Provide build_linear_operator utility.

This function allows to build a SciMLOperators.FunctionOperator from a matrix-valued function `A(p)` to represent the matrix-vector product `A(p) * u` in matrix-free form.

Project.toml

@@ -5,11 +5,13 @@ version = "0.1.2"
 
 [deps]
 FastDifferentiation = "eb9bf01b-bf85-4b60-bf87-ee5de06c00be"
+SciMLOperators = "c0aeaf25-5076-4817-a8d5-81caf7dfa961"
 SparseArrays = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
 Symbolics = "0c5d862f-8b57-4792-8d23-62f2024744c7"
 
 [compat]
 FastDifferentiation = "0.3,0.4"
+SciMLOperators = "0.3.12"
 SparseArrays = "1.10"
 Symbolics = "4,5,6"
 julia = "1.10"

src/SymbolicTracingUtils.jl

@@ -9,8 +9,10 @@ module SymbolicTracingUtils
 using Symbolics: Symbolics
 using FastDifferentiation: FastDifferentiation as FD
 using SparseArrays: SparseArrays
+using SciMLOperators: FunctionOperator
 
 export build_function,
+    build_linear_operator,
     FastDifferentiationBackend,
     get_constant_entries,
     get_result_buffer,

src/tracing.jl

@@ -78,4 +78,25 @@ function build_function(
         end
     end
 end
+
+"""
+Build a linear SciMLOperators.FunctionOperator from a matrix-valued function `A(p)`
+to represent the matrix-vector product `A(p) * u` in matrix-free form.
+"""
+function build_linear_operator(A_of_p::AbstractMatrix{<:SymbolicNumber}, p; in_place)
+    u = make_variables(infer_backend(A_of_p), gensym(), size(A_of_p)[end])
+    A_of_p_times_u = build_function(A_of_p * u, p, u; in_place)
+    # TODO: also analyze symmetry and other matrix properties to forward to the operator
+    input_prototype = zeros(size(u))
+    p_prototype = zeros(size(p))
+
+    if in_place
+        FunctionOperator(input_prototype; p = p_prototype, islinear = true) do result, u, p, _t
+            A_of_p_times_u(result, p, u)
+        end
+    else
+        FunctionOperator(input_prototype; p = p_prototype, islinear = true) do u, p, _t
+            A_of_p_times_u(p, u)
+        end
+    end
 end

test/runtests.jl

@@ -1,6 +1,6 @@
 using SymbolicTracingUtils
 using Test: @test, @testset, @test_broken
-using LinearAlgebra: Diagonal
+using LinearAlgebra: Diagonal, mul!
 using SparseArrays: spzeros, findnz, nnz, rowvals
 
 function dummy_function(x)
@@ -17,10 +17,13 @@ end
             global x = make_variables(backend, :x, 10)
             global fx = dummy_function(x)
             global x_value = [1:10;]
+            global y_true = dummy_function(x_value)
+            global g_true = dummy_function_gradient(x_value)
+            global J_true = Diagonal(dummy_function_gradient(x_value))
+
             @testset "non-ad-tracing" begin
                 f = build_function(fx, x; in_place = false)
                 f! = build_function(fx, x; in_place = true)
-                y_true = dummy_function(x_value)
                 y_out_of_place = f(x_value)
                 y_in_place = zeros(10)
                 f!(y_in_place, x_value)
@@ -32,19 +35,17 @@ end
                 gx = gradient(sum(fx), x)
                 g = build_function(gx, x; in_place = false)
                 g! = build_function(gx, x; in_place = true)
-                y_true = dummy_function_gradient(x_value)
-                y_out_of_place = g(x_value)
-                y_in_place = zeros(10)
-                g!(y_in_place, x_value)
-                @test y_out_of_place ≈ y_true
-                @test y_in_place ≈ y_true
+                g_out_of_place = g(x_value)
+                g_in_place = zeros(10)
+                g!(g_in_place, x_value)
+                @test g_out_of_place ≈ g_true
+                @test g_in_place ≈ g_true
             end
 
             @testset "jacobian" begin
                 Jx = jacobian(fx, x)
                 J = build_function(Jx, x; in_place = false)
                 J! = build_function(Jx, x; in_place = true)
-                J_true = Diagonal(dummy_function_gradient(x_value))
                 J_out_of_place = J(x_value)
                 J_in_place = zeros(10, 10)
                 J!(J_in_place, x_value)
@@ -85,6 +86,22 @@ end
                     @test nnz(J_sparse!) == nnz(Jx) # same structure as symbolic version
                     @test rowvals(J_sparse!) == rows
                 end
+
+                @testset "build_linear_operator" begin
+                    J_op = build_linear_operator(Jx, x; in_place = false)
+                    J_op! = build_linear_operator(Jx, x; in_place = true)
+                    v_value = [11.0:20.0;]
+                    Jv_true = J_true * v_value
+
+                    J_op.p = x_value
+                    Jv_out_of_place = J_op * v_value
+                    @test Jv_out_of_place ≈ Jv_true
+
+                    J_op!.p = x_value
+                    Jv_in_place = zeros(10)
+                    mul!(Jv_in_place, J_op!, v_value)
+                    @test Jv_in_place ≈ Jv_true
+                end
             end
         end
     end