Comments (5)
Additionally we might want to:
- Define the bijector on the Cholesky factor directly
- Map it to a parameter vector instead of a matrix
from bijectors.jl.
Additionally we might want to:
- Define the bijector on the Cholesky factor directly
- Map it to a parameter vector instead of a matrix
This has now been done in #246 👍
from bijectors.jl.
Worth pointing out that the comments on numerical issues in TuringLang/DynamicPPL.jl#485 are talking about ForwardDiff, so would be curious to see whether usage of the rrule
is helpful or not.
from bijectors.jl.
Worth pointing out that the comments on numerical issues in TuringLang/DynamicPPL.jl#485 are talking about ForwardDiff
The issue with ForwardDiff was more about correctness there, as I was not expecting a Dual with a single partial when differentiating wrt LKJ samples. We get numerical issues without ForwardDiff as well, that probably have to do with the numerical stability of the inverse link
Bijectors.jl/src/bijectors/corr.jl
Lines 443 to 464 in 03bdffb
Numerical issues directly related with ForwardDiff were observed in #253 (comment) , which we treated by explicitly wrapping matrix with Hermitian
to avoid the check.
from bijectors.jl.
The issue with ForwardDiff was more about correctness there
Just adding this here as well to move the discussion from the DynamicPPL PR. The numerical issues when sampling seem to be ForwardDiff-related indeed. See TuringLang/DynamicPPL.jl#485 (comment) for a simple test case, which gives loads of numerical issues when sampling with NUTS and Duals are passed through, but it seems to work fine with ReverseDiff.
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Related Issues (20)
- rational quadratic flows not supporting Float32 input HOT 1
- What to do with `CorrBijector` ? HOT 1
- Improve `PDVecBijector`
- Matrix factorization bijectors HOT 4
- Domain Error for VecCholeskyBijector bijector when calling logabsdetjac HOT 4
- Question on simplex bijector implementation HOT 9
- Can't apply Bijectors.ordered to TDist() and MvTDist() HOT 1
- Incorrect bijector for heterogeneous Product distribution HOT 3
- Radial flow to a simplex HOT 5
- Stackoverflow in custom bijector HOT 2
- Missing implementation of `Bijectors.bijector` for `arraydist` distributions. HOT 1
- Bijectors.ordered and MvLogNormal interaction .. only supported for unconstrained distributions. HOT 1
- `TruncatedBijectors` not defined in `Distributions` extension
- support ProductDistribution HOT 3
- Fixes to correlation bijectors
- Improve `with_logabsdet_jacobian` performance for `SimplexBijector` HOT 1
- Tests are failing for `VecCorrBijector` in _very_ rare scenarios
- Add Tapir to Bijectors tests. HOT 2
- README links to dead docs HOT 2
- StackOverflow on calling inverse VecCorrBijector with a multidimensional array
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