Local Sensitivity Analysis (Automatic Differentiation)

Local Sensitivity Analysis (Automatic Differentiation)

Sensitivity analysis for ODE models is provided by the DiffEq suite. The model sensitivities are the derivatives of the solution with respect to the parameters. Specifically, the local sensitivity of the solution to a parameter is defined by how much the solution would change by changes in the parameter, i.e. the sensitivity of the ith independent variable to the jth parameter is $\frac{\partial u}{\partial p_{j}}$.

Sensitivity analysis serves two major purposes. On one hand, the sensitivities are diagnostics of the model which are useful for understand how it will change in accordance to changes in the parameters. But another use is simply because in many cases these derivatives are useful. Sensitivity analysis provides a cheap way to calculate the gradient of the solution which can be used in parameter estimation and other optimization tasks.

There are three types of sensitivity analysis. Local forward sensitivity analysis directly gives the gradient of the solution with respect to each parameter along the time series. The computational cost scales like N*M, where N is the number of states and M is the number of parameters. While this gives all of the information, it can be expensive for models with large numbers of parameters. Local adjoint sensitivity analysis solves directly for the gradient of some functional of the solution, such as a cost function or energy functional, in a manner that is cheaper when the number of parameters is large. Global Sensitivity Analysis methods are meant to be used for exploring the sensitivity over a larger domain without calculating derivatives and are covered on a different page.

Installation

This functionality does not come standard with DifferentialEquations.jl. To use this functionality, you must install DiffEqSensitivty.jl:

]add DiffEqSensitivity
using DiffEqSensitivity

Efficiency of the Different Methods

For an analysis of which methods will be most efficient for computing the solution derivatives for a given problem, consult our analysis in this arxiv paper. A general rule of thumb is:

• Discrete Forward Sensitivity Analysis via ForwardDiff.jl is the fastest for ODEs with small numbers of parameters (<100)
• Adjoint senstivity analysis is the fastest when the number of parameters is sufficiently large. There are three configurations of note. Using backsolve is the fastest and uses the least memory, but is not guerenteed to be stable. Checkpointing is the slowest but uses O(1) memory and is stable. Interpolating is the second fastest, is stable, but requires the ability to hold the full forward solution and its interpolation in memory.
• The methods which use automatic differentiation support the full range of DifferentialEquations.jl features (SDEs, DDEs, events, etc.), but only work on native Julia solvers. The methods which utilize altered ODE systems only work on ODEs (without events), but work on any ODE solver.

Local Forward Sensitivity Analysis

Local forward sensitivity analysis gives a solution along with a timeseries of the sensitivities along the solution.

Discrete Local Forward Sensitivity Analysis via ForwardDiff.jl

This method is the application of ForwardDiff.jl numbers to the ODE solver. This is done simply by making the u0 state vector a vector of Dual numbers, and multiple dispatch then allows the internals of the solver to propagate the derivatives along the solution.

Examples using ForwardDiff.jl

The easiest way to use ForwardDiff.jl for local forward sensitivity analysis is to simply put the ODE solve inside of a function which you would like to differentiate. For example, let's define the ODE system for the Lotka-Volterra equations:

function f(du,u,p,t)
du = dx = p*u - p*u*u
du = dy = -p*u + u*u
end

p = [1.5,1.0,3.0,1.0]
u0 = [1.0;1.0]
prob = ODEProblem(f,u0,(0.0,10.0),p)

Let's say we wanted to get the derivative of the final value w.r.t. each of the parameters. We can define the following function:

function test_f(p)
_prob = remake(prob;u0=convert.(eltype(p),prob.u0),p=p)
solve(_prob,Vern9(),save_everystep=false)[end]
end

What this function does is use the remake function from the Problem Interface page to generate a new ODE problem with the new parameters, solves it, and returns the solution at the final time point. Notice that it takes care to make sure that the type of u0 matches the type of p. This is because ForwardDiff.jl will want to use Dual numbers, and thus to propagate the Duals throughout the solver we need to make sure the initial condition is also of the type of Dual number. On this function we can call ForwardDiff.jl and it will return the derivatives we wish to calculate:

using ForwardDiff
fd_res = ForwardDiff.jacobian(test_f,p)

