Add PositiveDefinite implementation and tests

Author: simsurace

src/parameters_matrix.jl

@@ -41,8 +41,9 @@ end
 """
     positive_semidefinite(X::AbstractMatrix{<:Real})
 
-Produce a parameter whose `value` is constrained to be a positive-semidefinite matrix. The argument `X` needs to
-be a positive-definite matrix (see https://en.wikipedia.org/wiki/Definite_matrix).
+Produce a parameter whose `value` is constrained to be a positive-semidefinite matrix. The
+argument `X` needs to be a positive-definite matrix
+(see https://en.wikipedia.org/wiki/Definite_matrix).
 
 The unconstrained parameter is a `LowerTriangular` matrix, stored as a vector.
 
@@ -57,6 +58,23 @@ function positive_semidefinite(X::AbstractMatrix{<:Real})
     return PositiveSemiDefinite(tril_to_vec(cholesky(X).L))
 end
 
+"""
+    positive_definite(X::AbstractMatrix{<:Real}, ε = eps(T))
+
+Produce a parameter whose `value` is constrained to be a strictly positive-semidefinite
+matrix. The argument `X` minus `ε` times the identity needs to be a positive-definite matrix
+(see https://en.wikipedia.org/wiki/Definite_matrix). The optional second argument `ε` must
+be a positive real number.
+
+The unconstrained parameter is a `LowerTriangular` matrix, stored as a vector.
+"""
+function positive_definite(X::AbstractMatrix{T}, ε = eps(T)) where T <: Real
+    ε > 0 || throw(ArgumentError("ε is not positive. Use `positive_semidefinite` instead."))
+    _X = X - ε * I
+    isposdef(_X) || throw(ArgumentError("X-ε*I is not positive-definite for ε=$ε"))
+    return PositiveDefinite(tril_to_vec(cholesky(_X).L), ε)
+end
+
 struct PositiveSemiDefinite{TL<:AbstractVector{<:Real}} <: AbstractParameter
     L::TL
 end
@@ -73,6 +91,21 @@ function flatten(::Type{T}, X::PositiveSemiDefinite) where {T<:Real}
     return v, unflatten_PositiveSemiDefinite
 end
 
+struct PositiveDefinite{TL<:AbstractVector{<:Real}, Tε<:Real} <: AbstractParameter
+    L::TL
+    ε::Tε
+end
+
+Base.:(==)(X::PositiveDefinite, Y::PositiveDefinite) = X.L == Y.L
+
+value(X::PositiveDefinite) = A_At(vec_to_tril(X.L)) + X.ε * I
+
+function flatten(::Type{T}, X::PositiveDefinite) where {T<:Real}
+    v, unflatten_v = flatten(T, X.L)
+    unflatten_PositiveDefinite(v_new::Vector{T}) = PositiveDefinite(unflatten_v(v_new), X.ε)
+    return v, unflatten_PositiveDefinite
+end
+
 # Convert a vector to lower-triangular matrix
 function vec_to_tril(v::AbstractVector{T}) where {T}
     n_vec = length(v)

test/parameters_matrix.jl

@@ -54,4 +54,24 @@ using ParameterHandling: vec_to_tril, tril_to_vec
         @test vec_to_tril(Δl) == tril(ΔL)
         ChainRulesTestUtils.test_rrule(vec_to_tril, x)
     end
+
+    @testset "positive_definite" begin
+        X_mat = ParameterHandling.A_At(rand(3, 3)) # Create a positive definite object
+        X = positive_definite(X_mat)
+        @test isposdef(value(X))
+        X.L .= 0 # zero the unconstrained value
+        @test isposdef(value(X))
+        @test_throws ArgumentError positive_definite(zeros(3, 3))
+        @test_throws ArgumentError positive_definite(X_mat, 0.)
+        test_parameter_interface(X)
+
+        x, re = flatten(X)
+        Δl = first(
+            Zygote.gradient(x) do x
+                X = re(x)
+                return logdet(value(X))
+            end,
+        )
+        ChainRulesTestUtils.test_rrule(vec_to_tril, x)
+    end
 end