def _lu_jvp_rule(primals, tangents):
a, = primals
a_dot, = tangents
lu, pivots = lu_p.bind(a)
if a_dot is ad_util.zero:
return (core.pack(
(lu, pivots)), ad.TangentTuple((ad_util.zero, ad_util.zero)))
a_shape = np.shape(a)
m, n = a_shape[-2:]
dtype = lax.dtype(a)
k = min(m, n)
permutation = lu_pivots_to_permutation(pivots, m)
batch_dims = a_shape[:-2]
iotas = np.ix_(*(lax.iota(np.int32, b) for b in batch_dims + (1, )))
x = a_dot[iotas[:-1] + (permutation, slice(None))]
# Differentiation of Matrix Functionals Using Triangular Factorization
# F. R. De Hoog, R. S. Anderssen, and M. A. Lukas
#
# LU = A
# ==> L'U + LU' = A'
# ==> inv(L) . L' + U' . inv(U) = inv(L) A' inv(U)
# ==> L' = L . tril(inv(L) . A' . inv(U), -1)
# U' = triu(inv(L) . A' . inv(U)) . U
ndims = len(a_shape)
l_padding = [(0, 0, 0)] * ndims
l_padding[-1] = (0, m - k, 0)
zero = np._constant_like(lu, 0)
l = lax.pad(np.tril(lu[..., :, :k], -1), zero, l_padding)
l = l + np.eye(m, m, dtype=dtype)
u_eye = lax.pad(np.eye(n - k, n - k, dtype=dtype), zero,
((k, 0, 0), (k, 0, 0)))
u_padding = [(0, 0, 0)] * ndims
u_padding[-2] = (0, n - k, 0)
u = lax.pad(np.triu(lu[..., :k, :]), zero, u_padding) + u_eye
la = triangular_solve(l,
x,
left_side=True,
transpose_a=False,
lower=True,
unit_diagonal=True)
lau = triangular_solve(u,
la,
left_side=False,
transpose_a=False,
lower=False)
l_dot = np.matmul(l, np.tril(lau, -1))
u_dot = np.matmul(np.triu(lau), u)
lu_dot = l_dot + u_dot
return (lu, pivots), (lu_dot, ad_util.zero)
def lu_jvp_rule(primals, tangents):
a, = primals
a_dot, = tangents
lu, pivots = lu_p.bind(a)
a_shape = np.shape(a)
m, n = a_shape[-2:]
dtype = lax._dtype(a)
k = min(m, n)
# TODO(phawkins): use a gather rather than a matrix multiplication here.
permutation = lu_pivots_to_permutation(pivots, m)
p = np.array(permutation[:, None] == np.arange(m), dtype=dtype)
x = np.matmul(p, a_dot)
# Differentiation of Matrix Functionals Using Triangular Factorization
# F. R. De Hoog, R. S. Anderssen, and M. A. Lukas
#
# LU = A
# ==> L'U + LU' = A'
# ==> inv(L) . L' + U' . inv(U) = inv(L) A' inv(U)
# ==> L' = L . tril(inv(L) . A' . inv(U), -1)
# U' = triu(inv(L) . A' . inv(U)) . U
ndims = len(a_shape)
l_padding = [(0, 0, 0)] * ndims
l_padding[-1] = (0, m - k, 0)
zero = np._constant_like(lu, 0)
l = lax.pad(np.tril(lu[..., :, :k], -1), zero, l_padding)
l = l + np.eye(m, m, dtype=dtype)
u_eye = lax.pad(np.eye(n - k, n - k, dtype=dtype), zero,
((k, 0, 0), (k, 0, 0)))
u_padding = [(0, 0, 0)] * ndims
u_padding[-2] = (0, n - k, 0)
u = lax.pad(np.triu(lu[..., :k, :]), zero, u_padding) + u_eye
la = triangular_solve(l, x, left_side=True, transpose_a=False, lower=True)
lau = triangular_solve(u,
la,
left_side=False,
transpose_a=False,
lower=False)
l_dot = np.matmul(l, np.tril(lau, -1))
u_dot = np.matmul(np.triu(lau), u)
lu_dot = l_dot + u_dot
return core.pack((lu, pivots)), ad.TangentTuple((lu_dot, ad_util.zero))
def triangular_solve_jvp_rule_a(g_a, ans, a, b, left_side, lower, transpose_a,
conjugate_a, unit_diagonal):
m, n = b.shape[-2:]
k = 1 if unit_diagonal else 0
g_a = np.tril(g_a, k=-k) if lower else np.triu(g_a, k=k)
g_a = lax.neg(g_a)
g_a = np.swapaxes(g_a, -1, -2) if transpose_a else g_a
g_a = np.conj(g_a) if conjugate_a else g_a
dot = partial(lax.dot if g_a.ndim == 2 else lax.batch_matmul,
precision=lax.Precision.HIGHEST)
def a_inverse(rhs):
return triangular_solve(a, rhs, left_side, lower, transpose_a,
conjugate_a, unit_diagonal)
