kl.py 30 KB

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  1. import math
  2. import warnings
  3. from functools import total_ordering
  4. from typing import Type, Dict, Callable, Tuple
  5. import torch
  6. from torch._six import inf
  7. from .bernoulli import Bernoulli
  8. from .beta import Beta
  9. from .binomial import Binomial
  10. from .categorical import Categorical
  11. from .cauchy import Cauchy
  12. from .continuous_bernoulli import ContinuousBernoulli
  13. from .dirichlet import Dirichlet
  14. from .distribution import Distribution
  15. from .exponential import Exponential
  16. from .exp_family import ExponentialFamily
  17. from .gamma import Gamma
  18. from .geometric import Geometric
  19. from .gumbel import Gumbel
  20. from .half_normal import HalfNormal
  21. from .independent import Independent
  22. from .laplace import Laplace
  23. from .lowrank_multivariate_normal import (LowRankMultivariateNormal, _batch_lowrank_logdet,
  24. _batch_lowrank_mahalanobis)
  25. from .multivariate_normal import (MultivariateNormal, _batch_mahalanobis)
  26. from .normal import Normal
  27. from .one_hot_categorical import OneHotCategorical
  28. from .pareto import Pareto
  29. from .poisson import Poisson
  30. from .transformed_distribution import TransformedDistribution
  31. from .uniform import Uniform
  32. from .utils import _sum_rightmost, euler_constant as _euler_gamma
  33. _KL_REGISTRY = {} # Source of truth mapping a few general (type, type) pairs to functions.
  34. _KL_MEMOIZE: Dict[Tuple[Type, Type], Callable] = {} # Memoized version mapping many specific (type, type) pairs to functions.
  35. def register_kl(type_p, type_q):
  36. """
  37. Decorator to register a pairwise function with :meth:`kl_divergence`.
  38. Usage::
  39. @register_kl(Normal, Normal)
  40. def kl_normal_normal(p, q):
  41. # insert implementation here
  42. Lookup returns the most specific (type,type) match ordered by subclass. If
  43. the match is ambiguous, a `RuntimeWarning` is raised. For example to
  44. resolve the ambiguous situation::
  45. @register_kl(BaseP, DerivedQ)
  46. def kl_version1(p, q): ...
  47. @register_kl(DerivedP, BaseQ)
  48. def kl_version2(p, q): ...
  49. you should register a third most-specific implementation, e.g.::
  50. register_kl(DerivedP, DerivedQ)(kl_version1) # Break the tie.
  51. Args:
  52. type_p (type): A subclass of :class:`~torch.distributions.Distribution`.
  53. type_q (type): A subclass of :class:`~torch.distributions.Distribution`.
  54. """
  55. if not isinstance(type_p, type) and issubclass(type_p, Distribution):
  56. raise TypeError('Expected type_p to be a Distribution subclass but got {}'.format(type_p))
  57. if not isinstance(type_q, type) and issubclass(type_q, Distribution):
  58. raise TypeError('Expected type_q to be a Distribution subclass but got {}'.format(type_q))
  59. def decorator(fun):
  60. _KL_REGISTRY[type_p, type_q] = fun
  61. _KL_MEMOIZE.clear() # reset since lookup order may have changed
  62. return fun
  63. return decorator
  64. @total_ordering
  65. class _Match(object):
  66. __slots__ = ['types']
  67. def __init__(self, *types):
  68. self.types = types
  69. def __eq__(self, other):
  70. return self.types == other.types
  71. def __le__(self, other):
  72. for x, y in zip(self.types, other.types):
  73. if not issubclass(x, y):
  74. return False
  75. if x is not y:
  76. break
  77. return True
  78. def _dispatch_kl(type_p, type_q):
  79. """
  80. Find the most specific approximate match, assuming single inheritance.
  81. """
  82. matches = [(super_p, super_q) for super_p, super_q in _KL_REGISTRY
  83. if issubclass(type_p, super_p) and issubclass(type_q, super_q)]
  84. if not matches:
  85. return NotImplemented
  86. # Check that the left- and right- lexicographic orders agree.
  87. # mypy isn't smart enough to know that _Match implements __lt__
  88. # see: https://github.com/python/typing/issues/760#issuecomment-710670503
  89. left_p, left_q = min(_Match(*m) for m in matches).types # type: ignore[type-var]
  90. right_q, right_p = min(_Match(*reversed(m)) for m in matches).types # type: ignore[type-var]
  91. left_fun = _KL_REGISTRY[left_p, left_q]
  92. right_fun = _KL_REGISTRY[right_p, right_q]
  93. if left_fun is not right_fun:
  94. warnings.warn('Ambiguous kl_divergence({}, {}). Please register_kl({}, {})'.format(
  95. type_p.__name__, type_q.__name__, left_p.__name__, right_q.__name__),
  96. RuntimeWarning)
  97. return left_fun
  98. def _infinite_like(tensor):
  99. """
  100. Helper function for obtaining infinite KL Divergence throughout
  101. """
  102. return torch.full_like(tensor, inf)
  103. def _x_log_x(tensor):
  104. """
  105. Utility function for calculating x log x
  106. """
  107. return tensor * tensor.log()
  108. def _batch_trace_XXT(bmat):
  109. """
  110. Utility function for calculating the trace of XX^{T} with X having arbitrary trailing batch dimensions
  111. """
  112. n = bmat.size(-1)
  113. m = bmat.size(-2)
  114. flat_trace = bmat.reshape(-1, m * n).pow(2).sum(-1)
  115. return flat_trace.reshape(bmat.shape[:-2])
  116. def kl_divergence(p, q):
  117. r"""
