Add rules for det and logdet of Cholesky

Project.toml

@@ -1,6 +1,6 @@
 name = "ChainRules"
 uuid = "082447d4-558c-5d27-93f4-14fc19e9eca2"
-version = "1.32.1"
+version = "1.33.0"
 
 [deps]
 ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"

src/rulesets/LinearAlgebra/factorization.jl

@@ -551,3 +551,31 @@ function rrule(::typeof(getproperty), F::T, x::Symbol) where {T <: Cholesky}
     end
     return getproperty(F, x), getproperty_cholesky_pullback
 end
+
+# `det` and `logdet` for `Cholesky`
+function rrule(::typeof(det), C::Cholesky)
+    y = det(C)
+    diagF = _diag_view(C.factors)
+    function det_Cholesky_pullback(ȳ)
+        ΔF = Diagonal(_x_divide_conj_y.(2 * ȳ * conj(y), diagF))
+        ΔC = Tangent{typeof(C)}(; factors=ΔF)
+        return NoTangent(), ΔC
+    end
+    return y, det_Cholesky_pullback
+end
+# compute `x / conj(y)`, handling `x = y = 0`
+function _x_divide_conj_y(x, y)
+    z = x / conj(y)
+    # in our case `iszero(x)` implies `iszero(y)`
+    return iszero(x) ? zero(z) : z
+end
+
+function rrule(::typeof(logdet), C::Cholesky)
+    y = logdet(C)
+    diagF = _diag_view(C.factors)
+    function logdet_Cholesky_pullback(ȳ)
+        ΔC = Tangent{typeof(C)}(; factors=Diagonal((2 * ȳ) ./ conj.(diagF)))
+        return NoTangent(), ΔC
+    end
+    return y, logdet_Cholesky_pullback
+end

test/rulesets/LinearAlgebra/factorization.jl

@@ -432,5 +432,35 @@ end
             ΔX_symmetric = chol_back_sym(Δ)[2]
             @test sym_back(ΔX_symmetric)[2] ≈ dX_pullback(Δ)[2]
         end
+
+        @testset "det and logdet (uplo=$p)" for p in (:U, :L)
+            @testset "$op" for op in (det, logdet)
+                @testset "$T" for T in (Float64, ComplexF64)
+                    n = 5
+                    # rand (not randn) so det will be postive, so logdet will be defined
+                    A = 3 * rand(T, (n, n))
+                    X = Cholesky(A * A' + I, p, 0)
+                    X̄_acc = Tangent{typeof(X)}(; factors=Diagonal(randn(T, n))) # sensitivity is always a diagonal
+                    test_rrule(op, X ⊢ X̄_acc)
+
+                    # return type
+                    _, op_pullback = rrule(op, X)
+                    X̄ = op_pullback(2.7)[2]
+                    @test X̄ isa Tangent{<:Cholesky}
+                    @test X̄.factors isa Diagonal
+                end
+            end
+
+            @testset "singular ($T)" for T in (Float64, ComplexF64)
+                n = 5
+                L = LowerTriangular(randn(T, (n, n)))
+                L[1, 1] = zero(T)
+                X = cholesky(L * L'; check=false)
+                detX, det_pullback = rrule(det, X)
+                ΔX = det_pullback(rand())[2]
+                @test iszero(detX)
+                @test ΔX.factors isa Diagonal && all(iszero, ΔX.factors)
+            end
+        end
     end
 end