Tidying up the JAX script, I find that it runs in ~15 seconds on my laptop CPU. Likewise, fixing the crash error in the blog post (UndefVarError: alloc_threaded_grad not defined) then I find that the Julia implementation also runs in ~15 seconds on my laptop CPU.
So, 1x faster than JAX?
Clearly we're getting very different results here, so (a) I'd like to get to the bottom of this, but (b) perhaps we should be more cautious about making performance claims.
(EDIT: updated script in this GitHub gist: https://gist.github.com/patrick-kidger/68bf7b99ba02c246b20ea...)