If we would like to get the solution and the value at the time point at the same time, we can use DiffResults.jl. For example, the following uses a single ODE solution to calculate the value at the end point and its parameter Jacobian:

using DiffResults
res = DiffResults.JacobianResult(u0,p) # Build the results object
DiffResults.jacobian!(res,p) # Populate it with the results
val = DiffResults.value(res) # This is the sol[end]
jac = DiffResults.jacobian(res) # This is dsol/dp

If we would like to get the time series, we can do so by seeding the dual numbers directly. To do this, we use the Dual constructor. The first value is the value of the parameter. The second is a tuple of the derivatives. For each value we want to take the derivative by, we seed a derivative with a 1 in a unique index. For example, we can build our parameter vector like:

using ForwardDiff: Dual
struct MyTag end
p1dual = Dual{MyTag}(1.5, (1.0, 0.0, 0.0, 0.0))
p2dual = Dual{MyTag}(1.0, (0.0, 1.0, 0.0, 0.0))
p3dual = Dual{MyTag}(3.0, (0.0, 0.0, 1.0, 0.0))
p4dual = Dual{MyTag}(3.0, (0.0, 0.0, 0.0, 1.0))
pdual = [p1dual, p2dual, p3dual, p4dual]

or equivalently using the seed_duals convenience function:

function seed_duals(x::AbstractArray{V},::Type{T},
::ForwardDiff.Chunk{N} = ForwardDiff.Chunk(x)) where {V,T,N}
seeds = ForwardDiff.construct_seeds(ForwardDiff.Partials{N,V})
duals = [Dual{T}(x[i],seeds[i]) for i in eachindex(x)]
end
pdual = seed_duals(p,MyTag)

Next we need to make our initial condition Dual numbers so that these propogate through the solution. We can do this manually like:

u0dual = [Dual{MyTag}(1.0, (0.0, 0.0)),Dual{MyTag}(1.0, (0.0, 0.0))]

or use the same shorthand from before:

u0dual = convert.(eltype(pdual),u0)

Now we just use these Dual numbers to solve:

prob_dual = ODEProblem(f,u0,tspan,pdual)
sol_dual = solve(prob_dual,Tsit5(), saveat=0.2)

The solution is now in terms of Dual numbers. We can extract the derivatives by looking at the partials of the duals in the solution. For example, sol[1,end] is the Dual number for the x component at the end of the integration, and so sol[1,end].partial[i] is dx(t_end)/dp_i.

Local Forward Sensitivity Analysis via ODELocalSensitivityProblem

For this method local sensitivity is computed using the sensitivity ODE:

$\frac{d}{dt}\frac{\partial u}{\partial p_{j}}=\frac{\partial f}{\partial u}\frac{\partial u}{\partial p_{j}}+\frac{\partial f}{\partial p_{j}}=J\cdot S_{j}+F_{j}$

where

$J=\left(\begin{array}{cccc} \frac{\partial f_{1}}{\partial u_{1}} & \frac{\partial f_{1}}{\partial u_{2}} & \cdots & \frac{\partial f_{1}}{\partial u_{k}}\\ \frac{\partial f_{2}}{\partial u_{1}} & \frac{\partial f_{2}}{\partial u_{2}} & \cdots & \frac{\partial f_{2}}{\partial u_{k}}\\ \cdots & \cdots & \cdots & \cdots\\ \frac{\partial f_{k}}{\partial u_{1}} & \frac{\partial f_{k}}{\partial u_{2}} & \cdots & \frac{\partial f_{k}}{\partial u_{k}} \end{array}\right)$

is the Jacobian of the system,

$F_{j}=\left(\begin{array}{c} \frac{\partial f_{1}}{\partial p_{j}}\\ \frac{\partial f_{2}}{\partial p_{j}}\\ \vdots\\ \frac{\partial f_{k}}{\partial p_{j}} \end{array}\right)$

are the parameter derivatives, and

$S_{j}=\left(\begin{array}{c} \frac{\partial y_{1}}{\partial p_{j}}\\ \frac{\partial y_{2}}{\partial p_{j}}\\ \vdots\\ \frac{\partial y_{k}}{\partial p_{j}} \end{array}\right)$

is the vector of sensitivities. Since this ODE is dependent on the values of the independent variables themselves, this ODE is computed simultaneously with the actual ODE system.

