def inv(self, y):
z = matrix_to_tril_vec(y, diagonal=-1)
return jnp.concatenate(
[z, jnp.log(jnp.diagonal(y, axis1=-2, axis2=-1))], axis=-1)
def find_reasonable_step_size(potential_fn, kinetic_fn, momentum_generator,
inverse_mass_matrix, position, rng_key,
init_step_size):
"""
Finds a reasonable step size by tuning `init_step_size`. This function is used
to avoid working with a too large or too small step size in HMC.
**References:**
1. *The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo*,
Matthew D. Hoffman, Andrew Gelman
:param potential_fn: A callable to compute potential energy.
:param kinetic_fn: A callable to compute kinetic energy.
:param momentum_generator: A generator to get a random momentum variable.
:param inverse_mass_matrix: Inverse of mass matrix.
:param position: Current position of the particle.
:param jax.random.PRNGKey rng_key: Random key to be used as the source of randomness.
:param float init_step_size: Initial step size to be tuned.
:return: a reasonable value for step size.
:rtype: float
"""
# We are going to find a step_size which make accept_prob (Metropolis correction)
# near the target_accept_prob. If accept_prob:=exp(-delta_energy) is small,
# then we have to decrease step_size; otherwise, increase step_size.
target_accept_prob = np.log(0.8)
_, vv_update = velocity_verlet(potential_fn, kinetic_fn)
z = position
potential_energy, z_grad = value_and_grad(potential_fn)(z)
finfo = np.finfo(get_dtype(init_step_size))
def _body_fn(state):
step_size, _, direction, rng_key = state
rng_key, rng_key_momentum = random.split(rng_key)
# scale step_size: increase 2x or decrease 2x depends on direction;
# direction=1 means keep increasing step_size, otherwise decreasing step_size.
# Note that the direction is -1 if delta_energy is `NaN`, which may be the
# case for a diverging trajectory (e.g. in the case of evaluating log prob
# of a value simulated using a large step size for a constrained sample site).
step_size = (2.0**direction) * step_size
r = momentum_generator(inverse_mass_matrix, rng_key_momentum)
_, r_new, potential_energy_new, _ = vv_update(
step_size, inverse_mass_matrix, (z, r, potential_energy, z_grad))
energy_current = kinetic_fn(inverse_mass_matrix, r) + potential_energy
energy_new = kinetic_fn(inverse_mass_matrix,
r_new) + potential_energy_new
delta_energy = energy_new - energy_current
direction_new = np.where(target_accept_prob < -delta_energy, 1, -1)
return step_size, direction, direction_new, rng_key
def _cond_fn(state):
step_size, last_direction, direction, _ = state
# condition to run only if step_size is not too small or we are not decreasing step_size
not_small_step_size_cond = (step_size > finfo.tiny) | (direction >= 0)
# condition to run only if step_size is not too large or we are not increasing step_size
not_large_step_size_cond = (step_size < finfo.max) | (direction <= 0)
not_extreme_cond = not_small_step_size_cond & not_large_step_size_cond
return not_extreme_cond & ((last_direction == 0) |
(direction == last_direction))
step_size, _, _, _ = while_loop(_cond_fn, _body_fn,
(init_step_size, 0, 0, rng_key))
return step_size
def log_abs_det_jacobian(self, x, y, intermediates=None):
return sum_rightmost(
jnp.broadcast_to(jnp.log(jnp.abs(self.scale)), jnp.shape(x)),
self.event_dim)
def f(x):
checkify.check(x > 0, "must be positive!")
return jnp.log(x)
def softplus_inverse(x):
return jnp.log(jnp.exp(x) - 1.)
