Fixed GetJac! for FiniteDiff.jl

Author: RafaelArutjunjan

src/DifferentiationOperators.jl

@@ -11,11 +11,13 @@ _GetDeriv(ADmode::Val{:Zygote}; kwargs...) = throw("GetDeriv() not available for
 _GetGrad(ADmode::Val{:Zygote}; order::Int=-1, kwargs...) = (Func::Function,p;Kwargs...) -> Zygote.gradient(Func, p; kwargs...)[1]
 _GetJac(ADmode::Val{:Zygote}; order::Int=-1, kwargs...) = (Func::Function,p;Kwargs...) -> Zygote.jacobian(Func, p; kwargs...)[1]
 _GetHess(ADmode::Val{:Zygote}; order::Int=-1, kwargs...) = (Func::Function,p;Kwargs...) -> Zygote.hessian(Func, p; kwargs...)
+_GetDoubleJac(ADmode::Val{:Zygote}; kwargs...) = throw("GetDoubleJac() not available for Zygote.jl") # Zygote does not support mutating arrays
 
 _GetDeriv(ADmode::Val{:FiniteDiff}; kwargs...) = FiniteDiff.finite_difference_derivative
 _GetGrad(ADmode::Val{:FiniteDiff}; kwargs...) = FiniteDiff.finite_difference_gradient
 _GetJac(ADmode::Val{:FiniteDiff}; kwargs...) = FiniteDiff.finite_difference_jacobian
 _GetHess(ADmode::Val{:FiniteDiff}; kwargs...) = FiniteDiff.finite_difference_hessian
+_GetDoubleJac(ADmode::Val{:FiniteDiff}; kwargs...) = throw("GetDoubleJac() not available for FiniteDiff.jl")
 
 _GetDeriv(ADmode::Val{:FiniteDifferences}; kwargs...) = throw("GetDeriv() not available for FiniteDifferences.jl")
 _GetGrad(ADmode::Val{:FiniteDifferences}; order::Int=3, kwargs...) = (Func::Function,p;Kwargs...) -> FiniteDifferences.grad(central_fdm(order,1), Func, p; kwargs...)[1]
@@ -33,7 +35,18 @@ _GetMatrixJac!(ADmode::Val{:ReverseDiff}; kwargs...) = _GetJac!(ADmode; kwargs..
 
 #_GetDeriv!(ADmode::Val{:FiniteDiff}; kwargs...) = FiniteDiff.finite_difference_derivative!
 _GetGrad!(ADmode::Val{:FiniteDiff}; kwargs...) = FiniteDiff.finite_difference_gradient!
-_GetJac!(ADmode::Val{:FiniteDiff}; kwargs...) = FiniteDiff.finite_difference_jacobian!
+function _GetJac!(ADmode::Val{:FiniteDiff}; kwargs...)
+    function FiniteDiff__finite_difference_jacobian!(Y::AbstractArray{<:Number}, F::Function, X, args...; kwargs...)
+        # in-place FiniteDiff operators assume that function itself is also in-place
+        if MaximalNumberOfArguments(F) > 1
+            FiniteDiff.finite_difference_jacobian!(Y, F, X, args...; kwargs...)
+        else
+            # Use fake method
+            (Y[:] .= vec(_GetJac(ADmode; kwargs...)(F, X, args...)))
+            # FiniteDiff.finite_difference_jacobian!(Y, (Res,x)->copyto!(Res,F(x)), args...; kwargs...)
+        end
+    end
+end
 _GetHess!(ADmode::Val{:FiniteDiff}; kwargs...) = FiniteDiff.finite_difference_hessian!
 _GetMatrixJac!(ADmode::Val{:FiniteDiff}; kwargs...) = _GetJac!(ADmode; kwargs...)
 

test/runtests.jl

@@ -24,6 +24,7 @@ using SafeTestsets
     for ADmode ∈ [:Zygote, :ReverseDiff, :FiniteDifferences]
         MyTest(ADmode)
     end
+    MyTest(:FiniteDiff; atol=0.2)
 
 
     function TestDoubleJac(ADmode::Symbol; atol::Real=2e-5, kwargs...)
@@ -65,4 +66,5 @@ end
     for ADmode ∈ [:Zygote, :ReverseDiff, :FiniteDifferences]
         MyInplaceTest(ADmode)
     end
+    MyInplaceTest(:FiniteDiff; atol=0.2)
 end