Theano/Theano — Issue #207: Implement gradient of Cholesky op
Author: dwf
Created: 2011-11-14 19:10:10+00:00
State: open

The Cholesky Op does not have a `grad` method implemented implemented. There is a well-defined procedure for computing the 'reverse-mode' gradient that we usually compute, but it's a bit tricky -- at least on my first attempt at a naive implementation, I didn't get it right (according to `verify_grad`). It will also be slow unless implemented in C.

This would be a good task for someone who wants to get started writing Ops with C code. See the reference below, section 2.3.1:

1. S. P. Smith. "Differentiation of the Cholesky Algorithm". *Journal of Computational and Graphical Statistics*, Vol. 4, No. 2 (Jun., 1995), pp. 134-147 http://www.jstor.org/stable/1390762