Hamilton-Jacobi PDE Physics-Informed Neural Network (PINN) Optimizer 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.

Setup

using NeuralPDE, ModelingToolkit, Optimization, OptimizationOptimJL
using Lux, Plots, OptimizationOptimisers
import ModelingToolkit: Interval, infimum, supremum

function solve(opt)
    strategy = QuadratureTraining()

    ##  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 = 20   #neuron number

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

    discretization = PhysicsInformedNN(chain, strategy)

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

    loss = []
    initial_time = 0

    times = []

    cb = function (p,l)
        if initial_time == 0
            initial_time = time()
        end
        push!(times, time() - initial_time)
        #println("Current loss for $opt is: $l")
        push!(loss, l)
        return false
    end

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

    if opt == "both"
        res = Optimization.solve(prob, ADAM(); callback = cb, maxiters=50)
        prob = remake(prob,u0=res.minimizer)
        res = Optimization.solve(prob, BFGS(); callback = cb, maxiters=150)
    else
        res = Optimization.solve(prob, opt; callback = cb, maxiters=200)
    end

    times[1] = 0.001

    return loss, times #add numeric solution
end

solve (generic function with 1 method)

opt1 = Optimisers.ADAM()
opt2 = Optimisers.ADAM(0.005)
opt3 = Optimisers.ADAM(0.05)
opt4 = Optimisers.RMSProp()
opt5 = Optimisers.RMSProp(0.005)
opt6 = Optimisers.RMSProp(0.05)
opt7 = OptimizationOptimJL.BFGS()
opt8 = OptimizationOptimJL.LBFGS()

Optim.LBFGS{Nothing, LineSearches.InitialStatic{Float64}, LineSearches.Hage
rZhang{Float64, Base.RefValue{Bool}}, Optim.var"#19#21"}(10, LineSearches.I
nitialStatic{Float64}
  alpha: Float64 1.0
  scaled: Bool false
, LineSearches.HagerZhang{Float64, Base.RefValue{Bool}}
  delta: Float64 0.1
  sigma: Float64 0.9
  alphamax: Float64 Inf
  rho: Float64 5.0
  epsilon: Float64 1.0e-6
  gamma: Float64 0.66
  linesearchmax: Int64 50
  psi3: Float64 0.1
  display: Int64 0
  mayterminate: Base.RefValue{Bool}
  cache: Nothing nothing
, nothing, Optim.var"#19#21"(), Optim.Flat(), true)

Solve

loss_1, times_1 = solve(opt1)
loss_2, times_2 = solve(opt2)
loss_3, times_3 = solve(opt3)
loss_4, times_4 = solve(opt4)
loss_5, times_5 = solve(opt5)
loss_6, times_6 = solve(opt6)
loss_7, times_7 = solve(opt7)
loss_8, times_8 = solve(opt8)
loss_9, times_9 = solve("both")

(Any[10.499509769067771, 9.649536461251941, 8.841261438207475, 8.1332853658
55322, 7.362248902825996, 6.682727375351461, 6.29838571885843, 5.8055460259
29927, 5.35636133884831, 4.946478784677942  …  0.0008332987497238742, 0.000
8311237470302105, 0.0008157836602167104, 0.000808200514276321, 0.0007999382
917103663, 0.0007941181138342072, 0.000792837590121752, 0.00077777791187529
83, 0.000759974450638598, 0.0007391320657960534], Any[0.001, 4.352499961853
027, 8.707390069961548, 13.064552068710327, 17.407616138458252, 21.73884010
3149414, 26.088303089141846, 30.438894033432007, 34.809842109680176, 39.164
215087890625  …  2052.9503099918365, 2065.9568061828613, 2079.103515148163,
 2092.201045036316, 2105.3270859718323, 2346.850025177002, 2360.00600409507
75, 2373.2844660282135, 2386.4930000305176, 2399.6436421871185])

Results

p = plot([times_1, times_2, times_3, times_4, times_5, times_6, times_7, times_8, times_9], [loss_1, loss_2, loss_3, loss_4, loss_5, loss_6, loss_7, loss_8, loss_9],xlabel="time (s)", ylabel="loss", xscale=:log10, yscale=:log10, labels=["ADAM(0.001)" "ADAM(0.005)" "ADAM(0.05)" "RMSProp(0.001)" "RMSProp(0.005)" "RMSProp(0.05)" "BFGS()" "LBFGS()" "ADAM + BFGS"], legend=:bottomleft, linecolor=["#2660A4" "#4CD0F4" "#FEC32F" "#F763CD" "#44BD79" "#831894" "#A6ED18" "#980000" "#FF912B"])

p = plot([loss_1, loss_2, loss_3, loss_4, loss_5, loss_6, loss_7, loss_8, loss_9], xlabel="iterations", ylabel="loss", yscale=:log10, labels=["ADAM(0.001)" "ADAM(0.005)" "ADAM(0.05)" "RMSProp(0.001)" "RMSProp(0.005)" "RMSProp(0.05)" "BFGS()" "LBFGS()" "ADAM + BFGS"], legend=:bottomleft, linecolor=["#2660A4" "#4CD0F4" "#FEC32F" "#F763CD" "#44BD79" "#831894" "#A6ED18" "#980000" "#FF912B"])

