def testStudentCDFAndLogCDF(self):
with self.test_session():
batch_size = 6
df = constant_op.constant([3.] * batch_size)
mu = constant_op.constant([7.] * batch_size)
sigma = constant_op.constant([8.] * batch_size)
df_v = 3.
mu_v = 7.
sigma_v = 8.
t = np.array([-2.5, 2.5, 8., 0., -1., 2.], dtype=np.float32)
student = student_t.StudentT(df, mu=mu, sigma=sigma)
log_cdf = student.log_cdf(t)
self.assertEquals(log_cdf.get_shape(), (6, ))
log_cdf_values = log_cdf.eval()
cdf = student.cdf(t)
self.assertEquals(cdf.get_shape(), (6, ))
cdf_values = cdf.eval()
expected_log_cdf = stats.t.logcdf(t, df_v, loc=mu_v, scale=sigma_v)
expected_cdf = stats.t.cdf(t, df_v, loc=mu_v, scale=sigma_v)
self.assertAllClose(expected_log_cdf,
log_cdf_values,
atol=0.,
rtol=1e-5)
self.assertAllClose(np.log(expected_cdf),
log_cdf_values,
atol=0.,
rtol=1e-5)
self.assertAllClose(expected_cdf, cdf_values, atol=0., rtol=1e-5)
self.assertAllClose(np.exp(expected_log_cdf),
cdf_values,
atol=0.,
rtol=1e-5)
def __init__(self,
df,
loc=None,
scale_identity_multiplier=None,
scale_diag=None,
scale_tril=None,
scale_perturb_factor=None,
scale_perturb_diag=None,
validate_args=False,
allow_nan_stats=True,
name="VectorStudentT"):
"""Instantiates the vector Student's t-distributions on `R^k`.
The `batch_shape` is the broadcast between `df.batch_shape` and
`Affine.batch_shape` where `Affine` is constructed from `loc` and
`scale_*` arguments.
The `event_shape` is the event shape of `Affine.event_shape`.
Args:
df: Floating-point `Tensor`. The degrees of freedom of the
distribution(s). `df` must contain only positive values. Must be
scalar if `loc`, `scale_*` imply non-scalar batch_shape or must have the
same `batch_shape` implied by `loc`, `scale_*`.
loc: Floating-point `Tensor`. If this is set to `None`, no `loc` is
applied.
scale_identity_multiplier: floating point rank 0 `Tensor` representing a
scaling done to the identity matrix. When `scale_identity_multiplier =
scale_diag=scale_tril = None` then `scale += IdentityMatrix`. Otherwise
no scaled-identity-matrix is added to `scale`.
scale_diag: Floating-point `Tensor` representing the diagonal matrix.
`scale_diag` has shape [N1, N2, ..., k], which represents a k x k
diagonal matrix. When `None` no diagonal term is added to `scale`.
scale_tril: Floating-point `Tensor` representing the diagonal matrix.
`scale_diag` has shape [N1, N2, ..., k, k], which represents a k x k
lower triangular matrix. When `None` no `scale_tril` term is added to
`scale`. The upper triangular elements above the diagonal are ignored.
scale_perturb_factor: Floating-point `Tensor` representing factor matrix
with last two dimensions of shape `(k, r)`. When `None`, no rank-r
update is added to `scale`.
scale_perturb_diag: Floating-point `Tensor` representing the diagonal
matrix. `scale_perturb_diag` has shape [N1, N2, ..., r], which
represents an r x r Diagonal matrix. When `None` low rank updates will
take the form `scale_perturb_factor * scale_perturb_factor.T`.
validate_args: Python `bool`, default `False`. When `True` distribution
parameters are checked for validity despite possibly degrading runtime
performance. When `False` invalid inputs may silently render incorrect
outputs.
allow_nan_stats: Python `bool`, default `True`. When `True`,
statistics (e.g., mean, mode, variance) use the value "`NaN`" to
indicate the result is undefined. When `False`, an exception is raised
if one or more of the statistic's batch members are undefined.
name: Python `str` name prefixed to Ops created by this class.
"""
parameters = locals()
graph_parents = [
df, loc, scale_identity_multiplier, scale_diag, scale_tril,
scale_perturb_factor, scale_perturb_diag
]
with ops.name_scope(name) as ns:
with ops.name_scope("init", values=graph_parents):