  118. Compute Kullback-Leibler divergence :math:`KL(p \| q)` between two distributions.
  119. .. math::
  120. KL(p \| q) = \int p(x) \log\frac {p(x)} {q(x)} \,dx
  121. Args:
  122. p (Distribution): A :class:`~torch.distributions.Distribution` object.
  123. q (Distribution): A :class:`~torch.distributions.Distribution` object.
  124. Returns:
  125. Tensor: A batch of KL divergences of shape `batch_shape`.
  126. Raises:
  127. NotImplementedError: If the distribution types have not been registered via
  128. :meth:`register_kl`.
  129. """
  130. try:
  131. fun = _KL_MEMOIZE[type(p), type(q)]
  132. except KeyError:
  133. fun = _dispatch_kl(type(p), type(q))
  134. _KL_MEMOIZE[type(p), type(q)] = fun
  135. if fun is NotImplemented:
  136. raise NotImplementedError("No KL(p || q) is implemented for p type {} and q type {}"
  137. .format(p.__class__.__name__, q.__class__.__name__))
  138. return fun(p, q)
  139. ################################################################################
  140. # KL Divergence Implementations
  141. ################################################################################
  142. # Same distributions
  143. @register_kl(Bernoulli, Bernoulli)
  144. def _kl_bernoulli_bernoulli(p, q):
  145. t1 = p.probs * (p.probs / q.probs).log()
  146. t1[q.probs == 0] = inf
  147. t1[p.probs == 0] = 0
  148. t2 = (1 - p.probs) * ((1 - p.probs) / (1 - q.probs)).log()
  149. t2[q.probs == 1] = inf
  150. t2[p.probs == 1] = 0
  151. return t1 + t2
  152. @register_kl(Beta, Beta)
  153. def _kl_beta_beta(p, q):
  154. sum_params_p = p.concentration1 + p.concentration0
  155. sum_params_q = q.concentration1 + q.concentration0
  156. t1 = q.concentration1.lgamma() + q.concentration0.lgamma() + (sum_params_p).lgamma()
  157. t2 = p.concentration1.lgamma() + p.concentration0.lgamma() + (sum_params_q).lgamma()
  158. t3 = (p.concentration1 - q.concentration1) * torch.digamma(p.concentration1)
  159. t4 = (p.concentration0 - q.concentration0) * torch.digamma(p.concentration0)
  160. t5 = (sum_params_q - sum_params_p) * torch.digamma(sum_params_p)
  161. return t1 - t2 + t3 + t4 + t5
  162. @register_kl(Binomial, Binomial)
  163. def _kl_binomial_binomial(p, q):
  164. # from https://math.stackexchange.com/questions/2214993/
  165. # kullback-leibler-divergence-for-binomial-distributions-p-and-q
  166. if (p.total_count < q.total_count).any():
  167. raise NotImplementedError('KL between Binomials where q.total_count > p.total_count is not implemented')
  168. kl = p.total_count * (p.probs * (p.logits - q.logits) + (-p.probs).log1p() - (-q.probs).log1p())
  169. inf_idxs = p.total_count > q.total_count
  170. kl[inf_idxs] = _infinite_like(kl[inf_idxs])
  171. return kl
  172. @register_kl(Categorical, Categorical)
  173. def _kl_categorical_categorical(p, q):
  174. t = p.probs * (p.logits - q.logits)
  175. t[(q.probs == 0).expand_as(t)] = inf
  176. t[(p.probs == 0).expand_as(t)] = 0
  177. return t.sum(-1)
  178. @register_kl(ContinuousBernoulli, ContinuousBernoulli)
  179. def _kl_continuous_bernoulli_continuous_bernoulli(p, q):
  180. t1 = p.mean * (p.logits - q.logits)
  181. t2 = p._cont_bern_log_norm() + torch.log1p(-p.probs)
  182. t3 = - q._cont_bern_log_norm() - torch.log1p(-q.probs)
  183. return t1 + t2 + t3
  184. @register_kl(Dirichlet, Dirichlet)
  185. def _kl_dirichlet_dirichlet(p, q):
  186. # From http://bariskurt.com/kullback-leibler-divergence-between-two-dirichlet-and-beta-distributions/
  187. sum_p_concentration = p.concentration.sum(-1)
  188. sum_q_concentration = q.concentration.sum(-1)
  189. t1 = sum_p_concentration.lgamma() - sum_q_concentration.lgamma()
  190. t2 = (p.concentration.lgamma() - q.concentration.lgamma()).sum(-1)
  191. t3 = p.concentration - q.concentration
  192. t4 = p.concentration.digamma() - sum_p_concentration.digamma().unsqueeze(-1)
