Migrate to DifferentiationInterface (#98)

* migrate to DifferentiationInterface
* run formatter
* tighten compat bound for ADTypes
* fix compat bound for docs

.buildkite/pipeline.yml

@@ -0,0 +1,18 @@
+steps:
+  - label: "CUDA with julia {{matrix.julia}}"
+    plugins:
+      - JuliaCI/julia#v1:
+          version: "{{matrix.julia}}"
+      - JuliaCI/julia-test#v1: 
+          test_args: "--quickfail"
+    agents:
+      queue: "juliagpu"
+      cuda: "*"
+    timeout_in_minutes: 60
+    env:
+      GROUP: "GPU"
+      ADVANCEDVI_TEST_CUDA: "true"
+    matrix:
+      setup:
+        julia:
+           - "1.10"

Project.toml

@@ -7,6 +7,7 @@ ADTypes = "47edcb42-4c32-4615-8424-f2b9edc5f35b"
 Accessors = "7d9f7c33-5ae7-4f3b-8dc6-eff91059b697"
 ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
 DiffResults = "163ba53b-c6d8-5494-b064-1a9d43ac40c5"
+DifferentiationInterface = "a0c0ee7d-e4b9-4e03-894e-1c5f64a51d63"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 DocStringExtensions = "ffbed154-4ef7-542d-bbb7-c09d3a79fcae"
 FillArrays = "1a297f60-69ca-5386-bcde-b61e274b549b"
@@ -24,50 +25,47 @@ StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
 Bijectors = "76274a88-744f-5084-9051-94815aaf08c4"
 Enzyme = "7da242da-08ed-463a-9acd-ee780be4f1d9"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
+Mooncake = "da2b9cff-9c12-43a0-ae48-6db2b0edb7d6"
 ReverseDiff = "37e2e3b7-166d-5795-8a7a-e32c996b4267"
-Tapir = "07d77754-e150-4737-8c94-cd238a1fb45b"
 Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f"
 
 [extensions]
 AdvancedVIBijectorsExt = "Bijectors"
 AdvancedVIEnzymeExt = "Enzyme"
-AdvancedVIForwardDiffExt = "ForwardDiff"
-AdvancedVIReverseDiffExt = "ReverseDiff"
-AdvancedVITapirExt = "Tapir"
-AdvancedVIZygoteExt = "Zygote"
 
 [compat]
-ADTypes = "0.1, 0.2, 1"
+ADTypes = "1"
 Accessors = "0.1"
 Bijectors = "0.13"
 ChainRulesCore = "1.16"
 DiffResults = "1"
+DifferentiationInterface = "0.6"
 Distributions = "0.25.111"
 DocStringExtensions = "0.8, 0.9"
 Enzyme = "0.13"
 FillArrays = "1.3"
-ForwardDiff = "0.10.36"
+ForwardDiff = "0.10"
 Functors = "0.4"
 LinearAlgebra = "1"
 LogDensityProblems = "2"
+Mooncake = "0.4"
 Optimisers = "0.2.16, 0.3"
 ProgressMeter = "1.6"
 Random = "1"
 Requires = "1.0"
-ReverseDiff = "1.15.1"
+ReverseDiff = "1"
 SimpleUnPack = "1.1.0"
 StatsBase = "0.32, 0.33, 0.34"
-Tapir = "0.2"
-Zygote = "0.6.63"
+Zygote = "0.6"
 julia = "1.7"
 
 [extras]
 Bijectors = "76274a88-744f-5084-9051-94815aaf08c4"
 Enzyme = "7da242da-08ed-463a-9acd-ee780be4f1d9"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
+Mooncake = "da2b9cff-9c12-43a0-ae48-6db2b0edb7d6"
 Pkg = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
 ReverseDiff = "37e2e3b7-166d-5795-8a7a-e32c996b4267"
-Tapir = "07d77754-e150-4737-8c94-cd238a1fb45b"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f"
 

docs/Project.toml

@@ -14,7 +14,7 @@ SimpleUnPack = "ce78b400-467f-4804-87d8-8f486da07d0a"
 StatsFuns = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
 
 [compat]
-ADTypes = "0.1.6"
+ADTypes = "1"
 AdvancedVI = "0.3"
 Bijectors = "0.13.6"
 Distributions = "0.25"

ext/AdvancedVIEnzymeExt.jl

@@ -1,4 +1,3 @@
-
 module AdvancedVIEnzymeExt
 
 if isdefined(Base, :get_extension)
@@ -15,21 +14,6 @@ function AdvancedVI.restructure_ad_forward(::ADTypes.AutoEnzyme, restructure, pa
     return restructure(params)::typeof(restructure.model)
 end
 
