Add option to specify ForwardDiff chunk size

[touste]

Hi, it would be nice to have this option available (and propagate it to Optim.jl as well), this setting can have a great impact on performances/allocations in some situations (see for ex: https://discourse.julialang.org/t/large-memory-allocation-in-forwarddiff/42581/14).

Thanks!

[longemen3000]

if i remember correctly, the constructors accept a chunk keyword:
on OnceDifferentiable:

NLSolversBase.jl/src/objective_types/oncedifferentiable.jl

Lines 16 to 19 in 62d2199

	OnceDifferentiable(f, x::AbstractArray,
	F::Real = real(zero(eltype(x))),
	DF::AbstractArray = alloc_DF(x, F); inplace = true, autodiff = :finite,
	chunk::ForwardDiff.Chunk = ForwardDiff.Chunk(x)) =

on TwiceDIfferentiable:

NLSolversBase.jl/src/objective_types/twicedifferentiable.jl

Lines 103 to 104 in 62d2199

	function TwiceDifferentiable(f, x::AbstractArray, F::Real = real(zero(eltype(x)));
	autodiff = :finite, inplace = true)

[pkofod]

Yes if you define the objective type yourself it is possible. I supposed OP is asking for this to be a keyword for optimize?

[touste]

Hi, I did indeed wish for it to be available in optimize. However since then I think I have a better understanding of the functionalities of the packages, and it is possible to use optimize with a OnceDifferentiable of TwiceDifferentiable function, which accept this option, so it indirectly solves the problem. Perhaps a heads up in the doc of Optim.jl could let users know about the possibility to use OnceDifferentiable or TwiceDifferentiable functions? Otherwise feel free to close the issue.

[pkofod]

Perhaps a heads up in the doc of Optim.jl could let users know about the possibility to use OnceDifferentiable or TwiceDifferentiable functions?

Yeah, I had originally chosen not to focus too much on this because I wasn't sure whether or not I wanted users to use them directly :) But it would solve the problem for now. I do think that it makes sense to allow for chunk size to be et in optimize as well though.