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New solvers #3

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patrick-kidger opened this issue Oct 3, 2023 · 0 comments

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feature

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patrick-kidger commented Oct 3, 2023

Anderson acceleration
LBFGS
Affine

Powell's (unconstrained) derivative free optimisers:

UOBYQA
NEWUOA

On an affine solvers: such systems can be handled with a single linear solve. JAX can detect affine functions via

import jax
import jax.interpreters.partial_eval as pe

def is_affine(f, *args, **kwargs):
    jaxpr = jax.make_jaxpr(jax.jacfwd(f))(*args, **kwargs)
    _, used_inputs = pe.dce_jaxpr(jaxpr.jaxpr, [True] * len(jaxpr.out_avals))
    return all(not x for x in used_inputs)

patrick-kidger added the feature label

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