Add array output support

Author: blegat

src/evaluator.jl

@@ -60,6 +60,18 @@ function MOI.eval_constraint(evaluator::Evaluator, g, x)
     return
 end
 
+eval_residual!(evaluator::Evaluator, F, x) = eval_residual!(evaluator.backend, F, x)
+
+function eval_residual_jtprod!(evaluator::Evaluator, Jtv, x, v)
+    return eval_residual_jtprod!(evaluator.backend, Jtv, x, v)
+end
+
+function eval_residual_jprod!(evaluator::Evaluator, Jv, x, v)
+    return eval_residual_jprod!(evaluator.backend, Jv, x, v)
+end
+
+residual_dimension(evaluator::Evaluator) = residual_dimension(evaluator.backend)
+
 function MOI.jacobian_structure(evaluator::Evaluator)
     return MOI.jacobian_structure(evaluator.backend)
 end

src/mathoptinterface_api.jl

@@ -36,6 +36,7 @@ function MOI.initialize(d::NLPEvaluator, requested_features::Vector{Symbol})
         largest_user_input_dimension = max(largest_user_input_dimension, op.N)
     end
     d.objective = nothing
+    d.residual = nothing
     d.user_output_buffer = zeros(largest_user_input_dimension)
     d.jac_storage = zeros(max(N, largest_user_input_dimension))
     d.constraints = _FunctionStorage[]
@@ -47,6 +48,9 @@ function MOI.initialize(d::NLPEvaluator, requested_features::Vector{Symbol})
     max_expr_with_sub_length = 0
     #
     main_expressions = [c.expression.nodes for (_, c) in d.data.constraints]
+    if d.data.residual !== nothing
+        pushfirst!(main_expressions, something(d.data.residual).nodes)
+    end
     if d.data.objective !== nothing
         pushfirst!(main_expressions, something(d.data.objective).nodes)
     end
@@ -102,7 +106,9 @@ function MOI.initialize(d::NLPEvaluator, requested_features::Vector{Symbol})
     end
     max_chunk = 1
     shared_partials_storage_ϵ = Float64[]
+    main_offset = 0
     if d.data.objective !== nothing
+        main_offset += 1
         expr = something(d.data.objective)
         subexpr, linearity = _subexpression_and_linearity(
             expr,
@@ -116,7 +122,7 @@ function MOI.initialize(d::NLPEvaluator, requested_features::Vector{Symbol})
             coloring_storage,
             d.want_hess,
             d.subexpressions,
-            individual_order[1],
+            individual_order[main_offset],
             subexpression_edgelist,
             subexpression_variables,
             linearity,
@@ -125,8 +131,32 @@ function MOI.initialize(d::NLPEvaluator, requested_features::Vector{Symbol})
         max_chunk = max(max_chunk, size(objective.seed_matrix, 2))
         d.objective = objective
     end
+    if d.data.residual !== nothing
+        main_offset += 1
+        expr = something(d.data.residual)
+        subexpr, linearity = _subexpression_and_linearity(
+            expr,
+            moi_index_to_consecutive_index,
+            shared_partials_storage_ϵ,
+            d,
+        )
+        residual = _FunctionStorage(
+            subexpr,
+            N,
+            coloring_storage,
+            d.want_hess,
+            d.subexpressions,
+            individual_order[main_offset],
+            subexpression_edgelist,
+            subexpression_variables,
+            linearity,
+        )
+        max_expr_length = max(max_expr_length, length(expr.nodes))
+        max_chunk = max(max_chunk, size(residual.seed_matrix, 2))
+        d.residual = residual
+    end
     for (k, (_, constraint)) in enumerate(d.data.constraints)
-        idx = d.data.objective !== nothing ? k + 1 : k
+        idx = main_offset + k
         expr = constraint.expression
         subexpr, linearity = _subexpression_and_linearity(
             expr,
@@ -211,6 +241,116 @@ function MOI.eval_constraint(d::NLPEvaluator, g, x)
     return
 end
 
