def _pdf_gamma(a, b, axes=None, scale=4, color="k"):
"""
"""
if axes is None:
axes = plt.gca()
if np.size(a) != 1 or np.size(b) != 1:
raise ValueError("Parameters must be scalars")
mean = a / b
v = scale * np.sqrt(a / b ** 2)
m = max(0, mean - v)
n = mean + v
x = np.linspace(m, n, num=100)
logx = np.log(x)
lpdf = random.gamma_logpdf(b * x, logx, a * logx, a * np.log(b), special.gammaln(a))
p = np.exp(lpdf)
return axes.plot(x, p, color=color)
def _pdf_gamma(a, b, axes=None, scale=4, color='k'):
"""
"""
if axes is None:
axes = plt.gca()
if np.size(a) != 1 or np.size(b) != 1:
raise ValueError("Parameters must be scalars")
mean = a / b
v = scale * np.sqrt(a / b**2)
m = max(0, mean - v)
n = mean + v
x = np.linspace(m, n, num=100)
logx = np.log(x)
lpdf = random.gamma_logpdf(b * x, logx, a * logx, a * np.log(b),
special.gammaln(a))
p = np.exp(lpdf)
return axes.plot(x, p, color=color)
def _compute_bound(self, R, logdet=None, inv=None, Q=None, gradient=False, terms=False):
"""
Rotate q(X) and q(alpha).
Assume:
p(X|alpha) = prod_m N(x_m|0,diag(alpha))
p(alpha) = prod_d G(a_d,b_d)
"""
## R = self._full_rotation_matrix(R)
## if inv is not None:
## inv = self._full_rotation_matrix(inv)
#
# Transform the distributions and moments
#
plates_alpha = self.plates_alpha
plates_X = self.plates_X
# Compute rotated second moment
if self.plate_axis is not None:
# The plate axis has been moved to be the last plate axis
if Q is None:
raise ValueError("Plates should be rotated but no Q give")
# Transform covariance
sumQ = np.sum(Q, axis=0)
QCovQ = sumQ[:, None, None] ** 2 * self.CovX
# Rotate plates
if self.precompute:
QX_QX = np.einsum("...kalb,...ik,...il->...iab", self.X_X, Q, Q)
XX = QX_QX + QCovQ
XX = sum_to_plates(XX, plates_alpha[:-1], ndim=2)
Xmu = np.einsum("...kaib,...ik->...iab", self.X_mu, Q)
Xmu = sum_to_plates(Xmu, plates_alpha[:-1], ndim=2)
else:
X = self.X
mu = self.mu
QX = np.einsum("...ik,...kj->...ij", Q, X)
XX = sum_to_plates(QCovQ, plates_alpha[:-1], ndim=2) + sum_to_plates(
linalg.outer(QX, QX), plates_alpha[:-1], ndim=2, plates_from=plates_X
)
Xmu = sum_to_plates(linalg.outer(QX, self.mu), plates_alpha[:-1], ndim=2, plates_from=plates_X)
mu2 = self.mu2
D = np.shape(XX)[-1]
logdet_Q = D * np.log(np.abs(sumQ))
else:
XX = self.XX
mu2 = self.mu2
Xmu = self.Xmu
logdet_Q = 0
# Compute transformed moments
# mu2 = np.einsum('...ii->...i', mu2)
RXmu = np.einsum("...ik,...ki->...i", R, Xmu)
RXX = np.einsum("...ik,...kj->...ij", R, XX)
RXXR = np.einsum("...ik,...ik->...i", RXX, R)
# <(X-mu) * (X-mu)'>_R
XmuXmu = RXXR - 2 * RXmu + mu2
D = np.shape(R)[0]
# Compute q(alpha)
if self.update_alpha:
# Parameters
a0 = self.a0
b0 = self.b0
a = self.a
b = b0 + 0.5 * sum_to_plates(XmuXmu, plates_alpha, plates_from=None, ndim=0)
# Some expectations
alpha = a / b
logb = np.log(b)
logalpha = -logb # + const
b0_alpha = b0 * alpha
a0_logalpha = a0 * logalpha
else:
alpha = self.alpha
logalpha = 0
#
# Compute the cost
#
def sum_plates(V, *plates):
full_plates = misc.broadcasted_shape(*plates)
r = self.node_X.broadcasting_multiplier(full_plates, np.shape(V))
return r * np.sum(V)
XmuXmu_alpha = XmuXmu * alpha
if logdet is None:
logdet_R = np.linalg.slogdet(R)[1]
inv_R = np.linalg.inv(R)
else:
logdet_R = logdet
inv_R = inv
# Compute entropy H(X)
logH_X = random.gaussian_entropy(-2 * sum_plates(logdet_R + logdet_Q, plates_X), 0)
# Compute <log p(X|alpha)>
logp_X = random.gaussian_logpdf(
sum_plates(XmuXmu_alpha, plates_alpha[:-1] + [D]), 0, 0, sum_plates(logalpha, plates_X + [D]), 0
)
if self.update_alpha:
# Compute entropy H(alpha)
# This cancels out with the log(alpha) term in log(p(alpha))
logH_alpha = 0
# Compute <log p(alpha)>
logp_alpha = random.gamma_logpdf(
sum_plates(b0_alpha, plates_alpha), 0, sum_plates(a0_logalpha, plates_alpha), 0, 0
)
else:
logH_alpha = 0
logp_alpha = 0
# Compute the bound
if terms:
bound = {self.node_X: logp_X + logH_X}
if self.update_alpha:
bound.update({self.node_alpha: logp_alpha + logH_alpha})
else:
bound = 0 + logp_X + logp_alpha + logH_X + logH_alpha
if not gradient:
return bound
#
# Compute the gradient with respect R
#
broadcasting_multiplier = self.node_X.broadcasting_multiplier
def sum_plates(V, plates):
ones = np.ones(np.shape(R))
r = broadcasting_multiplier(plates, np.shape(V)[:-2])
return r * misc.sum_multiply(V, ones, axis=(-1, -2), sumaxis=False, keepdims=False)
D_XmuXmu = 2 * RXX - 2 * gaussian.transpose_covariance(Xmu)
DXmuXmu_alpha = np.einsum("...i,...ij->...ij", alpha, D_XmuXmu)
if self.update_alpha:
D_b = 0.5 * D_XmuXmu
XmuXmu_Dalpha = np.einsum(
"...i,...i,...i,...ij->...ij",
sum_to_plates(XmuXmu, plates_alpha, plates_from=None, ndim=0),
alpha,
-1 / b,
D_b,
)
D_b0_alpha = np.einsum("...i,...i,...i,...ij->...ij", b0, alpha, -1 / b, D_b)
D_logb = np.einsum("...i,...ij->...ij", 1 / b, D_b)
D_logalpha = -D_logb
D_a0_logalpha = a0 * D_logalpha
else:
XmuXmu_Dalpha = 0
D_logalpha = 0
D_XmuXmu_alpha = DXmuXmu_alpha + XmuXmu_Dalpha
D_logR = inv_R.T
# Compute dH(X)
dlogH_X = random.gaussian_entropy(-2 * sum_plates(D_logR, plates_X), 0)
# Compute d<log p(X|alpha)>
dlogp_X = random.gaussian_logpdf(
sum_plates(D_XmuXmu_alpha, plates_alpha[:-1]),
0,
0,
(sum_plates(D_logalpha, plates_X) * broadcasting_multiplier((D,), plates_alpha[-1:])),
0,
)
if self.update_alpha:
# Compute dH(alpha)
# This cancels out with the log(alpha) term in log(p(alpha))
dlogH_alpha = 0
# Compute d<log p(alpha)>
dlogp_alpha = random.gamma_logpdf(
sum_plates(D_b0_alpha, plates_alpha[:-1]), 0, sum_plates(D_a0_logalpha, plates_alpha[:-1]), 0, 0
)
else:
dlogH_alpha = 0
dlogp_alpha = 0
if terms:
raise NotImplementedError()
dR_bound = {self.node_X: dlogp_X + dlogH_X}
if self.update_alpha:
dR_bound.update({self.node_alpha: dlogp_alpha + dlogH_alpha})
else:
