Added `var<mat>` implementation of `log_determinant_spd` (Issue #2101) #2232

bbbales2 · 2020-12-03T16:36:07Z

Summary

Added var<mat> implementation of log_determinant_spd

Release notes

Added var<mat> implementation of log_determinant_spd

Checklist

Math issue Make functions with custom autodiff var<mat> friendly #2101
Copyright holder: Columbia University

The copyright holder is typically you or your assignee, such as a university or company. By submitting this pull request, the copyright holder is agreeing to the license the submitted work under the following licenses:
- Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
- Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)
the basic tests are passing
- unit tests pass (to run, use: ./runTests.py test/unit)
- header checks pass, (make test-headers)
- dependencies checks pass, (make test-math-dependencies)
- docs build, (make doxygen)
- code passes the built in C++ standards checks (make cpplint)
the code is written in idiomatic C++ and changes are documented in the doxygen
the new changes are tested

…4.1 (tags/RELEASE_600/final)

stan-buildbot · 2020-12-03T21:23:28Z

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
gp_pois_regr/gp_pois_regr.stan	3.49	3.58	0.97	-2.65% slower
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.02	0.02	0.98	-1.82% slower
eight_schools/eight_schools.stan	0.11	0.12	0.99	-1.26% slower
gp_regr/gp_regr.stan	0.16	0.17	0.96	-3.71% slower
irt_2pl/irt_2pl.stan	5.78	5.84	0.99	-0.91% slower
performance.compilation	86.85	85.77	1.01	1.25% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.45	8.43	1.0	0.29% faster
pkpd/one_comp_mm_elim_abs.stan	29.84	29.28	1.02	1.85% faster
sir/sir.stan	139.86	130.0	1.08	7.05% faster
gp_regr/gen_gp_data.stan	0.05	0.04	1.03	2.95% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	3.07	2.95	1.04	4.15% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.37	0.39	0.97	-3.42% slower
arK/arK.stan	1.8	1.78	1.01	1.23% faster
arma/arma.stan	0.74	0.73	1.01	0.83% faster
garch/garch.stan	0.61	0.61	1.0	-0.07% slower
Mean result: 1.00466028744

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Commit hash: 6cf40a2

Machine information

ProductName: Mac OS X ProductVersion: 10.11.6 BuildVersion: 15G22010

CPU:
Intel(R) Xeon(R) CPU E5-1680 v2 @ 3.00GHz

G++:
Configured with: --prefix=/Applications/Xcode.app/Contents/Developer/usr --with-gxx-include-dir=/usr/include/c++/4.2.1
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

Clang:
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

bbbales2 · 2020-12-04T13:52:58Z

Ready for review

SteveBronder

Looks good! One optional suggestion but besides that lgtm!

SteveBronder · 2020-12-05T04:43:54Z

stan/math/rev/fun/log_determinant_spd.hpp

+  reverse_pass_callback([m, log_det, arena_m_inv_transpose]() mutable {
+    m.adj() += log_det.adj() * arena_m_inv_transpose;
+  });
+  return log_det;


You could use make_callback_var/vari here but I'm also fine with reverse_pass_callback()

…om/stan-dev/math into feature/varmat-log-determinant-spd

…4.1 (tags/RELEASE_600/final)

stan-buildbot · 2020-12-08T01:19:04Z

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
gp_pois_regr/gp_pois_regr.stan	3.7	3.57	1.04	3.54% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.02	0.02	0.98	-1.87% slower
eight_schools/eight_schools.stan	0.11	0.11	1.0	0.3% faster
gp_regr/gp_regr.stan	0.17	0.16	1.01	0.96% faster
irt_2pl/irt_2pl.stan	5.76	5.79	0.99	-0.67% slower
performance.compilation	86.89	85.96	1.01	1.06% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.42	8.45	1.0	-0.36% slower
pkpd/one_comp_mm_elim_abs.stan	29.5	30.04	0.98	-1.85% slower
sir/sir.stan	133.82	132.51	1.01	0.98% faster
gp_regr/gen_gp_data.stan	0.04	0.04	1.0	-0.3% slower
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.94	2.93	1.0	0.35% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.41	0.42	0.98	-2.47% slower
arK/arK.stan	1.77	1.79	0.99	-0.92% slower
arma/arma.stan	0.75	0.74	1.01	0.82% faster
garch/garch.stan	0.62	0.61	1.0	0.41% faster
Mean result: 1.00019847701

Jenkins Console Log
Blue Ocean
Commit hash: e66e95a

Machine information

ProductName: Mac OS X ProductVersion: 10.11.6 BuildVersion: 15G22010

CPU:
Intel(R) Xeon(R) CPU E5-1680 v2 @ 3.00GHz

G++:
Configured with: --prefix=/Applications/Xcode.app/Contents/Developer/usr --with-gxx-include-dir=/usr/include/c++/4.2.1
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

Clang:
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

…om/stan-dev/math into feature/varmat-log-determinant-spd

…-determinant-spd

bbbales2 · 2020-12-08T19:17:22Z

@SteveBronder this is ready when tests passes. Took me two tries to get the make_callback_var right :/.