+# Forward-evaluate subexpressions and the residual at `x`.
+function _forward_pass_residual!(d::NLPEvaluator, x)
+    for k in d.subexpression_order
+        d.subexpression_forward_values[k] =
+            _forward_eval(d.subexpressions[k], d, x)
+    end
+    _forward_eval(something(d.residual).expr, d, x)
+    return
+end
+
+# Read the residual values from forward storage into `F`.
+function _read_residual!(F::AbstractVector, d::NLPEvaluator)
+    res = something(d.residual)
+    range = _storage_range(res.expr.sizes, 1)
+    @assert length(F) == length(range)
+    for (i, j) in enumerate(range)
+        F[i] = res.expr.forward_storage[j]
+    end
+    return
+end
+
+"""
+    eval_residual!(d::NLPEvaluator, F, x)
+
+Forward-evaluate the residual at `x` and write the values into `F`.
+"""
+function eval_residual!(d::NLPEvaluator, F::AbstractVector, x::AbstractVector)
+    if d.residual === nothing
+        error("No nonlinear residual.")
+    end
+    _forward_pass_residual!(d, x)
+    _read_residual!(F, d)
+    return F
+end
+
+"""
+    eval_residual_jtprod!(d::NLPEvaluator, Jtv, x, v)
+
+Compute `J(x)' * v` for the residual `F`, writing the result into `Jtv`.
+This is one reverse-mode pass with `v` as the seed at the residual root.
+"""
+function eval_residual_jtprod!(
+    d::NLPEvaluator,
+    Jtv::AbstractVector,
+    x::AbstractVector,
+    v::AbstractVector,
+)
+    if d.residual === nothing
+        error("No nonlinear residual.")
+    end
+    res = something(d.residual)
+    _forward_pass_residual!(d, x)
+    for k in d.subexpression_order
+        _reverse_eval(d.subexpressions[k])
+    end
+    _reverse_eval(res.expr, v)
+    fill!(Jtv, 0.0)
+    _extract_reverse_pass(Jtv, d, res)
+    return Jtv
+end
+
+"""
+    residual_dimension(d::NLPEvaluator) -> Int
+
+Number of residual components (i.e. the length of the residual vector).
+"""
+function residual_dimension(d::NLPEvaluator)
+    return length(_storage_range(something(d.residual).expr.sizes, 1))
+end
+
+"""
+    eval_residual_jprod!(d::NLPEvaluator, Jv, x, v)
+
+Compute `J(x) * v` for the residual `F`. ArrayDiff doesn't yet have a
+forward-mode JVP, so this materializes the Jacobian via `nresid` reverse-mode
+passes (each with a unit-basis seed) and then takes `J * v`.
+"""
+function eval_residual_jprod!(
+    d::NLPEvaluator,
+    Jv::AbstractVector,
+    x::AbstractVector,
+    v::AbstractVector,
+)
+    if d.residual === nothing
+        error("No nonlinear residual.")
+    end
+    res = something(d.residual)
+    nresid = residual_dimension(d)
+    _forward_pass_residual!(d, x)
+    for k in d.subexpression_order
+        _reverse_eval(d.subexpressions[k])
+    end
+    seed = zeros(Float64, nresid)
+    row = zeros(Float64, length(v))
+    fill!(Jv, 0.0)
+    for i in 1:nresid
+        fill!(seed, 0.0)
+        seed[i] = 1.0
+        _reverse_eval(res.expr, seed)
+        fill!(row, 0.0)
+        _extract_reverse_pass(row, d, res)
+        s = 0.0
+        for j in eachindex(v)
+            s += row[j] * v[j]
+        end
+        Jv[i] = s
+    end
+    return Jv
+end
+
 function MOI.jacobian_structure(d::NLPEvaluator)
     J = Tuple{Int64,Int64}[]
     for (row, constraint) in enumerate(d.constraints)

src/model.jl

@@ -6,6 +6,11 @@ function set_objective(model::Model, obj)
     return
 end
 
+function set_residual!(model::Model, residual)
+    model.residual = parse_expression(model, residual)
+    return
+end
+
 function add_constraint(
     model::Model{T},
     func,

src/reverse_mode.jl

@@ -568,7 +568,9 @@ function _forward_eval(
             f.partials_storage[rhs] = zero(T)
         end
     end
-    @assert f.sizes.ndims[1] == 0 "Final result must be scalar, got ndims = $(f.sizes.ndims[1])"
+    # Caller is responsible for reading the right range of `f.forward_storage`
+    # for vector-valued roots (use `_storage_range(f.sizes, 1)`); the scalar
+    # return is only meaningful when the root is scalar.
     return f.forward_storage[1]
 end
 