Example solving an ODELocalSensitivityProblem

To define a sensitivity problem, simply use the ODELocalSensitivityProblem type instead of an ODE type. For example, we generate an ODE with the sensitivity equations attached for the Lotka-Volterra equations by:

function f(du,u,p,t)
du = dx = p*u - p*u*u
du = dy = -p*u + u*u
end

p = [1.5,1.0,3.0]
prob = ODELocalSensitivityProblem(f,[1.0;1.0],(0.0,10.0),p)

This generates a problem which the ODE solvers can solve:

sol = solve(prob,DP8())

Note that the solution is the standard ODE system and the sensitivity system combined. We can use the following helper functions to extract the sensitivity information:

x,dp = extract_local_sensitivities(sol)
x,dp = extract_local_sensitivities(sol,i)
x,dp = extract_local_sensitivities(sol,t)

In each case, x is the ODE values and dp is the matrix of sensitivities where dp[i] is the gradient of component i by the parameters. The first gives the full timeseries of values. The second returns the ith values, while the third interpolates to calculate the sensitivities at time t. For example, if we do:

x,dp = extract_local_sensitivities(sol)
da = dp

then da is the timeseries for $\frac{\partial u(t)}{\partial p}$. We can plot this

plot(sol.t,da',lw=3)

transposing so that the rows (the timeseries) is plotted. Here we see that there is a periodicity to the sensitivity which matches the periodicity of the Lotka-Volterra solutions. However, as time goes on the sensitivity increases. This matches the analysis of Wilkins in Sensitivity Analysis for Oscillating Dynamical Systems.

We can also quickly see that these values are equivalent to those given by autodifferentiation and numerical differentiation through the ODE solver:

using ForwardDiff, Calculus
function test_f(p)
prob = ODEProblem(f,eltype(p).([1.0,1.0]),eltype(p).((0.0,10.0)),p)
solve(prob,Vern9(),abstol=1e-14,reltol=1e-14,save_everystep=false)[end]
end

p = [1.5,1.0,3.0]
fd_res = ForwardDiff.jacobian(test_f,p)
calc_res = Calculus.finite_difference_jacobian(test_f,p)

Here we just checked the derivative at the end point.

Internal representation

For completeness, we detail the internal representation. Therefore, the solution to the ODE are the first n components of the solution. This means we can grab the matrix of solution values like:

x = sol[1:sol.prob.indvars,:]

Since each sensitivity is a vector of derivatives for each function, the sensitivities are each of size sol.prob.indvars. We can pull out the parameter sensitivities from the solution as follows:

da = sol[sol.prob.indvars+1:sol.prob.indvars*2,:]
db = sol[sol.prob.indvars*2+1:sol.prob.indvars*3,:]
dc = sol[sol.prob.indvars*3+1:sol.prob.indvars*4,:]

This means that da[1,i] is the derivative of the x(t) by the parameter a at time sol.t[i]. Note that all of the functionality available to ODE solutions is available in this case, including interpolations and plot recipes (the recipes will plot the expanded system).

Adjoint sensitivity analysis is used to find the gradient of the solution with respect to some functional of the solution. In many cases this is used in an optimization problem to return the gradient with respect to some cost function. It is equivalent to "backpropogation" or reverse-mode automatic differentiation of a differential equation.

This adjoint requires the definition of some scalar functional $g(u,p,t)$ where $u$ is the (numerical) solution to the differential equation. Adjoint sensitivity analysis finds the gradient of

$G(u,p)=G(u(p))=\int_{t_{0}}^{T}g(u(t,p))dt$

some integral of the solution. It does so by solving the adjoint problem

$\frac{d\lambda^{\star}}{dt}=g_{u}(t)-\lambda^{\star}(t)f_{u}(t),\thinspace\thinspace\thinspace\lambda^{\star}(T)=0$

where $f_u$ is the Jacobian of the system with respect to the state u while $f_p$ is the Jacobian with respect to the parameters. The adjoint problem's solution gives the sensitivities through the integral:

$\frac{dG}{dp}=\int_{t_{0}}^{T}\lambda^{\star}(t)f_{p}(t)+g_{p}(t)dt+\lambda^{\star}(t_{0})u_{p}(t_{0})$

Notice that since the adjoints require the Jacobian of the system at the state, it requires the ability to evaluate the state at any point in time. Thus it requires the continuous forward solution in order to solve the adjoint solution, and the adjoint solution is required to be continuous in order to calculate the resulting integral.

