def _add(self, op1, op2, operator_name, hints):
if _type(op1) in _EFFICIENT_ADD_TO_TENSOR:
op_add_to_tensor, op_other = op1, op2
else:
op_add_to_tensor, op_other = op2, op1
return linear_operator_full_matrix.LinearOperatorFullMatrix(
matrix=op_add_to_tensor.add_to_tensor(op_other.to_dense()),
is_non_singular=hints.is_non_singular,
is_self_adjoint=hints.is_self_adjoint,
is_positive_definite=hints.is_positive_definite,
name=operator_name)
def _mean_of_covariance_given_quadrature_component(self, diag_only):
p = self.mixture_distribution.probs
# To compute E[Cov(Z|V)], we'll add matrices within three categories:
# scaled-identity, diagonal, and full. Then we'll combine these at the end.
scale_identity_multiplier = None
diag = None
full = None
for k, aff in enumerate(self.interpolated_affine):
s = aff.scale # Just in case aff.scale has side-effects, we'll call once.
if (s is None or isinstance(
s, linop_identity_lib.LinearOperatorIdentity)):
scale_identity_multiplier = add(scale_identity_multiplier,
p[..., k, array_ops.newaxis])
elif isinstance(s,
linop_identity_lib.LinearOperatorScaledIdentity):
scale_identity_multiplier = add(
scale_identity_multiplier, (p[..., k, array_ops.newaxis] *
math_ops.square(s.multiplier)))
elif isinstance(s, linop_diag_lib.LinearOperatorDiag):
diag = add(diag, (p[..., k, array_ops.newaxis] *
math_ops.square(s.diag_part())))
else:
x = (p[..., k, array_ops.newaxis, array_ops.newaxis] *
s.matmul(s.to_dense(), adjoint_arg=True))
if diag_only:
x = array_ops.matrix_diag_part(x)
full = add(full, x)
# We must now account for the fact that the base distribution might have a
# non-unity variance. Recall that, since X ~ iid Law(X_0),
# `Cov(SX+m) = S Cov(X) S.T = S S.T Diag(Var(X_0))`.
# We can scale by `Var(X)` (vs `Cov(X)`) since X corresponds to `d` iid
# samples from a scalar-event distribution.
v = self.distribution.variance()
if scale_identity_multiplier is not None:
scale_identity_multiplier *= v
if diag is not None:
diag *= v[..., array_ops.newaxis]
if full is not None:
full *= v[..., array_ops.newaxis]
if diag_only:
# Apparently we don't need the full matrix, just the diagonal.
r = add(diag, full)
if r is None and scale_identity_multiplier is not None:
ones = array_ops.ones(self.event_shape_tensor(),
dtype=self.dtype)
return scale_identity_multiplier[..., array_ops.newaxis] * ones
return add(r, scale_identity_multiplier)
# `None` indicates we don't know if the result is positive-definite.
is_positive_definite = (True if all(
aff.scale.is_positive_definite
for aff in self.endpoint_affine) else None)
to_add = []
if diag is not None:
to_add.append(
linop_diag_lib.LinearOperatorDiag(
diag=diag, is_positive_definite=is_positive_definite))
if full is not None:
to_add.append(
linop_full_lib.LinearOperatorFullMatrix(
matrix=full, is_positive_definite=is_positive_definite))
if scale_identity_multiplier is not None:
to_add.append(
linop_identity_lib.LinearOperatorScaledIdentity(
num_rows=self.event_shape_tensor()[0],
multiplier=scale_identity_multiplier,
is_positive_definite=is_positive_definite))
return (linop_add_lib.add_operators(to_add)[0].to_dense()
if to_add else None)
def _inverse_block_lower_triangular(block_lower_triangular_operator):
"""Inverse of LinearOperatorBlockLowerTriangular.
We recursively apply the identity:
```none
|A 0|' = | A' 0|
|B C| |-C'BA' C'|
```
where `A` is n-by-n, `B` is m-by-n, `C` is m-by-m, and `'` denotes inverse.
This identity can be verified through multiplication:
```none
|A 0|| A' 0|
|B C||-C'BA' C'|
= | AA' 0|
|BA'-CC'BA' CC'|
= |I 0|
|0 I|
```
Args:
block_lower_triangular_operator: Instance of
`LinearOperatorBlockLowerTriangular`.
Returns:
block_lower_triangular_operator_inverse: Instance of
`LinearOperatorBlockLowerTriangular`, the inverse of
`block_lower_triangular_operator`.
"""
if len(block_lower_triangular_operator.operators) == 1:
return (
linear_operator_block_lower_triangular.
LinearOperatorBlockLowerTriangular(
[[block_lower_triangular_operator.operators[0][0].inverse()]],
is_non_singular=block_lower_triangular_operator.
is_non_singular,
is_self_adjoint=block_lower_triangular_operator.
is_self_adjoint,
is_positive_definite=(
block_lower_triangular_operator.is_positive_definite),
is_square=True))
blockwise_dim = len(block_lower_triangular_operator.operators)
# Calculate the inverse of the `LinearOperatorBlockLowerTriangular`
# representing all but the last row of `block_lower_triangular_operator` with
# a recursive call (the matrix `A'` in the docstring definition).
upper_left_inverse = (
linear_operator_block_lower_triangular.
LinearOperatorBlockLowerTriangular(
block_lower_triangular_operator.operators[:-1]).inverse())
bottom_row = block_lower_triangular_operator.operators[-1]
bottom_right_inverse = bottom_row[-1].inverse()
# Find the bottom row of the inverse (equal to `[-C'BA', C']` in the docstring
# definition, where `C` is the bottom-right operator of
# `block_lower_triangular_operator` and `B` is the set of operators in the
# bottom row excluding `C`). To find `-C'BA'`, we first iterate over the
# column partitions of `A'`.
inverse_bottom_row = []
for i in range(blockwise_dim - 1):
# Find the `i`-th block of `BA'`.
blocks = []
for j in range(i, blockwise_dim - 1):
result = bottom_row[j].matmul(upper_left_inverse.operators[j][i])
if not any(
isinstance(result, op_type) for op_type in
linear_operator_addition.SUPPORTED_OPERATORS):
result = linear_operator_full_matrix.LinearOperatorFullMatrix(
result.to_dense())
blocks.append(result)
summed_blocks = linear_operator_addition.add_operators(blocks)
assert len(summed_blocks) == 1
block = summed_blocks[0]
# Find the `i`-th block of `-C'BA'`.
block = bottom_right_inverse.matmul(block)
block = linear_operator_identity.LinearOperatorScaledIdentity(
num_rows=bottom_right_inverse.domain_dimension_tensor(),
multiplier=math_ops.cast(-1, dtype=block.dtype)).matmul(block)
inverse_bottom_row.append(block)
# `C'` is the last block of the inverted linear operator.
inverse_bottom_row.append(bottom_right_inverse)
return (
linear_operator_block_lower_triangular.
LinearOperatorBlockLowerTriangular(
upper_left_inverse.operators + [inverse_bottom_row],
is_non_singular=block_lower_triangular_operator.is_non_singular,
is_self_adjoint=block_lower_triangular_operator.is_self_adjoint,
is_positive_definite=(
block_lower_triangular_operator.is_positive_definite),
is_square=True))
