SciMLSensitivity.jl VS StochasticDiffEq.jl

Plenty of code examples! https://sensitivity.sciml.ai/dev is the main resource, but most of the papers mentioned have their own code repositories. I'm trying to get most of them updated and into the larger SciMLSensitivity docs so they are all tested, though we need new hosting computers to actually get that done.

Can you point to a concrete example of one that someone would run into when using the differential equation solvers with the default and recommended Enzyme AD for vector-Jacobian products? I'd be happy to look into it, but there do not currently seem to be any correctness issues in the Enzyme issue tracker that are current (3 issues are open but they all seem to be fixed, other than https://github.com/EnzymeAD/Enzyme.jl/issues/278 which is actually an activity analysis bug in LLVM). So please be more specific. The issue with Enzyme right now seems to moreso be about finding functional forms that compile, and it throws compile-time errors in the event that it cannot fully analyze the program and if it has too much dynamic behavior (example: https://github.com/EnzymeAD/Enzyme.jl/issues/368).

Additional note, we recently did a overhaul of SciMLSensitivity (https://sensitivity.sciml.ai/dev/) and setup a system which amounts to 15 hours of direct unit tests doing a combinatoric check of arguments with 4 hours of downstream testing (https://github.com/SciML/SciMLSensitivity.jl/actions/runs/25...). What that identified is that any remaining issues that can arise are due to the implicit parameters mechanism in Zygote (Zygote.params). To counteract this upstream issue, we (a) try to default to never default to Zygote VJPs whenever we can avoid it (hence defaulting to Enzyme and ReverseDiff first as previously mentioned), and (b) put in a mechanism for early error throwing if Zygote hits any not implemented derivative case with an explicit error message (https://github.com/SciML/SciMLSensitivity.jl/blob/v7.0.1/src...). We have alerted the devs of the machine learning libraries, and from this there has been a lot of movement. In particular, a globals-free machine learning library, Lux.jl, was created with fully explicit parameters https://lux.csail.mit.edu/dev/, and thus by design it cannot have this issue. In addition, the Flux.jl library itself is looking to do a redesign that eliminates implicit parameters (https://github.com/FluxML/Flux.jl/issues/1986). Which design will be the one in the end, that's uncertain right now, but it's clear that no matter what the future designs of the deep learning libraries will fully cut out that part of Zygote.jl. And additionally, the other AD libraries (Enzyme and Diffractor for example) do not have this "feature", so it's an issue that can only arise from a specific (not recommended) way of using Zygote (which now throws explicit error messages early and often if used anywhere near SciML because I don't tolerate it).

So from this, SciML should be rather safe and if not, please share some details and I'd be happy to dig in.

For stochastic processes you have to work a little bit more. However maybe the StochasticDiffEq.jl package can give some guiding there https://github.com/SciML/StochasticDiffEq.jl/tree/master/test