  193. return t1 - t2 + (t3 * t4).sum(-1)
  194. @register_kl(Exponential, Exponential)
  195. def _kl_exponential_exponential(p, q):
  196. rate_ratio = q.rate / p.rate
  197. t1 = -rate_ratio.log()
  198. return t1 + rate_ratio - 1
  199. @register_kl(ExponentialFamily, ExponentialFamily)
  200. def _kl_expfamily_expfamily(p, q):
  201. if not type(p) == type(q):
  202. raise NotImplementedError("The cross KL-divergence between different exponential families cannot \
  203. be computed using Bregman divergences")
  204. p_nparams = [np.detach().requires_grad_() for np in p._natural_params]
  205. q_nparams = q._natural_params
  206. lg_normal = p._log_normalizer(*p_nparams)
  207. gradients = torch.autograd.grad(lg_normal.sum(), p_nparams, create_graph=True)
  208. result = q._log_normalizer(*q_nparams) - lg_normal
  209. for pnp, qnp, g in zip(p_nparams, q_nparams, gradients):
  210. term = (qnp - pnp) * g
  211. result -= _sum_rightmost(term, len(q.event_shape))
  212. return result
  213. @register_kl(Gamma, Gamma)
  214. def _kl_gamma_gamma(p, q):
  215. t1 = q.concentration * (p.rate / q.rate).log()
  216. t2 = torch.lgamma(q.concentration) - torch.lgamma(p.concentration)
  217. t3 = (p.concentration - q.concentration) * torch.digamma(p.concentration)
  218. t4 = (q.rate - p.rate) * (p.concentration / p.rate)
  219. return t1 + t2 + t3 + t4
  220. @register_kl(Gumbel, Gumbel)
  221. def _kl_gumbel_gumbel(p, q):
  222. ct1 = p.scale / q.scale
  223. ct2 = q.loc / q.scale
  224. ct3 = p.loc / q.scale
  225. t1 = -ct1.log() - ct2 + ct3
  226. t2 = ct1 * _euler_gamma
  227. t3 = torch.exp(ct2 + (1 + ct1).lgamma() - ct3)
  228. return t1 + t2 + t3 - (1 + _euler_gamma)
  229. @register_kl(Geometric, Geometric)
  230. def _kl_geometric_geometric(p, q):
  231. return -p.entropy() - torch.log1p(-q.probs) / p.probs - q.logits
  232. @register_kl(HalfNormal, HalfNormal)
  233. def _kl_halfnormal_halfnormal(p, q):
  234. return _kl_normal_normal(p.base_dist, q.base_dist)
  235. @register_kl(Laplace, Laplace)
  236. def _kl_laplace_laplace(p, q):
  237. # From http://www.mast.queensu.ca/~communications/Papers/gil-msc11.pdf
  238. scale_ratio = p.scale / q.scale
  239. loc_abs_diff = (p.loc - q.loc).abs()
  240. t1 = -scale_ratio.log()
  241. t2 = loc_abs_diff / q.scale
  242. t3 = scale_ratio * torch.exp(-loc_abs_diff / p.scale)
  243. return t1 + t2 + t3 - 1
  244. @register_kl(LowRankMultivariateNormal, LowRankMultivariateNormal)
  245. def _kl_lowrankmultivariatenormal_lowrankmultivariatenormal(p, q):
  246. if p.event_shape != q.event_shape:
  247. raise ValueError("KL-divergence between two Low Rank Multivariate Normals with\
  248. different event shapes cannot be computed")
  249. term1 = (_batch_lowrank_logdet(q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag,
  250. q._capacitance_tril) -
  251. _batch_lowrank_logdet(p._unbroadcasted_cov_factor, p._unbroadcasted_cov_diag,
  252. p._capacitance_tril))
  253. term3 = _batch_lowrank_mahalanobis(q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag,
  254. q.loc - p.loc,
  255. q._capacitance_tril)
  256. # Expands term2 according to
  257. # inv(qcov) @ pcov = [inv(qD) - inv(qD) @ qW @ inv(qC) @ qW.T @ inv(qD)] @ (pW @ pW.T + pD)
  258. # = [inv(qD) - A.T @ A] @ (pD + pW @ pW.T)
  259. qWt_qDinv = (q._unbroadcasted_cov_factor.mT /
  260. q._unbroadcasted_cov_diag.unsqueeze(-2))
  261. A = torch.linalg.solve_triangular(q._capacitance_tril, qWt_qDinv, upper=False)
  262. term21 = (p._unbroadcasted_cov_diag / q._unbroadcasted_cov_diag).sum(-1)
  263. term22 = _batch_trace_XXT(p._unbroadcasted_cov_factor *
  264. q._unbroadcasted_cov_diag.rsqrt().unsqueeze(-1))
  265. term23 = _batch_trace_XXT(A * p._unbroadcasted_cov_diag.sqrt().unsqueeze(-2))
  266. term24 = _batch_trace_XXT(A.matmul(p._unbroadcasted_cov_factor))
  267. term2 = term21 + term22 - term23 - term24
