JuliaDiff / JuliaDiff/ChainRules.jl
svd_rev issue with orthogonal matricies
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Description
using Zygote
using LinearAlgebra
r = rand(8,8); Σ = r' * r
foo(X) = tr(svd(X).U)
_orthogonal(X) = svd(X).U * svd(X).V'
Zygote.gradient(foo, Σ) # Works
Zygote.gradient(foo, 1.0 * Matrix(I(5))) # Nan
Zygote.gradient(foo, _orthogonal(rand(5,7))) # NaN/Inf
This reads as an edge case, but the reason this came up because of interest in introducing an orthogonality constraint in a pipeline. As the matrix is constrainted to be orthogonal, a natural initialisation would be also orthogonal, however it leads to the above issue (this essentially does the same thing):
using ParameterHandling: value, orthogonal
bar(X) = tr(value(orthogonal(X)))
Zygote.gradient(bar, Σ) # Works
# A natural initialisation for an orthogonal constrained matrix is orthogonal
Zygote.gradient(bar, _orthogonal(Σ)) # Fails
IIUC, I believe that the for orthogonal matrix as the singular values are 1 the F in the svd rule will explode.
A workaround was to add a small noise term suggesting that somewhere perhaps this should cancel? - the UᵀŪ - ŪᵀU) and (VᵀV̄ - V̄ᵀV terms) but idk
Zygote.gradient(bar, _orthogonal(Σ) + 1e-10 * Diagonal(rand(size(Σ, 1)))) # Works
# ([3.032964106070741e-29 -6.862457650747e-16 … -8.654203384732967e-16 2.8416261314487268e-15; 6.862728701290122e-16 -2.4424906535614213e-15 … 1.1744348982906105e-15 -1.2198799099766983e-15; … ; 8.654203384732967e-16 -1.4343655928804322e-15 … -1.7763568394002505e-15 2.310651670001107e-15; -2.841639683975883e-15 1.0009591625611408e-15 … -1.7551064768195346e-15 -1.5543122344752192e-15],)
There doesn't seem to be anything wrong with the rule themselves, and the workaround is reasonable once it's understood what's occuring, however as this started impacting another internally I thought i'd raise this as an issue. If the diagnosis is correct, are there any approaches to make this nice in the scenario described?
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First steps
- Read the whole issue, then the project's contributing guide.
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Research direction
Start with the SVD rule in src/rulesets/LinearAlgebra/factorization.jl at the linked location, then reproduce the three Zygote.gradient examples involving identity and orthogonal matrices. Investigate the reported singular-value degeneracy and determine the expected behavior for orthogonal inputs. Done requires an agreed approach and a regression test or documented limitation, but the issue does not specify which outcome maintainers prefer.
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Assessment
- Tech stack
- julia
- Domain
- tooling
- Issue type
- Bug
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 32/100