dR_bound = 0 * dlogp_X + dlogp_X + dlogp_alpha + dlogH_X + dlogH_alpha
if self.subset:
indices = np.ix_(self.subset, self.subset)
dR_bound = dR_bound[indices]
if self.plate_axis is None:
return (bound, dR_bound)
#
# Compute the gradient with respect to Q (if Q given)
#
# Some pre-computations
Q_RCovR = np.einsum("...ik,...kl,...il,...->...i", R, self.CovX, R, sumQ)
if self.precompute:
Xr_rX = np.einsum("...abcd,...jb,...jd->...jac", self.X_X, R, R)
QXr_rX = np.einsum("...akj,...ik->...aij", Xr_rX, Q)
RX_mu = np.einsum("...jk,...akbj->...jab", R, self.X_mu)
else:
RX = np.einsum("...ik,...k->...i", R, X)
QXR = np.einsum("...ik,...kj->...ij", Q, RX)
QXr_rX = np.einsum("...ik,...jk->...kij", QXR, RX)
RX_mu = np.einsum("...ik,...jk->...kij", RX, mu)
QXr_rX = sum_to_plates(QXr_rX, plates_alpha[:-2], ndim=3, plates_from=plates_X[:-1])
RX_mu = sum_to_plates(RX_mu, plates_alpha[:-2], ndim=3, plates_from=plates_X[:-1])
def psi(v):
"""
Compute: d/dQ 1/2*trace(diag(v)*<(X-mu)*(X-mu)>)
= Q*<X>'*R'*diag(v)*R*<X> + ones * Q diag( tr(R'*diag(v)*R*Cov) )
+ mu*diag(v)*R*<X>
"""
# Precompute all terms to plates_alpha because v has shape
# plates_alpha.
# Gradient of 0.5*v*<x>*<x>
v_QXrrX = np.einsum("...kij,...ik->...ij", QXr_rX, v)
# Gradient of 0.5*v*Cov
Q_tr_R_v_R_Cov = np.einsum("...k,...k->...", Q_RCovR, v)[..., None, :]
# Gradient of mu*v*x
mu_v_R_X = np.einsum("...ik,...kji->...ij", v, RX_mu)
return v_QXrrX + Q_tr_R_v_R_Cov - mu_v_R_X
def sum_plates(V, plates):
ones = np.ones(np.shape(Q))
r = self.node_X.broadcasting_multiplier(plates, np.shape(V)[:-2])
return r * misc.sum_multiply(V, ones, axis=(-1, -2), sumaxis=False, keepdims=False)
if self.update_alpha:
D_logb = psi(1 / b)
XX_Dalpha = -psi(alpha / b * sum_to_plates(XmuXmu, plates_alpha))
D_logalpha = -D_logb
else:
XX_Dalpha = 0
D_logalpha = 0
DXX_alpha = 2 * psi(alpha)
D_XX_alpha = DXX_alpha + XX_Dalpha
D_logdetQ = D / sumQ
N = np.shape(Q)[-1]
# Compute dH(X)
dQ_logHX = random.gaussian_entropy(-2 * sum_plates(D_logdetQ, plates_X[:-1]), 0)
# Compute d<log p(X|alpha)>
dQ_logpX = random.gaussian_logpdf(
sum_plates(D_XX_alpha, plates_alpha[:-2]),
0,
0,
(sum_plates(D_logalpha, plates_X[:-1]) * broadcasting_multiplier((N, D), plates_alpha[-2:])),
0,
)
if self.update_alpha:
D_alpha = -psi(alpha / b)
D_b0_alpha = b0 * D_alpha
D_a0_logalpha = a0 * D_logalpha
# Compute dH(alpha)
# This cancels out with the log(alpha) term in log(p(alpha))
dQ_logHalpha = 0
# Compute d<log p(alpha)>
dQ_logpalpha = random.gamma_logpdf(
sum_plates(D_b0_alpha, plates_alpha[:-2]), 0, sum_plates(D_a0_logalpha, plates_alpha[:-2]), 0, 0
)
else:
dQ_logHalpha = 0
dQ_logpalpha = 0
if terms:
raise NotImplementedError()
dQ_bound = {self.node_X: dQ_logpX + dQ_logHX}
if self.update_alpha:
dQ_bound.update({self.node_alpha: dQ_logpalpha + dQ_logHalpha})
else:
dQ_bound = 0 * dQ_logpX + dQ_logpX + dQ_logpalpha + dQ_logHX + dQ_logHalpha
return (bound, dR_bound, dQ_bound)