  268. return 0.5 * (term1 + term2 + term3 - p.event_shape[0])
  269. @register_kl(MultivariateNormal, LowRankMultivariateNormal)
  270. def _kl_multivariatenormal_lowrankmultivariatenormal(p, q):
  271. if p.event_shape != q.event_shape:
  272. raise ValueError("KL-divergence between two (Low Rank) Multivariate Normals with\
  273. different event shapes cannot be computed")
  274. term1 = (_batch_lowrank_logdet(q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag,
  275. q._capacitance_tril) -
  276. 2 * p._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1))
  277. term3 = _batch_lowrank_mahalanobis(q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag,
  278. q.loc - p.loc,
  279. q._capacitance_tril)
  280. # Expands term2 according to
  281. # inv(qcov) @ pcov = [inv(qD) - inv(qD) @ qW @ inv(qC) @ qW.T @ inv(qD)] @ p_tril @ p_tril.T
  282. # = [inv(qD) - A.T @ A] @ p_tril @ p_tril.T
  283. qWt_qDinv = (q._unbroadcasted_cov_factor.mT /
  284. q._unbroadcasted_cov_diag.unsqueeze(-2))
  285. A = torch.linalg.solve_triangular(q._capacitance_tril, qWt_qDinv, upper=False)
  286. term21 = _batch_trace_XXT(p._unbroadcasted_scale_tril *
  287. q._unbroadcasted_cov_diag.rsqrt().unsqueeze(-1))
  288. term22 = _batch_trace_XXT(A.matmul(p._unbroadcasted_scale_tril))
  289. term2 = term21 - term22
  290. return 0.5 * (term1 + term2 + term3 - p.event_shape[0])
  291. @register_kl(LowRankMultivariateNormal, MultivariateNormal)
  292. def _kl_lowrankmultivariatenormal_multivariatenormal(p, q):
  293. if p.event_shape != q.event_shape:
  294. raise ValueError("KL-divergence between two (Low Rank) Multivariate Normals with\
  295. different event shapes cannot be computed")
  296. term1 = (2 * q._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1) -
  297. _batch_lowrank_logdet(p._unbroadcasted_cov_factor, p._unbroadcasted_cov_diag,
  298. p._capacitance_tril))
  299. term3 = _batch_mahalanobis(q._unbroadcasted_scale_tril, (q.loc - p.loc))
  300. # Expands term2 according to
  301. # inv(qcov) @ pcov = inv(q_tril @ q_tril.T) @ (pW @ pW.T + pD)
  302. combined_batch_shape = torch._C._infer_size(q._unbroadcasted_scale_tril.shape[:-2],
  303. p._unbroadcasted_cov_factor.shape[:-2])
  304. n = p.event_shape[0]
  305. q_scale_tril = q._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n))
  306. p_cov_factor = p._unbroadcasted_cov_factor.expand(combined_batch_shape +
  307. (n, p.cov_factor.size(-1)))
  308. p_cov_diag = (torch.diag_embed(p._unbroadcasted_cov_diag.sqrt())
  309. .expand(combined_batch_shape + (n, n)))
  310. term21 = _batch_trace_XXT(torch.linalg.solve_triangular(q_scale_tril, p_cov_factor, upper=False))
  311. term22 = _batch_trace_XXT(torch.linalg.solve_triangular(q_scale_tril, p_cov_diag, upper=False))
  312. term2 = term21 + term22
  313. return 0.5 * (term1 + term2 + term3 - p.event_shape[0])
  314. @register_kl(MultivariateNormal, MultivariateNormal)
  315. def _kl_multivariatenormal_multivariatenormal(p, q):
  316. # From https://en.wikipedia.org/wiki/Multivariate_normal_distribution#Kullback%E2%80%93Leibler_divergence
  317. if p.event_shape != q.event_shape:
  318. raise ValueError("KL-divergence between two Multivariate Normals with\
  319. different event shapes cannot be computed")
  320. half_term1 = (q._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1) -
  321. p._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1))
  322. combined_batch_shape = torch._C._infer_size(q._unbroadcasted_scale_tril.shape[:-2],
  323. p._unbroadcasted_scale_tril.shape[:-2])
  324. n = p.event_shape[0]
  325. q_scale_tril = q._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n))
  326. p_scale_tril = p._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n))
  327. term2 = _batch_trace_XXT(torch.linalg.solve_triangular(q_scale_tril, p_scale_tril, upper=False))