There is one extra detail to consider. In many cases we would like to calculate the adjoint sensitivity of some discontinuous functional of the solution. One canonical function is the L2 loss against some data points, that is:

$L(u,p,t)=\sum_{i=1}^{n}\Vert\tilde{u}(t_{i})-u(t_{i},p)\Vert^{2}$

In this case, we can reinterpret our summation as the distribution integral:

$G(u,p)=\int_{0}^{T}\sum_{i=1}^{n}\Vert\tilde{u}(t_{i})-u(t_{i},p)\Vert^{2}\delta(t_{i}-t)dt$

where $δ$ is the Dirac distribution. In this case, the integral is continuous except at finitely many points. Thus it can be calculated between each $t_i$. At a given $t_i$, given that the $t_i$ are unique, we have that

$g_{y}(t_{i})=2\left(\tilde{u}(t_{i})-u(t_{i},p)\right)$

Thus the adjoint solution is given by integrating between the integrals and applying the jump function $g_y$ at every data point.

Syntax

There are two forms. For discrete adjoints, the form is:

s = adjoint_sensitivities(sol,alg,dg,ts;kwargs...)

where alg is the ODE algorithm to solve the adjoint problem, dg is the jump function, and ts is the time points for data. dg is given by:

dg(out,u,p,t,i)

which is the in-place gradient of the cost functional g at time point ts[i] with u=u(t).

For continuous functionals, the form is:

s = adjoint_sensitivities(sol,alg,g,nothing,dg;kwargs...)

for the cost functional

g(u,p,t)

dg(out,u,p,t)

If the gradient is omitted, i.e.

s = adjoint_sensitivities(sol,alg,g,nothing;kwargs...)

then it will be computed automatically using ForwardDiff or finite differencing, depending on the autodiff setting in the SensitivityAlg. Note that the keyword arguments are passed to the internal ODE solver for solving the adjoint problem. Two special keyword arguments are iabstol and ireltol which are the tolerances for the internal quadrature via QuadGK for the resulting functional.

Options

Options for handling the adjoint computation are set by passing a SensitivityAlg type, e.g. SensitivityAlg(backsolve=true). Additionally, if Gauss-Kronrod quadrature is used, the options ireltol and iabstol into adjoint_sensitivities controls the behavior of the quadrature. Example calls:

res = adjoint_sensitivities(sol,Rodas4(),dg,t,ireltol=1e-8)

sensealg=SensitivityAlg(backsolve=true))
• checkpointing: When enabled, the adjoint solutions compute the Jacobians by starting from the nearest saved value in sol and computing forward. By default, this is false if sol.dense==true, i.e. if sol has its higher order interpolation then this is by default disabled.
• quad: Use Gauss-Kronrod quadrature to integrate the adjoint sensitivity integral. Disabling it can decrease memory usage but increase computation time. Default is true.
• backsolve: Solve the differential equation backward to get the past values. Note that for chaotic or non-reversible systems, enabling this option can lead to wildly incorrect results. Enabling it can decrease memory usage but increase computation time. When it is set to true, quad will be automatically set to false. Default is false.
• autodiff: Use automatic differentiation in the internal sensitivity algorithm computations. Default is true.
• chunk_size: Chunk size for forward mode differentiation. Default is 0 for automatic.
• autojacvec: Calculate Jacobian-vector (local sensitivity analysis) or vector-Jacobian (adjoint sensitivity analysis) product via automatic differentiation with special seeding. Default is true if autodiff is true.

Example discrete adjoints on a cost function

In this example we will show solving for the adjoint sensitivities of a discrete cost functional. First let's solve the ODE and get a high quality continuous solution:

function f(du,u,p,t)
du = dx = p*u - p*u*u
du = dy = -p*u + u*u
end

p = [1.5,1.0,3.0]
prob = ODEProblem(f,[1.0;1.0],(0.0,10.0),p)
sol = solve(prob,Vern9(),abstol=1e-10,reltol=1e-10)

Now let's calculate the sensitivity of the L2 error against 1 at evenly spaced points in time, that is:

$L(u,p,t)=\sum_{i=1}^{n}\frac{\Vert1-u(t_{i},p)\Vert^{2}}{2}$

for $t_i = 0.5i$. This is the assumption that the data is data[i]=1.0. For this function, notice we have that:

\begin{align} dg_{1}&=1-u_{1} \\ dg_{2}&=1-u_{2} \end{align}

and thus:

dg(out,u,i) = (out.=1.0.-u)

