Minor changes towards GPU compatibility

Project.toml

@@ -1,7 +1,7 @@
 name = "AbstractGPs"
 uuid = "99985d1d-32ba-4be9-9821-2ec096f28918"
 authors = ["JuliaGaussianProcesses Team"]
-version = "0.5.9"
+version = "0.5.10"
 
 [deps]
 ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
@@ -10,6 +10,7 @@ FillArrays = "1a297f60-69ca-5386-bcde-b61e274b549b"
 IrrationalConstants = "92d709cd-6900-40b7-9082-c6be49f344b6"
 KernelFunctions = "ec8451be-7e33-11e9-00cf-bbf324bd1392"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+PDMats = "90014a1f-27ba-587c-ab20-58faa44d9150"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 RecipesBase = "3cdcf5f2-1ef4-517c-9805-6587b60abb01"
 Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
@@ -23,6 +24,7 @@ Distributions = "0.19, 0.20, 0.21, 0.22, 0.23, 0.24, 0.25"
 FillArrays = "0.7, 0.8, 0.9, 0.10, 0.11, 0.12, 0.13"
 IrrationalConstants = "0.1"
 KernelFunctions = "0.9, 0.10"
+PDMats = "0.11"
 RecipesBase = "1"
 Reexport = "0.2, 1"
 StatsBase = "0.33"

docs/Manifest.toml

@@ -6,10 +6,10 @@ uuid = "a4c015fc-c6ff-483c-b24f-f7ea428134e9"
 version = "0.0.1"
 
 [[AbstractGPs]]
-deps = ["ChainRulesCore", "Distributions", "FillArrays", "IrrationalConstants", "KernelFunctions", "LinearAlgebra", "Random", "RecipesBase", "Reexport", "Statistics", "StatsBase", "Test"]
+deps = ["ChainRulesCore", "Distributions", "FillArrays", "IrrationalConstants", "KernelFunctions", "LinearAlgebra", "PDMats", "Random", "RecipesBase", "Reexport", "Statistics", "StatsBase", "Test"]
 path = ".."
 uuid = "99985d1d-32ba-4be9-9821-2ec096f28918"
-version = "0.4.0"
+version = "0.5.3"
 
 [[ArgTools]]
 uuid = "0dad84c5-d112-42e6-8d28-ef12dabb789f"
@@ -22,15 +22,15 @@ uuid = "2a0f44e3-6c83-55bd-87e4-b1978d98bd5f"
 
 [[ChainRulesCore]]
 deps = ["Compat", "LinearAlgebra", "SparseArrays"]
-git-tree-sha1 = "bdc0937269321858ab2a4f288486cb258b9a0af7"
+git-tree-sha1 = "3533f5a691e60601fe60c90d8bc47a27aa2907ec"
 uuid = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
-version = "1.3.0"
+version = "1.11.0"
 
 [[Compat]]
 deps = ["Base64", "Dates", "DelimitedFiles", "Distributed", "InteractiveUtils", "LibGit2", "Libdl", "LinearAlgebra", "Markdown", "Mmap", "Pkg", "Printf", "REPL", "Random", "SHA", "Serialization", "SharedArrays", "Sockets", "SparseArrays", "Statistics", "Test", "UUIDs", "Unicode"]
-git-tree-sha1 = "727e463cfebd0c7b999bbf3e9e7e16f254b94193"
+git-tree-sha1 = "31d0151f5716b655421d9d75b7fa74cc4e744df2"
 uuid = "34da2185-b29b-5c13-b0c7-acf172513d20"
-version = "3.34.0"
+version = "3.39.0"
 
 [[CompilerSupportLibraries_jll]]
 deps = ["Artifacts", "Libdl"]
@@ -42,9 +42,9 @@ uuid = "a33af91c-f02d-484b-be07-31d278c5ca2b"
 version = "0.1.1"
 
 [[DataAPI]]
-git-tree-sha1 = "ee400abb2298bd13bfc3df1c412ed228061a2385"
+git-tree-sha1 = "cc70b17275652eb47bc9e5f81635981f13cea5c8"
 uuid = "9a962f9c-6df0-11e9-0e5d-c546b8b5ee8a"
-version = "1.7.0"
+version = "1.9.0"
 
 [[DataStructures]]
 deps = ["Compat", "InteractiveUtils", "OrderedCollections"]
@@ -62,47 +62,46 @@ uuid = "8bb1440f-4735-579b-a4ab-409b98df4dab"
 