…4.1 (tags/RELEASE_600/final)

stan-buildbot · 2020-12-09T05:44:27Z

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
gp_pois_regr/gp_pois_regr.stan	3.48	3.43	1.01	1.22% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.02	0.02	1.01	0.66% faster
eight_schools/eight_schools.stan	0.11	0.11	1.0	-0.3% slower
gp_regr/gp_regr.stan	0.16	0.16	1.05	5.0% faster
irt_2pl/irt_2pl.stan	5.8	5.86	0.99	-0.91% slower
performance.compilation	88.55	85.81	1.03	3.1% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.36	8.51	0.98	-1.78% slower
pkpd/one_comp_mm_elim_abs.stan	29.69	29.86	0.99	-0.59% slower
sir/sir.stan	129.57	141.65	0.91	-9.32% slower
gp_regr/gen_gp_data.stan	0.04	0.04	0.99	-1.35% slower
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.94	2.91	1.01	1.15% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.39	0.39	0.99	-0.87% slower
arK/arK.stan	1.8	2.47	0.73	-36.64% slower
arma/arma.stan	0.59	0.59	1.0	0.37% faster
garch/garch.stan	0.59	0.6	0.97	-2.63% slower
Mean result: 0.978844858945

Jenkins Console Log
Blue Ocean
Commit hash: bcf11f9

Machine information

ProductName: Mac OS X ProductVersion: 10.11.6 BuildVersion: 15G22010

CPU:
Intel(R) Xeon(R) CPU E5-1680 v2 @ 3.00GHz

G++:
Configured with: --prefix=/Applications/Xcode.app/Contents/Developer/usr --with-gxx-include-dir=/usr/include/c++/4.2.1
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

Clang:
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

bbbales2 · 2020-12-11T18:35:36Z

@SteveBronder this should be good to go. Only changes I did since your last review was swapping to make_callback_var

SteveBronder

Looks good!

Added var<mat> implementation of log_determinant_spd (Issue #2101)

3c55bde

bbbales2 mentioned this pull request Dec 3, 2020

Make functions with custom autodiff var<mat> friendly #2101

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[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

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…4.1 (tags/RELEASE_600/final)

SteveBronder previously approved these changes Dec 5, 2020

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bbbales2 added 2 commits December 7, 2020 11:02

Switched to make_callback_vari (Issue #2101)

8eb7b25

Merge branch 'feature/varmat-log-determinant-spd' of https://github.c…

37ae84d

…om/stan-dev/math into feature/varmat-log-determinant-spd

bbbales2 dismissed SteveBronder’s stale review via 37ae84d December 7, 2020 16:03

yashikno and others added 2 commits December 7, 2020 16:06

Merge commit 'd1a1d7e8d2e43ac6aef9ac3708841a882919b8d3' into HEAD

4bf3169

[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

e66e95a

…4.1 (tags/RELEASE_600/final)

bbbales2 added 3 commits December 8, 2020 14:08

Use make_callback_var (Issue #2101)

129eb21

Merge branch 'feature/varmat-log-determinant-spd' of https://github.c…

7437ad3

…om/stan-dev/math into feature/varmat-log-determinant-spd

Merge remote-tracking branch 'origin/develop' into feature/varmat-log…

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…-determinant-spd

[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

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…4.1 (tags/RELEASE_600/final)

SteveBronder approved these changes Dec 11, 2020

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bbbales2 merged commit b207350 into develop Dec 11, 2020

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Added `var<mat>` implementation of `log_determinant_spd` (Issue #2101) #2232

Added `var<mat>` implementation of `log_determinant_spd` (Issue #2101) #2232

bbbales2 commented Dec 3, 2020

stan-buildbot commented Dec 3, 2020

bbbales2 commented Dec 4, 2020

SteveBronder left a comment

SteveBronder Dec 5, 2020

stan-buildbot commented Dec 8, 2020

bbbales2 commented Dec 8, 2020

stan-buildbot commented Dec 9, 2020

bbbales2 commented Dec 11, 2020

SteveBronder left a comment

Added var<mat> implementation of log_determinant_spd (Issue #2101) #2232

Added var<mat> implementation of log_determinant_spd (Issue #2101) #2232

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bbbales2 commented Dec 3, 2020

Summary

Release notes

Checklist

stan-buildbot commented Dec 3, 2020

bbbales2 commented Dec 4, 2020

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SteveBronder Dec 5, 2020

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stan-buildbot commented Dec 8, 2020

bbbales2 commented Dec 8, 2020

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Added `var<mat>` implementation of `log_determinant_spd` (Issue #2101) #2232

Added `var<mat>` implementation of `log_determinant_spd` (Issue #2101) #2232