Add Jacobian reuse for Rosenbrock-W methods#3075
Add Jacobian reuse for Rosenbrock-W methods#3075ChrisRackauckas-Claude wants to merge 7 commits intoSciML:masterfrom
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Implementation DetailsProblemIssue #1043: W-methods recompute the Jacobian every accepted step, but their order conditions guarantee correctness with a stale Jacobian. The ApproachAdded a
Non-W-methods (strict Rosenbrock) keep the original behavior — J is computed every step. State is tracked with Design Decisions
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Verification Results (local)
Key code pathNote on
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That looks like a good plan. But we should be careful with DAEs:
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Fix for CI failures (rebased on master, all tests passing locally)Root causes identified and fixed:1. On Julia 1.10, the Fix: Moved 2. InterfaceII The original Fix: Changed 3. Regression_I interpolation accuracy and Downstream timestep mismatch Same root cause as #2 — bypassing 4. Runic formatting Rebased on latest master (which includes HybridExplicitImplicitRK/Tsit5DA) and re-ran Runic on all modified files. Verification
Addressing @gstein3m's DAE concernThe reviewer raised a valid concern about DAE order reduction with stale Jacobians. The current implementation always recomputes J when |
Fix for CI failures (commit 6418b59)Two CI-caused failures have been fixed: 1. InterfaceII:
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Commit 0cda9c4: Fix commit-order bug, Aqua stale deps, special interps toleranceRoot cause of remaining CI failuresJ reuse was completely disabled due to a commit-order bug: Fix: Moved the commit block (the
Other fixes in this commit
Test results (all pass locally)
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Fix for Julia 1.10 (LTS) CI failureRoot cause: The Fix (commit 471483e): Conditionally import
This is consistent behavior — on Julia 1.10, the IIP path also uses the registered All functional tests pass locally:
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Follow-up fix: skip J reuse count tests on Julia 1.10Commit 82b3e28 gates the The test now uses |
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Full Benchmark Data: Work-Precision ResultsBenchmarks run across all 4 SciMLBenchmarks StiffODE problems. Columns: Algorithm, Order, abstol, final-point error vs Rodas5P reference, median wall time (5 runs), number of Jacobian evaluations, accepted steps, and J/step ratio. W-methods show J/step < 1.0 (J reuse active); strict Rosenbrock methods show J/step = 1.0. ROBER (3D stiff chemical kinetics, tspan=[0, 1e5])High Tolerance (abstol 1e-5 to 1e-8)Low Tolerance (abstol 1e-7 to 1e-10)Van der Pol (2D, mu=1e6, very stiff oscillator)High Tolerance (abstol 1e-4 to 1e-7)Low Tolerance (abstol 1e-7 to 1e-10)HIRES (8D chemical kinetics)High Tolerance (abstol 1e-5 to 1e-8)Low Tolerance (abstol 1e-7 to 1e-10)Pollution (20D atmospheric chemistry)High Tolerance (abstol 1e-5 to 1e-8)Low Tolerance (abstol 1e-7 to 1e-10)Notes
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Rebase + Fix for Julia 1.10 CI failuresRebased on latest master (20 commits ahead since last push). Clean rebase, no conflicts. CI failure analysis from previous runInfrastructure failures (not code-related):
Code failure — Julia 1.10 module loading:
Root cause: Fix: Conditionally import
Julia 1.10 users don't get the Jacobian reuse optimization but everything works correctly. The IIP path also uses the registry version of |
Fix for Julia 1.10 Rosenbrock test failure (commit 58cace1)The Julia 1.10 module loading fix worked — DAE AD Tests and Convergence Tests passed (95/98). The 3 failures were in the Jacobian reuse test ( Fix: Guarded CI status after previous push (before this fix)All non-infrastructure, non-master-preexisting failures were resolved:
Pre-existing failures on master (not related to this PR):
Infrastructure failures (Julia not found on deepsea4 runners):
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W reuse (LU factorization caching)Per review feedback: instead of always rebuilding W when reusing J, we now try the old W (including its LU factorization) and only recompute when the step is rejected. Changes in this push:
Test results:
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Latest commit: Fix resize, algorithm-switch, and OOP W-cachingThree fixes for CI test failures that pass on master but fail on this branch: 1. Resize callback crash (
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CI Fix SummaryTwo commits pushed to address the remaining test failures: 1. Fix downstream tolerance failures (
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Fix: Disable J reuse for CompositeAlgorithm + lower max_jac_ageNew failure: Root cause: Fix:
The reuse optimization now activates only for standalone W-method solves on non-DAE problems, where it provides the most benefit with least risk. |
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Benchmark Results: Jacobian Reuse for W-methodsJacobian reuse ratio (njacs/naccept) at reltol=1e-6Lower ratio = more reuse. W-methods should have ratio < 1, strict Rosenbrock = 1.0.
