Fix exp rules for some matrices (#596)

* Avoid un-balancing the needed intermediate

* Test exp for imbalanced unsquared matrix

* Increment patch number

* Apply suggestions from code review

Co-authored-by: Frames Catherine White <[email protected]>

* Add exhaustive tests

* Eliminate truncation error

* Increment patch number

* Increment patch version number

Co-authored-by: Frames Catherine White <[email protected]>

Author: sethaxen

Project.toml

@@ -1,6 +1,6 @@
 name = "ChainRules"
 uuid = "082447d4-558c-5d27-93f4-14fc19e9eca2"
-version = "1.28.3"
+version = "1.28.4"
 
 [deps]
 ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"

src/rulesets/LinearAlgebra/matfun.jl

@@ -219,6 +219,9 @@ function _matfun!(::typeof(exp), A::StridedMatrix{T}) where {T<:BlasFloat}
             X *= X
             push!(Xpows, X)
         end
+    else
+        # Xpows[1] must remain balanced for computing the Fréchet derivative
+        X = copy(X)
     end
 
     _unbalance!(X, ilo, ihi, scale, n)
@@ -247,7 +250,7 @@ function _matfun_frechet!(
     ∂P = copy(∂A2)
     ∂W = C[4] * ∂P
     ∂V = C[3] * ∂P
-    for k in 2:(length(Apows) - 1)
+    for k in 2:length(Apows)
         k2 = 2 * k
         P = Apows[k - 1]
         ∂P, ∂temp = mul!(mul!(∂temp, ∂P, A2), P, ∂A2, true, true), ∂P

test/rulesets/LinearAlgebra/matfun.jl

@@ -14,6 +14,24 @@
             A = Float64[0 10 0 0; -1 0 0 0; 0 0 0 0; -2 0 0 0]
             test_frule(LinearAlgebra.exp!, A)
         end
+        @testset "imbalanced A with no squaring" begin
+            # https://github.com/JuliaDiff/ChainRules.jl/issues/595
+            A = [
+                -0.007623430669065629 -0.567237096385192  0.4419041897734335;
+                 2.090838913114862    -1.254084243281689 -0.04145771190198238;
+                 2.3397892123412833   -0.6650489083959324 0.6387266010923911
+                ]
+            test_frule(LinearAlgebra.exp!, A)
+        end
+        @testset "exhaustive test" begin
+            # added to ensure we never hit truncation error
+            # https://github.com/JuliaDiff/ChainRules.jl/issues/595
+            rng = MersenneTwister(1)
+            for _ in 1:100
+                A = randn(rng, 3, 3)
+                test_frule(LinearAlgebra.exp!, A)
+            end
+        end
         @testset "hermitian A, T=$T" for T in (Float64, ComplexF64)
             A = Matrix(Hermitian(randn(T, n, n)))
             test_frule(LinearAlgebra.exp!, A)
@@ -48,6 +66,24 @@
             A = Float64[0 10 0 0; -1 0 0 0; 0 0 0 0; -2 0 0 0]
             test_rrule(exp, A; check_inferred=false)
         end
+        @testset "imbalanced A with no squaring" begin
+            # https://github.com/JuliaDiff/ChainRules.jl/issues/595
+            A = [
+                -0.007623430669065629 -0.567237096385192  0.4419041897734335;
+                 2.090838913114862    -1.254084243281689 -0.04145771190198238;
+                 2.3397892123412833   -0.6650489083959324 0.6387266010923911
+                ]
+            test_rrule(LinearAlgebra.exp, A; check_inferred=false)
+        end
+        @testset "exhaustive test" begin
+            # added to ensure we never hit truncation error
+            # https://github.com/JuliaDiff/ChainRules.jl/issues/595
+            rng = MersenneTwister(1)
+            for _ in 1:100
+                A = randn(rng, 3, 3)
+                test_rrule(LinearAlgebra.exp, A; check_inferred=false)
+            end
+        end
         @testset "hermitian A, T=$T" for T in (Float64, ComplexF64)
             A = Matrix(Hermitian(randn(T, n, n)))
             test_rrule(exp, A; check_inferred=false)