CompatHelper: bump compat for OptimizationOptimJL to 0.2, (keep exist…

…ing compat) (#175)

* CompatHelper: bump compat for OptimizationOptimJL to 0.2, (keep existing compat)

* Drop support for Optimization 0.1

* Use new Optimization callback API

* Update tests

* Increment patch number

* Restore support for old OptimizationOptimJL versio

* Add OptimizationCallback

* Update callback test

* Remove the 1.10 release client from CI

Now that v1.10 is released, this is redundant.

---------

Co-authored-by: CompatHelper Julia <[email protected]>
Co-authored-by: Seth Axen <[email protected]>

.github/workflows/CI.yml

@@ -29,11 +29,6 @@ jobs:
         num_threads:
           - 1
           - 2
-        include:
-          - version: '^1.10.0-rc1'
-            os: ubuntu-latest
-            arch: x64
-            num_threads: 1
     steps:
       - uses: actions/checkout@v2
       - uses: julia-actions/setup-julia@v1

Project.toml

@@ -1,7 +1,7 @@
 name = "Pathfinder"
 uuid = "b1d3bc72-d0e7-4279-b92f-7fa5d6d2d454"
 authors = ["Seth Axen <[email protected]> and contributors"]
-version = "0.8.1"
+version = "0.8.2"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
@@ -47,7 +47,7 @@ LogDensityProblems = "2"
 MCMCChains = "5, 6"
 Optim = "1.4"
 Optimization = "3"
-OptimizationOptimJL = "0.1"
+OptimizationOptimJL = "0.1, 0.2"
 PDMats = "0.11.26"
 PSIS = "0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9"
 ProgressLogging = "0.1.4"

src/optimize.jl

@@ -40,19 +40,75 @@ function optimize_with_trace(
     xs = typeof(u0)[]
     fxs = typeof(fun.f(u0, nothing))[]
     ∇fxs = typeof(u0)[]
-    _callback = _make_optimization_callback(
-        xs, fxs, ∇fxs, ∇f; progress_name, progress_id, maxiters, callback, fail_on_nonfinite
+    _callback = OptimizationCallback(
+        xs, fxs, ∇fxs, ∇f, progress_name, progress_id, maxiters, callback, fail_on_nonfinite
     )
     sol = Optimization.solve(prob, optimizer; callback=_callback, maxiters, kwargs...)
     return sol, OptimizationTrace(xs, fxs, ∇fxs)
 end
 
-function _make_optimization_callback(
-    xs, fxs, ∇fxs, ∇f; progress_name, progress_id, maxiters, callback, fail_on_nonfinite
-)
-    return function (x, nfx, args...)
+struct OptimizationCallback{X,FX,∇FX,∇F,ID,CB}
+    xs::X
+    fxs::FX
+    ∇fxs::∇FX
+    ∇f::∇F
+    progress_name::String
+    progress_id::ID
+    maxiters::Int
+    callback::CB
+    fail_on_nonfinite::Bool
+end
+
+@static if isdefined(Optimization, :OptimizationState)
+    # Optimization v3.21.0 and later
+    function (cb::OptimizationCallback)(state::Optimization.OptimizationState, args...)
+        @unpack (
+            xs,
+            fxs,
+            ∇fxs,
+            ∇f,
+            progress_name,
+            progress_id,
+            maxiters,
+            callback,
+            fail_on_nonfinite,
+        ) = cb
+        ret = callback !== nothing && callback(state, args...)
+        iteration = state.iter
+        Base.@logmsg ProgressLogging.ProgressLevel progress_name progress =
+            iteration / maxiters _id = progress_id
+
+        x = copy(state.u)
+        fx = -state.objective
+        ∇fx = state.grad === nothing ? ∇f(x) : -state.grad
+
+        # some backends mutate x, so we must copy it
+        push!(xs, x)
+        push!(fxs, fx)
+        push!(∇fxs, ∇fx)
+
+        if fail_on_nonfinite && !ret
+            ret = (isnan(fx) || fx == Inf || any(!isfinite, ∇fx))::Bool
+        end
+
+        return ret
+    end
+else
+    # Optimization v3.20.X and earlier
+    function (cb::OptimizationCallback)(x, nfx, args...)
+        @unpack (
+            xs,
+            fxs,
+            ∇fxs,
+            ∇f,
+            progress_name,
+            progress_id,
+            maxiters,
+            callback,
+            fail_on_nonfinite,
+        ) = cb
         ret = callback !== nothing && callback(x, nfx, args...)
-        iteration = length(xs)
+        iteration = length(cb.xs)
         Base.@logmsg ProgressLogging.ProgressLevel progress_name progress =
             iteration / maxiters _id = progress_id
 

test/optimize.jl

@@ -37,7 +37,7 @@ end
     @test prob.p === nothing
 end
 
-@testset "_make_optimization_callback" begin
+@testset "OptimizationCallback" begin
     @testset "callback return value" begin
         progress_name = "Optimizing"
         progress_id = nothing
@@ -57,22 +57,34 @@ end
                 g[end] = gval
                 return g
             end
-            callback = (x, fx, args...) -> cbfail
-            cb = Pathfinder._make_optimization_callback(
+            should_fail =
+                cbfail ||
+                (fail_on_nonfinite && (isnan(fval) || fval == Inf || !isfinite(gval)))
+            if isdefined(Optimization, :OptimizationState)
+                # Optimization v3.21.0 and later
+                callback = (state, args...) -> cbfail
+                state = Optimization.OptimizationState(;
+                    iter=0, u=x, objective=-fval, grad=-∇f(x)
+                )
+                cb_args = (state, -fval)
+            else
+                # Optimization v3.20.X and earlier
+                callback = (x, fx, args...) -> cbfail
+                cb_args = (x, -fval)
+            end
+            cb = Pathfinder.OptimizationCallback(
                 xs,
                 fxs,
                 ∇fxs,
-                ∇f;
+                ∇f,
                 progress_name,
                 progress_id,
                 maxiters,
                 callback,
                 fail_on_nonfinite,
             )
-            should_fail =
-                cbfail ||
-                (fail_on_nonfinite && (isnan(fval) || fval == Inf || !isfinite(gval)))
-            @test cb(x, -fval) == should_fail
+            @test cb isa Pathfinder.OptimizationCallback
+            @test cb(cb_args...) == should_fail
         end
     end
 end