ldlt rev mode adjoints
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- Dominant language
- C++
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Description
The ldlt code can basically piggy back off of the the reverse mode cholesky adjoints. In the cholesky reverse mode code it already handles the diagonal and off diagonal elements separately. Instead of combining we need to explicitly separate out the diagonal and off diagonal returns.
The difficulty I'm having in seeing how this would work today without tuples. The ldlt class has methods to return the matrixL() and diagonalD().
I think we can get the rev mode adjoints in today. And then in the near future when we have tuples expose this function into Stan.
Contributor guide
First steps
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Research direction
Start with the reverse-mode Cholesky adjoint code and the ldlt class, focusing on matrixL() and diagonalD(). Work out how diagonal and off-diagonal adjoints should be returned without tuples; done means reverse-mode ldlt adjoints are available, with future Stan exposure left for tuple support.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- cpp
- Domain
- backend
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 30/100