JuliaDiff / JuliaDiff/ChainRules.jl
Audit cache friendliness of Cholesky rrule
@willtebbutt is already working on this.
Since Jun 6, 2019.
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- Julia
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Description
In #44, I directly ported over code from Nabla, which contains the following comment:
See [1] for implementation details: pages 5-9 in particular. The derivations presented in
[1] assume column-major layout, whereas Julia primarily uses row-major. We therefore
implement both the derivations in [1] and their transpose, which is more appropriate to
Julia.[1] - "Differentiation of the Cholesky decomposition", Murray 2016
Julia actually uses column-major layout for its arrays. I haven't dug into the code to determine whether the implementation matches the comment, i.e. assumes row-major, but it would be worthwhile to do so to ensure we're not being unnecessarily inefficient.
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