@show loss_1[end], loss_2[end], loss_3[end], loss_4[end], loss_5[end], loss_6[end], loss_7[end], loss_8[end], loss_9[end]

(loss_1[end], loss_2[end], loss_3[end], loss_4[end], loss_5[end], loss_6[en
d], loss_7[end], loss_8[end], loss_9[end]) = (0.11225073223929627, 0.063942
3679445745, 0.05015406698182012, 0.0657621617698934, 0.04832554757288934, 0
.07125336642225785, 0.0007007000374938473, 0.001039697717012004, 0.00073913
20657960534)
(0.11225073223929627, 0.0639423679445745, 0.05015406698182012, 0.0657621617
698934, 0.04832554757288934, 0.07125336642225785, 0.0007007000374938473, 0.
001039697717012004, 0.0007391320657960534)

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/PINNOptimizers","hamilton_jacobi.jmd")

Computer Information:

Julia Version 1.10.7
Commit 4976d05258e (2024-11-26 15:57 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/PINNOptimizers/Project.toml`
⌃ [b2108857] Lux v1.2.3
⌃ [961ee093] ModelingToolkit v9.60.0
  [315f7962] NeuralPDE v5.17.0
  [7f7a1694] Optimization v4.0.5
  [36348300] OptimizationOptimJL v0.4.1
  [42dfb2eb] OptimizationOptimisers v0.3.7
  [91a5bcdd] Plots v1.40.9
  [31c91b34] SciMLBenchmarks v0.1.3
Info Packages marked with ⌃ have new versions available and may be upgradable.

And the full manifest:

