Extend cholesky of triangular dot rewrite to matmul Ops

.github/workflows/pypi.yml

@@ -49,7 +49,7 @@ jobs:
           fetch-depth: 0
 
       - name: Build wheels
-        uses: pypa/cibuildwheel@v2.16.0
+        uses: pypa/cibuildwheel@v2.14.1
 
       - uses: actions/upload-artifact@v3
         with:

pytensor/tensor/rewriting/linalg.py

@@ -6,7 +6,7 @@
 from pytensor.tensor.blas import Dot22
 from pytensor.tensor.blockwise import Blockwise
 from pytensor.tensor.elemwise import DimShuffle
-from pytensor.tensor.math import Dot, Prod, log, prod
+from pytensor.tensor.math import Dot, Prod, _matrix_matrix_matmul, log, prod
 from pytensor.tensor.nlinalg import MatrixInverse, det
 from pytensor.tensor.rewriting.basic import (
     register_canonicalize,
@@ -168,13 +168,25 @@ def cholesky_ldotlt(fgraph, node):
     rewrite cholesky(dot(L, L.T), lower=True) = L, where L is lower triangular,
     or cholesky(dot(U.T, U), upper=True) = U where U is upper triangular.
 
+    Also works with matmul.
+
     This utilizes a boolean `lower_triangular` or `upper_triangular` tag on matrices.
     """
     if not isinstance(node.op.core_op, Cholesky):
         return
 
     A = node.inputs[0]
-    if not (A.owner and isinstance(A.owner.op, (Dot, Dot22))):
+    if not (
+        A.owner is not None
+        and (
+            (
+                isinstance(A.owner.op, (Dot, Dot22))
+                # This rewrite only applies to matrix Dot
+                and A.owner.inputs[0].type.ndim == 2
+            )
+            or (A.owner.op == _matrix_matrix_matmul)
+        )
+    ):
         return
 
     l, r = A.owner.inputs

tests/tensor/rewriting/test_linalg.py

@@ -1,3 +1,5 @@
+from functools import partial
+
 import numpy as np
 import numpy.linalg
 import pytest
@@ -9,13 +11,14 @@
 from pytensor import tensor as at
 from pytensor.compile import get_default_mode
 from pytensor.configdefaults import config
+from pytensor.tensor import swapaxes
 from pytensor.tensor.blockwise import Blockwise
 from pytensor.tensor.elemwise import DimShuffle
-from pytensor.tensor.math import _allclose
+from pytensor.tensor.math import _allclose, dot, matmul
 from pytensor.tensor.nlinalg import Det, MatrixInverse, matrix_inverse
 from pytensor.tensor.rewriting.linalg import inv_as_solve
 from pytensor.tensor.slinalg import Cholesky, Solve, SolveTriangular, cholesky, solve
-from pytensor.tensor.type import dmatrix, matrix, vector
+from pytensor.tensor.type import dmatrix, matrix, tensor, vector
 from tests import unittest_tools as utt
 from tests.test_rop import break_op
 
@@ -137,33 +140,38 @@ def test_matrix_inverse_solve():
 @pytest.mark.parametrize("tag", ("lower", "upper", None))
 @pytest.mark.parametrize("cholesky_form", ("lower", "upper"))
 @pytest.mark.parametrize("product", ("lower", "upper", None))
-def test_cholesky_ldotlt(tag, cholesky_form, product):
+@pytest.mark.parametrize("op", (dot, matmul))
+def test_cholesky_ldotlt(tag, cholesky_form, product, op):
     transform_removes_chol = tag is not None and product == tag
     transform_transposes = transform_removes_chol and cholesky_form != tag
 
-    A = matrix("L")
+    ndim = 2 if op == dot else 3
+    A = tensor("L", shape=(None,) * ndim)
     if tag:
         setattr(A.tag, tag + "_triangular", True)
 
     if product == "lower":
-        M = A.dot(A.T)
+        M = op(A, swapaxes(A, -1, -2))
     elif product == "upper":
-        M = A.T.dot(A)
+        M = op(swapaxes(A, -1, -2), A)
     else:
         M = A
 
     C = cholesky(M, lower=(cholesky_form == "lower"))
     f = pytensor.function([A], C, mode=get_default_mode().including("cholesky_ldotlt"))
 
     no_cholesky_in_graph = not any(
-        isinstance(node.op, Cholesky) for node in f.maker.fgraph.apply_nodes
+        isinstance(node.op, Cholesky)
+        or (isinstance(node.op, Blockwise) and isinstance(node.op.core_op, Cholesky))
+        for node in f.maker.fgraph.apply_nodes
     )
 
     assert no_cholesky_in_graph == transform_removes_chol
 
     if transform_transposes:
+        expected_order = (1, 0) if ndim == 2 else (0, 2, 1)
         assert any(
-            isinstance(node.op, DimShuffle) and node.op.new_order == (1, 0)
+            isinstance(node.op, DimShuffle) and node.op.new_order == expected_order
             for node in f.maker.fgraph.apply_nodes
         )
 
@@ -183,6 +191,11 @@ def test_cholesky_ldotlt(tag, cholesky_form, product):
             ]
         )
 
+    cholesky_vect_fn = np.vectorize(
+        partial(scipy.linalg.cholesky, lower=(cholesky_form == "lower")),
+        signature="(a, a)->(a, a)",
+    )
+
     for Av in Avs:
         if tag == "upper":
             Av = Av.T
@@ -194,11 +207,13 @@ def test_cholesky_ldotlt(tag, cholesky_form, product):
         else:
             Mv = Av
 
-        assert np.all(
-            np.isclose(
-                scipy.linalg.cholesky(Mv, lower=(cholesky_form == "lower")),
-                f(Av),
-            )
+        if ndim == 3:
+            Av = np.broadcast_to(Av, (5, *Av.shape))
+            Mv = np.broadcast_to(Mv, (5, *Mv.shape))
+
+        np.testing.assert_allclose(
+            cholesky_vect_fn(Mv),
+            f(Av),
         )