Faster arraydist with LazyArrays.jl

Project.toml

@@ -1,6 +1,6 @@
 name = "DistributionsAD"
 uuid = "ced4e74d-a319-5a8a-b0ac-84af2272839c"
-version = "0.6.43"
+version = "0.6.44"
 
 [deps]
 Adapt = "79e6a3ab-5dfb-504d-930d-738a2a938a0e"

src/DistributionsAD.jl

@@ -70,6 +70,12 @@ include("zygote.jl")
         end
     end
 
+    @require Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f" begin
+        using .Zygote: Zygote
+        # HACK: Make Zygote (correctly) recognize that it should use `ForwardDiff` for broadcasting.
+        Zygote._dual_purefun(::Type{C}) where {C<:Closure} = Base.issingletontype(C)
+    end
+
     @require Tracker="9f7883ad-71c0-57eb-9f7f-b5c9e6d3789c" begin
         using DiffRules
         using SpecialFunctions
@@ -80,45 +86,7 @@ include("zygote.jl")
     end
 
     @require LazyArrays = "5078a376-72f3-5289-bfd5-ec5146d43c02" begin
-        using .LazyArrays: BroadcastArray, BroadcastVector, LazyArray
-
-        const LazyVectorOfUnivariate{
-            S<:ValueSupport,
-            T<:UnivariateDistribution{S},
-            Tdists<:BroadcastVector{T},
-        } = VectorOfUnivariate{S,T,Tdists}
-
-        function Distributions._logpdf(
-            dist::LazyVectorOfUnivariate,
-            x::AbstractVector{<:Real},
-        )
-            return sum(copy(logpdf.(dist.v, x)))
-        end
-
-        function Distributions.logpdf(
-            dist::LazyVectorOfUnivariate,
-            x::AbstractMatrix{<:Real},
-        )
-            size(x, 1) == length(dist) ||
-                throw(DimensionMismatch("Inconsistent array dimensions."))
-            return vec(sum(copy(logpdf.(dists, x)), dims = 1))
-        end
-
-        const LazyMatrixOfUnivariate{
-            S<:ValueSupport,
-            T<:UnivariateDistribution{S},
-            Tdists<:BroadcastArray{T,2},
-        } = MatrixOfUnivariate{S,T,Tdists}
-
-        function Distributions._logpdf(
-            dist::LazyMatrixOfUnivariate,
-            x::AbstractMatrix{<:Real},
-        )
-            return sum(copy(logpdf.(dist.dists, x)))
-        end
-
-        lazyarray(f, x...) = LazyArray(Base.broadcasted(f, x...))
-        export lazyarray
+        include("lazyarrays.jl")
     end
 end
 

src/common.jl

@@ -48,3 +48,53 @@ parameterless_type(x) = parameterless_type(typeof(x))
 parameterless_type(x::Type) = __parameterless_type(x)
 
 @non_differentiable adapt_randn(::Any...)
+
+
+"""
+    Closure{F,G}
+
+A callable of the form `(x, args...) -> F(G(args...), x)`.
+
+# Examples
+
+This is particularly useful when one wants to avoid broadcasting over constructors
+which can sometimes cause issues with type-inference, in particular when combined
+with reverse-mode AD frameworks.
+
+```juliarepl
+julia> using DistributionsAD, Distributions, ReverseDiff, BenchmarkTools
+
+julia> const data = randn(1000);
+
+julia> x = randn(length(data));
+
+julia> f(x) = sum(logpdf.(Normal.(x), data))
+f (generic function with 2 methods)
+
+julia> @btime ReverseDiff.gradient(\$f, \$x);
+  848.759 μs (14605 allocations: 521.84 KiB)
+
+julia> # Much faster with ReverseDiff.jl.
+       g(x) = sum(DistributionsAD.Closure(logpd, Normal).(data, x))
+g (generic function with 1 method)
+
+julia> @btime ReverseDiff.gradient(\$g, \$x);
+  17.460 μs (17 allocations: 71.52 KiB)
+```
+
+See https://github.com/TuringLang/Turing.jl/issues/1934 more further discussion.
+"""
+struct Closure{F,G} end
+
+Closure(::F, ::G) where {F,G} = Closure{F,G}()
+Closure(::F, ::Type{G}) where {F,G} = Closure{F,G}()
+Closure(::Type{F}, ::G) where {F,G} = Closure{F,G}()
+Closure(::Type{F}, ::Type{G}) where {F,G} = Closure{F,G}()
+
+@generated function (closure::Closure{F,G})(x, args...) where {F,G}
+    f = Base.issingletontype(F) ? F.instance : F
+    g = Base.issingletontype(G) ? G.instance : G
+    return :($f($g(args...), x))
+end
+
+

