AD fix for CorrBijector

ext/BijectorsReverseDiffExt.jl

@@ -262,6 +262,8 @@ end
 )
 
 @grad_from_chainrules _link_chol_lkj(x::TrackedMatrix)
+@grad_from_chainrules _link_chol_lkj_from_upper(x::TrackedMatrix)
+@grad_from_chainrules _link_chol_lkj_from_lower(x::TrackedMatrix)
 @grad_from_chainrules _inv_link_chol_lkj(x::TrackedVector)
 
 cholesky_lower(X::TrackedMatrix) = track(cholesky_lower, X)
@@ -308,13 +310,4 @@ transpose_eager(X::TrackedMatrix) = track(transpose_eager, X)
  return y, transpose_eager_pullback
 end
 
-if VERSION <= v"1.8.0-DEV.1526"
- # HACK: This dispatch does not wrap X in Hermitian before calling cholesky. 
- # cholesky does not work with AbstractMatrix in julia versions before the compared one,
- # and it would error with Hermitian{ReverseDiff.TrackedArray}.
- # See commit when the fix was introduced :
- # https://github.com/JuliaLang/julia/commit/635449dabee81bba315ab066627a98f856141969
- cholesky_factor(X::ReverseDiff.TrackedArray) = cholesky_factor(cholesky(X))
-end
-
 end

ext/BijectorsZygoteExt.jl

@@ -18,8 +18,6 @@ if isdefined(Base, :get_extension)
  _simplex_inv_bijector,
  replace_diag,
  jacobian,
- _inv_link_chol_lkj,
- _link_chol_lkj,
  _transform_ordered,
  _transform_inverse_ordered,
  find_alpha,
@@ -55,8 +53,6 @@ else
  _simplex_inv_bijector,
  replace_diag,
  jacobian,
- _inv_link_chol_lkj,
- _link_chol_lkj,
  _transform_ordered,
  _transform_inverse_ordered,
  find_alpha,
@@ -244,4 +240,5 @@ end
  return replace_diag(log, Y)
  end
 end
+
 end

src/bijectors/corr.jl

@@ -66,11 +66,9 @@ struct CorrBijector <: Bijector end
 with_logabsdet_jacobian(b::CorrBijector, x) = transform(b, x), logabsdetjac(b, x)
 
 function transform(b::CorrBijector, X::AbstractMatrix{<:Real})
- w = upper_triangular(parent(cholesky(X).U)) # keep LowerTriangular until here can avoid some computation
+ w = cholesky_upper(X)
  r = _link_chol_lkj(w)
- return r + zero(X)
- # This dense format itself is required by a test, though I can't get the point.
- # https://github.com/TuringLang/Bijectors.jl/blob/b0aaa98f90958a167a0b86c8e8eca9b95502c42d/test/transform.jl#L67
+ return r
 end
 
 function transform(ib::Inverse{CorrBijector}, y::AbstractMatrix{<:Real})
@@ -127,7 +125,7 @@ struct VecCorrBijector <: Bijector end
 
 with_logabsdet_jacobian(b::VecCorrBijector, x) = transform(b, x), logabsdetjac(b, x)
 
-transform(::VecCorrBijector, X) = _link_chol_lkj(cholesky_factor(X))
+transform(::VecCorrBijector, X) = _link_chol_lkj_from_upper(cholesky_upper(X))
 
 function logabsdetjac(b::VecCorrBijector, x)
  return -logabsdetjac(inverse(b), b(x))
@@ -215,7 +213,13 @@ end
 # TODO: Implement directly to make use of shared computations.
 with_logabsdet_jacobian(b::VecCholeskyBijector, x) = transform(b, x), logabsdetjac(b, x)
 
-transform(::VecCholeskyBijector, X) = _link_chol_lkj(cholesky_factor(X))
+function transform(b::VecCholeskyBijector, X)
+ return if b.mode === :U
+ _link_chol_lkj_from_upper(cholesky_upper(X))
+ else # No need to check for === :L, as it is checked in the VecCholeskyBijector constructor.
+ _link_chol_lkj_from_lower(cholesky_lower(X))
+ end
+end
 
 function logabsdetjac(b::VecCholeskyBijector, x)
  return -logabsdetjac(inverse(b), b(x))
@@ -229,7 +233,7 @@ function transform(b::Inverse{VecCholeskyBijector}, y::AbstractVector{<:Real})
  else # No need to check for === :L, as it is checked in the VecCholeskyBijector constructor.
  # HACK: Need to make materialize the transposed matrix to avoid numerical instabilities.
  # If we don't, the return-type can be both `Matrix` and `Transposed`.
- return Cholesky(permutedims(_inv_link_chol_lkj(y), (2, 1)), 'L', 0)
+ return Cholesky(transpose_eager(_inv_link_chol_lkj(y)), 'L', 0)
  end
 end
 