@@ -580,15 +582,26 @@ Reverse-mode evaluation of an expression tree given in `f`.
  * This function assumes `f.partials_storage` is already updated.
  * This function assumes that `f.reverse_storage` has been initialized with 0.0.
 """
-function _reverse_eval(f::_SubexpressionStorage)
+function _reverse_eval(
+    f::_SubexpressionStorage,
+    seed::Union{Nothing,AbstractVector{Float64}} = nothing,
+)
     @assert length(f.reverse_storage) >= _length(f.sizes)
     @assert length(f.partials_storage) >= _length(f.sizes)
     # f.nodes is already in order such that parents always appear before
     # children so a forward pass through nodes is a backwards pass through the
     # tree.
     children_arr = SparseArrays.rowvals(f.adj)
-    for i in _storage_range(f.sizes, 1)
-        f.reverse_storage[i] = one(Float64)
+    root_range = _storage_range(f.sizes, 1)
+    if seed === nothing
+        for i in root_range
+            f.reverse_storage[i] = one(Float64)
+        end
+    else
+        @assert length(seed) == length(root_range)
+        for (j, i) in enumerate(root_range)
+            f.reverse_storage[i] = seed[j]
+        end
     end
     for k in 1:length(f.nodes)
         node = f.nodes[k]

src/types.jl

@@ -194,6 +194,9 @@ It has the following fields:
 """
 mutable struct Model{T}
     objective::Union{Nothing,Expression{T}}
+    # Vector residual for nonlinear least-squares objectives. When set, callers
+    # can query its value, J*v, J'*v, etc. via the evaluator.
+    residual::Union{Nothing,Expression{T}}
     expressions::Vector{Expression{T}}
     constraints::OrderedCollections.OrderedDict{ConstraintIndex,Constraint{T}}
     parameters::Vector{T}
@@ -202,6 +205,7 @@ mutable struct Model{T}
     last_constraint_index::Int64
     function Model{T}() where {T}
         return new{T}(
+            nothing,
             nothing,
             Expression{T}[],
             OrderedCollections.OrderedDict{ConstraintIndex,Constraint{T}}(),
@@ -294,6 +298,7 @@ mutable struct NLPEvaluator <: MOI.AbstractNLPEvaluator
     ordered_variables::Vector{MOI.VariableIndex}
 
     objective::Union{Nothing,_FunctionStorage}
+    residual::Union{Nothing,_FunctionStorage}
     constraints::Vector{_FunctionStorage}
     subexpressions::Vector{_SubexpressionStorage}
     subexpression_order::Vector{Int}

test/NLPModelsJuMP.jl

@@ -19,12 +19,12 @@ function runtests()
     return
 end
 
-function test_neural_nlpmodels_jump()
+function _test_neural_nlpmodels_jump(solver)
     n = 2
     X = [1.0 0.5; 0.3 0.8]
     target = [0.5 0.2; 0.1 0.7]
     model = Model(NLPModelsJuMP.Optimizer)
-    set_attribute(model, "solver", JSOSolvers.LBFGSSolver)
+    set_attribute(model, "solver", solver)
     set_attribute(
         model,
         MOI.AutomaticDifferentiationBackend(),
@@ -48,6 +48,18 @@ function test_neural_nlpmodels_jump()
     return
 end
 
+function test_neural_lbfgs()
+    return _test_neural_nlpmodels_jump(JSOSolvers.LBFGSSolver)
+end
+
+function test_neural_trunkls()
+    return _test_neural_nlpmodels_jump(JSOSolvers.TrunkSolverNLS)
+end
+
+function test_neural_tronls()
+    return _test_neural_nlpmodels_jump(JSOSolvers.TronSolverNLS)
+end
+
 end
 
 TestWithNLPModelsJuMP.runtests()