src/lazyarrays.jl

@@ -0,0 +1,89 @@
+using .LazyArrays: BroadcastArray, BroadcastVector, LazyArray
+
+const LazyVectorOfUnivariate{
+    S<:ValueSupport,
+    T<:UnivariateDistribution{S},
+    Tdists<:BroadcastVector{T},
+} = VectorOfUnivariate{S,T,Tdists}
+
+_inner_constructor(::Type{<:BroadcastVector{<:Any,Type{D}}}) where {D} = D
+
+function Distributions._logpdf(
+    dist::LazyVectorOfUnivariate,
+    x::AbstractVector{<:Real},
+)
+    # TODO: Make use of `sum(Broadcast.instantiate(Broadcast.broadcasted(f, x, args...)))` once
+    # we've addressed performance issues in ReverseDiff.jl.
+    constructor = _inner_constructor(typeof(dist.v))
+    return sum(Closure(logpdf, constructor).(x, dist.v.args...))
+end
+
+function Distributions.logpdf(
+    dist::LazyVectorOfUnivariate,
+    x::AbstractMatrix{<:Real},
+)
+    size(x, 1) == length(dist) ||
+        throw(DimensionMismatch("Inconsistent array dimensions."))
+    constructor = _inner_constructor(typeof(dist.v))
+    return vec(sum(Closure(logpdf, constructor).(x, dist.v.args...), dims = 1))
+end
+
+const LazyMatrixOfUnivariate{
+    S<:ValueSupport,
+    T<:UnivariateDistribution{S},
+    Tdists<:BroadcastArray{T,2},
+} = MatrixOfUnivariate{S,T,Tdists}
+
+function Distributions._logpdf(
+    dist::LazyMatrixOfUnivariate,
+    x::AbstractMatrix{<:Real},
+)
+
+    constructor = _inner_constructor(typeof(dist.v))
+    return sum(Closure(logpdf, constructor).(x, dist.v.args))
+end
+
+lazyarray(f, x...) = BroadcastArray(f, x...)
+export lazyarray
+
+# HACK: All of the below probably shouldn't be here.
+function ChainRulesCore.rrule(::Type{BroadcastArray}, f, args...)
+    function BroadcastArray_pullback(Δ::ChainRulesCore.Tangent)
+        return (ChainRulesCore.NoTangent(), Δ.f, Δ.args...)
+    end
+    return BroadcastArray(f, args...), BroadcastArray_pullback
+end
+
+ChainRulesCore.ProjectTo(ba::BroadcastArray) = ProjectTo{typeof(ba)}((f=ba.f,))
+function (p::ChainRulesCore.ProjectTo{BA})(args...) where {BA<:BroadcastArray}
+    return ChainRulesCore.Tangent{BA}(f=p.f, args=args)
+end
+
+function ChainRulesCore.rrule(
+    config::ChainRulesCore.RuleConfig{>:ChainRulesCore.HasReverseMode},
+    ::typeof(Distributions.logpdf),
+    dist::LazyVectorOfUnivariate,
+    x::AbstractVector{<:Real}
+)
+    cl = DistributionsAD.Closure(logpdf, DistributionsAD._inner_constructor(typeof(dist.v)))
+    y, dy = ChainRulesCore.rrule_via_ad(config, broadcast, cl, x, dist.v.args...)
+    z, dz = ChainRulesCore.rrule_via_ad(config, sum, y)
+
+    project_broadcastarray = ChainRulesCore.ProjectTo(dist.v)
+    function logpdf_adjoint(Δ...)
+        # 1st argument is `sum` -> nothing.
+        (_, sum_Δ...) = dz(Δ...)
+        # 1st argument is `broadcast` -> nothing.
+        # 2nd argument is `cl` -> `nothing`.
+        # 3rd argument is `x` -> something.
+        # Rest is `dist` arguments -> something
+        (_, _, x_Δ, args_Δ...) = dy(sum_Δ...)
+        # Construct the structural tangents.
+        ba_tangent = project_broadcastarray(args_Δ...)
+        dist_tangent = ChainRulesCore.Tangent{typeof(dist)}(v=ba_tangent)
+
+        return (ChainRulesCore.NoTangent(), dist_tangent, x_Δ)
+    end
+
+    return z, logpdf_adjoint
+end