@@ -299,7 +303,7 @@ function _link_chol_lkj(W::AbstractMatrix)
  return z
 end
 
-function _link_chol_lkj(W::UpperTriangular)
+function _link_chol_lkj_from_upper(W::AbstractMatrix)
  K = LinearAlgebra.checksquare(W)
  N = ((K - 1) * K) ÷ 2 # {K \choose 2} free parameters
 
@@ -321,7 +325,7 @@ function _link_chol_lkj(W::UpperTriangular)
  return z
 end
 
-_link_chol_lkj(W::LowerTriangular) = _link_chol_lkj(transpose(W))
+_link_chol_lkj_from_lower(W::AbstractMatrix) = _link_chol_lkj_from_upper(transpose_eager(W))
 
 """
  _inv_link_chol_lkj(y)

src/chainrules.jl

@@ -156,7 +156,7 @@ function ChainRulesCore.rrule(::typeof(_transform_inverse_ordered), x::AbstractM
  return y, _transform_inverse_ordered_adjoint
 end
 
-function ChainRulesCore.rrule(::typeof(_link_chol_lkj), W::UpperTriangular)
+function ChainRulesCore.rrule(::typeof(_link_chol_lkj_from_upper), W::AbstractMatrix)
  K = LinearAlgebra.checksquare(W)
  N = ((K - 1) * K) ÷ 2
 
@@ -178,7 +178,7 @@ function ChainRulesCore.rrule(::typeof(_link_chol_lkj), W::UpperTriangular)
  end
  end
 
- function pullback_link_chol_lkj(Δz_thunked)
+ function pullback_link_chol_lkj_from_upper(Δz_thunked)
  Δz = ChainRulesCore.unthunk(Δz_thunked)
 
  ΔW = similar(W)
@@ -208,10 +208,10 @@ function ChainRulesCore.rrule(::typeof(_link_chol_lkj), W::UpperTriangular)
  return ChainRulesCore.NoTangent(), ΔW
  end
 
- return z, pullback_link_chol_lkj
+ return z, pullback_link_chol_lkj_from_upper
 end
 
-function ChainRulesCore.rrule(::typeof(_link_chol_lkj), W::LowerTriangular)
+function ChainRulesCore.rrule(::typeof(_link_chol_lkj_from_lower), W::AbstractMatrix)
  K = LinearAlgebra.checksquare(W)
  N = ((K - 1) * K) ÷ 2
 
@@ -233,7 +233,7 @@ function ChainRulesCore.rrule(::typeof(_link_chol_lkj), W::LowerTriangular)
  end
  end
 
- function pullback_link_chol_lkj(Δz_thunked)
+ function pullback_link_chol_lkj_from_lower(Δz_thunked)
  Δz = ChainRulesCore.unthunk(Δz_thunked)
 
  ΔW = similar(W)
@@ -263,7 +263,7 @@ function ChainRulesCore.rrule(::typeof(_link_chol_lkj), W::LowerTriangular)
  return ChainRulesCore.NoTangent(), ΔW
  end
 
- return z, pullback_link_chol_lkj
+ return z, pullback_link_chol_lkj_from_lower
 end
 
 function ChainRulesCore.rrule(::typeof(_inv_link_chol_lkj), y::AbstractVector)

src/utils.jl

@@ -14,11 +14,6 @@ upper_triangular(A::AbstractMatrix) = convert(typeof(A), UpperTriangular(A))
 pd_from_lower(X) = LowerTriangular(X) * LowerTriangular(X)'
 pd_from_upper(X) = UpperTriangular(X)' * UpperTriangular(X)
 
-cholesky_factor(X::AbstractMatrix) = cholesky_factor(cholesky(Hermitian(X)))
-cholesky_factor(X::Cholesky) = X.U
-cholesky_factor(X::UpperTriangular) = X
-cholesky_factor(X::LowerTriangular) = X
-
 # HACK: Allows us to define custom chain rules while we wait for upstream fixes.
 transpose_eager(X::AbstractMatrix) = permutedims(X)
 
@@ -33,7 +28,8 @@ rather than `LowerTriangular`.
  This is a thin wrapper around `cholesky(Hermitian(X)).L`
  that returns a `Matrix` rather than `LowerTriangular`.
 """
-cholesky_lower(X::AbstractMatrix) = lower_triangular(parent(cholesky(Hermitian(X)).L))
+cholesky_lower(X::AbstractMatrix) = lower_triangular(parent(cholesky(Hermitian(X, :L)).L))
+cholesky_lower(X::Cholesky) = X.L
 
