Add reverse mode AD for np.linalg.eig #543
Merged
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
|
The current CI fail seems having nothing to do with this PR |
|
This looks great, thanks a lot! I will try to get round to fixing the CI failure today and then merge this. |
|
Also, I'm sure the JAX devs would appreciate you porting this to JAX if you have time. The derivatives of linalg primitives are defined in https://github.com/google/jax/blob/master/jax/lax_linalg.py. Note that in JAX only forward derivatives (JVPs) need to be defined, because JAX is able to do the transposition (JVP -> VJP) automatically. |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Implement the vjp of general eigen decompositions based on https://arxiv.org/pdf/1701.00392.pdf Eq(4.77). Also see discussions here