def solve(a, b):
a, b = _promote_arg_dtypes(jnp.asarray(a), jnp.asarray(b))
_check_solve_shapes(a, b)
# With custom_linear_solve, we can reuse the same factorization when
# computing sensitivities. This is considerably faster.
lu, _, permutation = lax_linalg.lu(lax.stop_gradient(a))
custom_solve = partial(
lax.custom_linear_solve,
lambda x: _matvec_multiply(a, x),
solve=lambda _, x: lax_linalg.lu_solve(lu, permutation, x, trans=0),
transpose_solve=lambda _, x: lax_linalg.lu_solve(
lu, permutation, x, trans=1))
if a.ndim == b.ndim + 1:
# b.shape == [..., m]
return custom_solve(b)
else:
# b.shape == [..., m, k]
return vmap(custom_solve, b.ndim - 1, max(a.ndim, b.ndim) - 1)(b)
def lu_solve(lu_and_piv, b, trans=0, overwrite_b=False, check_finite=True):
del overwrite_b, check_finite
lu, pivots = lu_and_piv
m, n = lu.shape[-2:]
perm = lax_linalg.lu_pivots_to_permutation(pivots, m)
return lax_linalg.lu_solve(lu, perm, b, trans)
