Hamilton-Jacobi PDE Physics-Informed Neural Network (PINN) Loss Function Error vs Time Benchmarks

Adapted from NeuralPDE: Automating Physics-Informed Neural Networks (PINNs) with Error Approximations. Uses the NeuralPDE.jl library from the SciML Scientific Machine Learning Open Source Organization for the implementation of physics-informed neural networks (PINNs) and other science-guided AI techniques.

using NeuralPDE
using Integrals, Cubature, Cuba
using ModelingToolkit, Optimization, OptimizationOptimJL
using Lux, Plots
using OptimizationOptimisers
using DelimitedFiles
using QuasiMonteCarlo
import ModelingToolkit: Interval, infimum, supremum
function hamilton_jacobi(strategy, minimizer, maxIters)

    ##  DECLARATIONS
    @parameters t x1 x2 x3 x4
    @variables u(..)

    Dt = Differential(t)

    Dx1 = Differential(x1)
    Dx2 = Differential(x2)
    Dx3 = Differential(x3)
    Dx4 = Differential(x4)

    Dxx1 = Differential(x1)^2
    Dxx2 = Differential(x2)^2
    Dxx3 = Differential(x3)^2
    Dxx4 = Differential(x4)^2

    # Discretization
    tmax = 1.0
    x1width = 1.0
    x2width = 1.0
    x3width = 1.0
    x4width = 1.0

    tMeshNum = 10
    x1MeshNum = 10
    x2MeshNum = 10
    x3MeshNum = 10
    x4MeshNum = 10

    dt = tmax / tMeshNum
    dx1 = x1width / x1MeshNum
    dx2 = x2width / x2MeshNum
    dx3 = x3width / x3MeshNum
    dx4 = x4width / x4MeshNum

    domains = [t ∈ Interval(0.0, tmax),
        x1 ∈ Interval(0.0, x1width),
        x2 ∈ Interval(0.0, x2width),
        x3 ∈ Interval(0.0, x3width),
        x4 ∈ Interval(0.0, x4width)]

    ts = 0.0:dt:tmax
    x1s = 0.0:dx1:x1width
    x2s = 0.0:dx2:x2width
    x3s = 0.0:dx3:x3width
    x4s = 0.0:dx4:x4width

    λ = 1.0f0

    # Operators
    Δu = Dxx1(u(t, x1, x2, x3, x4)) + Dxx2(u(t, x1, x2, x3, x4)) +
         Dxx3(u(t, x1, x2, x3, x4)) + Dxx4(u(t, x1, x2, x3, x4)) # Laplacian
    ∇u = [Dx1(u(t, x1, x2, x3, x4)), Dx2(u(t, x1, x2, x3, x4)),
        Dx3(u(t, x1, x2, x3, x4)), Dx4(u(t, x1, x2, x3, x4))]

    # Equation
    eq = Dt(u(t, x1, x2, x3, x4)) + Δu - λ * sum(∇u .^ 2) ~ 0  #HAMILTON-JACOBI-BELLMAN EQUATION

    terminalCondition = log((1 + x1 * x1 + x2 * x2 + x3 * x3 + x4 * x4) / 2) # see PNAS paper

    bcs = [u(tmax, x1, x2, x3, x4) ~ terminalCondition]  #PNAS paper again

    ## NEURAL NETWORK
    n = 10   #neuron number

    chain = Lux.Chain(Lux.Dense(5, n, tanh), Lux.Dense(n, n, tanh), Lux.Dense(n, 1))   #Neural network from OptimizationFlux library

    indvars = [t, x1, x2, x3, x4]   #physically independent variables
    depvars = [u(t, x1, x2, x3, x4)]       #dependent (target) variable

    dim = length(domains)

    losses = []
    error = []
    times = []

    dx_err = 0.2

    error_strategy = GridTraining(dx_err)

    discretization_ = PhysicsInformedNN(chain, error_strategy)
    @named pde_system_ = PDESystem(eq, bcs, domains, indvars, depvars)
    prob_ = discretize(pde_system_, discretization_)

    function loss_function_(θ, p)
        params = θ.u
        return prob_.f.f(params, nothing)
    end

    function cb_(p, l)
        try
            deltaT_s = time_ns()
            ctime = time_ns() - startTime - timeCounter

            push!(times, ctime / 1e9)
            push!(losses, l)