Status `/cache/build/exclusive-amdci1-0/julialang/scimlbenchmarks-dot-jl/benchmarks/PINNOptimizers/Manifest.toml`
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  [efcf1570] Setfield v1.1.1
  [992d4aef] Showoff v1.0.3
  [777ac1f9] SimpleBufferStream v1.2.0
  [727e6d20] SimpleNonlinearSolve v2.1.0
  [699a6c99] SimpleTraits v0.9.4
  [ce78b400] SimpleUnPack v1.1.0
  [ed01d8cd] Sobol v1.5.0
  [b85f4697] SoftGlobalScope v1.1.0
  [a2af1166] SortingAlgorithms v1.2.1
  [9f842d2f] SparseConnectivityTracer v0.6.9
  [dc90abb0] SparseInverseSubset v0.1.2
  [0a514795] SparseMatrixColorings v0.4.10
  [e56a9233] Sparspak v0.3.9
  [276daf66] SpecialFunctions v2.5.0
  [171d559e] SplittablesBase v0.1.15
  [860ef19b] StableRNGs v1.0.2
  [aedffcd0] Static v1.1.1
  [0d7ed370] StaticArrayInterface v1.8.0
  [90137ffa] StaticArrays v1.9.10
  [1e83bf80] StaticArraysCore v1.4.3
  [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
  [69024149] StringEncodings v0.3.7
  [892a3eda] StringManipulation v0.4.0
⌃ [09ab397b] StructArrays v0.6.21
  [2efcf032] SymbolicIndexingInterface v0.3.37
  [19f23fe9] SymbolicLimits v0.2.2
  [d1185830] SymbolicUtils v3.11.0
  [0c5d862f] Symbolics v6.23.0
  [3783bdb8] TableTraits v1.0.1
  [bd369af6] Tables v1.12.0
  [62fd8b95] TensorCore v0.1.1
  [8ea1fca8] TermInterface v2.0.0
  [5d786b92] TerminalLoggers v0.1.7
  [1c621080] TestItems v1.0.0
  [8290d209] ThreadingUtilities v0.5.2
  [a759f4b9] TimerOutputs v0.5.26
  [0796e94c] Tokenize v0.5.29
  [3bb67fe8] TranscodingStreams v0.11.3
  [28d57a85] Transducers v0.4.84
  [d5829a12] TriangularSolve v0.2.1
  [410a4b4d] Tricks v0.1.10
  [781d530d] TruncatedStacktraces v1.4.0
  [5c2747f8] URIs v1.5.1
  [3a884ed6] UnPack v1.0.2
  [1cfade01] UnicodeFun v0.4.1
  [1986cc42] Unitful v1.22.0
  [45397f5d] UnitfulLatexify v1.6.4
  [a7c27f48] Unityper v0.1.6
  [013be700] UnsafeAtomics v0.3.0
  [41fe7b60] Unzip v0.2.0
  [3d5dd08c] VectorizationBase v0.21.71
  [81def892] VersionParsing v1.3.0
  [897b6980] WeakValueDicts v0.1.0
  [44d3d7a6] Weave v0.10.12
  [d49dbf32] WeightInitializers v1.1.1
  [efce3f68] WoodburyMatrices v1.0.0
  [ddb6d928] YAML v0.4.12
  [c2297ded] ZMQ v1.4.0
⌅ [e88e6eb3] Zygote v0.6.75
⌃ [700de1a5] ZygoteRules v0.2.5
  [6e34b625] Bzip2_jll v1.0.8+4
  [83423d85] Cairo_jll v1.18.2+1
  [7bc98958] Cubature_jll v1.0.5+0
  [ee1fde0b] Dbus_jll v1.14.10+0
  [2702e6a9] EpollShim_jll v0.0.20230411+1
  [2e619515] Expat_jll v2.6.4+3
⌅ [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
  [559328eb] FriBidi_jll v1.0.16+0
  [0656b61e] GLFW_jll v3.4.0+2
⌅ [d2c73de3] GR_jll v0.73.10+0
  [78b55507] Gettext_jll v0.21.0+0
  [f8c6e375] Git_jll v2.47.1+0
  [7746bdde] Glib_jll v2.82.4+0
  [3b182d85] Graphite2_jll v1.3.14+1
  [2e76f6c2] HarfBuzz_jll v8.5.0+0
  [e33a78d0] Hwloc_jll v2.11.2+3
⌅ [1d5cc7b8] IntelOpenMP_jll v2024.2.1+0
  [aacddb02] JpegTurbo_jll v3.1.1+0
  [c1c5ebd0] LAME_jll v3.100.2+0
  [88015f11] LERC_jll v4.0.1+0
  [dad2f222] LLVMExtra_jll v0.0.34+0
  [1d63c593] LLVMOpenMP_jll v18.1.7+0
  [dd4b983a] LZO_jll v2.10.3+0
  [81d17ec3] L_BFGS_B_jll v3.0.1+0
⌅ [e9f186c6] Libffi_jll v3.2.2+2
  [d4300ac3] Libgcrypt_jll v1.11.0+0
  [7e76a0d4] Libglvnd_jll v1.7.0+0
  [7add5ba3] Libgpg_error_jll v1.51.1+0
  [94ce4f54] Libiconv_jll v1.18.0+0
  [4b2f31a3] Libmount_jll v2.40.3+0
  [89763e89] Libtiff_jll v4.7.1+0
  [38a345b3] Libuuid_jll v2.40.3+0
⌅ [856f044c] MKL_jll v2024.2.0+0
  [e7412a2a] Ogg_jll v1.3.5+1
  [458c3c95] OpenSSL_jll v3.0.15+3
  [efe28fd5] OpenSpecFun_jll v0.5.6+0
  [91d4177d] Opus_jll v1.3.3+0
  [36c8627f] Pango_jll v1.55.5+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 v2.13.5+0
  [aed1982a] XSLT_jll v1.1.42+0
  [ffd25f8a] XZ_jll v5.6.4+0
  [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
  [3161d3a3] Zstd_jll v1.5.7+0
  [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
  [1183f4f0] libdecor_jll v0.2.2+0
  [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 v1.6.45+1
  [a9144af2] libsodium_jll v1.0.20+3
  [f27f6e37] libvorbis_jll v1.3.7+2
  [009596ad] mtdev_jll v1.1.6+0
  [1317d2d5] oneTBB_jll v2021.12.0+0
⌅ [1270edf5] x264_jll v2021.5.5+0
⌅ [dfaa095f] x265_jll v3.5.0+0
  [d8fb68d0] xkbcommon_jll v1.4.1+2
  [0dad84c5] ArgTools v1.1.1
  [56f22d72] Artifacts
  [2a0f44e3] Base64
  [ade2ca70] Dates
  [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
  [9a3f8284] Random
  [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
  [a4e569a6] Tar v1.10.0
  [8dfed614] Test
  [cf7118a7] UUIDs
  [4ec0a83e] Unicode
  [e66e0078] CompilerSupportLibraries_jll v1.1.1+0
  [deac9b47] LibCURL_jll v8.4.0+0
  [e37daf67] LibGit2_jll v1.6.4+0
  [29816b5a] LibSSH2_jll v1.11.0+1
  [c8ffd9c3] MbedTLS_jll v2.28.2+1
  [14a3606d] MozillaCACerts_jll v2023.1.10
  [4536629a] OpenBLAS_jll v0.3.23+4
  [05823500] OpenLibm_jll v0.8.1+2
  [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`