# Copyright 2016-2020 The GPflow Contributors. All Rights Reserved. # # 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. import numpy as np import tensorflow as tf from .base import TensorType from .utilities import to_default_float def gaussian(x: TensorType, mu: TensorType, var: TensorType) -> tf.Tensor: return -0.5 * (np.log(2 * np.pi) + tf.math.log(var) + tf.square(mu - x) / var) def lognormal(x: TensorType, mu: TensorType, var: TensorType) -> tf.Tensor: lnx = tf.math.log(x) return gaussian(lnx, mu, var) - lnx def bernoulli(x: TensorType, p: TensorType) -> tf.Tensor: return tf.math.log(tf.where(tf.equal(x, 1), p, 1 - p)) def poisson(x: TensorType, lam: TensorType) -> tf.Tensor: return x * tf.math.log(lam) - lam - tf.math.lgamma(x + 1.0) def exponential(x: TensorType, scale: TensorType) -> tf.Tensor: return -x / scale - tf.math.log(scale) def gamma(x: TensorType, shape: TensorType, scale: TensorType) -> tf.Tensor: return ( -shape * tf.math.log(scale) - tf.math.lgamma(shape) + (shape - 1.0) * tf.math.log(x) - x / scale ) def student_t(x: TensorType, mean: TensorType, scale: TensorType, df: TensorType) -> tf.Tensor: df = to_default_float(df) const = ( tf.math.lgamma((df + 1.0) * 0.5) - tf.math.lgamma(df * 0.5) - 0.5 * (tf.math.log(tf.square(scale)) + tf.math.log(df) + np.log(np.pi)) ) return const - 0.5 * (df + 1.0) * tf.math.log( 1.0 + (1.0 / df) * (tf.square((x - mean) / scale)) ) def beta(x: TensorType, alpha: TensorType, beta: TensorType) -> tf.Tensor: # need to clip x, since log of 0 is nan... x = tf.clip_by_value(x, 1e-6, 1 - 1e-6) return ( (alpha - 1.0) * tf.math.log(x) + (beta - 1.0) * tf.math.log(1.0 - x) + tf.math.lgamma(alpha + beta) - tf.math.lgamma(alpha) - tf.math.lgamma(beta) ) def laplace(x: TensorType, mu: TensorType, sigma: TensorType) -> tf.Tensor: return -tf.abs(mu - x) / sigma - tf.math.log(2.0 * sigma) def multivariate_normal(x: TensorType, mu: TensorType, L: TensorType) -> tf.Tensor: """ Computes the log-density of a multivariate normal. :param x : Dx1 or DxN sample(s) for which we want the density :param mu : Dx1 or DxN mean(s) of the normal distribution :param L : DxD Cholesky decomposition of the covariance matrix :return p : (1,) or (N,) vector of log densities for each of the N x's and/or mu's x and mu are either vectors or matrices. If both are vectors (N,1): p[0] = log pdf(x) where x ~ N(mu, LL^T) If at least one is a matrix, we assume independence over the *columns*: the number of rows must match the size of L. Broadcasting behaviour: p[n] = log pdf of: x[n] ~ N(mu, LL^T) or x ~ N(mu[n], LL^T) or x[n] ~ N(mu[n], LL^T) """ d = x - mu alpha = tf.linalg.triangular_solve(L, d, lower=True) num_dims = tf.cast(tf.shape(d)[0], L.dtype) p = -0.5 * tf.reduce_sum(tf.square(alpha), 0) p -= 0.5 * num_dims * np.log(2 * np.pi) p -= tf.reduce_sum(tf.math.log(tf.linalg.diag_part(L))) shape_constraints = [ (d, ["D", "N"]), (L, ["D", "D"]), (p, ["N"]), ] tf.debugging.assert_shapes(shape_constraints, message="multivariate_normal()") return p