            # Extract parameters for loss calculation
            params = p.u
            loss_ = loss_function_(p, nothing)
            push!(error, loss_)

            timeCounter += time_ns() - deltaT_s
            return false
        catch e
            @warn "Callback error: $e"
            return false
        end
    end

    @named pde_system = PDESystem(eq, bcs, domains, indvars, depvars)

    discretization = NeuralPDE.PhysicsInformedNN(chain, strategy)
    prob = NeuralPDE.discretize(pde_system, discretization)

    timeCounter = 0.0
    startTime = time_ns() #Fix initial time (t=0) before starting the training
    res = Optimization.solve(prob, minimizer, callback = cb_, maxiters = maxIters)

    phi = discretization.phi

    params = res.minimizer

    # Model prediction
    domain = [ts, x1s, x2s, x3s, x4s]

    u_predict = [reshape(
                     [first(phi([t, x1, x2, x3, x4], res.minimizer)) for x1 in x1s
                      for x2 in x2s for x3 in x3s for x4 in x4s],
                     (length(x1s), length(x2s), length(x3s), length(x4s))) for t in ts]  #matrix of model's prediction

    return [error, params, domain, times, losses]
end

maxIters = [(1, 1, 1, 1000, 1000, 1000, 1000), (1, 1, 1, 300, 300, 300, 300)] #iters for ADAM/LBFGS
# maxIters = [(1,1,1,1,1,2,2),(1,1,1,3,3,3,3)] #iters for ADAM/LBFGS

strategies = [
    NeuralPDE.QuadratureTraining(quadrature_alg = CubaCuhre(), reltol = 1e-4, abstol = 1e-4, maxiters = 1100),
    #NeuralPDE.QuadratureTraining(quadrature_alg = HCubatureJL(), reltol = 1e-4, abstol = 1e-4, maxiters = 1100, batch = 0),
    NeuralPDE.GridTraining(0.1),
    NeuralPDE.QuadratureTraining(quadrature_alg = CubatureJLh(), reltol = 1e-4, abstol = 1e-4, maxiters = 1100),
    NeuralPDE.QuadratureTraining(quadrature_alg = CubatureJLp(), reltol = 1e-4, abstol = 1e-4, maxiters = 1100),
    NeuralPDE.GridTraining(0.2),
    NeuralPDE.StochasticTraining(400; bcs_points = 50),
    NeuralPDE.QuasiRandomTraining(400; bcs_points = 50)]

strategies_short_name = ["CubaCuhre",
    "HCubatureJL",
    "CubatureJLh",
    "CubatureJLp",
    "GridTraining",
    "StochasticTraining",
    "QuasiRandomTraining"]

minimizers = [Optimisers.ADAM(0.005),
    #BFGS()]
    LBFGS()]

minimizers_short_name = ["ADAM",
    "LBFGS"]
#"BFGS"]

# Run models
error_res = Dict()
domains = Dict()
params_res = Dict()  #to use same params for the next run
times = Dict()
losses_res = Dict()
Dict{Any, Any}()