  328. term3 = _batch_mahalanobis(q._unbroadcasted_scale_tril, (q.loc - p.loc))
  329. return half_term1 + 0.5 * (term2 + term3 - n)
  330. @register_kl(Normal, Normal)
  331. def _kl_normal_normal(p, q):
  332. var_ratio = (p.scale / q.scale).pow(2)
  333. t1 = ((p.loc - q.loc) / q.scale).pow(2)
  334. return 0.5 * (var_ratio + t1 - 1 - var_ratio.log())
  335. @register_kl(OneHotCategorical, OneHotCategorical)
  336. def _kl_onehotcategorical_onehotcategorical(p, q):
  337. return _kl_categorical_categorical(p._categorical, q._categorical)
  338. @register_kl(Pareto, Pareto)
  339. def _kl_pareto_pareto(p, q):
  340. # From http://www.mast.queensu.ca/~communications/Papers/gil-msc11.pdf
  341. scale_ratio = p.scale / q.scale
  342. alpha_ratio = q.alpha / p.alpha
  343. t1 = q.alpha * scale_ratio.log()
  344. t2 = -alpha_ratio.log()
  345. result = t1 + t2 + alpha_ratio - 1
  346. result[p.support.lower_bound < q.support.lower_bound] = inf
  347. return result
  348. @register_kl(Poisson, Poisson)
  349. def _kl_poisson_poisson(p, q):
  350. return p.rate * (p.rate.log() - q.rate.log()) - (p.rate - q.rate)
  351. @register_kl(TransformedDistribution, TransformedDistribution)
  352. def _kl_transformed_transformed(p, q):
  353. if p.transforms != q.transforms:
  354. raise NotImplementedError
  355. if p.event_shape != q.event_shape:
  356. raise NotImplementedError
  357. return kl_divergence(p.base_dist, q.base_dist)
  358. @register_kl(Uniform, Uniform)
  359. def _kl_uniform_uniform(p, q):
  360. result = ((q.high - q.low) / (p.high - p.low)).log()
  361. result[(q.low > p.low) | (q.high < p.high)] = inf
  362. return result
  363. # Different distributions
  364. @register_kl(Bernoulli, Poisson)
  365. def _kl_bernoulli_poisson(p, q):
  366. return -p.entropy() - (p.probs * q.rate.log() - q.rate)
  367. @register_kl(Beta, ContinuousBernoulli)
  368. def _kl_beta_continuous_bernoulli(p, q):
  369. return -p.entropy() - p.mean * q.logits - torch.log1p(-q.probs) - q._cont_bern_log_norm()
  370. @register_kl(Beta, Pareto)
  371. def _kl_beta_infinity(p, q):
  372. return _infinite_like(p.concentration1)
  373. @register_kl(Beta, Exponential)
  374. def _kl_beta_exponential(p, q):
  375. return -p.entropy() - q.rate.log() + q.rate * (p.concentration1 / (p.concentration1 + p.concentration0))
  376. @register_kl(Beta, Gamma)
  377. def _kl_beta_gamma(p, q):
  378. t1 = -p.entropy()
  379. t2 = q.concentration.lgamma() - q.concentration * q.rate.log()
  380. t3 = (q.concentration - 1) * (p.concentration1.digamma() - (p.concentration1 + p.concentration0).digamma())
  381. t4 = q.rate * p.concentration1 / (p.concentration1 + p.concentration0)
  382. return t1 + t2 - t3 + t4
  383. # TODO: Add Beta-Laplace KL Divergence
  384. @register_kl(Beta, Normal)
  385. def _kl_beta_normal(p, q):
  386. E_beta = p.concentration1 / (p.concentration1 + p.concentration0)
  387. var_normal = q.scale.pow(2)
  388. t1 = -p.entropy()
  389. t2 = 0.5 * (var_normal * 2 * math.pi).log()
  390. t3 = (E_beta * (1 - E_beta) / (p.concentration1 + p.concentration0 + 1) + E_beta.pow(2)) * 0.5
  391. t4 = q.loc * E_beta
  392. t5 = q.loc.pow(2) * 0.5
  393. return t1 + t2 + (t3 - t4 + t5) / var_normal
  394. @register_kl(Beta, Uniform)
  395. def _kl_beta_uniform(p, q):
  396. result = -p.entropy() + (q.high - q.low).log()
  397. result[(q.low > p.support.lower_bound) | (q.high < p.support.upper_bound)] = inf
  398. return result
  399. # Note that the KL between a ContinuousBernoulli and Beta has no closed form
  400. @register_kl(ContinuousBernoulli, Pareto)
  401. def _kl_continuous_bernoulli_infinity(p, q):
  402. return _infinite_like(p.probs)
  403. @register_kl(ContinuousBernoulli, Exponential)
  404. def _kl_continuous_bernoulli_exponential(p, q):
  405. return -p.entropy() - torch.log(q.rate) + q.rate * p.mean
  406. # Note that the KL between a ContinuousBernoulli and Gamma has no closed form
