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Compute Backends and Automatic Differentiation #581

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@marvinpfoertner marvinpfoertner commented Nov 25, 2021

In a Nutshell

This PR introduces compute backends and automatic differentiation in ProbNum.

Detailed Description

  • Currently supported backends
    • NumPy
    • Jax
    • PyTorch

TODO

  • fix failing tests (NumPy)
  • port test_normal.py to pytest-cases
  • SymmetricMatrixNormal in linear solver
  • add (short) summary of testing best practices to the developer documentation
  • create issues for most pressing backlog items
  • check that we comply with https://data-apis.org/array-api/latest/
  • define interfaces for linalg.cholesky and related functions complying with array api standard
  • implement most important linalg functions from the array api standard in backend
  • create configs which sets the default dtype and device of Arrays
  • rng_state_from_sampling_args
  • remove nuggets in Normal Cholesky
  • revert to SVD if Normal.cov not invertible (only when sampling)
  • rename seed -> rng_state
  • remove array in favor of asarray
  • as_array etc. -> asarray
  • fix doc build (merge Improved type hints in documentation #662 first)
  • move backend types (Scalar{Type, Like}, Array{Type, Like}, Shape{Type, Like}, Seed{Type, Like}) to backend?

Related Issues

None

@marvinpfoertner marvinpfoertner added refactoring Refactoring of existing functionality feature request Requests for features to be implemented improvement Improvements of existing functionality labels Nov 25, 2021
@marvinpfoertner marvinpfoertner force-pushed the ad-prototype branch 3 times, most recently from 9772cb8 to 3c8203d Compare November 30, 2021 16:56
@marvinpfoertner marvinpfoertner marked this pull request as ready for review December 2, 2021 11:28
@marvinpfoertner marvinpfoertner removed the request for review from pnkraemer December 14, 2021 12:03
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@neildhir
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Hi, just wanted to see if there is any update on this? Thanks

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