def body(k, state):
pivot, perm, a = state
m_idx = np.arange(m)
n_idx = np.arange(n)
if np.issubdtype(a.dtype, np.complexfloating):
t = a[:, k]
magnitude = np.abs(np.real(t)) + np.abs(np.imag(t))
else:
magnitude = np.abs(a[:, k])
i = np.argmax(np.where(m_idx >= k, magnitude, -np.inf))
pivot = ops.index_update(pivot, ops.index[k], i)
a = ops.index_update(a, ops.index[[k, i], ], a[[i, k], ])
perm = ops.index_update(perm, ops.index[[i, k], ], perm[[k, i], ])
# a[k+1:, k] /= a[k, k], adapted for loop-invariant shapes
x = a[k, k]
a = ops.index_update(a, ops.index[:, k],
np.where(m_idx > k, a[:, k] / x, a[:, k]))
# a[k+1:, k+1:] -= np.outer(a[k+1:, k], a[k, k+1:])
a = a - np.where(
(m_idx[:, None] > k) & (n_idx > k), np.outer(a[:, k], a[k, :]),
np.array(0, dtype=a.dtype))
return pivot, perm, a
def _lu_blocked(a, block_size=128):
"""Blocked LU decomposition, as an unrolled loop."""
m, n = a.shape
r = min(m, n)
pivot = jnp.zeros((r, ), dtype=jnp.int32)
perm = jnp.arange(m, dtype=jnp.int32)
for k in range(0, r, block_size):
b = min(r - k, block_size)
block_pivot, block_perm, lu_block = _lu_unblocked(a[k:, k:k + b])
pivot = ops.index_update(pivot, ops.index[k:k + b], block_pivot + k)
perm = ops.index_update(perm, ops.index[k:], perm[block_perm + k])
a = ops.index_update(a, ops.index[k:, :], a[block_perm + k, :])
a = ops.index_update(a, ops.index[k:, k:k + b], lu_block)
if k + b < n:
a = ops.index_update(
a, ops.index[k:k + b, k + b:],
triangular_solve(a[k:k + b, k:k + b],
a[k:k + b, k + b:],
left_side=True,
lower=True,
unit_diagonal=True))
a = ops.index_add(
a, ops.index[k + b:, k + b:],
-lax.dot(a[k + b:, k:k + b],
a[k:k + b, k + b:],
precision=lax.Precision.HIGHEST))
return a, pivot, perm
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 lu_pivots_to_permutation(swaps, k):
"""Converts the pivots (row swaps) returned by LU to a permutation."""
def body_fn(i, loop_carry):
swaps, permutation = loop_carry
j = swaps[i]
x, y = np.ravel(permutation[i]), np.ravel(permutation[j])
permutation = lax.dynamic_update_index_in_dim(permutation, y, i, axis=0)
permutation = lax.dynamic_update_index_in_dim(permutation, x, j, axis=0)
return swaps, permutation
n, = np.shape(swaps)
permutation = np.arange(k)
_, permutation = lax.fori_loop(onp.array(0, onp.int32), onp.array(n, onp.int32),
body_fn, (swaps, permutation))
return permutation
def _lu_unblocked(a):
"""Unblocked LU decomposition, as a rolled loop."""
m, n = a.shape
def body(k, state):
pivot, perm, a, error = state
m_idx = np.arange(m)
n_idx = np.arange(n)
if np.issubdtype(a.dtype, np.complexfloating):
t = a[:, k]
magnitude = np.abs(np.real(t)) + np.abs(np.imag(t))
else:
magnitude = np.abs(a[:, k])
i = np.argmax(np.where(m_idx >= k, magnitude, -np.inf))
pivot = ops.index_update(pivot, ops.index[k], i)
a = ops.index_update(a, ops.index[[k, i], ], a[[i, k], ])
perm = ops.index_update(perm, ops.index[[i, k], ], perm[[k, i], ])
# a[k+1:, k] /= a[k, k], adapted for loop-invariant shapes
x = a[k, k]
error = error | lax.eq(x, np._constant_like(a, 0))
a = ops.index_update(a, ops.index[:, k],
np.where(m_idx > k, a[:, k] / x, a[:, k]))
# a[k+1:, k+1:] -= np.outer(a[k+1:, k], a[k, k+1:])
a = a - np.where(
(m_idx[:, None] > k) & (n_idx > k), np.outer(a[:, k], a[k, :]),
np.array(0, dtype=a.dtype))
return pivot, perm, a, error
pivot = np.zeros((min(m, n), ), dtype=np.int32)
perm = np.arange(m, dtype=np.int32)
error = np.array(False, np.bool_)
if m == 0 and n == 0:
# If the array is empty, the loop body never executes but tracing it to a
# jaxpr fails because the indexing cannot succeed.
return (pivot, perm, a, error)
return lax.fori_loop(0, min(m, n), body, (pivot, perm, a, error))
def _process_axis_index(self, frame):
return batching.BatchTracer(self,
lax_numpy.arange(frame.size, dtype=np.int32),
0)