 [[Distances]]
 deps = ["LinearAlgebra", "Statistics", "StatsAPI"]
-git-tree-sha1 = "abe4ad222b26af3337262b8afb28fab8d215e9f8"
+git-tree-sha1 = "09d9eaef9ef719d2cd5d928a191dc95be2ec8059"
 uuid = "b4f34e82-e78d-54a5-968a-f98e89d6e8f7"
-version = "0.10.3"
+version = "0.10.5"
 
 [[Distributed]]
 deps = ["Random", "Serialization", "Sockets"]
 uuid = "8ba89e20-285c-5b6f-9357-94700520ee1b"
 
 [[Distributions]]
-deps = ["FillArrays", "LinearAlgebra", "PDMats", "Printf", "QuadGK", "Random", "SparseArrays", "SpecialFunctions", "Statistics", "StatsBase", "StatsFuns"]
-git-tree-sha1 = "3889f646423ce91dd1055a76317e9a1d3a23fff1"
+deps = ["ChainRulesCore", "FillArrays", "LinearAlgebra", "PDMats", "Printf", "QuadGK", "Random", "SparseArrays", "SpecialFunctions", "Statistics", "StatsBase", "StatsFuns"]
+git-tree-sha1 = "d249ebaa67716b39f91cf6052daf073634013c0f"
 uuid = "31c24e10-a181-5473-b8eb-7969acd0382f"
-version = "0.25.11"
+version = "0.25.23"
 
 [[DocStringExtensions]]
 deps = ["LibGit2"]
-git-tree-sha1 = "a32185f5428d3986f47c2ab78b1f216d5e6cc96f"
+git-tree-sha1 = "b19534d1895d702889b219c382a6e18010797f0b"
 uuid = "ffbed154-4ef7-542d-bbb7-c09d3a79fcae"
-version = "0.8.5"
+version = "0.8.6"
 
 [[Documenter]]
 deps = ["ANSIColoredPrinters", "Base64", "Dates", "DocStringExtensions", "IOCapture", "InteractiveUtils", "JSON", "LibGit2", "Logging", "Markdown", "REPL", "Test", "Unicode"]
-git-tree-sha1 = "350dced36c11f794c6c4da5dc6493ec894e50c16"
+git-tree-sha1 = "f425293f7e0acaf9144de6d731772de156676233"
 uuid = "e30172f5-a6a5-5a46-863b-614d45cd2de4"
-version = "0.27.5"
+version = "0.27.10"
 
 [[Downloads]]
 deps = ["ArgTools", "LibCURL", "NetworkOptions"]
 uuid = "f43a241f-c20a-4ad4-852c-f6b1247861c6"
 
 [[FillArrays]]
 deps = ["LinearAlgebra", "Random", "SparseArrays", "Statistics"]
-git-tree-sha1 = "7c365bdef6380b29cfc5caaf99688cd7489f9b87"
+git-tree-sha1 = "8756f9935b7ccc9064c6eef0bff0ad643df733a3"
 uuid = "1a297f60-69ca-5386-bcde-b61e274b549b"
-version = "0.12.2"
+version = "0.12.7"
 
 [[Functors]]
-deps = ["MacroTools"]
-git-tree-sha1 = "4cd9e70bf8fce05114598b663ad79dfe9ae432b3"
+git-tree-sha1 = "e4768c3b7f597d5a352afa09874d16e3c3f6ead2"
 uuid = "d9f16b24-f501-4c13-a1f2-28368ffc5196"
-version = "0.2.3"
+version = "0.2.7"
 
 [[IOCapture]]
 deps = ["Logging", "Random"]
@@ -114,10 +113,16 @@ version = "0.2.2"
 deps = ["Markdown"]
 uuid = "b77e0a4c-d291-57a0-90e8-8db25a27a240"
 
+[[InverseFunctions]]
+deps = ["Test"]
+git-tree-sha1 = "f0c6489b12d28fb4c2103073ec7452f3423bd308"
+uuid = "3587e190-3f89-42d0-90ee-14403ec27112"
+version = "0.1.1"
+
 [[IrrationalConstants]]
-git-tree-sha1 = "f76424439413893a832026ca355fe273e93bce94"
+git-tree-sha1 = "7fd44fd4ff43fc60815f8e764c0f352b83c49151"
 uuid = "92d709cd-6900-40b7-9082-c6be49f344b6"
-version = "0.1.0"
+version = "0.1.1"
 
 [[JLLWrappers]]
 deps = ["Preferences"]
@@ -133,9 +138,9 @@ version = "0.21.2"
 
