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gradient.jl
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157 lines (126 loc) · 5.33 KB
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###############
# API methods #
###############
"""
ForwardDiff.gradient(f, x::AbstractArray, cfg::GradientConfig = GradientConfig(f, x), check=Val{true}())
Return `∇f` evaluated at `x`, assuming `f` is called as `f(x)`.
The array `∇f` has the same shape as `x`, and its elements are
`∇f[j, k, ...] = ∂f/∂x[j, k, ...]`.
This method assumes that `isa(f(x), Real)`.
Set `check` to `Val{false}()` to disable tag checking. This can lead to perturbation confusion, so should be used with care.
"""
function gradient(f::F, x::AbstractArray, cfg::GradientConfig{T} = GradientConfig(f, x), ::Val{CHK}=Val{true}()) where {F, T, CHK}
require_one_based_indexing(x)
CHK && checktag(T, f, x)
if chunksize(cfg) == length(x)
return vector_mode_gradient(f, x, cfg)
else
return chunk_mode_gradient(f, x, cfg)
end
end
"""
ForwardDiff.gradient!(result::Union{AbstractArray,DiffResult}, f, x::AbstractArray, cfg::GradientConfig = GradientConfig(f, x), check=Val{true}())
Compute `∇f` evaluated at `x` and store the result(s) in `result`, assuming `f` is called as
`f(x)`.
This method assumes that `isa(f(x), Real)`.
"""
function gradient!(result::Union{AbstractArray,DiffResult}, f::F, x::AbstractArray, cfg::GradientConfig{T} = GradientConfig(f, x), ::Val{CHK}=Val{true}()) where {T, CHK, F}
result isa DiffResult ? require_one_based_indexing(x) : require_one_based_indexing(result, x)
CHK && checktag(T, f, x)
if chunksize(cfg) == length(x)
vector_mode_gradient!(result, f, x, cfg)
else
chunk_mode_gradient!(result, f, x, cfg)
end
return result
end
gradient(f, x::Real) = throw(DimensionMismatch("gradient(f, x) expects that x is an array. Perhaps you meant derivative(f, x)?"))
#####################
# result extraction #
#####################
function extract_gradient!(::Type{T}, result::DiffResult, y::Real) where {T}
result = DiffResults.value!(result, y)
grad = DiffResults.gradient(result)
fill!(grad, zero(y))
return result
end
function extract_gradient!(::Type{T}, result::DiffResult, dual::Dual) where {T}
result = DiffResults.value!(result, value(T, dual))
result = DiffResults.gradient!(result, partials(T, dual))
return result
end
extract_gradient!(::Type{T}, result::AbstractArray, y::Real) where {T} = fill!(result, zero(y))
extract_gradient!(::Type{T}, result::AbstractArray, dual::Dual) where {T}= copyto!(result, partials(T, dual))
function extract_gradient_chunk!(::Type{T}, result, dual, index, chunksize) where {T}
offset = index - 1
for i in 1:chunksize
result[i + offset] = partials(T, dual, i)
end
return result
end
function extract_gradient_chunk!(::Type{T}, result::DiffResult, dual, index, chunksize) where {T}
extract_gradient_chunk!(T, DiffResults.gradient(result), dual, index, chunksize)
return result
end
extract_gradient_chunk!(::Type, result, dual::AbstractArray, index, chunksize) = throw(GRAD_ERROR)
extract_gradient_chunk!(::Type, result::DiffResult, dual::AbstractArray, index, chunksize) = throw(GRAD_ERROR)
const GRAD_ERROR = DimensionMismatch("gradient(f, x) expects that f(x) is a real number. Perhaps you meant jacobian(f, x)?")
###############
# vector mode #
###############
function vector_mode_gradient(f::F, x, cfg::GradientConfig{T}) where {T, F}
ydual = vector_mode_dual_eval!(f, cfg, x)
ydual isa Real || throw(GRAD_ERROR)
result = similar(x, valtype(T, ydual))
return extract_gradient!(T, result, ydual)
end
function vector_mode_gradient!(result, f::F, x, cfg::GradientConfig{T}) where {T, F}
ydual = vector_mode_dual_eval!(f, cfg, x)
result = extract_gradient!(T, result, ydual)
return result
end
##############
# chunk mode #
##############
function chunk_mode_gradient_expr(result_definition::Expr)
return quote
@assert length(x) >= N "chunk size cannot be greater than length(x) ($(N) > $(length(x)))"
# precalculate loop bounds
xlen = length(x)
remainder = xlen % N
lastchunksize = ifelse(remainder == 0, N, remainder)
lastchunkindex = xlen - lastchunksize + 1
middlechunks = 2:div(xlen - lastchunksize, N)
# seed work vectors
xdual = cfg.duals
seeds = cfg.seeds
seed!(xdual, x)
# do first chunk manually to calculate output type
seed!(xdual, x, 1, seeds)
ydual = f(xdual)
$(result_definition)
extract_gradient_chunk!(T, result, ydual, 1, N)
seed!(xdual, x, 1)
# do middle chunks
for c in middlechunks
i = ((c - 1) * N + 1)
seed!(xdual, x, i, seeds)
ydual = f(xdual)
extract_gradient_chunk!(T, result, ydual, i, N)
seed!(xdual, x, i)
end
# do final chunk
seed!(xdual, x, lastchunkindex, seeds, lastchunksize)
ydual = f(xdual)
extract_gradient_chunk!(T, result, ydual, lastchunkindex, lastchunksize)
# get the value, this is a no-op unless result is a DiffResult
extract_value!(T, result, ydual)
return result
end
end
@eval function chunk_mode_gradient(f::F, x, cfg::GradientConfig{T,V,N}) where {F,T,V,N}
$(chunk_mode_gradient_expr(:(result = similar(x, valtype(T, ydual)))))
end
@eval function chunk_mode_gradient!(result, f::F, x, cfg::GradientConfig{T,V,N}) where {F,T,V,N}
$(chunk_mode_gradient_expr(:()))
end