Solve

print("Starting run")
## Convergence

for min in 1:length(minimizers) # minimizer
    for strat in 1:length(strategies) # strategy
        # println(string(strategies_short_name[strat], "  ", minimizers_short_name[min]))
        res = hamilton_jacobi(strategies[strat], minimizers[min], maxIters[min][strat])
        push!(error_res, string(strat, min) => res[1])
        push!(params_res, string(strat, min) => res[2])
        push!(domains, string(strat, min) => res[3])
        push!(times, string(strat, min) => res[4])
        push!(losses_res, string(strat, min) => res[5])
    end
end
Starting run
#Plotting the first strategy with the first minimizer out from the loop to initialize the canvas
current_label = string(strategies_short_name[1], " + ", minimizers_short_name[1])
error = Plots.plot(times["11"], error_res["11"], yaxis = :log10, label = current_label)#, xlims = (0,10))#legend = true)#, size=(1200,700))
plot!(error, times["21"], error_res["21"], yaxis = :log10,
    label = string(strategies_short_name[2], " + ", minimizers_short_name[1]))
plot!(error, times["31"], error_res["31"], yaxis = :log10,
    label = string(strategies_short_name[3], " + ", minimizers_short_name[1]))
plot!(error, times["41"], error_res["41"], yaxis = :log10,
    label = string(strategies_short_name[4], " + ", minimizers_short_name[1]))
plot!(error, times["51"], error_res["51"], yaxis = :log10,
    label = string(strategies_short_name[5], " + ", minimizers_short_name[1]))
plot!(error, times["61"], error_res["61"], yaxis = :log10,
    label = string(strategies_short_name[6], " + ", minimizers_short_name[1]))
plot!(error, times["71"], error_res["71"], yaxis = :log10,
    label = string(strategies_short_name[7], " + ", minimizers_short_name[1]))

plot!(error, times["12"], error_res["12"], yaxis = :log10,
    label = string(strategies_short_name[1], " + ", minimizers_short_name[2]))
plot!(error, times["22"], error_res["22"], yaxis = :log10,
    label = string(strategies_short_name[2], " + ", minimizers_short_name[2]))
plot!(error, times["32"], error_res["32"], yaxis = :log10,
    label = string(strategies_short_name[3], " + ", minimizers_short_name[2]))
plot!(error, times["42"], error_res["42"], yaxis = :log10,
    label = string(strategies_short_name[4], " + ", minimizers_short_name[2]))
plot!(error, times["52"], error_res["52"], yaxis = :log10,
    label = string(strategies_short_name[5], " + ", minimizers_short_name[2]))
plot!(error, times["62"], error_res["62"], yaxis = :log10,
    label = string(strategies_short_name[6], " + ", minimizers_short_name[2]))
plot!(error, times["72"], error_res["72"], yaxis = :log10,
    title = string("Hamilton Jacobi convergence ADAM/LBFGS"),
    ylabel = "log(error)", xlabel = "t",
    label = string(strategies_short_name[7], " + ", minimizers_short_name[2]))

Appendix

These benchmarks are a part of the SciMLBenchmarks.jl repository, found at: https://github.com/SciML/SciMLBenchmarks.jl. For more information on high-performance scientific machine learning, check out the SciML Open Source Software Organization https://sciml.ai.

To locally run this benchmark, do the following commands:

using SciMLBenchmarks
SciMLBenchmarks.weave_file("benchmarks/PINNErrorsVsTime","hamilton_jacobi_et.jmd")

Computer Information:

Julia Version 1.10.10
Commit 95f30e51f41 (2025-06-27 09:51 UTC)
Build Info:
  Official https://julialang.org/ release
Platform Info:
  OS: Linux (x86_64-linux-gnu)
  CPU: 128 × AMD EPYC 7502 32-Core Processor
  WORD_SIZE: 64
  LIBM: libopenlibm
  LLVM: libLLVM-15.0.7 (ORCJIT, znver2)
Threads: 1 default, 0 interactive, 1 GC (on 128 virtual cores)
Environment:
  JULIA_CPU_THREADS = 128
  JULIA_DEPOT_PATH = /cache/julia-buildkite-plugin/depots/5b300254-1738-4989-ae0a-f4d2d937f953

Package Information:

Status `/cache/build/exclusive-amdci1-0/julialang/scimlbenchmarks-dot-jl/benchmarks/PINNErrorsVsTime/Project.toml`
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Info Packages marked with ⌃ and ⌅ have new versions available. Those with ⌃ may be upgradable, but those with ⌅ are restricted by compatibility constraints from upgrading. To see why use `status --outdated`
Warning The project dependencies or compat requirements have changed since the manifest was last resolved. It is recommended to `Pkg.resolve()` or consider `Pkg.update()` if necessary.