Raw stats (reltol=1e-6)Van der Pol (μ=1e6): ROBER: Pollution (20 species): Key observations:
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Implement CVODE-inspired Jacobian reuse heuristics for Rosenbrock-W methods (Rosenbrock23, Rosenbrock32, Rodas23W, ROS2S, ROS34PW1a, ROS34PW2, ROS34PW3, ROK4a). W-methods guarantee convergence order even with inexact Jacobians, allowing safe reuse across multiple steps. Key changes: - Add `isWmethod` trait to distinguish W-methods from strict Rosenbrock - Add `JacReuseState` struct tracking Jacobian age and step size ratios - Add `_rosenbrock_jac_reuse_decision` implementing reuse heuristics: gamma ratio threshold (30%), max age (50 steps), Newton convergence - Integrate reuse into both IIP and OOP `calc_rosenbrock_differentiation` - Deferred dtgamma commit: pending value only committed on step accept - Add comprehensive test suite (convergence, accuracy, J count reduction) Closes SciML#1043 Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com>
…rock_differentiation Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com>
Instead of always rebuilding W when J is reused, try the old W (including its LU factorization) and only recompute when the step is rejected (EEst > 1). The LU is the expensive part, so this aggressively avoids refactorization. Key changes: - _rosenbrock_jac_reuse_decision returns (false, false) by default instead of (false, true), reusing both J and W - EEst > 1 check forces full recompute after step rejection - IIP perform_step functions pass A = new_W ? W : nothing to dolinsolve, preventing refactorization of LU-corrupted W - Fix macro-generated gen_perform_step to capture and use new_W return value from calc_rosenbrock_differentiation! - Add cached_W field to JacReuseState for future use - Loosen borderline step-count bounds in convergence tests Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com>
Three robustness fixes for Rosenbrock-W Jacobian reuse: 1. Resize detection: Track last_u_length in JacReuseState. After a callback resize!, u_modified is cleared before perform_step! runs, so we check length(u) directly to detect dimension changes. 2. CompositeAlgorithm switch detection: Track last_step_iter to detect gaps in integrator.iter, which indicate another algorithm (e.g., Vern8) ran between Rosenbrock steps. Forces J recomputation on switch-back to avoid using a stale Jacobian. 3. OOP W caching: Honor the new_W=false flag by caching and reusing the factorized W (LU), matching IIP behavior. Previously the OOP path always rebuilt W from stale J, which masked inaccuracy and prevented the self-correcting rejection feedback loop. This fixes AutoVern8(Rosenbrock23()) OOP hitting MaxIters on stiff problems. Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com> Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
The unconditional import of calc_rosenbrock_differentiation on line 35 conflicts with the conditional @static if block below (lines 42-50). On Julia 1.10, the registry version of OrdinaryDiffEqDifferentiation doesn't export this function, so the unconditional import fails. Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com> Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- Disable Jacobian reuse for mass-matrix (DAE) problems to avoid order reduction from stale algebraic constraint derivatives (addresses @gstein3m's review comment) - Change reuse strategy from (false,false) to (false,true): reuse the cached Jacobian but always rebuild W = J − M/(dt·γ) with the current dtgamma. The Jacobian evaluation (finite-diff/AD) is the expensive part; W construction + LU factorization is comparatively cheap and keeps step control accurate. - Remove stale OrdinaryDiffEqNonlinearSolve from runtime [deps] in OrdinaryDiffEqRosenbrock (fixes Aqua stale dependencies QA test) Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com> Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
CompositeAlgorithm (AutoTsit5/Rosenbrock23, AutoVern8/Rosenbrock23, etc.) already computes a fresh Jacobian every step via do_newJW because rapid stiff↔nonstiff transitions make reuse counterproductive. The reuse logic was overriding this, causing excessive step rejections that exhausted the maxiters budget on the stiffness_detection_test. Also lower default max_jac_age from 50 to 20 accepted steps for more conservative reuse that better handles problems with rapidly changing Jacobians. Co-Authored-By: Chris Rackauckas <accounts@chrisrackauckas.com> Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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@gstein3m this sounds like it could be really good for electronics potentially? In CedarSim/Cadnip we get really stiff mass matrix daes where my benchmarks suggest a lot of time is spent on rebuilding Jacobians. I think @ChrisRackauckas also suggested a W method could be good here. |
Summary
JacReuseStatemutable struct to all Rosenbrock mutable caches (hand-written and macro-generated) to track reuse stateisWmethod(alg) == true(Rosenbrock23, Rosenbrock32, Rodas23W, ROS2S, ROS34PW series, ROS34PRw, ROK4a, RosenbrockW6S4OS); strict Rosenbrock methods (Rodas3/4/5/5P etc.) are unchangedCloses #1043
Benchmark Results
Work-precision benchmarks run on all 4 SciMLBenchmarks StiffODE problems (ROBER, Van der Pol, HIRES, Pollution) comparing W-methods (with J reuse) vs strict Rosenbrock methods. Full results below.
Jacobian Reuse Savings
The
J/stepratio (njacs / naccept) confirms reuse is active for all W-methods and absent for strict Rosenbrock:Work-Precision Summary
Where J reuse helps most: Large sparse Jacobians where each J evaluation is expensive. On the standard SciMLBenchmarks problems (2-20 dimensions), the J cost is small relative to total solve time, so the massive J savings (up to 99%) don't translate proportionally to wall-time speedups. For large MOL discretizations, chemical reactor networks, etc., saving 50-99% of Jacobian evaluations should translate directly to wall-time improvements.
Problem-by-problem highlights:
Full Benchmark Data
See benchmark comment below for complete tables across all 4 problems at high and low tolerance ranges.
Test plan
Pkg.test("OrdinaryDiffEqRosenbrock")passes (verified locally -- all tests pass including Aqua, allocation tests)jacobian_reuse_test.jlpasses 98 tests covering:isWmethodtrait consistency for all W-methods and strict Rosenbrock methodsnjacs < nacceptfor W-methods on stiff Van der Pol problemnjacs >= nacceptfor strict Rosenbrock methods (Rodas3, Rodas4, Rodas5, Rodas5P)🤖 Generated with Claude Code