Port TF bijector to ensure posdef LKJCorr samples

Author: johncant

pymc/distributions/multivariate.py

@@ -1579,7 +1579,9 @@ def logp(value, n, eta):
 
 @_default_transform.register(_LKJCorr)
 def lkjcorr_default_transform(op, rv):
-    return MultivariateIntervalTransform(-1.0, 1.0)
+    _, _, _, n, *_ = rv.owner.inputs
+    n = n.eval()
+    return transforms.CholeskyCorr(n)
 
 
 class LKJCorr:

pymc/distributions/transforms.py

@@ -17,6 +17,7 @@
 
 import numpy as np
 import pytensor.tensor as pt
+import pytensor
 
 
 # ignore mypy error because it somehow considers that
@@ -45,6 +46,7 @@
     "log",
     "sum_to_1",
     "circular",
+    "CholeskyCorr",
     "CholeskyCovPacked",
     "Chain",
     "ZeroSumTransform",
@@ -138,6 +140,115 @@ def log_jac_det(self, value, *inputs):
         return pt.sum(y, axis=-1)
 
 
+class CholeskyCorr(Transform):
+    """
+    Transforms the off-diagonal elements of a correlation matrix to
+    unconstrained real numbers.
+
+    Note: This is not particular to the LKJ distribution - it is only a
+    transform to help generate cholesky decompositions for random valid
+    correlation matrices.
+
+    Ported from here: https://github.com/tensorflow/probability/blob/94f592af363e13391858b48f785eb4c250912904/tensorflow_probability/python/bijectors/correlation_cholesky.py#L31
+
+    The backward side of this transformation is the off-diagonal upper
+    triangular elements of a correlation matrix, specified in row major order.
+    """
+
+    name = "cholesky-corr"
+
+    def __init__(self, n):
+        """
+
+        Parameters
+        ----------
+        n: int
+            Size of correlation matrix
+        """
+        self.n = n
+        self.m = int(n*(n-1)/2) # number of off-diagonal elements
+        self.tril_r_idxs, self.tril_c_idxs = self._generate_tril_indices()
+        self.triu_r_idxs, self.triu_c_idxs = self._generate_triu_indices()
+
+    def _generate_tril_indices(self):
+        row_indices, col_indices = np.tril_indices(self.n, -1)
+        return (
+            pytensor.shared(row_indices),
+            pytensor.shared(col_indices)
+        )
+
+    def _generate_triu_indices(self):
+        row_indices, col_indices = np.triu_indices(self.n, 1)
+        return (
+            pytensor.shared(row_indices),
+            pytensor.shared(col_indices)
+        )
+
+    def _jacobian(self, value, *inputs):
+        return pt.jacobian(
+            self.backward(value),
+            wrt=value
+        )
+
+    def log_jac_det(self, value, *inputs):
+        """
+        Compute log of the determinant of the jacobian.
+
+        There are no clever tricks here - we literally compute the jacobian
+        then compute its determinant then take log.
+        """
+        jac = self._jacobian(value)
+        return pt.log(pt.linalg.det(jac))
+
+    def forward(self, value, *inputs):
+        """
+        Convert the off-diagonal elements of a cholesky decomposition of a
+        correlation matrix to unconstrained real numbers.
+        """
+        # The correlation matrix is specified via its upper triangular elements
+        corr = pt.set_subtensor(
+            pt.zeros((self.n, self.n))[self.triu_r_idxs, self.triu_c_idxs],
+            value
+        )
+        corr = corr + corr.T + pt.eye(self.n)
+
+        chol = pt.linalg.cholesky(corr)
+
+        # Are the diagonals always guaranteed to be positive?
+        # I don't know, so we'll use abs
+        row_norms = 1/pt.abs(pt.diag(chol))
+
+        # Multiply by the row norms to undo the normalization
+        unconstrained = chol*row_norms[:, pt.newaxis]
+
+        return unconstrained[self.tril_r_idxs, self.tril_c_idxs]
+
+    def backward(self, value, *inputs, foo=False):
+        """
+        Convert unconstrained real numbers to the off-diagonal elements of the
+        cholesky decomposition of a correlation matrix.
+        """
+        # The diagonals of this matrix are 1, but these ones are just used for
+        # computing a denominator. The diagonals of the cholesky factor are not
+        # returned, but they are not ones.
+        chol_pre_norm = pt.set_subtensor(
+            pt.eye(self.n).astype("floatX")[self.tril_r_idxs, self.tril_c_idxs],
+            value
+        )
+
+        # derivative of pt.linalg.norm ended up complex, which caused errors
+#        row_norm = pt.abs(pt.linalg.norm(chol_pre_norm, axis=1))[:, pt.newaxis].astype("floatX")
+
+        row_norm = pt.pow(pt.abs(pt.pow(chol_pre_norm, 2).sum(1)), 0.5)
+        chol = chol_pre_norm / row_norm[:, pt.newaxis]
+
+        # Undo the cholesky decomposition
+        corr = pt.matmul(chol, chol.T)
+
+        # We want the upper triangular indices here.
+        return corr[self.triu_r_idxs, self.triu_c_idxs]
+
+
 class CholeskyCovPacked(Transform):
     """
     Transforms the diagonal elements of the LKJCholeskyCov distribution to be on the