Fix hessian calculation with FiniteDiff #319
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@@ Coverage Diff @@
## master #319 +/- ##
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Coverage 79.37% 79.37%
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Files 9 9
Lines 257 257
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Hits 204 204
Misses 53 53
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| @@ -56,7 +56,7 @@ function instantiate_function(f, x, adtype::AutoFiniteDiff, p, num_cons=0) | |||
| end | |||
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| if f.hess === nothing | |||
| hess = (res, θ, args...) -> FiniteDiff.finite_difference_hessian!(res, x -> _f(x, args...), θ, FiniteDiff.HessianCache(x, adtype.fdhtype)) | |||
| hess = (res, θ, args...) -> FiniteDiff.finite_difference_hessian!(res, x -> _f(x, args...), θ, FiniteDiff.HessianCache(θ, adtype.fdhtype)) | |||
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We should also cache the caches.
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Do you mean that instead of creating a new one for every call reset it and use here and have it defined once only?
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Yes, ForwardDiff should do that too. That why the precaching interface exists. It doesn't matter too much for the ODE cases since those are so much more expensive than the allocations that they are hardly noticed, but it's a detail we should fix. We can do that in a follow up PR
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This was the case due to JuliaDiff/FiniteDiff.jl#127