I have written a surrogate function called GEKPLS and I am trying to make the code work with an optimizer to find the optimal theta parameter values.
As a first step, I'm trying to make it work with Zygote and have the following code:
function min_rlfv(theta)
g = GEKPLS(X, y, grads, n_comp, delta_x, xlimits, extra_points, theta)
return -g.reduced_likelihood_function_value
end
Zygote.gradient(min_rlfv, [0.01, 0.1])
Running the above code results in the following error message:
ERROR: Need an adjoint for constructor LinearAlgebra.QRCompactWYQ{Float64, Matrix{Float64}}. Gradient is of type LinearAlgebra.Transpose{Float64, Matrix{Float64}}
The stacktrace leads to the following function. The highlighted line in my code editor is Q, G = qr(Ft) from the following code block:
function _reduced_likelihood_function(theta, kernel_type, d, nt, ij, y_norma, noise = 0.0)
reduced_likelihood_function_value = -Inf
nugget = 1000000.0 * eps() #a jitter for numerical stability;
if kernel_type == "squar_exp"
r = squar_exp(theta, d)
end
R = (I + zeros(nt, nt)) .* (1.0 + nugget + noise)
for k in 1:size(ij)[1]
R[ij[k, 1], ij[k, 2]] = r[k]
R[ij[k, 2], ij[k, 1]] = r[k]
end
C = cholesky(R).L
F = ones(nt, 1)
Ft = C \ F
Q, G = qr(Ft)
Q = Array(Q)
Yt = C \ y_norma
beta = G \ [(transpose(Q) ⋅ Yt)]
rho = Yt .- (Ft .* beta)
gamma = transpose(C) \ rho
sigma2 = sum((rho) .^ 2, dims = 1) / nt
detR = prod(diag(C) .^ (2.0 / nt))
reduced_likelihood_function_value = -nt * log10(sum(sigma2)) - nt * log10(detR)
return beta, gamma, reduced_likelihood_function_value
end
Any pointers on how this can be fixed?