# triangular_solve is about the same cost as matrix multplication (~n^2 FLOPs
# for matrix/vector inputs). Order these operations in whichever order is
# cheaper.
if left_side:
assert g_a.shape[-2:] == a.shape[-2:] == (m, m) and ans.shape[-2:] == (
m, n)
if m > n:
return a_inverse(dot(g_a, ans)) # A^{-1} (∂A X)
else:
return dot(a_inverse(g_a), ans) # (A^{-1} ∂A) X
else:
assert g_a.shape[-2:] == a.shape[-2:] == (n, n) and ans.shape[-2:] == (
m, n)
if m < n:
return a_inverse(dot(ans, g_a)) # (X ∂A) A^{-1}
else:
return dot(ans, a_inverse(g_a)) # X (∂A A^{-1})
def cholesky_jvp_rule(primals, tangents):
x, = primals
sigma_dot, = tangents
L = np.tril(cholesky_p.bind(x))
# Forward-mode rule from https://arxiv.org/pdf/1602.07527.pdf
def phi(X):
l = np.tril(X)
return l / (np._constant_like(X, 1) +
np.eye(X.shape[-1], dtype=X.dtype))
tmp = triangular_solve(L,
sigma_dot,
left_side=False,
transpose_a=True,
conjugate_a=True,
lower=True)
L_dot = lax.batch_matmul(L,
phi(
triangular_solve(L,
tmp,
left_side=True,
transpose_a=False,
lower=True)),
precision=lax.Precision.HIGHEST)
return L, L_dot
def cholesky_jvp_rule(primals, tangents):
x, = primals
sigma_dot, = tangents
L = np.tril(cholesky_p.bind(x))
# Forward-mode rule from https://arxiv.org/pdf/1602.07527.pdf
phi = lambda X: np.tril(X) / (1 + np.eye(X.shape[-1], dtype=X.dtype))
tmp = triangular_solve(L,
sigma_dot,
left_side=False,
transpose_a=True,
lower=True)
L_dot = lax.batch_matmul(
L,
phi(
triangular_solve(L,
tmp,
left_side=True,
transpose_a=False,
lower=True)))
return L, L_dot
def cholesky_jvp_rule(primals, tangents):
x, = primals
sigma_dot, = tangents
L = cholesky_p.bind(x)
# Forward-mode rule from https://arxiv.org/pdf/1602.07527.pdf
sigma_dot = (sigma_dot + _T(sigma_dot)) / 2
phi = lambda X: np.tril(X) / (1 + np.eye(x.shape[-1]))
tmp = triangular_solve(L, sigma_dot,
left_side=False, transpose_a=True, lower=True)
L_dot = lax.dot(L, phi(triangular_solve(
L, tmp, left_side=True, transpose_a=False, lower=True)))
return L, L_dot
def qr_jvp_rule(primals, tangents, full_matrices):
# See j-towns.github.io/papers/qr-derivative.pdf for a terse derivation.
x, = primals
dx, = tangents
q, r = qr_p.bind(x, full_matrices=False)
if full_matrices or np.shape(x)[-2] < np.shape(x)[-1]:
raise NotImplementedError
dx_rinv = triangular_solve(r, dx) # Right side solve by default
qt_dx_rinv = np.matmul(_H(q), dx_rinv)
qt_dx_rinv_lower = np.tril(qt_dx_rinv, -1)
domega = qt_dx_rinv_lower - _H(qt_dx_rinv_lower) # This is skew-symmetric
dq = np.matmul(q, domega - qt_dx_rinv) + dx_rinv
dr = np.matmul(qt_dx_rinv - domega, r)
return (q, r), (dq, dr)
def triangular_solve_jvp_rule_a(g_a, ans, a, b, left_side, lower, transpose_a,
conjugate_a, unit_diagonal):
k = 1 if unit_diagonal else 0
g_a = np.tril(g_a, k=-k) if lower else np.triu(g_a, k=k)
g_a = lax.neg(g_a)
g_a = np.swapaxes(g_a, -1, -2) if transpose_a else g_a
g_a = np.conj(g_a) if conjugate_a else g_a
tmp = triangular_solve(a, g_a, left_side, lower, transpose_a, conjugate_a,
unit_diagonal)
dot = lax.dot if g_a.ndim == 2 else lax.batch_matmul
if left_side:
return dot(tmp, ans)
else:
return dot(ans, tmp)
def qr_jvp_rule(primals, tangents, full_matrices):
# See j-towns.github.io/papers/qr-derivative.pdf for a terse derivation.
x, = primals
dx, = tangents
q, r = qr_p.bind(x, full_matrices=False)
*_, m, n = x.shape
if full_matrices or m < n:
raise NotImplementedError(
"Unimplemented case of QR decomposition derivative")
dx_rinv = triangular_solve(r, dx) # Right side solve by default
qt_dx_rinv = jnp.matmul(_H(q), dx_rinv)
qt_dx_rinv_lower = jnp.tril(qt_dx_rinv, -1)
do = qt_dx_rinv_lower - _H(qt_dx_rinv_lower) # This is skew-symmetric
# The following correction is necessary for complex inputs
do = do + jnp.eye(n, dtype=do.dtype) * (qt_dx_rinv - jnp.real(qt_dx_rinv))
dq = jnp.matmul(q, do - qt_dx_rinv) + dx_rinv
dr = jnp.matmul(qt_dx_rinv - do, r)
return (q, r), (dq, dr)
def cholesky(x, symmetrize_input=True):
if symmetrize_input:
x = symmetrize(x)
return np.tril(cholesky_p.bind(x))
def phi(X):
l = np.tril(X)
return l / (np._constant_like(X, 1) +
np.eye(X.shape[-1], dtype=X.dtype))
