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@lockwo lockwo commented Mar 18, 2025

This is the v1 of the stateful control PR.

This PR introduces a suite of internally breaking changes which allow for stateful paths. To the non-advanced user, this will likely have no impact on the way they interact with diffrax. It should not impact ODE users at all. SDEs users may be impacted as they might want to try the new "UnsafeBrownianPath" (or as I am calling it "DirectBrownianPath" since it isn't really that unsafe any more), but this should just allow for faster code. I tried several approaches to this problem, but I think based on the conversations in other issues (e.g. #548), that this is at least someone an aligned vision.

Functionaly, this was just a lot of adding arguments to things to support an extra path_state variable. Hence the internal breaking changes. However, these breaking changes come with some decent motivation:

  • Flexibility and speed: this allows for SDE users to see meaningful speedups (on smaller problems where the VF isn't something massive). VBT is necessarily (and unecessarily VBT vs brownian path slowdown #489) slower than UBP, and in theory is only necessary for adaptive solvers that reject steps (I think? Also maybe stateful paths allow some computations to carry brownian bridge states to work with rejecting steps, I think Frank had some jax code that did that but wasn't in diffrax). Thus for anyone running non adaptive solvers (or running solvers that use pre-visible step size adaptation, not currently in diffrax but we have several of those), VBT is not necessary. In addition to the speedups users get from being able to use UBP where before they had to use VBT, UBP is also faster. UBP is faster in both of its new modes, one in which it just splits the key as it goes along and (much faster) in the case where we precompute brownian motion. This addresses Performance issue with SDE solver #517 and Why can't UBP be backproped? #490.
  • Generalization: paths can be stateful, and this is a more complete and generalizable picture that will likely unlock new functionality (and previously, the UBP relied on a bit of a hack to split the keys to not be stateful). Being applied at the AbstractPath level also checks off one point of Tidy-up to-dos #217.
  • Also fixes Residual typing issues in ULD #570

Currently, this PR is missing a few things though.

  • Direct adjoint edge case bug
  • There's some comments/questions I left for myself (and reviewers) that I still need to address (I can extract some of the main ones to be sure to get feedback)

For more context, see the original PR: #559

patrick-kidger and others added 26 commits January 28, 2025 20:50
* _integrate.py

* Added new test checking gradient of vmapped diffeqsolve

* Import optimistix

* Fixed issue

* added .any()

* diffrax root finder
in python-poetry ~=3.9 is interpreted as >=3.9<3.10 [2], though it should be >=3.9,<4.0
[2] https://python-poetry.org/docs/dependency-specification/
@lockwo lockwo changed the title Owen/control revamp Stateful Controls Mar 18, 2025
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Residual typing issues in ULD
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