Merge pull request #129 from invenia/aa/Cholesky

Allow constructing Cholesky objects directly

src/sensitivities/linalg/factorization/cholesky.jl

@@ -1,5 +1,5 @@
 import LinearAlgebra.BLAS: gemv, gemv!, gemm!, trsm!, axpy!, ger!
-import LinearAlgebra: cholesky
+import LinearAlgebra: cholesky, Cholesky
 import Base: getproperty
 
 Base.@deprecate chol(X) cholesky(X).U
@@ -31,6 +31,26 @@ function ∇(::typeof(getproperty), ::Type{Arg{1}}, p, y, ȳ, C::Cholesky, x::S
     end
 end
 
+@explicit_intercepts(
+    Cholesky,
+    Tuple{AbstractMatrix{<:∇Scalar}, Union{Char, Symbol}, Integer},
+    [true, false, false],
+)
+function ∇(
+    ::Type{Cholesky},
+    ::Type{Arg{1}},
+    p,
+    C::Cholesky,
+    X̄::Union{UpperTriangular, LowerTriangular},
+    X::Union{UpperTriangular, LowerTriangular},
+    uplo::Union{Char, Symbol},
+    info::Integer,
+)
+    # We aren't doing any actual computation if we've constructed a Cholesky object
+    # directly, so just pass through this call and return the sensitivies
+    return X̄
+end
+
 """
     level2partition(A::AbstractMatrix, j::Int, upper::Bool)
 

test/sensitivities/linalg/factorization/cholesky.jl

@@ -65,4 +65,27 @@
 
         @test_throws ArgumentError ∇(X->cholesky(X).info)(X_)
     end
+
+    let
+        X_ = Matrix{Float64}(I, 5, 5)
+        X = Leaf(Tape(), X_)
+        U = cholesky(X).U
+        C = Cholesky(U, 'U', 0)
+        @test C isa Branch{<:Cholesky}
+        @test getfield(C, :f) == LinearAlgebra.Cholesky
+        @test unbox(C) == Cholesky(UpperTriangular(X_), 'U', 0)
+        # Ensure we can still directly extract the .U field
+        UU = C.U
+        @test UU isa Branch{<:UpperTriangular}
+        # And access .L as well
+        LL = C.L
+        @test LL isa Branch{<:LowerTriangular}
+        # Make sure that computing the Cholesky and already having the Cholesky
+        # produce the same results
+        expected = Matrix(0.5I, 5, 5)
+        @test ∇(X->det(cholesky(X).U))(X_)[1] ≈ expected
+        @test ∇(X->det(cholesky(X).L))(X_)[1] ≈ expected
+        @test ∇(X->det(Cholesky(cholesky(X).U, :U, 0).U))(X_)[1] ≈ expected
+        @test ∇(X->det(Cholesky(cholesky(X).L, 'L', 0).U))(X_)[1] ≈ expected
+    end
 end