verify gradient for VIfull, VIdiag and VIrank1

src/util/verifygradient.jl

@@ -1,20 +1,54 @@
-function verifygradient(μ₀, Σ₀, elbo, minauxiliary_grad, unpack, Ztrain)
+# Checks gradient for VI with full covariance matrix
+function verifygradient(μ, Σ::Matrix, elbo, minauxiliary_grad, unpack, Z)
 
-    C = Matrix(cholesky(Σ₀).L)
+    C = vec(Matrix(cholesky(Σ).L))
+
+    angrad = minauxiliary_grad([μ; C])
 
-    local angrad = minauxiliary_grad([μ₀;vec(C)])
+    adgrad = ForwardDiff.gradient(p -> -elbo(unpack(p)..., Z), [μ;  C])
+
+    reportdiscrepancy(angrad, adgrad)
+
+end
+
+
+# Checks gradient for VI with diagonal covariance matrix
+function verifygradient(μ, Σdiag::Vector, elbo, minauxiliary_grad, unpack, Z)
+
+    C = sqrt.(Σdiag)
+
+    angrad = minauxiliary_grad([μ; C])
+
+    adgrad = ForwardDiff.gradient(p -> -elbo(unpack(p)..., Z), [μ;  C])
+
+    reportdiscrepancy(angrad, adgrad)
+
+end
+
+
+# Checks gradient for VI with rank 1 parametrised covariance matrix
+function verifygradient(μ, u::Vector, v::Vector, elbo, minauxiliary_grad, unpack, Z)
+
+    angrad = minauxiliary_grad([μ; u; v])
 
-    adgrad = ForwardDiff.gradient(p -> -elbo(unpack(p)..., Ztrain), [μ₀; vec(C)])
+    adgrad = ForwardDiff.gradient(p -> -elbo(unpack(p)..., Z), [μ; u; v])
 
-    discrepancy =  maximum(abs.(vec(adgrad) - vec(angrad)))
+    reportdiscrepancy(angrad, adgrad)
 
-    msg = @sprintf("Maximum absolute difference between AD and analytical gradient is %f\n", discrepancy)
+end
+
+
+function reportdiscrepancy(angrad, adgrad)
+
+    discrepancy = maximum(abs.(vec(adgrad) - vec(angrad)))
+
+    msg = @sprintf("Maximum absolute difference between AD and analytical gradient is %.8f\n", discrepancy)
 
     clr = discrepancy > 1e-5 ? :red : :cyan
 
     print(Crayon(foreground = clr, bold=true), msg)
 
-    print(Crayon(foreground = :white, bold=false), "")
+    print(Crayon(foreground = :white, bold=false), "", Crayon(reset = true))
 
     nothing