If we had data, we'd just replace 1.0 with data[i]. To get the adjoint sensitivities, call:

res = adjoint_sensitivities(sol,Vern9(),dg,t,abstol=1e-14,
reltol=1e-14,iabstol=1e-14,ireltol=1e-12)

This is super high accuracy. As always, there's a tradeoff between accuracy and computation time. We can check this almost exactly matches the autodifferentiation and numerical differentiation results:

using ForwardDiff,Calculus
function G(p)
tmp_prob = remake(prob,u0=convert.(eltype(p),prob.u0),p=p)
sol = solve(tmp_prob,Vern9(),abstol=1e-14,reltol=1e-14,saveat=t)
A = convert(Array,sol)
sum(((1-A).^2)./2)
end
G([1.5,1.0,3.0])
res5 = ReverseDiff.gradient(G,[1.5,1.0,3.0])

and see this gives the same values.

Example controlling adjoint method choices and checkpointing

In the previous examples, all calculations were done using the interpolating method. This maximizes speed but at a cost of requiring a dense sol. If it is not possible to hold a dense forward solution in memory, then one can use checkpointing. This is enabled by default if sol is not dense, so for example

sol = solve(prob,Vern9(),saveat=[0.0,0.2,0.5,0.7])

Creates a non-dense solution with checkpoints at [0.0,0.2,0.5,0.7]. Now we can do

res = adjoint_sensitivities(sol,Vern9(),dg,t)

When grabbing a Jacobian value during the backwards solution, it will no longer interpolate to get the value. Instead, it will start a forward solution at the nearest checkpoint and solve until the necessary time.

To eliminate the extra forward solutions, one can instead pass the SensitivityAlg with the backsolve=true option:

sol = solve(prob,Vern9(),save_everystep=false,save_start=false)
res = adjoint_sensitivities(sol,Vern9(),dg,t,sensealg=SensitivityAlg(backsolve=true))

When this is done, the values for the Jacobian will be computing the original ODE in reverse. Note that this only requires the final value of the solution.

Applicability of Backsolve and Caution

When backsolve is applicable it is the fastest method and requires the least memory. However, one must be cautious because not all ODEs are stable under backwards integration by the majority of ODE solvers. An example of such an equation is the Lorenz equation. Notice that if one solves the Lorenz equation forward and then in reverse with any adaptive time step and non-reversible integrator, then the backwards solution diverges from the forward solution. As a quick demonstration:

using Sundials, DiffEqBase
function lorenz(du,u,p,t)
du = 10.0*(u-u)
du = u*(28.0-u) - u
du = u*u - (8/3)*u
end
u0 = [1.0;0.0;0.0]
tspan = (0.0,100.0)
prob = ODEProblem(lorenz,u0,tspan)
sol = solve(prob,Tsit5(),reltol=1e-12,abstol=1e-12)
prob2 = ODEProblem(lorenz,sol[end],(100.0,0.0))
sol = solve(prob,Tsit5(),reltol=1e-12,abstol=1e-12)
@show sol[end]-u0 #[-3.22091, -1.49394, 21.3435]

Thus one should check the stability of the backsolve on their type of problem before enabling this method.

Example continuous adjoints on an energy functional

In this case we'd like to calculate the adjoint sensitivity of the scalar energy functional

$G(u,p)=\int_{0}^{T}\frac{\sum_{i=1}^{n}u_{i}^{2}(t)}{2}dt$

which is

g(u,p,t) = (sum(u).^2) ./ 2

Notice that the gradient of this function with respect to the state u is:

function dg(out,u,p,t)
out= u + u
out= u + u
end

To get the adjoint sensitivities, we call:

res = adjoint_sensitivities(sol,Vern9(),g,nothing,dg,abstol=1e-8,
reltol=1e-8,iabstol=1e-8,ireltol=1e-8)

Notice that we can check this against autodifferentiation and numerical differentiation as follows:

function G(p)
tmp_prob = remake(prob,p=p)
sol = solve(tmp_prob,Vern9(),abstol=1e-14,reltol=1e-14)
res3 = Calculus.gradient(G,[1.5,1.0,3.0])