 [[KernelFunctions]]
 deps = ["ChainRulesCore", "Compat", "CompositionsBase", "Distances", "FillArrays", "Functors", "IrrationalConstants", "LinearAlgebra", "LogExpFunctions", "Random", "Requires", "SpecialFunctions", "StatsBase", "TensorCore", "Test", "ZygoteRules"]
-git-tree-sha1 = "6f46fb7fa868699dfbb6ae7973ba2825d3558ade"
+git-tree-sha1 = "9c3d38dafc02feae68a4747813b8b0205fd03da5"
 uuid = "ec8451be-7e33-11e9-00cf-bbf324bd1392"
-version = "0.10.16"
+version = "0.10.26"
 
 [[LibCURL]]
 deps = ["LibCURL_jll", "MozillaCACerts_jll"]
@@ -161,19 +166,19 @@ deps = ["Libdl"]
 uuid = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 
 [[LogExpFunctions]]
-deps = ["DocStringExtensions", "IrrationalConstants", "LinearAlgebra"]
-git-tree-sha1 = "3d682c07e6dd250ed082f883dc88aee7996bf2cc"
+deps = ["ChainRulesCore", "DocStringExtensions", "InverseFunctions", "IrrationalConstants", "LinearAlgebra"]
+git-tree-sha1 = "6193c3815f13ba1b78a51ce391db8be016ae9214"
 uuid = "2ab3a3ac-af41-5b50-aa03-7779005ae688"
-version = "0.3.0"
+version = "0.3.4"
 
 [[Logging]]
 uuid = "56ddb016-857b-54e1-b83d-db4d58db5568"
 
 [[MacroTools]]
 deps = ["Markdown", "Random"]
-git-tree-sha1 = "0fb723cd8c45858c22169b2e42269e53271a6df7"
+git-tree-sha1 = "3d3e902b31198a27340d0bf00d6ac452866021cf"
 uuid = "1914dd2f-81c6-5fcd-8719-6d5c9610ff09"
-version = "0.5.7"
+version = "0.5.9"
 
 [[Markdown]]
 deps = ["Base64"]
@@ -185,9 +190,9 @@ uuid = "c8ffd9c3-330d-5841-b78e-0817d7145fa1"
 
 [[Missings]]
 deps = ["DataAPI"]
-git-tree-sha1 = "2ca267b08821e86c5ef4376cffed98a46c2cb205"
+git-tree-sha1 = "bf210ce90b6c9eed32d25dbcae1ebc565df2687f"
 uuid = "e1d29d7a-bbdc-5cf2-9ac0-f12de2c33e28"
-version = "1.0.1"
+version = "1.0.2"
 
 [[Mmap]]
 uuid = "a63ad114-7e13-5084-954f-fe012c677804"
@@ -198,6 +203,10 @@ uuid = "14a3606d-f60d-562e-9121-12d972cd8159"
 [[NetworkOptions]]
 uuid = "ca575930-c2e3-43a9-ace4-1e988b2c1908"
 
+[[OpenLibm_jll]]
+deps = ["Artifacts", "Libdl"]
+uuid = "05823500-19ac-5b8b-9628-191a04bc5112"
+
 [[OpenSpecFun_jll]]
 deps = ["Artifacts", "CompilerSupportLibraries_jll", "JLLWrappers", "Libdl", "Pkg"]
 git-tree-sha1 = "13652491f6856acfd2db29360e1bbcd4565d04f1"
@@ -217,9 +226,9 @@ version = "0.11.1"
 
 [[Parsers]]
 deps = ["Dates"]
-git-tree-sha1 = "438d35d2d95ae2c5e8780b330592b6de8494e779"
+git-tree-sha1 = "d911b6a12ba974dabe2291c6d450094a7226b372"
 uuid = "69de0a69-1ddd-5017-9359-2bf0b02dc9f0"
-version = "2.0.3"
+version = "2.1.1"
 
 [[Pkg]]
 deps = ["Artifacts", "Dates", "Downloads", "LibGit2", "Libdl", "Logging", "Markdown", "Printf", "REPL", "Random", "SHA", "Serialization", "TOML", "Tar", "UUIDs", "p7zip_jll"]
@@ -237,9 +246,9 @@ uuid = "de0858da-6303-5e67-8744-51eddeeeb8d7"
 
 [[QuadGK]]
 deps = ["DataStructures", "LinearAlgebra"]
-git-tree-sha1 = "12fbe86da16df6679be7521dfb39fbc861e1dc7b"
+git-tree-sha1 = "78aadffb3efd2155af139781b8a8df1ef279ea39"
 uuid = "1fd47b50-473d-5c70-9696-f719f8f3bcdc"
-version = "2.4.1"
+version = "2.4.2"
 