  407. # TODO: Add ContinuousBernoulli-Laplace KL Divergence
  408. @register_kl(ContinuousBernoulli, Normal)
  409. def _kl_continuous_bernoulli_normal(p, q):
  410. t1 = -p.entropy()
  411. t2 = 0.5 * (math.log(2. * math.pi) + torch.square(q.loc / q.scale)) + torch.log(q.scale)
  412. t3 = (p.variance + torch.square(p.mean) - 2. * q.loc * p.mean) / (2.0 * torch.square(q.scale))
  413. return t1 + t2 + t3
  414. @register_kl(ContinuousBernoulli, Uniform)
  415. def _kl_continuous_bernoulli_uniform(p, q):
  416. result = -p.entropy() + (q.high - q.low).log()
  417. return torch.where(torch.max(torch.ge(q.low, p.support.lower_bound),
  418. torch.le(q.high, p.support.upper_bound)),
  419. torch.ones_like(result) * inf, result)
  420. @register_kl(Exponential, Beta)
  421. @register_kl(Exponential, ContinuousBernoulli)
  422. @register_kl(Exponential, Pareto)
  423. @register_kl(Exponential, Uniform)
  424. def _kl_exponential_infinity(p, q):
  425. return _infinite_like(p.rate)
  426. @register_kl(Exponential, Gamma)
  427. def _kl_exponential_gamma(p, q):
  428. ratio = q.rate / p.rate
  429. t1 = -q.concentration * torch.log(ratio)
  430. return t1 + ratio + q.concentration.lgamma() + q.concentration * _euler_gamma - (1 + _euler_gamma)
  431. @register_kl(Exponential, Gumbel)
  432. def _kl_exponential_gumbel(p, q):
  433. scale_rate_prod = p.rate * q.scale
  434. loc_scale_ratio = q.loc / q.scale
  435. t1 = scale_rate_prod.log() - 1
  436. t2 = torch.exp(loc_scale_ratio) * scale_rate_prod / (scale_rate_prod + 1)
  437. t3 = scale_rate_prod.reciprocal()
  438. return t1 - loc_scale_ratio + t2 + t3
  439. # TODO: Add Exponential-Laplace KL Divergence
  440. @register_kl(Exponential, Normal)
  441. def _kl_exponential_normal(p, q):
  442. var_normal = q.scale.pow(2)
  443. rate_sqr = p.rate.pow(2)
  444. t1 = 0.5 * torch.log(rate_sqr * var_normal * 2 * math.pi)
  445. t2 = rate_sqr.reciprocal()
  446. t3 = q.loc / p.rate
  447. t4 = q.loc.pow(2) * 0.5
  448. return t1 - 1 + (t2 - t3 + t4) / var_normal
  449. @register_kl(Gamma, Beta)
  450. @register_kl(Gamma, ContinuousBernoulli)
  451. @register_kl(Gamma, Pareto)
  452. @register_kl(Gamma, Uniform)
  453. def _kl_gamma_infinity(p, q):
  454. return _infinite_like(p.concentration)
  455. @register_kl(Gamma, Exponential)
  456. def _kl_gamma_exponential(p, q):
  457. return -p.entropy() - q.rate.log() + q.rate * p.concentration / p.rate
  458. @register_kl(Gamma, Gumbel)
  459. def _kl_gamma_gumbel(p, q):
  460. beta_scale_prod = p.rate * q.scale
  461. loc_scale_ratio = q.loc / q.scale
  462. t1 = (p.concentration - 1) * p.concentration.digamma() - p.concentration.lgamma() - p.concentration
  463. t2 = beta_scale_prod.log() + p.concentration / beta_scale_prod
  464. t3 = torch.exp(loc_scale_ratio) * (1 + beta_scale_prod.reciprocal()).pow(-p.concentration) - loc_scale_ratio
  465. return t1 + t2 + t3
  466. # TODO: Add Gamma-Laplace KL Divergence
  467. @register_kl(Gamma, Normal)
  468. def _kl_gamma_normal(p, q):
  469. var_normal = q.scale.pow(2)
  470. beta_sqr = p.rate.pow(2)
  471. t1 = 0.5 * torch.log(beta_sqr * var_normal * 2 * math.pi) - p.concentration - p.concentration.lgamma()
  472. t2 = 0.5 * (p.concentration.pow(2) + p.concentration) / beta_sqr
  473. t3 = q.loc * p.concentration / p.rate
  474. t4 = 0.5 * q.loc.pow(2)
  475. return t1 + (p.concentration - 1) * p.concentration.digamma() + (t2 - t3 + t4) / var_normal
  476. @register_kl(Gumbel, Beta)
  477. @register_kl(Gumbel, ContinuousBernoulli)
  478. @register_kl(Gumbel, Exponential)
  479. @register_kl(Gumbel, Gamma)
  480. @register_kl(Gumbel, Pareto)
  481. @register_kl(Gumbel, Uniform)
  482. def _kl_gumbel_infinity(p, q):
  483. return _infinite_like(p.loc)
  484. # TODO: Add Gumbel-Laplace KL Divergence
  485. @register_kl(Gumbel, Normal)
  486. def _kl_gumbel_normal(p, q):
