tfd_autoregressive: Autoregressive distribution

In tfprobability: Interface to 'TensorFlow Probability'

Autoregressive distribution

Description

The Autoregressive distribution enables learning (often) richer multivariate distributions by repeatedly applying a diffeomorphic transformation (such as implemented by Bijectors).

Usage

tfd_autoregressive(
  distribution_fn,
  sample0 = NULL,
  num_steps = NULL,
  validate_args = FALSE,
  allow_nan_stats = TRUE,
  name = "Autoregressive"
)

Arguments

distribution_fn	Function which constructs a tfd$Distribution-like instance from a Tensor (e.g., sample0). The function must respect the "autoregressive property", i.e., there exists a permutation of event such that each coordinate is a diffeomorphic function of on preceding coordinates.
sample0	Initial input to distribution_fn; used to build the distribution in __init__ which in turn specifies this distribution's properties, e.g., event_shape, batch_shape, dtype. If unspecified, then distribution_fn should be default constructable.
num_steps	Number of times distribution_fn is composed from samples, e.g., num_steps=2 implies distribution_fn(distribution_fn(sample0)$sample(n))$sample().
validate_args	Logical, default FALSE. When TRUE distribution parameters are checked for validity despite possibly degrading runtime performance. When FALSE invalid inputs may silently render incorrect outputs. Default value: FALSE.
allow_nan_stats	Logical, 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	name prefixed to Ops created by this class.

Details

Regarding terminology, "Autoregressive models decompose the joint density as a product of conditionals, and model each conditional in turn. Normalizing flows transform a base density (e.g. a standard Gaussian) into the target density by an invertible transformation with tractable Jacobian." (Papamakarios et al., 2016)

In other words, the "autoregressive property" is equivalent to the decomposition, p(x) = prod{ p(x[i] | x[0:i]) : i=0, ..., d }. The provided shift_and_log_scale_fn, tfb_masked_autoregressive_default_template, achieves this property by zeroing out weights in its masked_dense layers. Practically speaking the autoregressive property means that there exists a permutation of the event coordinates such that each coordinate is a diffeomorphic function of only preceding coordinates (van den Oord et al., 2016).

Mathematical Details

The probability function is

prob(x; fn, n) = fn(x).prob(x)

And a sample is generated by

x = fn(...fn(fn(x0).sample()).sample()).sample()

where the ellipses (...) represent n-2 composed calls to fn, fn constructs a tfd$Distribution-like instance, and x0 is a fixed initializing Tensor.

Value

a distribution instance.

References

• George Papamakarios, Theo Pavlakou, and Iain Murray. Masked Autoregressive Flow for Density Estimation. In Neural Information Processing Systems, 2017.

• Aaron van den Oord, Nal Kalchbrenner, Oriol Vinyals, Lasse Espeholt, Alex Graves, and Koray Kavukcuoglu. Conditional Image Generation with PixelCNN Decoders. In Neural Information Processing Systems, 2016.

See Also

For usage examples see e.g. tfd_sample(), tfd_log_prob(), tfd_mean().

Other distributions: tfd_batch_reshape(), tfd_bates(), tfd_bernoulli(), tfd_beta_binomial(), tfd_beta(), tfd_binomial(), tfd_categorical(), tfd_cauchy(), tfd_chi2(), tfd_chi(), tfd_cholesky_lkj(), tfd_continuous_bernoulli(), tfd_deterministic(), tfd_dirichlet_multinomial(), tfd_dirichlet(), tfd_empirical(), tfd_exp_gamma(), tfd_exp_inverse_gamma(), tfd_exponential(), tfd_gamma_gamma(), tfd_gamma(), tfd_gaussian_process_regression_model(), tfd_gaussian_process(), tfd_generalized_normal(), tfd_geometric(), tfd_gumbel(), tfd_half_cauchy(), tfd_half_normal(), tfd_hidden_markov_model(), tfd_horseshoe(), tfd_independent(), tfd_inverse_gamma(), tfd_inverse_gaussian(), tfd_johnson_s_u(), tfd_joint_distribution_named_auto_batched(), tfd_joint_distribution_named(), tfd_joint_distribution_sequential_auto_batched(), tfd_joint_distribution_sequential(), tfd_kumaraswamy(), tfd_laplace(), tfd_linear_gaussian_state_space_model(), tfd_lkj(), tfd_log_logistic(), tfd_log_normal(), tfd_logistic(), tfd_mixture_same_family(), tfd_mixture(), tfd_multinomial(), tfd_multivariate_normal_diag_plus_low_rank(), tfd_multivariate_normal_diag(), tfd_multivariate_normal_full_covariance(), tfd_multivariate_normal_linear_operator(), tfd_multivariate_normal_tri_l(), tfd_multivariate_student_t_linear_operator(), tfd_negative_binomial(), tfd_normal(), tfd_one_hot_categorical(), tfd_pareto(), tfd_pixel_cnn(), tfd_poisson_log_normal_quadrature_compound(), tfd_poisson(), tfd_power_spherical(), tfd_probit_bernoulli(), tfd_quantized(), tfd_relaxed_bernoulli(), tfd_relaxed_one_hot_categorical(), tfd_sample_distribution(), tfd_sinh_arcsinh(), tfd_skellam(), tfd_spherical_uniform(), tfd_student_t_process(), tfd_student_t(), tfd_transformed_distribution(), tfd_triangular(), tfd_truncated_cauchy(), tfd_truncated_normal(), tfd_uniform(), tfd_variational_gaussian_process(), tfd_vector_diffeomixture(), tfd_vector_exponential_diag(), tfd_vector_exponential_linear_operator(), tfd_vector_laplace_diag(), tfd_vector_laplace_linear_operator(), tfd_vector_sinh_arcsinh_diag(), tfd_von_mises_fisher(), tfd_von_mises(), tfd_weibull(), tfd_wishart_linear_operator(), tfd_wishart_tri_l(), tfd_wishart(), tfd_zipf()

tfprobability documentation built on Sept. 1, 2022, 5:07 p.m.