 [[REPL]]
 deps = ["InteractiveUtils", "Markdown", "Sockets", "Unicode"]
@@ -255,9 +264,9 @@ uuid = "3cdcf5f2-1ef4-517c-9805-6587b60abb01"
 version = "1.1.2"
 
 [[Reexport]]
-git-tree-sha1 = "5f6c21241f0f655da3952fd60aa18477cf96c220"
+git-tree-sha1 = "45e428421666073eab6f2da5c9d310d99bb12f9b"
 uuid = "189a3867-3050-52da-a836-e630ba90ab69"
-version = "1.1.0"
+version = "1.2.2"
 
 [[Requires]]
 deps = ["UUIDs"]
@@ -301,10 +310,10 @@ deps = ["LinearAlgebra", "Random"]
 uuid = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
 
 [[SpecialFunctions]]
-deps = ["ChainRulesCore", "LogExpFunctions", "OpenSpecFun_jll"]
-git-tree-sha1 = "a322a9493e49c5f3a10b50df3aedaf1cdb3244b7"
+deps = ["ChainRulesCore", "IrrationalConstants", "LogExpFunctions", "OpenLibm_jll", "OpenSpecFun_jll"]
+git-tree-sha1 = "f0bccf98e16759818ffc5d97ac3ebf87eb950150"
 uuid = "276daf66-3868-5448-9aa4-cd146d93841b"
-version = "1.6.1"
+version = "1.8.1"
 
 [[Statistics]]
 deps = ["LinearAlgebra", "SparseArrays"]
@@ -316,16 +325,16 @@ uuid = "82ae8749-77ed-4fe6-ae5f-f523153014b0"
 version = "1.0.0"
 
 [[StatsBase]]
-deps = ["DataAPI", "DataStructures", "LinearAlgebra", "Missings", "Printf", "Random", "SortingAlgorithms", "SparseArrays", "Statistics", "StatsAPI"]
-git-tree-sha1 = "fed1ec1e65749c4d96fc20dd13bea72b55457e62"
+deps = ["DataAPI", "DataStructures", "LinearAlgebra", "LogExpFunctions", "Missings", "Printf", "Random", "SortingAlgorithms", "SparseArrays", "Statistics", "StatsAPI"]
+git-tree-sha1 = "eb35dcc66558b2dda84079b9a1be17557d32091a"
 uuid = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
-version = "0.33.9"
+version = "0.33.12"
 
 [[StatsFuns]]
-deps = ["IrrationalConstants", "LogExpFunctions", "Reexport", "Rmath", "SpecialFunctions"]
-git-tree-sha1 = "20d1bb720b9b27636280f751746ba4abb465f19d"
+deps = ["ChainRulesCore", "IrrationalConstants", "LogExpFunctions", "Reexport", "Rmath", "SpecialFunctions"]
+git-tree-sha1 = "95072ef1a22b057b1e80f73c2a89ad238ae4cfff"
 uuid = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
-version = "0.9.9"
+version = "0.9.12"
 
 [[SuiteSparse]]
 deps = ["Libdl", "LinearAlgebra", "Serialization", "SparseArrays"]
@@ -362,9 +371,9 @@ uuid = "83775a58-1f1d-513f-b197-d71354ab007a"
 
 [[ZygoteRules]]
 deps = ["MacroTools"]
-git-tree-sha1 = "9e7a1e8ca60b742e508a315c17eef5211e7fbfd7"
+git-tree-sha1 = "8c1a8e4dfacb1fd631745552c8db35d0deb09ea0"
 uuid = "700de1a5-db45-46bc-99cf-38207098b444"
-version = "0.2.1"
+version = "0.2.2"
 
 [[nghttp2_jll]]
 deps = ["Artifacts", "Libdl"]

examples/0-intro-1d/Manifest.toml

@@ -4,10 +4,10 @@ julia_version = "1.7.1"
 manifest_format = "2.0"
 
 [[deps.AbstractGPs]]
-deps = ["ChainRulesCore", "Distributions", "FillArrays", "IrrationalConstants", "KernelFunctions", "LinearAlgebra", "Random", "RecipesBase", "Reexport", "Statistics", "StatsBase", "Test"]
+deps = ["ChainRulesCore", "Distributions", "FillArrays", "IrrationalConstants", "KernelFunctions", "LinearAlgebra", "PDMats", "Random", "RecipesBase", "Reexport", "Statistics", "StatsBase", "Test"]
 path = "../.."
 uuid = "99985d1d-32ba-4be9-9821-2ec096f28918"
-version = "0.5.9"
+version = "0.5.10"
 
