver_jll v0.10.4+0
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⌃ [0234f1f7] HDF5_jll v1.14.2+1
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⌅ [e9f186c6] Libffi_jll v3.2.2+1
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⌅ [d7ed1dd3] MUMPS_seq_jll v500.700.300+0
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  [e98f9f5b] NVTX_jll v3.1.0+2
  [e7412a2a] Ogg_jll v1.3.5+1
  [656ef2d0] OpenBLAS32_jll v0.3.28+3
  [fe0851c0] OpenMPI_jll v5.0.6+0
  [458c3c95] OpenSSL_jll v3.0.15+1
  [efe28fd5] OpenSpecFun_jll v0.5.5+0
  [91d4177d] Opus_jll v1.3.3+0
  [36c8627f] Pango_jll v1.54.1+0
⌅ [30392449] Pixman_jll v0.43.4+0
  [c0090381] Qt6Base_jll v6.7.1+1
  [629bc702] Qt6Declarative_jll v6.7.1+2
  [ce943373] Qt6ShaderTools_jll v6.7.1+1
  [e99dba38] Qt6Wayland_jll v6.7.1+1
  [f50d1b31] Rmath_jll v0.5.1+0
  [319450e9] SPRAL_jll v2024.5.8+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 v2.13.5+0
  [aed1982a] XSLT_jll v1.1.42+0
  [ffd25f8a] XZ_jll v5.6.3+0
  [f67eecfb] Xorg_libICE_jll v1.1.1+0
  [c834827a] Xorg_libSM_jll v1.2.4+0
  [4f6342f7] Xorg_libX11_jll v1.8.6+1
  [0c0b7dd1] Xorg_libXau_jll v1.0.11+1
  [935fb764] Xorg_libXcursor_jll v1.2.0+4
  [a3789734] Xorg_libXdmcp_jll v1.1.4+1
  [1082639a] Xorg_libXext_jll v1.3.6+1
  [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+1
  [c7cfdc94] Xorg_libxcb_jll v1.17.0+1
  [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+1
  [3161d3a3] Zstd_jll v1.5.6+1
  [1e29f10c] demumble_jll v1.3.0+0
  [35ca27e7] eudev_jll v3.2.9+0
  [214eeab7] fzf_jll v0.56.3+0
  [1a1c6b14] gperf_jll v3.1.1+1
  [477f73a3] libaec_jll v1.1.2+0
  [a4ae2306] libaom_jll v3.9.0+0
  [0ac62f75] libass_jll v0.15.2+0
  [1183f4f0] libdecor_jll v0.2.2+0
  [2db6ffa8] libevdev_jll v1.11.0+0
  [f638f0a6] libfdk_aac_jll v2.0.3+0
  [36db933b] libinput_jll v1.18.0+0
  [b53b4c65] libpng_jll v1.6.44+0
  [f27f6e37] libvorbis_jll v1.3.7+2
  [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 v1.1.2
  [56f22d72] Artifacts v1.11.0
  [2a0f44e3] Base64 v1.11.0
  [ade2ca70] Dates v1.11.0
  [8ba89e20] Distributed v1.11.0
  [f43a241f] Downloads v1.6.0
  [7b1f6079] FileWatching v1.11.0
  [9fa8497b] Future v1.11.0
  [b77e0a4c] InteractiveUtils v1.11.0
  [4af54fe1] LazyArtifacts v1.11.0
  [b27032c2] LibCURL v0.6.4
  [76f85450] LibGit2 v1.11.0
  [8f399da3] Libdl v1.11.0
  [37e2e46d] LinearAlgebra v1.11.0
  [56ddb016] Logging v1.11.0
  [d6f4376e] Markdown v1.11.0
  [a63ad114] Mmap v1.11.0
  [ca575930] NetworkOptions v1.2.0
  [44cfe95a] Pkg v1.11.0
  [de0858da] Printf v1.11.0
  [9abbd945] Profile v1.11.0
  [3fa0cd96] REPL v1.11.0
  [9a3f8284] Random v1.11.0
  [ea8e919c] SHA v0.7.0
  [9e88b42a] Serialization v1.11.0
  [1a1011a3] SharedArrays v1.11.0
  [6462fe0b] Sockets v1.11.0
  [2f01184e] SparseArrays v1.11.0
  [f489334b] StyledStrings v1.11.0
  [4607b0f0] SuiteSparse
  [fa267f1f] TOML v1.0.3
  [a4e569a6] Tar v1.10.0
  [8dfed614] Test v1.11.0
  [cf7118a7] UUIDs v1.11.0
  [4ec0a83e] Unicode v1.11.0
  [e66e0078] CompilerSupportLibraries_jll v1.1.1+0
  [deac9b47] LibCURL_jll v8.6.0+0
  [e37daf67] LibGit2_jll v1.7.2+0
  [29816b5a] LibSSH2_jll v1.11.0+1
  [c8ffd9c3] MbedTLS_jll v2.28.6+0
  [14a3606d] MozillaCACerts_jll v2023.12.12
  [4536629a] OpenBLAS_jll v0.3.27+1
  [05823500] OpenLibm_jll v0.8.1+2
  [efcefdf7] PCRE2_jll v10.42.0+1
  [bea87d4a] SuiteSparse_jll v7.7.0+0
  [83775a58] Zlib_jll v1.2.13+1
  [8e850b90] libblastrampoline_jll v5.11.0+0
  [8e850ede] nghttp2_jll v1.59.0+0
  [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`
  • Output of versioninfo()
Julia Version 1.11.2
Commit 5e9a32e7af2 (2024-12-01 20:02 UTC)
Build Info:
  Official https://julialang.org/ release
Platform Info:
  OS: Linux (x86_64-linux-gnu)
  CPU: 24 × Intel(R) Xeon(R) Gold 6128 CPU @ 3.40GHz
  WORD_SIZE: 64
  LLVM: libLLVM-16.0.6 (ORCJIT, skylake-avx512)
Threads: 24 default, 0 interactive, 12 GC (on 24 virtual cores)
Environment:
  JULIA_EDITOR = code

Additional context

I notice this same error is being thrown in the docs as well such as here
@kiranshila kiranshila added the bug Something isn't working label Dec 12, 2024
@gdalle
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gdalle commented Dec 31, 2024

I guess you could always create your own AutoManual <: AbstractADType and implement everything necessary for DifferentiationInterface to work.
Related issue: JuliaDiff/DifferentiationInterface.jl#634

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@kiranshila @gdalle