-function AdvancedVI.value_and_gradient!(
-    ::ADTypes.AutoEnzyme, f, x::AbstractVector{<:Real}, out::DiffResults.MutableDiffResult
-)
-    ∇x = DiffResults.gradient(out)
-    fill!(∇x, zero(eltype(∇x)))
-    _, y = Enzyme.autodiff(
-        Enzyme.set_runtime_activity(Enzyme.ReverseWithPrimal, true),
-        Enzyme.Const(f),
-        Enzyme.Active,
-        Enzyme.Duplicated(x, ∇x),
-    )
-    DiffResults.value!(out, y)
-    return out
-end
-
 function AdvancedVI.value_and_gradient!(
     ::ADTypes.AutoEnzyme,
     f,

ext/AdvancedVIForwardDiffExt.jl

@@ -1,42 +0,0 @@
-
-module AdvancedVIForwardDiffExt
-
-if isdefined(Base, :get_extension)
-    using ForwardDiff
-    using AdvancedVI
-    using AdvancedVI: ADTypes, DiffResults
-else
-    using ..ForwardDiff
-    using ..AdvancedVI
-    using ..AdvancedVI: ADTypes, DiffResults
-end
-
-getchunksize(::ADTypes.AutoForwardDiff{chunksize}) where {chunksize} = chunksize
-
-function AdvancedVI.value_and_gradient!(
-    ad::ADTypes.AutoForwardDiff,
-    f,
-    x::AbstractVector{<:Real},
-    out::DiffResults.MutableDiffResult,
-)
-    chunk_size = getchunksize(ad)
-    config = if isnothing(chunk_size)
-        ForwardDiff.GradientConfig(f, x)
-    else
-        ForwardDiff.GradientConfig(f, x, ForwardDiff.Chunk(length(x), chunk_size))
-    end
-    ForwardDiff.gradient!(out, f, x, config)
-    return out
-end
-
-function AdvancedVI.value_and_gradient!(
-    ad::ADTypes.AutoForwardDiff,
-    f,
-    x::AbstractVector,
-    aux,
-    out::DiffResults.MutableDiffResult,
-)
-    return AdvancedVI.value_and_gradient!(ad, x′ -> f(x′, aux), x, out)
-end
-
-end

ext/AdvancedVIReverseDiffExt.jl

@@ -1,36 +0,0 @@
-
-module AdvancedVIReverseDiffExt
-
-if isdefined(Base, :get_extension)
-    using AdvancedVI
-    using AdvancedVI: ADTypes, DiffResults
-    using ReverseDiff
-else
-    using ..AdvancedVI
-    using ..AdvancedVI: ADTypes, DiffResults
-    using ..ReverseDiff
-end
-
-# ReverseDiff without compiled tape
-function AdvancedVI.value_and_gradient!(
-    ad::ADTypes.AutoReverseDiff,
-    f,
-    x::AbstractVector{<:Real},
-    out::DiffResults.MutableDiffResult,
-)
-    tp = ReverseDiff.GradientTape(f, x)
-    ReverseDiff.gradient!(out, tp, x)
-    return out
-end
-
-function AdvancedVI.value_and_gradient!(
-    ad::ADTypes.AutoReverseDiff,
-    f,
-    x::AbstractVector{<:Real},
-    aux,
-    out::DiffResults.MutableDiffResult,
-)
-    return AdvancedVI.value_and_gradient!(ad, x′ -> f(x′, aux), x, out)
-end
-
-end

ext/AdvancedVIZygoteExt.jl

@@ -1,36 +0,0 @@
-
-module AdvancedVIZygoteExt
-
-if isdefined(Base, :get_extension)
-    using AdvancedVI
-    using AdvancedVI: ADTypes, DiffResults
-    using ChainRulesCore
-    using Zygote
-else
-    using ..AdvancedVI
-    using ..AdvancedVI: ADTypes, DiffResults
-    using ..ChainRulesCore
-    using ..Zygote
-end
-
-function AdvancedVI.value_and_gradient!(
-    ::ADTypes.AutoZygote, f, x::AbstractVector{<:Real}, out::DiffResults.MutableDiffResult
-)
-    y, back = Zygote.pullback(f, x)
-    ∇x = back(one(y))
-    DiffResults.value!(out, y)
-    DiffResults.gradient!(out, only(∇x))
-    return out
-end
-
-function AdvancedVI.value_and_gradient!(
-    ad::ADTypes.AutoZygote,
-    f,
-    x::AbstractVector{<:Real},
-    aux,
-    out::DiffResults.MutableDiffResult,
-)
-    return AdvancedVI.value_and_gradient!(ad, x′ -> f(x′, aux), x, out)
-end
-
-end

src/AdvancedVI.jl

@@ -16,16 +16,17 @@ using LinearAlgebra
 
 using LogDensityProblems
 
-using ADTypes, DiffResults
+using ADTypes
+using DiffResults
+using DifferentiationInterface
 using ChainRulesCore
 
 using FillArrays
 
 using StatsBase
 
-# derivatives
+# Derivatives
 """
-    value_and_gradient!(ad, f, x, out)
     value_and_gradient!(ad, f, x, aux, out)
 
