Merge pull request #105 from tpapp/tp/minor_corr_cholesky_static_fixes

Minor fixes for static correlation Cholesky factor.
tpapp · Feb 21, 2023 · dd71203 · dd71203 · tpapp · Feb 21, 2023
2 parents 53841b0 + 395036c
commit dd71203
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Showing 3 changed files with 11 additions and 5 deletions.
diff --git a/Project.toml b/Project.toml
@@ -1,7 +1,7 @@
 name = "TransformVariables"
 uuid = "84d833dd-6860-57f9-a1a7-6da5db126cff"
 authors = ["Tamas K. Papp <tkpapp@gmail.com>"]
-version = "0.8.0"
+version = "0.8.1"
 
 [deps]
 ArgCheck = "dce04be8-c92d-5529-be00-80e4d2c0e197"

diff --git a/src/aggregation.jl b/src/aggregation.jl
@@ -128,7 +128,7 @@ function transform_with(flag::LogJacFlag, transformation::StaticArrayTransformat
                   ℓ += ℓΔ
                   y
               end
-              for _ in 1:D), ℓ
+              for _ in 1:D), ℓ, index
 end
 
 function inverse_eltype(transformation::Union{ArrayTransformation,StaticArrayTransformation},

diff --git a/src/special_arrays.jl b/src/special_arrays.jl
@@ -238,9 +238,15 @@ end
 function transform_with(flag::LogJacFlag, transformation::StaticCorrCholeskyFactor{D,S},
                         x::AbstractVector{T}, index) where {D,S,T}
     # NOTE: add an unrolled version for small sizes
-    U, ℓ, index′ = calculate_corr_cholesky_factor!(zero(MMatrix{S,S,robust_eltype(x)}),
-                                                    flag, x, index)
-    UpperTriangular(SMatrix(U)), ℓ, index′
+    E = robust_eltype(x)
+    U = if isbitstype(E)
+        zero(MMatrix{S,S,robust_eltype(x)})
+    else
+        # NOTE: currently allocating because non-bitstype based AD (eg ReverseDiff) does not work with MMatrix
+        zeros(E, S, S)
+    end
+    U, ℓ, index′ = calculate_corr_cholesky_factor!(U, flag, x, index)
+    UpperTriangular(SMatrix{S,S}(U)), ℓ, index′
 end
 
 inverse_eltype(t::Union{CorrCholeskyFactor,StaticCorrCholeskyFactor}, U::UpperTriangular) = robust_eltype(U)