  487. param_ratio = p.scale / q.scale
  488. t1 = (param_ratio / math.sqrt(2 * math.pi)).log()
  489. t2 = (math.pi * param_ratio * 0.5).pow(2) / 3
  490. t3 = ((p.loc + p.scale * _euler_gamma - q.loc) / q.scale).pow(2) * 0.5
  491. return -t1 + t2 + t3 - (_euler_gamma + 1)
  492. @register_kl(Laplace, Beta)
  493. @register_kl(Laplace, ContinuousBernoulli)
  494. @register_kl(Laplace, Exponential)
  495. @register_kl(Laplace, Gamma)
  496. @register_kl(Laplace, Pareto)
  497. @register_kl(Laplace, Uniform)
  498. def _kl_laplace_infinity(p, q):
  499. return _infinite_like(p.loc)
  500. @register_kl(Laplace, Normal)
  501. def _kl_laplace_normal(p, q):
  502. var_normal = q.scale.pow(2)
  503. scale_sqr_var_ratio = p.scale.pow(2) / var_normal
  504. t1 = 0.5 * torch.log(2 * scale_sqr_var_ratio / math.pi)
  505. t2 = 0.5 * p.loc.pow(2)
  506. t3 = p.loc * q.loc
  507. t4 = 0.5 * q.loc.pow(2)
  508. return -t1 + scale_sqr_var_ratio + (t2 - t3 + t4) / var_normal - 1
  509. @register_kl(Normal, Beta)
  510. @register_kl(Normal, ContinuousBernoulli)
  511. @register_kl(Normal, Exponential)
  512. @register_kl(Normal, Gamma)
  513. @register_kl(Normal, Pareto)
  514. @register_kl(Normal, Uniform)
  515. def _kl_normal_infinity(p, q):
  516. return _infinite_like(p.loc)
  517. @register_kl(Normal, Gumbel)
  518. def _kl_normal_gumbel(p, q):
  519. mean_scale_ratio = p.loc / q.scale
  520. var_scale_sqr_ratio = (p.scale / q.scale).pow(2)
  521. loc_scale_ratio = q.loc / q.scale
  522. t1 = var_scale_sqr_ratio.log() * 0.5
  523. t2 = mean_scale_ratio - loc_scale_ratio
  524. t3 = torch.exp(-mean_scale_ratio + 0.5 * var_scale_sqr_ratio + loc_scale_ratio)
  525. return -t1 + t2 + t3 - (0.5 * (1 + math.log(2 * math.pi)))
  526. @register_kl(Normal, Laplace)
  527. def _kl_normal_laplace(p, q):
  528. loc_diff = p.loc - q.loc
  529. scale_ratio = p.scale / q.scale
  530. loc_diff_scale_ratio = loc_diff / p.scale
  531. t1 = torch.log(scale_ratio)
  532. t2 = math.sqrt(2 / math.pi) * p.scale * torch.exp(-0.5 * loc_diff_scale_ratio.pow(2))
  533. t3 = loc_diff * torch.erf(math.sqrt(0.5) * loc_diff_scale_ratio)
  534. return -t1 + (t2 + t3) / q.scale - (0.5 * (1 + math.log(0.5 * math.pi)))
  535. @register_kl(Pareto, Beta)
  536. @register_kl(Pareto, ContinuousBernoulli)
  537. @register_kl(Pareto, Uniform)
  538. def _kl_pareto_infinity(p, q):
  539. return _infinite_like(p.scale)
  540. @register_kl(Pareto, Exponential)
  541. def _kl_pareto_exponential(p, q):
  542. scale_rate_prod = p.scale * q.rate
  543. t1 = (p.alpha / scale_rate_prod).log()
  544. t2 = p.alpha.reciprocal()
  545. t3 = p.alpha * scale_rate_prod / (p.alpha - 1)
  546. result = t1 - t2 + t3 - 1
  547. result[p.alpha <= 1] = inf
  548. return result
  549. @register_kl(Pareto, Gamma)
  550. def _kl_pareto_gamma(p, q):
  551. common_term = p.scale.log() + p.alpha.reciprocal()
  552. t1 = p.alpha.log() - common_term
  553. t2 = q.concentration.lgamma() - q.concentration * q.rate.log()
  554. t3 = (1 - q.concentration) * common_term
  555. t4 = q.rate * p.alpha * p.scale / (p.alpha - 1)
  556. result = t1 + t2 + t3 + t4 - 1
  557. result[p.alpha <= 1] = inf
  558. return result
  559. # TODO: Add Pareto-Laplace KL Divergence
  560. @register_kl(Pareto, Normal)
  561. def _kl_pareto_normal(p, q):
  562. var_normal = 2 * q.scale.pow(2)
  563. common_term = p.scale / (p.alpha - 1)
  564. t1 = (math.sqrt(2 * math.pi) * q.scale * p.alpha / p.scale).log()
  565. t2 = p.alpha.reciprocal()
  566. t3 = p.alpha * common_term.pow(2) / (p.alpha - 2)
  567. t4 = (p.alpha * common_term - q.loc).pow(2)
  568. result = t1 - t2 + (t3 + t4) / var_normal - 1
  569. result[p.alpha <= 2] = inf
  570. return result
  571. @register_kl(Poisson, Bernoulli)
  572. @register_kl(Poisson, Binomial)
  573. def _kl_poisson_infinity(p, q):
  574. return _infinite_like(p.rate)
