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Enzyme does not work with Hessian-free optimizers #1030

@ChrisRackauckas

Description

@ChrisRackauckas
using OptimizationOptimJL, Optimization
using Enzyme

x0 = zeros(2)
rosenbrock(x, p = nothing) = (1 - x[1])^2 + 100 * (x[2] - x[1]^2)^2
l1 = rosenbrock(x0)

function g!(G, x, p = nothing)
    G[1] = -2.0 * (1.0 - x[1]) - 400.0 * (x[2] - x[1]^2) * x[1]
    G[2] = 200.0 * (x[2] - x[1]^2)
end

function h!(H, x, p = nothing)
    H[1, 1] = 2.0 - 400.0 * x[2] + 1200.0 * x[1]^2
    H[1, 2] = -400.0 * x[1]
    H[2, 1] = -400.0 * x[1]
    H[2, 2] = 200.0
end

optf = OptimizationFunction(rosenbrock, AutoEnzyme())
prob = OptimizationProblem(optf, x0)
sol = solve(prob, Optim.KrylovTrustRegion())
ERROR: AssertionError: state.m_diff <= 0
Stacktrace:
 [1] update_state!(objective::NLSolversBase.TwiceDifferentiableHV{…}, state::Optim.KrylovTrustRegionState{…}, method::Optim.KrylovTrustRegion{…})
   @ Optim ~/.julia/packages/Optim/7krni/src/multivariate/solvers/second_order/krylov_trust_region.jl:165
 [2] optimize(d::NLSolversBase.TwiceDifferentiableHV{…}, initial_x::Vector{…}, method::Optim.KrylovTrustRegion{…}, options::Optim.Options{…}, state::Optim.KrylovTrustRegionState{…})
   @ Optim ~/.julia/packages/Optim/7krni/src/multivariate/optimize/optimize.jl:65
 [3] optimize(d::NLSolversBase.TwiceDifferentiableHV{…}, initial_x::Vector{…}, method::Optim.KrylovTrustRegion{…}, options::Optim.Options{…})
   @ Optim ~/.julia/packages/Optim/7krni/src/multivariate/optimize/optimize.jl:43
 [4] __solve(cache::OptimizationCache{…})
   @ OptimizationOptimJL ~/.julia/packages/OptimizationOptimJL/pBz1T/src/OptimizationOptimJL.jl:227
 [5] solve!(cache::OptimizationCache{…})
   @ SciMLBase ~/.julia/packages/SciMLBase/YE7xF/src/solve.jl:234
 [6] solve(::OptimizationProblem{…}, ::Optim.KrylovTrustRegion{…}; kwargs::@Kwargs{})
   @ SciMLBase ~/.julia/packages/SciMLBase/YE7xF/src/solve.jl:131
 [7] solve(::OptimizationProblem{…}, ::Optim.KrylovTrustRegion{…})
   @ SciMLBase ~/.julia/packages/SciMLBase/YE7xF/src/solve.jl:128
 [8] top-level scope
   @ ~/Desktop/test.jl:57
Some type information was truncated. Use `show(err)` to see complete types.

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