And the full manifest:

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⌅ [aea7be01] PrecompileTools v1.2.1
⌃ [21216c6a] Preferences v1.4.3
⌅ [08abe8d2] PrettyTables v2.4.0
⌃ [27ebfcd6] Primes v0.5.6
⌃ [33c8b6b6] ProgressLogging v0.1.4
⌃ [92933f4c] ProgressMeter v1.10.2
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⌃ [74087812] Random123 v1.7.0
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⌃ [731186ca] RecursiveArrayTools v3.31.0
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⌃ [37e2e3b7] ReverseDiff v1.15.3
⌅ [79098fc4] Rmath v0.8.0
⌃ [7e49a35a] RuntimeGeneratedFunctions v0.5.13
⌃ [9dfe8606] SCCNonlinearSolve v1.0.0
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⌃ [0bca4576] SciMLBase v2.75.1
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⌃ [19f34311] SciMLJacobianOperators v0.1.1
⌅ [c0aeaf25] SciMLOperators v0.3.12
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⌃ [727e6d20] SimpleNonlinearSolve v2.1.0
⌃ [699a6c99] SimpleTraits v0.9.4
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⌃ [a2af1166] SortingAlgorithms v1.2.1
⌅ [9f842d2f] SparseConnectivityTracer v0.6.13
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⌃ [0a514795] SparseMatrixColorings v0.4.14
⌃ [276daf66] SpecialFunctions v2.5.0
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⌃ [860ef19b] StableRNGs v1.0.2
⌃ [aedffcd0] Static v1.1.1
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⌃ [90137ffa] StaticArrays v1.9.13
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⌃ [64bff920] StatisticalTraits v3.4.0
⌃ [82ae8749] StatsAPI v1.7.0
⌃ [2913bbd2] StatsBase v0.34.4
⌃ [4c63d2b9] StatsFuns v1.3.2
⌃ [7792a7ef] StrideArraysCore v0.5.7
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⌃ [09ab397b] StructArrays v0.7.0
⌃ [2efcf032] SymbolicIndexingInterface v0.3.38
⌃ [19f23fe9] SymbolicLimits v0.2.2
⌅ [d1185830] SymbolicUtils v3.17.0
⌃ [0c5d862f] Symbolics v6.30.0
  [3783bdb8] TableTraits v1.0.1
⌃ [bd369af6] Tables v1.12.0
⌃ [ed4db957] TaskLocalValues v0.1.2
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⌃ [8290d209] ThreadingUtilities v0.5.2
⌃ [a759f4b9] TimerOutputs v0.5.28
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⌃ [28d57a85] Transducers v0.4.84
⌃ [410a4b4d] Tricks v0.1.10
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⌃ [5c2747f8] URIs v1.5.1
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⌅ [1986cc42] Unitful v1.22.0
⌃ [45397f5d] UnitfulLatexify v1.6.4
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⌃ [3d5dd08c] VectorizationBase v0.21.71
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⌃ [d49dbf32] WeightInitializers v1.1.1
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⌃ [ddb6d928] YAML v0.4.13