# The shape of the _VectorStudentT distribution is governed by the
# relationship between df.batch_shape and affine.batch_shape. In
# pseudocode the basic procedure is:
# if df.batch_shape is scalar:
# if affine.batch_shape is not scalar:
# # broadcast distribution.sample so
# # it has affine.batch_shape.
# self.batch_shape = affine.batch_shape
# else:
# if affine.batch_shape is scalar:
# # let affine broadcasting do its thing.
# self.batch_shape = df.batch_shape
# All of the above magic is actually handled by TransformedDistribution.
# Here we really only need to collect the affine.batch_shape and decide
# what we're going to pass in to TransformedDistribution's
# (override) batch_shape arg.
affine = bijectors.Affine(
shift=loc,
scale_identity_multiplier=scale_identity_multiplier,
scale_diag=scale_diag,
scale_tril=scale_tril,
scale_perturb_factor=scale_perturb_factor,
scale_perturb_diag=scale_perturb_diag,
validate_args=validate_args)
distribution = student_t.StudentT(
df=df,
loc=array_ops.zeros([], dtype=affine.dtype),
scale=array_ops.ones([], dtype=affine.dtype))
batch_shape, override_event_shape = _infer_shapes(
affine.scale, affine.shift)
override_batch_shape = distribution_util.pick_vector(
distribution.is_scalar_batch(), batch_shape,
constant_op.constant([], dtype=dtypes.int32))
super(_VectorStudentT,
self).__init__(distribution=distribution,
bijector=affine,
batch_shape=override_batch_shape,
event_shape=override_event_shape,
validate_args=validate_args,
name=ns)
self._parameters = parameters
def __init__(self,
df,
shift=None,
scale_identity_multiplier=None,
scale_diag=None,
scale_tril=None,
scale_perturb_factor=None,
scale_perturb_diag=None,
validate_args=False,
allow_nan_stats=True,
name="VectorStudentT"):
"""Instantiates the vector Student's t-distributions on `R^k`.
The `batch_shape` is the broadcast between `df.batch_shape` and
`Affine.batch_shape` where `Affine` is constructed from `shift` and
`scale_*` arguments.
The `event_shape` is the event shape of `Affine.event_shape`.
Args:
df: Numeric `Tensor`. The degrees of freedom of the distribution(s).
`df` must contain only positive values.
Must be scalar if `shift`, `scale_*` imply non-scalar batch_shape or
must have the same `batch_shape` implied by `shift`, `scale_*`.
shift: Numeric `Tensor`. If this is set to `None`, no `shift` is applied.
scale_identity_multiplier: floating point rank 0 `Tensor` representing a
scaling done to the identity matrix.
When `scale_identity_multiplier = scale_diag=scale_tril = None` then
`scale += IdentityMatrix`. Otherwise no scaled-identity-matrix is added
to `scale`.
scale_diag: Numeric `Tensor` representing the diagonal matrix.
`scale_diag` has shape [N1, N2, ... k], which represents a k x k
diagonal matrix.
When `None` no diagonal term is added to `scale`.
scale_tril: Numeric `Tensor` representing the diagonal matrix.
`scale_diag` has shape [N1, N2, ... k, k], which represents a k x k
lower triangular matrix.
When `None` no `scale_tril` term is added to `scale`.
The upper triangular elements above the diagonal are ignored.
scale_perturb_factor: Numeric `Tensor` representing factor matrix with
last two dimensions of shape `(k, r)`.
When `None`, no rank-r update is added to `scale`.
scale_perturb_diag: Numeric `Tensor` representing the diagonal matrix.
`scale_perturb_diag` has shape [N1, N2, ... r], which represents an
r x r Diagonal matrix.
When `None` low rank updates will take the form `scale_perturb_factor *
scale_perturb_factor.T`.
validate_args: `Boolean`, default `False`. Whether to validate input
with asserts. If `validate_args` is `False`, and the inputs are
invalid, correct behavior is not guaranteed.
allow_nan_stats: `Boolean`, default `True`. If `False`, raise an
exception if a statistic (e.g. mean/mode/etc...) is undefined for any
batch member If `True`, batch members with valid parameters leading to
undefined statistics will return NaN for this statistic.
name: The name to give Ops created by the initializer.
"""
parameters = locals()
parameters.pop("self")
graph_parents = [
df, shift, scale_identity_multiplier, scale_diag, scale_tril,
scale_perturb_factor, scale_perturb_diag
]
with ops.name_scope(name) as ns:
with ops.name_scope("init", values=graph_parents):
# The shape of the _VectorStudentT distribution is governed by the
# relationship between df.batch_shape and affine.batch_shape. In
# pseudocode the basic procedure is:
# if df.batch_shape is scalar:
# if affine.batch_shape is not scalar:
# # broadcast self._distribution.sample so
# # it has affine.batch_shape.
# self.batch_shape = affine.batch_shape
# else:
# if affine.batch_shape is scalar:
# # let affine broadcasting do its thing.
# self.batch_shape = df.batch_shape
# All of the above magic is actually handled by TransformedDistribution.
# Here we really only need to collect the affine.batch_shape and decide
# what we're going to pass in to TransformedDistribution's
# (override) batch_shape arg.
self._distribution = student_t.StudentT(df=df, mu=0., sigma=1.)
self._affine = bijectors.Affine(
shift=shift,
scale_identity_multiplier=scale_identity_multiplier,
scale_diag=scale_diag,
scale_tril=scale_tril,
scale_perturb_factor=scale_perturb_factor,
scale_perturb_diag=scale_perturb_diag,
validate_args=validate_args)
self._batch_shape, self._override_event_shape = _infer_shapes(
self.scale, self.shift)
self._override_batch_shape = distribution_util.pick_vector(
self._distribution.is_scalar_batch(), self._batch_shape,
constant_op.constant([], dtype=dtypes.int32))
super(_VectorStudentT,
self).__init__(distribution=self._distribution,
bijector=self._affine,
batch_shape=self._override_batch_shape,
event_shape=self._override_event_shape,
validate_args=validate_args,
name=ns)
