# Copyright 2016 James Hensman, alexggmatthews # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. # -*- coding: utf-8 -*- import tensorflow as tf from . import settings from .decors import name_scope @name_scope() def gauss_kl(q_mu, q_sqrt, K=None): """ Compute the KL divergence KL[q || p] between q(x) = N(q_mu, q_sqrt^2) and p(x) = N(0, K) We assume N multiple independent distributions, given by the columns of q_mu and the last dimension of q_sqrt. Returns the sum of the divergences. q_mu is a matrix (M x L), each column contains a mean. q_sqrt can be a 3D tensor (L x M x M), each matrix within is a lower triangular square-root matrix of the covariance of q. q_sqrt can be a matrix (M x L), each column represents the diagonal of a square-root matrix of the covariance of q. K is the covariance of p. It is a positive definite matrix (M x M) or a tensor of stacked such matrices (L x M x M) If K is None, compute the KL divergence to p(x) = N(0, I) instead. """ white = K is None diag = q_sqrt.get_shape().ndims == 2 M, B = tf.shape(q_mu)[0], tf.shape(q_mu)[1] if white: alpha = q_mu # M x B else: batch = K.get_shape().ndims == 3 Lp = tf.cholesky(K) # B x M x M or M x M q_mu = tf.transpose(q_mu)[:, :, None] if batch else q_mu # B x M x 1 or M x B alpha = tf.matrix_triangular_solve(Lp, q_mu, lower=True) # B x M x 1 or M x B if diag: Lq = Lq_diag = q_sqrt Lq_full = tf.matrix_diag(tf.transpose(q_sqrt)) # B x M x M else: Lq = Lq_full = tf.matrix_band_part(q_sqrt, -1, 0) # force lower triangle # B x M x M Lq_diag = tf.matrix_diag_part(Lq) # M x B # Mahalanobis term: μqᵀ Σp⁻¹ μq mahalanobis = tf.reduce_sum(tf.square(alpha)) # Constant term: - B * M constant = - tf.cast(tf.size(q_mu, out_type=tf.int64), dtype=settings.float_type) # Log-determinant of the covariance of q(x): logdet_qcov = tf.reduce_sum(tf.log(tf.square(Lq_diag))) # Trace term: tr(Σp⁻¹ Σq) if white: trace = tf.reduce_sum(tf.square(Lq)) else: if diag and not batch: # K is M x M and q_sqrt is M x B: fast specialisation LpT = tf.transpose(Lp) # M x M Lp_inv = tf.matrix_triangular_solve(Lp, tf.eye(M, dtype=settings.float_type),lower=True) # M x M K_inv = tf.matrix_diag_part(tf.matrix_triangular_solve(LpT, Lp_inv, lower=False))[:, None] # M x M -> M x 1 trace = tf.reduce_sum(K_inv * tf.square(q_sqrt)) else: # TODO: broadcast instead of tile when tf allows (not implemented in tf <= 1.6.0) Lp_full = Lp if batch else tf.tile(tf.expand_dims(Lp, 0), [B, 1, 1]) LpiLq = tf.matrix_triangular_solve(Lp_full, Lq_full, lower=True) trace = tf.reduce_sum(tf.square(LpiLq)) twoKL = mahalanobis + constant - logdet_qcov + trace # Log-determinant of the covariance of p(x): if not white: log_sqdiag_Lp = tf.log(tf.square(tf.matrix_diag_part(Lp))) sum_log_sqdiag_Lp = tf.reduce_sum(log_sqdiag_Lp) # If K is B x M x M, num_latent is no longer implicit, no need to multiply the single kernel logdet scale = 1.0 if batch else tf.cast(B, settings.float_type) twoKL += scale * sum_log_sqdiag_Lp return 0.5 * twoKL