 Evaluate the value and gradient of a function `f` at `x` using the automatic differentiation backend `ad` and store the result in `out`.
@@ -38,7 +39,14 @@ Evaluate the value and gradient of a function `f` at `x` using the automatic dif
 - `aux`: Auxiliary input passed to `f`.
 - `out::DiffResults.MutableDiffResult`: Buffer to contain the output gradient and function value.
 """
-function value_and_gradient! end
+function value_and_gradient!(
+    ad::ADTypes.AbstractADType, f, x, aux, out::DiffResults.MutableDiffResult
+)
+    grad_buf = DiffResults.gradient(out)
+    y, _ = DifferentiationInterface.value_and_gradient!(f, grad_buf, ad, x, Constant(aux))
+    DiffResults.value!(out, y)
+    return out
+end
 
 """
     restructure_ad_forward(adtype, restructure, params)
@@ -131,7 +139,7 @@ function estimate_objective end
 export estimate_objective
 
 """
-    estimate_gradient!(rng, obj, adtype, out, prob, λ, restructure, obj_state)
+    estimate_gradient!(rng, obj, adtype, out, prob, params, restructure, obj_state)
 
 Estimate (possibly stochastic) gradients of the variational objective `obj` targeting `prob` with respect to the variational parameters `λ`
 
@@ -141,7 +149,7 @@ Estimate (possibly stochastic) gradients of the variational objective `obj` targ
 - `adtype::ADTypes.AbstractADType`: Automatic differentiation backend. 
 - `out::DiffResults.MutableDiffResult`: Buffer containing the objective value and gradient estimates. 
 - `prob`: The target log-joint likelihood implementing the `LogDensityProblem` interface.
-- `λ`: Variational parameters to evaluate the gradient on.
+- `params`: Variational parameters to evaluate the gradient on.
 - `restructure`: Function that reconstructs the variational approximation from `λ`.
 - `obj_state`: Previous state of the objective.
 

src/optimize.jl

@@ -42,7 +42,7 @@ The arguments are as follows:
 - `restructure`: Function that restructures the variational approximation from the variational parameters. Calling `restructure(param)` reconstructs the variational approximation. 
 - `gradient`: The estimated (possibly stochastic) gradient.
 
-`cb` can return a `NamedTuple` containing some additional information computed within `cb`.
+`callback` can return a `NamedTuple` containing some additional information computed within `cb`.
 This will be appended to the statistic of the current corresponding iteration.
 Otherwise, just return `nothing`.
 

test/Project.toml

@@ -2,9 +2,9 @@
 ADTypes = "47edcb42-4c32-4615-8424-f2b9edc5f35b"
 Bijectors = "76274a88-744f-5084-9051-94815aaf08c4"
 DiffResults = "163ba53b-c6d8-5494-b064-1a9d43ac40c5"
+DifferentiationInterface = "a0c0ee7d-e4b9-4e03-894e-1c5f64a51d63"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 DistributionsAD = "ced4e74d-a319-5a8a-b0ac-84af2272839c"
-Enzyme = "7da242da-08ed-463a-9acd-ee780be4f1d9"
 FillArrays = "1a297f60-69ca-5386-bcde-b61e274b549b"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 Functors = "d9f16b24-f501-4c13-a1f2-28368ffc5196"
@@ -26,7 +26,8 @@ Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f"
 [compat]
 ADTypes = "0.2.1, 1"
 Bijectors = "0.13"
-DiffResults = "1.0"
+DiffResults = "1"
+DifferentiationInterface = "0.6"
 Distributions = "0.25.111"
 DistributionsAD = "0.6.45"
 FillArrays = "1.6.1"
@@ -41,6 +42,7 @@ ReverseDiff = "1.15.1"
 SimpleUnPack = "1.1.0"
 StableRNGs = "1.0.0"
 Statistics = "1"
+StatsBase = "0.34"
 Test = "1"
 Tracker = "0.2.20"
 Zygote = "0.6.63"

test/inference/repgradelbo_distributionsad.jl

@@ -5,12 +5,14 @@ AD_distributionsad = Dict(
     :Zygote => AutoZygote(),
 )
 
-if @isdefined(Tapir)
-    AD_distributionsad[:Tapir] = AutoTapir(; safe_mode=false)
+if @isdefined(Mooncake)
+    AD_distributionsad[:Mooncake] = AutoMooncake(; config=nothing)
 end
 
 if @isdefined(Enzyme)
-    AD_distributionsad[:Enzyme] = AutoEnzyme()
+    AD_distributionsad[:Enzyme] = AutoEnzyme(;
+        mode=set_runtime_activity(ReverseWithPrimal), function_annotation=Const
+    )
 end
 
 @testset "inference RepGradELBO DistributionsAD" begin