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DiffEqFlux.sciml_train fails with save_idxs keyword #534

@moesphere

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@moesphere

Training via DiffEqFlux fails when save_idxs keyword is used within the loss function. Differentiation seems to be the problem. Evaluation of the loss function works fine.

MWE is taken from the docs.
Discussion on julia discourse is here.

using DifferentialEquations, Flux, Optim, DiffEqFlux

function lotka_volterra!(du, u, p, t)
  x, y = u
  α, β, δ, γ = p
  du[1] = dx = α*x - β*x*y
  du[2] = dy = -δ*y + γ*x*y
end

# Initial condition
u0 = [1.0, 1.0]

# Simulation interval and intermediary points
tspan = (0.0, 10.0)
tsteps = 0.0:0.1:10.0

# LV equation parameter. p = [α, β, δ, γ]
p = [1.5, 1.0, 3.0, 1.0]

# Setup the ODE problem, then solve
prob = ODEProblem(lotka_volterra!, u0, tspan, p)

function loss(p)
  sol = solve(prob, Tsit5(), p=p, save_idxs=[2], saveat = tsteps)
  loss = sum(abs2, sol.-1)
  return loss, sol
end


result_ode = DiffEqFlux.sciml_train(loss, p, ADAM(0.1), maxiters = 100)

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