Source code for gpflow.logdensities

# Copyright 2016-2020 The GPflow Contributors. All Rights Reserved.
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# 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
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# http://www.apache.org/licenses/LICENSE-2.0
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# Unless required by applicable law or agreed to in writing, software
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import numpy as np
import tensorflow as tf

from .base import TensorType
from .experimental.check_shapes import check_shapes
from .utilities import to_default_float


[docs]@check_shapes( "x: [broadcast shape...]", "mu: [broadcast shape...]", "var: [broadcast shape...]", "return: [shape...]", ) 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)
[docs]@check_shapes( "x: [broadcast shape...]", "mu: [broadcast shape...]", "var: [broadcast shape...]", "return: [shape...]", ) def lognormal(x: TensorType, mu: TensorType, var: TensorType) -> tf.Tensor: lnx = tf.math.log(x) return gaussian(lnx, mu, var) - lnx
[docs]@check_shapes( "x: [broadcast shape...]", "p: [broadcast shape...]", "return: [shape...]", ) def bernoulli(x: TensorType, p: TensorType) -> tf.Tensor: return tf.math.log(tf.where(tf.equal(x, 1), p, 1 - p))
[docs]@check_shapes( "x: [broadcast shape...]", "lam: [broadcast shape...]", "return: [shape...]", ) def poisson(x: TensorType, lam: TensorType) -> tf.Tensor: return x * tf.math.log(lam) - lam - tf.math.lgamma(x + 1.0)
[docs]@check_shapes( "x: [broadcast shape...]", "scale: [broadcast shape...]", "return: [shape...]", ) def exponential(x: TensorType, scale: TensorType) -> tf.Tensor: return -x / scale - tf.math.log(scale)
[docs]@check_shapes( "x: [broadcast shape...]", "shape: [broadcast shape...]", "scale: [broadcast shape...]", "return: [shape...]", ) 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 )
[docs]@check_shapes( "x: [broadcast shape...]", "mean: [broadcast shape...]", "scale: [broadcast shape...]", "df: [broadcast shape...]", "return: [shape...]", ) 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)) )
[docs]@check_shapes( "x: [broadcast shape...]", "alpha: [broadcast shape...]", "beta: [broadcast shape...]", "return: [shape...]", ) 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) )
[docs]@check_shapes( "x: [broadcast shape...]", "mu: [broadcast shape...]", "sigma: [broadcast shape...]", "return: [shape...]", ) def laplace(x: TensorType, mu: TensorType, sigma: TensorType) -> tf.Tensor: return -tf.abs(mu - x) / sigma - tf.math.log(2.0 * sigma)
[docs]@check_shapes( "x: [D, broadcast N]", "mu: [D, broadcast N]", "L: [D, D]", "return: [N]", ) def multivariate_normal(x: TensorType, mu: TensorType, L: TensorType) -> tf.Tensor: """ Computes the log-density of a multivariate normal. :param x: sample(s) for which we want the density :param mu: mean(s) of the normal distribution :param L: Cholesky decomposition of the covariance matrix :return: log densities """ 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))) return p