def log_prob(self, value):
if self._validate_args:
self._validate_sample(value)
return (np.log(self.rate) * value) - gammaln(value + 1) - self.rate
def categorical_kl(p_probs, q_log_probs):
p_log_probs = jnp.log(p_probs)
outs = jnp.where(p_probs > 0, p_probs * (p_log_probs - q_log_probs),
p_probs)
return jnp.sum(outs)
def div_left(left_val, out_val, ildj_):
return left_val / out_val, ((np.log(left_val) - 2 * np.log(out_val)) +
ildj_)
def div_right(right_val, out_val, ildj_):
return out_val * right_val, np.log(np.abs(right_val)) + ildj_
def mul_left(left_val, out_val, ildj_):
return out_val / left_val, -np.log(np.abs(left_val)) + ildj_
def mul_right(right_val, out_val, ildj_):
return out_val / right_val, -np.log(np.abs(right_val)) + ildj_
def logit(x: Array) -> Array:
"""Logit transform, inverse of sigmoid."""
chex.assert_type(x, float)
return -jnp.log(1. / x - 1.)
def log_abs_det_jacobian(self, x, y, intermediates=None):
return jnp.log(jnp.abs(self.exponent * y / x))
def inv(self, y):
x = jnp.log(y[..., 1:] - y[..., :-1])
return jnp.concatenate([y[..., :1], x], axis=-1)
def log_prob(self, x):
if self._validate_args:
self._validate_sample(x)
log_prob = np.log(x == self.value)
log_prob = sum_rightmost(log_prob, len(self.event_shape))
return log_prob + self.log_density
def pow_left(x, z, ildj_):
# x ** y = z
# y = f^-1(z) = log(z) / log(x)
# grad(f^-1)(z) = 1 / (z log(x))
# log(grad(f^-1)(z)) = log(1 / (z log(x))) = -log(z) - log(log(x))
return np.log(z) / np.log(x), ildj_ - np.log(z) - np.log(np.log(x))
def _to_logits_bernoulli(probs):
ps_clamped = clamp_probs(probs)
return np.log(ps_clamped) - np.log1p(-ps_clamped)
## constants
##
# numbers
eps = 1e-7
# link functions
links = {
'identity': lambda x: x,
'exponential': lambda x: np.exp(x),
'logit': lambda x: 1/(1+np.exp(-x))
}
# loss functions
losses = {
'binary': lambda yh, y: y*np.log(yh) + (1-y)*np.log(1-yh),
'poisson': lambda yh, y: y*np.log(yh) - yh,
'negative_binomial': lambda r, yh, y: gammaln(r+y) - gammaln(r) + r*np.log(r) + y*np.log(yh) - (r+y)*np.log(r+yh),
'least_squares': lambda yh, y: -(y-yh)**2
}
##
## batching it
##
class DataLoader:
def __init__(self, y, x, batch_size):
self.y = y
self.x = x
self.batch_size = batch_size
self.data_size = len(y)
def _to_logits_multinom(probs):
minval = np.finfo(get_dtypes(probs)[0]).min
return np.clip(np.log(probs), a_min=minval)
def loss(par, yh, y):
pzero = 1/(1+np.exp(-par[0]))
like = pzero*(y==0) + (1-pzero)*np.exp(loss0(yh, y))
return np.log(like)
def prior_kl_whiten(self):
qu = self.inducing_variable.variational_distribution
log_det = 2 * jnp.sum(jnp.log(jnp.diag(qu.scale)))
dim = qu.mean.shape[-1]
return -.5 * (log_det + 0.5 * dim - jnp.sum(qu.mean**2) -
jnp.sum(qu.scale**2))
def __call__(self, inputs, is_training):
"""Connects the module to some inputs.
Args:
inputs: Tensor, final dimension must be equal to embedding_dim. All other
leading dimensions will be flattened and treated as a large batch.
is_training: boolean, whether this connection is to training data. When
this is set to False, the internal moving average statistics will not be
updated.
Returns:
dict containing the following keys and values:
quantize: Tensor containing the quantized version of the input.
loss: Tensor containing the loss to optimize.
perplexity: Tensor containing the perplexity of the encodings.
encodings: Tensor containing the discrete encodings, ie which element
of the quantized space each input element was mapped to.
encoding_indices: Tensor containing the discrete encoding indices, ie
which element of the quantized space each input element was mapped to.
