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Assert correctness of JVPs and VJPs of solution routines #470

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pnkraemer opened this issue Mar 16, 2023 · 0 comments
Open

Assert correctness of JVPs and VJPs of solution routines #470

pnkraemer opened this issue Mar 16, 2023 · 0 comments
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enhancement New feature or request

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@pnkraemer
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It may be a good idea to test the correctness of jvp(solve*) and vjp(solve*) as is currently done for solve_fixed_grid.

The reasons are threefold:

  • Detect unwanted lack-of-differentiabilities in lower-level functions: e.g., are the initialisation routines both forward- and reverse-differentiable?)
  • Detect NaNs
  • Enable application of e.g. jax.stop_gradient without destroying functionality.

This is especially important because one current application of this code seems to be parameter estimation, which heavily relies on gradients.

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