 """
  cholesky_upper(X)
@@ -46,6 +42,7 @@ rather than `UpperTriangular`.
  that returns a `Matrix` rather than `UpperTriangular`.
 """
 cholesky_upper(X::AbstractMatrix) = upper_triangular(parent(cholesky(Hermitian(X)).U))
+cholesky_upper(X::Cholesky) = X.U
 
 """
  triu_mask(X::AbstractMatrix, k::Int)

test/Project.toml

@@ -29,5 +29,5 @@ LazyArrays = "1"
 LogExpFunctions = "0.3.1"
 ReverseDiff = "1.4.2"
 Tracker = "0.2.11"
-Zygote = "0.5.4, 0.6"
+Zygote = "0.6.63"
 julia = "1.3"

test/ad/chainrules.jl

@@ -23,8 +23,8 @@
  # LKJ and LKJCholesky bijector
  dist = LKJCholesky(3, 4)
  x = rand(dist)
- test_rrule(Bijectors._link_chol_lkj, x.U)
- test_rrule(Bijectors._link_chol_lkj, x.L)
+ test_rrule(Bijectors._link_chol_lkj_from_upper, x.U)
+ test_rrule(Bijectors._link_chol_lkj_from_lower, x.L)
 
  b = bijector(dist)
  y = b(x)

test/ad/corr.jl

@@ -0,0 +1,35 @@
+@testset "AD for VecCorrBijector" begin
+ d = 4
+ dist = LKJ(d, 2.0)
+ b = bijector(dist)
+ binv = inverse(b)
+
+ x = rand(dist)
+ y = b(x)
+
+ test_ad(y) do x
+ sum(transform(b, binv(x)))
+ end
+
+ test_ad(y) do y
+ sum(transform(binv, y))
+ end
+end
+
+@testset "AD for VecCholeskyBijector" begin
+ d = 4
+ dist = LKJCholesky(d, 2.0)
+ b = bijector(dist)
+ binv = inverse(b)
+
+ x = rand(dist)
+ y = b(x)
+
+ test_ad(y) do y
+ sum(transform(b, binv(y)))
+ end
+
+ test_ad(y) do y
+ sum(Bijectors.cholesky_upper(transform(binv, y)))
+ end
+end

test/runtests.jl

@@ -54,4 +54,5 @@ if GROUP == "All" || GROUP == "AD"
  include("ad/chainrules.jl")
  include("ad/flows.jl")
  include("ad/pd.jl")
+ include("ad/corr.jl")
 end

test/transform.jl

@@ -178,17 +178,17 @@ end
 @testset "matrix" begin
  let
  matrix_dists = [Wishart(7, [1 0.5; 0.5 1]), InverseWishart(2, [1 0.5; 0.5 1])]
- for dist in matrix_dists
+ @testset "$dist" for dist in matrix_dists
  single_sample_tests(dist)
 
  x = rand(dist)
  x = x + x' + 2I
- upperinds = [
- LinearIndices(size(x))[I] for I in CartesianIndices(size(x)) if I[2] >= I[1]
+ inds = [
+ LinearIndices(size(x))[I] for I in CartesianIndices(size(x)) if I[2] <= I[1]
  ]
  logpdf_turing = logpdf_with_trans(dist, x, true)
  J = ForwardDiff.jacobian(x -> link(dist, x), x)
- J = J[:, upperinds]
+ J = J[:, inds]
  @test logpdf(dist, x) - _logabsdet(J) ≈ logpdf_turing
  end
  end
@@ -214,19 +214,21 @@ end
 end
 
 @testset "LKJCholesky" begin
- dist = LKJCholesky(3, 1)
+ @testset "uplo: $uplo" for uplo in [:L, :U]
+ dist = LKJCholesky(3, 1, uplo)
+ single_sample_tests(dist)
 
- single_sample_tests(dist)
-
- x = rand(dist)
+ x = rand(dist)
 
- upperinds = [
- LinearIndices(size(x))[I] for I in CartesianIndices(size(x)) if I[2] > I[1]
- ]
- J = ForwardDiff.jacobian(x -> link(dist, x), x.U)
- J = J[:, upperinds]
- logpdf_turing = logpdf_with_trans(dist, x, true)
- @test logpdf(dist, x) - _logabsdet(J) ≈ logpdf_turing
+ inds = [
+ LinearIndices(size(x))[I] for I in CartesianIndices(size(x)) if
+ (uplo === :L && I[2] < I[1]) || (uplo === :U && I[2] > I[1])
+ ]
+ J = ForwardDiff.jacobian(z -> link(dist, Cholesky(z, x.uplo, x.info)), x.UL)
+ J = J[:, inds]
+ logpdf_turing = logpdf_with_trans(dist, x, true)
+ @test logpdf(dist, x) - _logabsdet(J) ≈ logpdf_turing
+ end
 end
 
 ################################## Miscelaneous old tests ##################################