"""
flat_inputs = jnp.reshape(inputs, [-1, self.embedding_dim])
embeddings = self.embeddings
distances = (jnp.sum(flat_inputs**2, 1, keepdims=True) -
2 * jnp.matmul(flat_inputs, embeddings) +
jnp.sum(embeddings**2, 0, keepdims=True))
encoding_indices = jnp.argmax(-distances, 1)
encodings = jax.nn.one_hot(encoding_indices,
self.num_embeddings,
dtype=distances.dtype)
# NB: if your code crashes with a reshape error on the line below about a
# Tensor containing the wrong number of values, then the most likely cause
# is that the input passed in does not have a final dimension equal to
# self.embedding_dim. Ideally we would catch this with an Assert but that
# creates various other problems related to device placement / TPUs.
encoding_indices = jnp.reshape(encoding_indices, inputs.shape[:-1])
quantized = self.quantize(encoding_indices)
e_latent_loss = jnp.mean(
(jax.lax.stop_gradient(quantized) - inputs)**2)
if is_training:
updated_ema_cluster_size = self.ema_cluster_size(
jnp.sum(encodings, axis=0))
dw = jnp.matmul(flat_inputs.T, encodings)
updated_ema_dw = self.ema_dw(dw)
n = jnp.sum(updated_ema_cluster_size)
updated_ema_cluster_size = (
(updated_ema_cluster_size + self.epsilon) /
(n + self.num_embeddings * self.epsilon) * n)
normalised_updated_ema_w = (
updated_ema_dw /
jnp.reshape(updated_ema_cluster_size, [1, -1]))
hk.set_state("embeddings", normalised_updated_ema_w)
loss = self.commitment_cost * e_latent_loss
else:
loss = self.commitment_cost * e_latent_loss
# Straight Through Estimator
quantized = inputs + jax.lax.stop_gradient(quantized - inputs)
avg_probs = jnp.mean(encodings, 0)
perplexity = jnp.exp(-jnp.sum(avg_probs * jnp.log(avg_probs + 1e-10)))
return {
"quantize": quantized,
"loss": loss,
"perplexity": perplexity,
"encodings": encodings,
"encoding_indices": encoding_indices,
"distances": distances,
}
def log_normal(x, mean, cov):
L = jnp.linalg.cholesky(cov)
dx = x - mean
dx = solve_triangular(L, dx, lower=True)
return -0.5 * x.size * jnp.log(2. * jnp.pi) - jnp.sum(jnp.log(jnp.diag(L))) \
- 0.5 * dx @ dx
def log_average_softmax_probs(logits: jnp.ndarray) -> jnp.ndarray: # TODO(zmariet): dedicated eval loss function. ens_size, _, _ = logits.shape log_p = jax.nn.log_softmax(logits) # (ensemble_size, batch_size, num_classes) log_p = jax.nn.logsumexp(log_p, axis=0) - jnp.log(ens_size) return log_p
def binary_cross_entropy_with_logits(logits, labels):
logits = nn.log_sigmoid(logits)
return -jnp.sum(labels * logits +
(1. - labels) * jnp.log(-jnp.expm1(logits)))
def nll(w): return -(y*np.log(mu(w)) + (1-y)*np.log(1-mu(w))) #def deriv_nll(w): return -(y*(1-mu(w))*x - (1-y)*mu(w)*x) def deriv_nll(w): return (mu(w)-y)*x
def get_gibbs_loss(loss_train, tlbs, tcut):
mu, sig = loss_train
mu = mu.squeeze()
loss = -0.5 * (np.linalg.norm(tlbs - mu, axis=0)**
2) - 0.5 * np.trace(sig) - tcut / 2.0 * np.log(2 * np.pi)
return np.sum(loss)
def loss(weights, inputs, targets):
preds = predict(weights, inputs)
logprobs = np.log(preds) * targets + np.log(1 - preds) * (1 - targets)
return -np.sum(logprobs)
def _inverse(self, y):
return jnp.log(y)
def log_abs_det_jacobian(self, x, y, intermediates=None):
return jnp.broadcast_to(
jnp.log(jnp.diagonal(self.scale_tril, axis1=-2, axis2=-1)).sum(-1),
jnp.shape(x)[:-1])