autodiff for matrix add and subtract #1787

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1. bob-carpenter

   added

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   code cleanup

   on Mar 20, 2020
2. betanalpha commented on Mar 21, 2020

   

   betanalpha

   on Mar 21, 2020 via email

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   While specializing it would also be useful to consider direct adjoint-Jacobian transpose implementations which can provide significant memory savings for matrix operations.

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   On Mar 20, 2020, at 6:26 PM, Bob Carpenter ***@***.***> wrote: Description There are lots of functions that don't have reverse mode specializations. Matrix operations All of these would be very useful, espcially the basic arithmetic of the first five and inverse_spd because it's so important. add subtract minus elt_multiply elt_divide diag_post_multiply diag_pre_multiply quad_form_diag chol2inv `inverse_spd All of the constraints would be good to specialize. These get used everywhere (the least important are corr_constrain and cov_matrix_constrain---the cholesky forms are more important for our recommended usages). lb_constrain ub_constrain lub_constrain corr_constrain cov_matrix_constrain cholesky_factor_constrain cholesky_corr_constrain offset_multiplier_constrain Then there are some reductions: mean sd variance There are probably more. Feel free to solve one or more of these in a PR. Current Version: v3.1.0 — You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub <#1787>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AALU3FRVL45AGSDJ2BHEXR3RIPURPANCNFSM4LQVVS2Q>.
3. wds15 commented on Mar 21, 2020

   

   wds15

   on Mar 21, 2020

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   Sounds like there is a lot of performance on the table to grab here! Looking forward to those benchmarks.
4. bob-carpenter commented on Mar 23, 2020

   

   bob-carpenter

   on Mar 23, 2020

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   Definitely direct adjoint-Jacobian implementations are the way to go to avoid all the virtual function calls and collapse the autodiff graph.
5. dpsimpson commented on Mar 27, 2020

   

   dpsimpson

   on Mar 27, 2020

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   If no one minds, I'll have a shot at some of these over the weekend.
6. bob-carpenter commented on Mar 27, 2020

   

   bob-carpenter

   on Mar 27, 2020

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   @dpsimpson: All yours.