DiffEqParamEstim.jl on Ensemble problems: autodiff doesn't work

Specific Domains Modelling & Simulations
3

Thanks! Fair enough. Maybe another option is building an array of DiffEqObjectives, and then making a new DiffEqObjective instance that sums them in parallel. I made a (serial) implementation of this that works (below). I need to figure out a good way of parallelising it now. Which might be obvious/impossible, I’m not that familiar with parallel processing but I’ll have a go.

function sum_losses(lArray::Array{T,1}, p0) where T<:DiffEqObjective
    dummy_g = deepcopy(p0)
    function cost1(p)
        return reduce(+, [loss(p) for loss in lArray])
    end

    function cost2(p,g)
        fill!(g,0)
        c = 0
        for el in lArray
            c += el(p,dummy_g)
            g .+= dummy_g
        end
        return c
    end
    return DiffEqObjective(cost1,cost2)
end