Added linalg.cholesky

[IvanYashchuk]

This PR adds torch.linalg.cholesky function that matches numpy.linalg.cholesky.

Fixed lda argument to lapackCholesky calls.
Added random_hermitian_pd_matrix helper function for tests.

Ref #42666.

[IvanYashchuk]

I'm not sure whether what I did in torch/csrc/api/include/torch/linalg.h is correct.
Existing functions have names linalg_det, linalg_norm, and there are in linalg namespace. Are they accessed with torch::linalg::linalg_det?

[dr-ci]

💊 CI failures summary and remediations

As of commit eb507e5 (more details on the Dr. CI page):

---

• 1/3 failures possibly* introduced in this PR
  • 1/1 non-CircleCI failure(s)
• 2/3 broken upstream at merge base 1aeac97 since Nov 13

---

🚧 2 ongoing upstream failures:

These were probably caused by upstream breakages that are not fixed yet:

• pytorch_doc_test since Nov 13
  • 🔁 rerun
• pytorch_python_doc_build since Nov 13
  • 🔁 rerun

---

Extra GitHub checks: 1 failed

• Failed: GitHub Actions - flake8-py3

---

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This comment has been revised 141 times.

[codecov]

Codecov Report

Merging #46083 into master will increase coverage by 34.70%.
The diff coverage is 100.00%.

@@             Coverage Diff             @@
##           master   #46083       +/-   ##
===========================================
+ Coverage   26.11%   60.81%   +34.70%     
===========================================
  Files         437     2748     +2311     
  Lines       55231   254054   +198823     
===========================================
+ Hits        14424   154514   +140090     
- Misses      40807    99540    +58733     

[kurtamohler]

Does this produce the aforementioned RuntimeError? If so, then I think it's probably better to use a with self.assertRaisesRegex(...):, rather than expectedFailure.

[IvanYashchuk]

The idea to use an xfail test (unittest.expectedFailure) because that is a bug we can't fix right now.
I would expect to use self.assertRaisesRegex(...) (and consequently mark the test as 'pass') for the intended errors that are not bugs.

[kurtamohler]

Looks good overall to me.

Does linalg.cholesky support JIT and autograd? If so, maybe we should have a test case for it in test/test_linalg.py:test_autograd_and_jit

[IvanYashchuk]

Hey, @mruberry, this is now ready to be merged.

[facebook-github-bot]

@mruberry has imported this pull request. If you are a Facebook employee, you can view this diff on Phabricator.

[IvanYashchuk]

@mruberry, I'm sorry there was an error that I didn't notice when updating the branch. I think this PR needs to be imported again.

[IvanYashchuk]

Resolved merge conflicts.

[mruberry]

@IvanYashchuk More merge conflicts, unfortunately. You may want to add the tests as a different place in test_linalg.py to try and avoid these conflicts.

[IvanYashchuk]

@mruberry, I updated the branch.

[facebook-github-bot]

@mruberry has imported this pull request. If you are a Facebook employee, you can view this diff on Phabricator.

[mruberry]

Test failure is real:

test_cholesky_autograd_xfailed_cuda_complex128 - TestLinalgCUDA

[IvanYashchuk]

So batched matmul for complex-valued inputs on CUDA now works. I fixed the tests.

[mruberry]

This part of the lint failure is real:

  {
    path: 'test/test_linalg.py',
    start_line: 214,
    end_line: 214,
    start_column: 57,
    end_column: 57,
    annotation_level: 'failure',
    message: '[E271] multiple spaces after keyword'
  },

Sorry for the noise, the other failure is in the base. The ROCm failure appears unrelated.

[facebook-github-bot]

@mruberry has imported this pull request. If you are a Facebook employee, you can view this diff on Phabricator.

[facebook-github-bot]

@mruberry merged this pull request in 260daf0.