⌃ [c2297ded] ZMQ v1.4.0
⌃ [e88e6eb3] Zygote v0.6.75
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⌃ [ee1fde0b] Dbus_jll v1.14.10+0
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⌃ [2e619515] Expat_jll v2.6.5+0
⌅ [b22a6f82] FFMPEG_jll v4.4.4+1
⌃ [f5851436] FFTW_jll v3.3.10+3
⌃ [a3f928ae] Fontconfig_jll v2.15.0+0
⌃ [d7e528f0] FreeType2_jll v2.13.3+1
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⌅ [d2c73de3] GR_jll v0.73.13+0
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⌃ [3b182d85] Graphite2_jll v1.3.14+1
⌃ [2e76f6c2] HarfBuzz_jll v8.5.0+0
⌃ [e33a78d0] Hwloc_jll v2.12.0+0
⌃ [1d5cc7b8] IntelOpenMP_jll v2025.0.4+0
⌃ [aacddb02] JpegTurbo_jll v3.1.1+0
⌃ [c1c5ebd0] LAME_jll v3.100.2+0
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⌅ [dad2f222] LLVMExtra_jll v0.0.35+0
⌃ [1d63c593] LLVMOpenMP_jll v18.1.7+0
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⌅ [e9f186c6] Libffi_jll v3.2.2+2
⌃ [d4300ac3] Libgcrypt_jll v1.11.0+0
⌃ [7e76a0d4] Libglvnd_jll v1.7.0+0
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⌃ [4b2f31a3] Libmount_jll v2.40.3+0
⌃ [89763e89] Libtiff_jll v4.7.1+0
⌃ [38a345b3] Libuuid_jll v2.40.3+0
⌃ [856f044c] MKL_jll v2025.0.1+1
⌃ [e7412a2a] Ogg_jll v1.3.5+1
⌃ [458c3c95] OpenSSL_jll v3.0.16+0
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⌃ [91d4177d] Opus_jll v1.3.3+0
⌃ [36c8627f] Pango_jll v1.56.1+0
⌅ [30392449] Pixman_jll v0.43.4+0
⌅ [c0090381] Qt6Base_jll v6.7.1+1
⌅ [629bc702] Qt6Declarative_jll v6.7.1+2
⌅ [ce943373] Qt6ShaderTools_jll v6.7.1+1
⌃ [e99dba38] Qt6Wayland_jll v6.7.1+1
  [f50d1b31] Rmath_jll v0.5.1+0
  [a44049a8] Vulkan_Loader_jll v1.3.243+0
⌃ [a2964d1f] Wayland_jll v1.21.0+2
⌃ [2381bf8a] Wayland_protocols_jll v1.36.0+0
⌅ [02c8fc9c] XML2_jll v2.13.6+1
⌃ [aed1982a] XSLT_jll v1.1.42+0
⌃ [ffd25f8a] XZ_jll v5.6.4+1
⌃ [f67eecfb] Xorg_libICE_jll v1.1.1+0
⌃ [c834827a] Xorg_libSM_jll v1.2.4+0
⌃ [4f6342f7] Xorg_libX11_jll v1.8.6+3
⌃ [0c0b7dd1] Xorg_libXau_jll v1.0.12+0
⌃ [935fb764] Xorg_libXcursor_jll v1.2.3+0
⌃ [a3789734] Xorg_libXdmcp_jll v1.1.5+0
⌃ [1082639a] Xorg_libXext_jll v1.3.6+3
⌃ [d091e8ba] Xorg_libXfixes_jll v6.0.0+0
⌃ [a51aa0fd] Xorg_libXi_jll v1.8.2+0
⌃ [d1454406] Xorg_libXinerama_jll v1.1.5+0
⌃ [ec84b674] Xorg_libXrandr_jll v1.5.4+0
⌃ [ea2f1a96] Xorg_libXrender_jll v0.9.11+1
⌃ [14d82f49] Xorg_libpthread_stubs_jll v0.1.2+0
⌃ [c7cfdc94] Xorg_libxcb_jll v1.17.0+3
⌃ [cc61e674] Xorg_libxkbfile_jll v1.1.2+1
⌃ [e920d4aa] Xorg_xcb_util_cursor_jll v0.1.4+0
⌃ [12413925] Xorg_xcb_util_image_jll v0.4.0+1
⌃ [2def613f] Xorg_xcb_util_jll v0.4.0+1
⌃ [975044d2] Xorg_xcb_util_keysyms_jll v0.4.0+1
⌃ [0d47668e] Xorg_xcb_util_renderutil_jll v0.3.9+1
