Skip to content

WIP: Remove *(Diagonal, Woodbury) #19

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
merged 7 commits into from
Jul 28, 2021
Merged

WIP: Remove *(Diagonal, Woodbury) #19

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
7 commits
Select commit Hold shift + click to select a range
5911776
Remove diagonal *
AlexRobson Jul 20, 2021
eaf3c54
Bump version. Bump PDMats
AlexRobson Jul 20, 2021
5923682
Add constructor test. Clear whitespace
Jul 28, 2021
c2187c5
Add additional test because of how coverage is calculated
Jul 28, 2021
1883d8e
Correct test typo
Jul 28, 2021
8aafec1
Delete irrelevant tests
Jul 28, 2021
88160b3
Readd constructor?
Jul 28, 2021
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
4 changes: 2 additions & 2 deletions Project.toml
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
name = "PDMatsExtras"
uuid = "2c7acb1b-7338-470f-b38f-951d2bcb9193"
authors = ["Invenia Technical Computing"]
version = "2.5.0"
version = "2.5.1"

[deps]
ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
Expand All @@ -14,7 +14,7 @@ SuiteSparse = "4607b0f0-06f3-5cda-b6b1-a6196a1729e9"
ChainRulesCore = "0.9.17, 0.10"
Distributions = "0.23, 0.24"
FiniteDifferences = "0.11, 0.12"
PDMats = "0.9, 0.10"
PDMats = "0.9, 0.10, 0.11"
Zygote = "0.5.5"
julia = "1"

Expand Down
14 changes: 3 additions & 11 deletions src/woodbury_pd_mat.jl
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -38,6 +38,8 @@ function WoodburyPDMat(
return WoodburyPDMat(A, Diagonal(D), Diagonal(S))
end

WoodburyPDMat{T, TA, TD, TS}(vals...) where {T, TA, TD, TS} = WoodburyPDMat(vals...)
Copy link
Contributor

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

Why do we need this constructor?

Copy link
Member Author

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

Oh, we don't for this MR. Mistake adding this from experimenting with ChainRules. I'll just leave it in though


PDMats.dim(W::WoodburyPDMat) = size(W.A, 1)

# Convesion method. Primarily useful for testing purposes.
Expand Down Expand Up @@ -88,14 +90,4 @@ end
# NOTE: the parameterisation to scale up the Woodbury matrix is not unique. Here we
# implement one way to scale it.
*(a::WoodburyPDMat, c::Real) = WoodburyPDMat(a.A, a.D * c, a.S * c)
*(c::Real, a::WoodburyPDMat) = a * c
function *(a::WoodburyPDMat, c::Diagonal{T}) where {T<:Real}
isposdef(c) || throw(ArgumentError("c must be positive definite"))
WoodburyPDMat(sqrt(c) * a.A, a.D, a.S * c)
end
*(c::Diagonal{T}, a::WoodburyPDMat) where {T<:Real} = a * c
function *(c1::Diagonal{T}, a::WoodburyPDMat, c2::Diagonal{T}) where {T<:Real}
isposdef(c1) || throw(ArgumentError("c1 must be positive definite"))
isposdef(c2) || throw(ArgumentError("c2 must be positive definite"))
WoodburyPDMat(sqrt(c1) * sqrt(c2) * a.A, a.D, c1 * a.S * c2)
end
*(c::Real, a::WoodburyPDMat) = a * c
22 changes: 4 additions & 18 deletions test/woodbury_pd_mat.jl
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -7,6 +7,10 @@
W = WoodburyPDMat(A, D, S)
W_dense = PDMat(Symmetric(Matrix(W)))

@testset "Valid constructors" begin
@test W == typeof(W)(W.A, W.D, W.S)
end

@testset "invalid constructors error" begin
@test_throws ArgumentError WoodburyPDMat(randn(5, 2), D, S)
@test_throws ArgumentError WoodburyPDMat(randn(4, 3), D, S)
Expand Down Expand Up @@ -44,24 +48,6 @@
@test c * W == W * c
@test c * W_dense ≈ c * W atol=1e-6
@test (c * W) isa WoodburyPDMat

c = Diagonal(2.0 * ones(4,))
@test c * W == W * c
@test c * W_dense ≈ c * W atol=1e-6
@test (c * W) isa WoodburyPDMat

c1 = Diagonal(2.0 * ones(4,))
c2 = Diagonal(3.0 * ones(4,))
c_neg = Diagonal([1,2,-2,3])

@test c2 * W * c1 == c1 * W * c2
@test c1 * W * c2 ≈ c1 * W_dense * c2
@test (c1 * W * c2) isa WoodburyPDMat

@test_throws(ArgumentError, c_neg * W)
@test_throws(ArgumentError, c_neg * W * c2)
@test_throws(ArgumentError, c1 * W * c_neg)

end

@testset "MvNormal logpdf" begin
Expand Down