sciml_train

Note

sciml_train is planned to be replaced by GalacticOptim.jl when it is ready. This optimizer library will have a feature superset of sciml_train but will have a slightly different interface to allow for backpropagation over the optimization and handling constrained optimization in a nicer manner. Translation from sciml_train to GalacticOptim's style will be fairly trivial since the internals are largely the same, and deprecation warnings will help you update when the time comes, so do not worry about using this functionality.

sciml_train is a multi-package optimization setup. It currently allows for using the following nonlinear optimization packages as the backend:

Thus, it allows for local and global optimization, both derivative-based and derivative-free, with first and second order methods, in an easy and optimized fashion over the scientific machine learning layer functions provided by DiffEqFlux.jl. These functions come complete with integration with automatic differentiation to allow for ease of use with first and second order optimization methods, where Hessians are derived via forward-over-reverse second order sensitivity analysis.

To use an optimizer from any of these libraries, one must be using the appropriate library first.

API

Unconstrained Optimization

function sciml_train(loss, _θ, opt, _data = DEFAULT_DATA;
                     cb = (args...) -> false,
                     maxiters = get_maxiters(data),
                     progress=true, save_best=true)

Box Constrained Optimization

function sciml_train(loss, θ, opt,
                     data = DEFAULT_DATA;
                     lower_bounds, upper_bounds,
                     cb = (args...) -> (false), maxiters = get_maxiters(data))

Loss Functions and Callbacks

Loss functions in sciml_train treat the first returned value as the return. For example, if one returns (1.0,[2.0]), then the value the optimizer will see is 1.0. The other values are passed to the callback function. The callback function is cb(p,args...) where the arguments are the extra returns from the loss. This allows for reusing instead of recalculating. The callback function must return a boolean where if true, then the optimizer will prematurely end the optimization. It is called after every successful step, something that is defined in an optimizer-dependent manner.