diff --git a/src/problems/basic_problems.jl b/src/problems/basic_problems.jl index b3061cdf2..cfed37f16 100644 --- a/src/problems/basic_problems.jl +++ b/src/problems/basic_problems.jl @@ -688,6 +688,21 @@ function OptimizationProblem(f, args...; kwargs...) OptimizationProblem{true}(OptimizationFunction{true}(f), args...; kwargs...) end +function OptimizationFunction(f::NonlinearFunction, adtype::AbstractADType = NoAD(); kwargs...) + if isinplace(f) + throw(ArgumentError("Converting NonlinearFunction to OptimizationFunction is not supported with in-place functions yet.")) + end + OptimizationFunction((u, p) -> sum(abs2, f(u, p)), adtype; kwargs...) +end + +function OptimizationProblem(prob::NonlinearLeastSquaresProblem, adtype::AbstractADType = NoAD(); kwargs...) + if isinplace(prob) + throw(ArgumentError("Converting NonlinearLeastSquaresProblem to OptimizationProblem is not supported with in-place functions yet.")) + end + optf = OptimizationFunction(prob.f, adtype; kwargs...) + return OptimizationProblem(optf, prob.u0, prob.p; prob.kwargs..., kwargs...) +end + isinplace(f::OptimizationFunction{iip}) where {iip} = iip isinplace(f::OptimizationProblem{iip}) where {iip} = iip diff --git a/test/downstream/nllsopt.jl b/test/downstream/nllsopt.jl new file mode 100644 index 000000000..e70ed8ac2 --- /dev/null +++ b/test/downstream/nllsopt.jl @@ -0,0 +1,28 @@ +using NonlinearSolve, Optimization, OptimizationNLopt, ForwardDiff + +true_function(x, θ) = @. θ[1] * exp(θ[2] * x) * cos(θ[3] * x + θ[4]) + +θ_true = [1.0, 0.1, 2.0, 0.5] + +x = [-1.0, -0.5, 0.0, 0.5, 1.0] + +y_target = true_function(x, θ_true) + +function loss_function(θ, p) + ŷ = true_function(p, θ) + return ŷ .- y_target +end + +θ_init = θ_true .+ randn!(similar(θ_true)) * 0.1 +prob_oop = NonlinearLeastSquaresProblem{false}(loss_function, θ_init, x) + +solver = LevenbergMarquardt() + +@time sol = solve(prob, solver; maxiters = 10000, abstol = 1e-8) + +optf = OptimizationFunction(prob_oop.f, AutoForwardDiff()) +optprob = OptimizationProblem(optf, prob_oop.u0, prob_oop.p) +@time sol = solve(optprob, NLopt.LD_LBFGS(); maxiters = 10000, abstol = 1e-8) + +optprob = OptimizationProblem(prob_oop, AutoForwardDiff()) +@time sol = solve(optprob, NLopt.LD_LBFGS(); maxiters = 10000, abstol = 1e-8) \ No newline at end of file