Implement jax.scipy.linalg.block_diag. (#2113)

docs/jax.scipy.rst

@@ -9,6 +9,7 @@ jax.scipy.linalg
 .. autosummary::
   :toctree: _autosummary
 
+   block_diag
    cho_factor
    cho_solve
    cholesky

jax/scipy/linalg.py

@@ -278,7 +278,7 @@ def _expm(A, upper_triangular=False):
     R = _solve_P_Q(P, Q, upper_triangular)
     R = _squaring(R, n_squarings)
     return R
-    
+
 @jit
 def _calc_P_Q(A):
     A = np.asarray(A)
@@ -379,3 +379,25 @@ def _pade13(A):
     U = np.dot(A,np.dot(A6, b[13]*A6 + b[11]*A4 + b[9]*A2) + b[7]*A6 + b[5]*A4 + b[3]*A2 + b[1]*ident)
     V = np.dot(A6, b[12]*A6 + b[10]*A4 + b[8]*A2) + b[6]*A6 + b[4]*A4 + b[2]*A2 + b[0]*ident
     return U,V
+
+
+@_wraps(scipy.linalg.block_diag)
+@jit
+def block_diag(*arrs):
+  if len(arrs) == 0:
+    arrs = [np.zeros((1, 0))]
+  arrs = np._promote_dtypes(*arrs)
+  bad_shapes = [i for i, a in enumerate(arrs) if np.ndim(a) > 2]
+  if bad_shapes:
+    raise ValueError("Arguments to jax.scipy.linalg.block_diag must have at "
+                     "most 2 dimensions, got {} at argument {}."
+                     .format(arrs[bad_shapes[0]], bad_shapes[0]))
+  arrs = [np.atleast_2d(a) for a in arrs]
+  acc = arrs[0]
+  dtype = lax.dtype(acc)
+  for a in arrs[1:]:
+    _, c = a.shape
+    a = lax.pad(a, dtype.type(0), ((0, 0, 0), (acc.shape[-1], 0, 0)))
+    acc = lax.pad(acc, dtype.type(0), ((0, 0, 0), (0, c, 0)))
+    acc = lax.concatenate([acc, a], dimension=0)
+  return acc

tests/linalg_test.py

@@ -682,6 +682,23 @@ class NumpyLinalgTest(jtu.JaxTestCase):
 
 class ScipyLinalgTest(jtu.JaxTestCase):
 
+  @parameterized.named_parameters(jtu.cases_from_list(
+      {"testcase_name": "_i={}".format(i), "args": args}
+      for i, args in enumerate([
+        (),
+        (1,),
+        (7, -2),
+        (3, 4, 5),
+        (onp.ones((3, 4), dtype=np.float_), 5,
+         onp.random.randn(5, 2).astype(np.float_)),
+      ])))
+  def testBlockDiag(self, args):
+    args_maker = lambda: args
+    self._CheckAgainstNumpy(osp.linalg.block_diag, jsp.linalg.block_diag,
+                            args_maker, check_dtypes=True)
+    self._CompileAndCheck(jsp.linalg.block_diag, args_maker, check_dtypes=True)
+
+
   @parameterized.named_parameters(jtu.cases_from_list(
       {"testcase_name":
        "_shape={}".format(jtu.format_shape_dtype_string(shape, dtype)),