GaussAdjoint support for DDEProblem

[m-bossart]

Is your feature request related to a problem? Please describe.

I'm attempting to perform sensitivity analysis for a large (100s-1000s parameters+states) DDEProblem. Based on the recommendations, GaussAdjoint seems to be the best option, however the current implementation only supports ODEProblems per the documentation.

Describe the solution you’d like

Support for DDEProblem + GaussAdjoint sensitivity analysis.

[devmotion]

Ref #281

AFAIK there's no support for DDEs in SciMLSensitivity yet.

[m-bossart]

Thanks for linking that issue. There is an example and a test along with other mentions of compatibility for DDEs so I figured there was some support?

[ChrisRackauckas]

There's direct differentiation but no adjoint yet.

[m-bossart]

Ok. And just to clarify ReverseDiffAdjoint() is considered direct differentiation not adjoint?

[ChrisRackauckas]

yes, it's a discrete adjoint not continuous. I meant no continuous adjoint.