Use user-defined Jacobian

src/functionwrapper.jl

@@ -13,13 +13,26 @@ struct ODEFunctionWrapper{iip,F,H,TMM,Ta,Tt,TJ,JP,TW,TWt,TPJ,S,TCV} <: DiffEqBas
   colorvec::TCV
 end
 
-# TODO: make use of other functions
 function ODEFunctionWrapper(f::DDEFunction, h)
+  if f.jac === nothing
+    jac = nothing
+  else
+    if isinplace(f)
+      jac = let f_jac = f.jac, h = h
+        (J, u, p, t) -> f_jac(J, u, h, p, t)
+      end
+    else
+      jac = let f_jac = f.jac, h = h
+        (u, p, t) -> f_jac(u, h, p, t)
+      end
+    end
+  end
+
   ODEFunctionWrapper{isinplace(f),typeof(f.f),typeof(h),typeof(f.mass_matrix),
-                     typeof(f.analytic),typeof(f.tgrad),typeof(f.jac),
+                     typeof(f.analytic),typeof(f.tgrad),typeof(jac),
                      typeof(f.jac_prototype),typeof(f.Wfact),typeof(f.Wfact_t),
                      typeof(f.paramjac),typeof(f.syms),typeof(f.colorvec)}(
-                       f.f, h, f.mass_matrix, f.analytic, f.tgrad, f.jac,
+                       f.f, h, f.mass_matrix, f.analytic, f.tgrad, jac,
                        f.jac_prototype, f.Wfact, f.Wfact_t, f.paramjac, f.syms,
                        f.colorvec)
 end

test/jacobian.jl

@@ -0,0 +1,55 @@
+using DelayDiffEq, Test
+
+@testset "in-place" begin
+  # define functions (Hutchinson's equation)
+  function f(du, u, h, p, t)
+    du[1] = u[1] * (1  - h(p, t - 1)[1])
+    nothing
+  end
+
+  function g(J, u, h, p, t)
+    J[1, 1] = 1 - h(p, t - 1)[1]
+    nothing
+  end
+
+  h(p, t) = [0.0]
+
+  # define problems
+  prob_wo_jac = DDEProblem(DDEFunction{true}(f), [1.0], h, (0.0, 40.0);
+                           constant_lags = [1])
+  prob_w_jac = DDEProblem(DDEFunction{true}(f; jac = g), [1.0], h, (0.0, 40.0);
+                          constant_lags = [1])
+
+  # compute solutions
+  for alg in (Rosenbrock23(), TRBDF2())
+    sol_wo_jac = solve(prob_wo_jac, MethodOfSteps(alg))
+    sol_w_jac = solve(prob_w_jac, MethodOfSteps(alg))
+
+    @test sol_wo_jac.t ≈ sol_w_jac.t
+    @test sol_wo_jac.u ≈ sol_w_jac.u
+  end
+end
+
+@testset "out-of-place" begin
+  # define functions (Hutchinson's equation)
+  f(u, h, p, t) = [u[1] * (1  - h(p, t - 1)[1])]
+
+  g(u, h, p, t) = fill(1 - h(p, t - 1)[1], 1, 1)
+
+  h(p, t) = [0.0]
+
+  # define problems
+  prob_wo_jac = DDEProblem(DDEFunction{false}(f), [1.0], h, (0.0, 40.0);
+                           constant_lags = [1])
+  prob_w_jac = DDEProblem(DDEFunction{false}(f; jac = g), [1.0], h, (0.0, 40.0);
+                          constant_lags = [1])
+
+  # compute solutions
+  for alg in (Rosenbrock23(), TRBDF2())
+    sol_wo_jac = solve(prob_wo_jac, MethodOfSteps(alg))
+    sol_w_jac = solve(prob_w_jac, MethodOfSteps(alg))
+
+    @test sol_wo_jac.t ≈ sol_w_jac.t
+    @test sol_wo_jac.u ≈ sol_w_jac.u
+  end
+end

test/runtests.jl

@@ -6,6 +6,7 @@ if GROUP == "All" || GROUP == "Interface"
   @time @safetestset "Discontinuity Tests" begin include("discontinuities.jl") end
   @time @safetestset "History Function Tests" begin include("history_function.jl") end
   @time @safetestset "Parameterized Function Tests" begin include("parameters.jl") end
+  @time @safetestset "Jacobian Tests" begin include("jacobian.jl") end
   @time @safetestset "Return Code Tests" begin include("retcode.jl") end
   @time @safetestset "Composite Solution Tests" begin include("composite_solution.jl") end
   @time @safetestset "Dependent Delay Tests" begin include("dependent_delays.jl") end