# Sensitivity Analysis

Sensitivity analysis for ODE models is provided by the DiffEq suite. The model sensitivities are defined as the derivatives of the solution with respect to the parameters. 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 two types of sensitivity analysis. Local 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 large models. Instead, adjoint sensitivity analysis solves directly for the gradient of some functional of the solution, such as a cost function or energy functional, in a much cheaper manner.

#### Note

Currently there are more performance optimizations needed to be done on the adjoint sensitivity method.

## Local Sensitivity Analysis

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 $\frac{\partial y}{\partial p_{j}}$.

The local sensitivity is computed using the sensitivity ODE:

where

is the Jacobian of the system,

are the parameter derivatives, and

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. Note that this requires a ParameterizedFunction with a Jacobian. For example, we generate an ODE with the sensitivity equations attached for the Lotka-Volterra equations by:

```
f = @ode_def_nohes LotkaVolterraSensitivity begin
dx = a*x - b*x*y
dy = -c*y + x*y
end a b c
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 `i`

th 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[1]
```

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

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.

The 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

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

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:

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:

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

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

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,t;kwargs...)`

where `alg`

is the ODE algorithm to solve the adjoint problem, `dg`

is the jump function, and `t`

is the time points for data. `dg`

is given by:

`dg(out,u,i)`

which is the in-place gradient of the cost functional `g`

at time point `t[i]`

with `u=u(t[i])`

.

For continuous functionals, the form is:

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

for the cost functional

`g(u,p,t)`

with in-place gradient

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

Currently, the gradient is required. 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.

### 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:

```
f = @ode_def_nohes LotkaVolterra begin
dx = a*x - b*x*y
dy = -c*y + x*y
end a b c
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:

for $t_i = 0.5i$. This is the assumption that the data is `data[i]=1.0`

. For this function, notice we have that:

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 = problem_new_parameters(prob,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])
res2 = ForwardDiff.gradient(G,[1.5,1.0,3.0])
res3 = Calculus.gradient(G,[1.5,1.0,3.0])
```

and see this gives the same values.

### Example continuous adjoints on an energy functional

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

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[1]= u[1] + u[2]
out[2]= u[1] + u[2]
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 = problem_new_parameters(prob,p)
sol = solve(tmp_prob,Vern9(),abstol=1e-14,reltol=1e-14)
res,err = quadgk((t)-> (sum(sol(t)).^2)./2,0.0,10.0,abstol=1e-14,reltol=1e-10)
res
end
res2 = ForwardDiff.gradient(G,[1.5,1.0,3.0])
res3 = Calculus.gradient(G,[1.5,1.0,3.0])
```