 [[deps.AbstractMCMC]]
 deps = ["BangBang", "ConsoleProgressMonitor", "Distributed", "Logging", "LoggingExtras", "ProgressLogging", "Random", "StatsBase", "TerminalLoggers", "Transducers"]

src/AbstractGPs.jl

@@ -4,6 +4,7 @@ using ChainRulesCore
 using Distributions
 using FillArrays
 using LinearAlgebra
+using PDMats: ScalMat
 using Reexport
 @reexport using KernelFunctions
 using Random

src/finite_gp_projection.jl

@@ -4,7 +4,8 @@
 The finite-dimensional projection of the AbstractGP `f` at `x`. Assumed to be observed under
 Gaussian noise with zero mean and covariance matrix `Σy`
 """
-struct FiniteGP{Tf<:AbstractGP,Tx<:AbstractVector,TΣ} <: AbstractMvNormal
+struct FiniteGP{Tf<:AbstractGP,Tx<:AbstractVector,TΣ<:AbstractMatrix{<:Real}} <:
+       AbstractMvNormal
     f::Tf
     x::Tx
     Σy::TΣ
@@ -17,7 +18,7 @@ end
 const default_σ² = 1e-18
 
 function FiniteGP(f::AbstractGP, x::AbstractVector, σ²::Real=default_σ²)
-    return FiniteGP(f, x, Fill(σ², length(x)))
+    return FiniteGP(f, x, ScalMat(length(x), σ²))
 end
 
 ## conversions

src/mean_function.jl

@@ -10,7 +10,7 @@ struct ZeroMean{T<:Real} <: MeanFunction end
 """
 This is an AbstractGPs-internal workaround for AD issues; ideally we would just extend Base.map
 """
-_map_meanfunction(::ZeroMean{T}, x::AbstractVector) where {T} = zeros(T, length(x))
+_map_meanfunction(::ZeroMean{T}, x::AbstractVector) where {T} = Zeros{T}(length(x))
 
 function ChainRulesCore.rrule(::typeof(_map_meanfunction), m::ZeroMean, x::AbstractVector)
     map_ZeroMean_pullback(Δ) = (NoTangent(), NoTangent(), ZeroTangent())
@@ -28,7 +28,7 @@ struct ConstMean{T<:Real} <: MeanFunction
     c::T
 end
 
-_map_meanfunction(m::ConstMean, x::AbstractVector) = fill(m.c, length(x))
+_map_meanfunction(m::ConstMean, x::AbstractVector) = Fill(m.c, length(x))
 
 """
     CustomMean{Tf} <: MeanFunction

src/sparse_approximations.jl

@@ -288,3 +288,7 @@ end
 function tr_Cf_invΣy(f::FiniteGP, Σy::Diagonal)
     return sum(var(f.f, f.x) ./ diag(Σy))
 end
+
+function tr_Cf_invΣy(f::FiniteGP, Σy::ScalMat)
+    return sum(var(f.f, f.x)) / Σy.value
+end

src/util/common_covmat_ops.jl

@@ -5,6 +5,7 @@
 _symmetric(X) = Symmetric(X)
 _symmetric(X::Diagonal) = X
 _symmetric(X::Cholesky) = X
+_symmetric(X::AbstractPDMat) = X
 
 # Small bit of indirection to work around a cholesky-related bug whereby the interaction
 # between `FillArrays` and `Diagonal` and `Cholesky` causes problems.

test/Project.toml

@@ -5,6 +5,7 @@ Documenter = "e30172f5-a6a5-5a46-863b-614d45cd2de4"
 FillArrays = "1a297f60-69ca-5386-bcde-b61e274b549b"
 FiniteDifferences = "26cc04aa-876d-5657-8c51-4c34ba976000"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+PDMats = "90014a1f-27ba-587c-ab20-58faa44d9150"
 Pkg = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
 Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
@@ -18,6 +19,7 @@ Distributions = "0.19, 0.20, 0.21, 0.22, 0.23, 0.24, 0.25"
 Documenter = "0.24, 0.25, 0.26, 0.27"
 FillArrays = "0.11, 0.12, 0.13"
 FiniteDifferences = "0.9.6, 0.10, 0.11, 0.12"
+PDMats = "0.11"
 Plots = "1"
 Zygote = "0.5, 0.6"
 julia = "1.3"

test/latent_gp.jl

@@ -3,7 +3,7 @@
     x = rand(10)
     y = rand(10)
 
-    lgp = LatentGP(gp, x -> MvNormal(x, 0.1), 1e-5)
+    lgp = LatentGP(gp, x -> MvNormal(x, 0.01 * I), 1e-5)
     @test lgp isa LatentGP
     @test lgp.f isa AbstractGPs.AbstractGP
     @test lgp.Σy isa Real