63 lines
2.3 KiB
Python
63 lines
2.3 KiB
Python
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import torch
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from torch.distributions.distribution import Distribution
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__all__ = ["ExponentialFamily"]
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class ExponentialFamily(Distribution):
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r"""
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ExponentialFamily is the abstract base class for probability distributions belonging to an
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exponential family, whose probability mass/density function has the form is defined below
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.. math::
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p_{F}(x; \theta) = \exp(\langle t(x), \theta\rangle - F(\theta) + k(x))
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where :math:`\theta` denotes the natural parameters, :math:`t(x)` denotes the sufficient statistic,
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:math:`F(\theta)` is the log normalizer function for a given family and :math:`k(x)` is the carrier
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measure.
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Note:
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This class is an intermediary between the `Distribution` class and distributions which belong
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to an exponential family mainly to check the correctness of the `.entropy()` and analytic KL
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divergence methods. We use this class to compute the entropy and KL divergence using the AD
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framework and Bregman divergences (courtesy of: Frank Nielsen and Richard Nock, Entropies and
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Cross-entropies of Exponential Families).
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"""
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@property
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def _natural_params(self):
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"""
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Abstract method for natural parameters. Returns a tuple of Tensors based
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on the distribution
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"""
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raise NotImplementedError
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def _log_normalizer(self, *natural_params):
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"""
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Abstract method for log normalizer function. Returns a log normalizer based on
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the distribution and input
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"""
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raise NotImplementedError
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@property
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def _mean_carrier_measure(self):
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"""
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Abstract method for expected carrier measure, which is required for computing
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entropy.
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"""
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raise NotImplementedError
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def entropy(self):
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"""
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Method to compute the entropy using Bregman divergence of the log normalizer.
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"""
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result = -self._mean_carrier_measure
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nparams = [p.detach().requires_grad_() for p in self._natural_params]
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lg_normal = self._log_normalizer(*nparams)
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gradients = torch.autograd.grad(lg_normal.sum(), nparams, create_graph=True)
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result += lg_normal
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for np, g in zip(nparams, gradients):
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result -= (np * g).reshape(self._batch_shape + (-1,)).sum(-1)
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return result
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