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Cholesky numerical stability: inverse transform #356

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Cholesky numerical stability: inverse transform #356

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21ec0e0
Improve numerical stability of Cholesky invlink
penelopeysm Nov 30, 2024
571aefa
Simplify further
penelopeysm Nov 30, 2024
81bedf2
Use logcosh
penelopeysm Nov 30, 2024
f2b58cd
Swap over one more occurrence of logcosh
penelopeysm Nov 30, 2024
f2987eb
Update Stan documentation link
penelopeysm Nov 30, 2024
72599f7
Simplify loop in _logabsdetjac_inv_chol
penelopeysm Dec 1, 2024
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2 changes: 1 addition & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
name = "Bijectors"
uuid = "76274a88-744f-5084-9051-94815aaf08c4"
version = "0.15.2"
version = "0.15.3"

[deps]
ArgCheck = "dce04be8-c92d-5529-be00-80e4d2c0e197"
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9 changes: 4 additions & 5 deletions src/bijectors/corr.jl
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Expand Up @@ -348,13 +348,12 @@ function _inv_link_chol_lkj(Y::AbstractMatrix)
T = float(eltype(W))
logJ = zero(T)

idx = 1
@inbounds for j in 1:K
log_remainder = zero(T) # log of proportion of unit vector remaining
for i in 1:(j - 1)
z = tanh(Y[i, j])
W[i, j] = z * exp(log_remainder)
log_remainder += log1p(-z^2) / 2
log_remainder += log(2 / (exp(Y[i, j]) + exp(-Y[i, j])))
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logJ += log_remainder
end
logJ += log_remainder
Expand All @@ -380,10 +379,10 @@ function _inv_link_chol_lkj(y::AbstractVector)
log_remainder = zero(T) # log of proportion of unit vector remaining
for i in 1:(j - 1)
z = tanh(y[idx])
idx += 1
W[i, j] = z * exp(log_remainder)
log_remainder += log1p(-z^2) / 2
log_remainder += log(2 / (exp(y[idx]) + exp(-y[idx])))
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logJ += log_remainder
idx += 1
end
logJ += log_remainder
W[j, j] = exp(log_remainder)
Expand Down Expand Up @@ -497,7 +496,7 @@ function _logabsdetjac_inv_chol(y::AbstractVector)
tmp = zero(result)
for _ in 1:(j - 1)
z = tanh(y[idx])
logz = log(1 - z^2)
logz = 2 * log(2 / (exp(y[idx]) + exp(-y[idx])))
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result += logz + (tmp / 2)
tmp += logz
idx += 1
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