⌃ [c22f9ab0] Xorg_xcb_util_wm_jll v0.4.1+1
⌃ [35661453] Xorg_xkbcomp_jll v1.4.6+1
⌃ [33bec58e] Xorg_xkeyboard_config_jll v2.39.0+0
⌃ [c5fb5394] Xorg_xtrans_jll v1.5.1+0
⌃ [8f1865be] ZeroMQ_jll v4.3.5+3
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⌃ [35ca27e7] eudev_jll v3.2.9+0
⌅ [214eeab7] fzf_jll v0.56.3+0
⌃ [1a1c6b14] gperf_jll v3.1.1+1
⌃ [a4ae2306] libaom_jll v3.11.0+0
⌅ [0ac62f75] libass_jll v0.15.2+0
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⌃ [2db6ffa8] libevdev_jll v1.11.0+0
⌃ [f638f0a6] libfdk_aac_jll v2.0.3+0
⌃ [36db933b] libinput_jll v1.18.0+0
⌃ [b53b4c65] libpng_jll v1.6.47+0
⌃ [a9144af2] libsodium_jll v1.0.20+3
⌃ [f27f6e37] libvorbis_jll v1.3.7+2
⌃ [009596ad] mtdev_jll v1.1.6+0
⌃ [1317d2d5] oneTBB_jll v2022.0.0+0
⌅ [1270edf5] x264_jll v2021.5.5+0
⌅ [dfaa095f] x265_jll v3.5.0+0
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  [0dad84c5] ArgTools v1.1.1
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  [2a0f44e3] Base64
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  [8ba89e20] Distributed
  [f43a241f] Downloads v1.6.0
  [7b1f6079] FileWatching
  [9fa8497b] Future
  [b77e0a4c] InteractiveUtils
  [4af54fe1] LazyArtifacts
  [b27032c2] LibCURL v0.6.4
  [76f85450] LibGit2
  [8f399da3] Libdl
  [37e2e46d] LinearAlgebra
  [56ddb016] Logging
  [d6f4376e] Markdown
  [a63ad114] Mmap
  [ca575930] NetworkOptions v1.2.0
  [44cfe95a] Pkg v1.10.0
  [de0858da] Printf
  [3fa0cd96] REPL
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  [ea8e919c] SHA v0.7.0
  [9e88b42a] Serialization
  [1a1011a3] SharedArrays
  [6462fe0b] Sockets
  [2f01184e] SparseArrays v1.10.0
  [10745b16] Statistics v1.10.0
  [4607b0f0] SuiteSparse
  [fa267f1f] TOML v1.0.3
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  [cf7118a7] UUIDs
  [4ec0a83e] Unicode
  [e66e0078] CompilerSupportLibraries_jll v1.1.1+0
  [deac9b47] LibCURL_jll v8.4.0+0
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  [14a3606d] MozillaCACerts_jll v2023.1.10
  [4536629a] OpenBLAS_jll v0.3.23+4
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  [efcefdf7] PCRE2_jll v10.42.0+1
  [bea87d4a] SuiteSparse_jll v7.2.1+1
  [83775a58] Zlib_jll v1.2.13+1
  [8e850b90] libblastrampoline_jll v5.11.0+0
  [8e850ede] nghttp2_jll v1.52.0+1
  [3f19e933] p7zip_jll v17.4.0+2
Info Packages marked with ⌃ and ⌅ have new versions available. Those with ⌃ may be upgradable, but those with ⌅ are restricted by compatibility constraints from upgrading. To see why use `status --outdated -m`
Warning The project dependencies or compat requirements have changed since the manifest was last resolved. It is recommended to `Pkg.resolve()` or consider `Pkg.update()` if necessary.