  575. @register_kl(Uniform, Beta)
  576. def _kl_uniform_beta(p, q):
  577. common_term = p.high - p.low
  578. t1 = torch.log(common_term)
  579. t2 = (q.concentration1 - 1) * (_x_log_x(p.high) - _x_log_x(p.low) - common_term) / common_term
  580. t3 = (q.concentration0 - 1) * (_x_log_x((1 - p.high)) - _x_log_x((1 - p.low)) + common_term) / common_term
  581. t4 = q.concentration1.lgamma() + q.concentration0.lgamma() - (q.concentration1 + q.concentration0).lgamma()
  582. result = t3 + t4 - t1 - t2
  583. result[(p.high > q.support.upper_bound) | (p.low < q.support.lower_bound)] = inf
  584. return result
  585. @register_kl(Uniform, ContinuousBernoulli)
  586. def _kl_uniform_continuous_bernoulli(p, q):
  587. result = -p.entropy() - p.mean * q.logits - torch.log1p(-q.probs) - q._cont_bern_log_norm()
  588. return torch.where(torch.max(torch.ge(p.high, q.support.upper_bound),
  589. torch.le(p.low, q.support.lower_bound)),
  590. torch.ones_like(result) * inf, result)
  591. @register_kl(Uniform, Exponential)
  592. def _kl_uniform_exponetial(p, q):
  593. result = q.rate * (p.high + p.low) / 2 - ((p.high - p.low) * q.rate).log()
  594. result[p.low < q.support.lower_bound] = inf
  595. return result
  596. @register_kl(Uniform, Gamma)
  597. def _kl_uniform_gamma(p, q):
  598. common_term = p.high - p.low
  599. t1 = common_term.log()
  600. t2 = q.concentration.lgamma() - q.concentration * q.rate.log()
  601. t3 = (1 - q.concentration) * (_x_log_x(p.high) - _x_log_x(p.low) - common_term) / common_term
  602. t4 = q.rate * (p.high + p.low) / 2
  603. result = -t1 + t2 + t3 + t4
  604. result[p.low < q.support.lower_bound] = inf
  605. return result
  606. @register_kl(Uniform, Gumbel)
  607. def _kl_uniform_gumbel(p, q):
  608. common_term = q.scale / (p.high - p.low)
  609. high_loc_diff = (p.high - q.loc) / q.scale
  610. low_loc_diff = (p.low - q.loc) / q.scale
  611. t1 = common_term.log() + 0.5 * (high_loc_diff + low_loc_diff)
  612. t2 = common_term * (torch.exp(-high_loc_diff) - torch.exp(-low_loc_diff))
  613. return t1 - t2
  614. # TODO: Uniform-Laplace KL Divergence
  615. @register_kl(Uniform, Normal)
  616. def _kl_uniform_normal(p, q):
  617. common_term = p.high - p.low
  618. t1 = (math.sqrt(math.pi * 2) * q.scale / common_term).log()
  619. t2 = (common_term).pow(2) / 12
  620. t3 = ((p.high + p.low - 2 * q.loc) / 2).pow(2)
  621. return t1 + 0.5 * (t2 + t3) / q.scale.pow(2)
  622. @register_kl(Uniform, Pareto)
  623. def _kl_uniform_pareto(p, q):
  624. support_uniform = p.high - p.low
  625. t1 = (q.alpha * q.scale.pow(q.alpha) * (support_uniform)).log()
  626. t2 = (_x_log_x(p.high) - _x_log_x(p.low) - support_uniform) / support_uniform
  627. result = t2 * (q.alpha + 1) - t1
  628. result[p.low < q.support.lower_bound] = inf
  629. return result
  630. @register_kl(Independent, Independent)
  631. def _kl_independent_independent(p, q):
  632. if p.reinterpreted_batch_ndims != q.reinterpreted_batch_ndims:
  633. raise NotImplementedError
  634. result = kl_divergence(p.base_dist, q.base_dist)
  635. return _sum_rightmost(result, p.reinterpreted_batch_ndims)
  636. @register_kl(Cauchy, Cauchy)
  637. def _kl_cauchy_cauchy(p, q):
  638. # From https://arxiv.org/abs/1905.10965
  639. t1 = ((p.scale + q.scale).pow(2) + (p.loc - q.loc).pow(2)).log()
  640. t2 = (4 * p.scale * q.scale).log()
  641. return t1 - t2
  642. def _add_kl_info():
  643. """Appends a list of implemented KL functions to the doc for kl_divergence."""
  644. rows = ["KL divergence is currently implemented for the following distribution pairs:"]
  645. for p, q in sorted(_KL_REGISTRY,
  646. key=lambda p_q: (p_q[0].__name__, p_q[1].__name__)):
  647. rows.append("* :class:`~torch.distributions.{}` and :class:`~torch.distributions.{}`"
  648. .format(p.__name__, q.__name__))
  649. kl_info = '\n\t'.join(rows)
  650. if kl_divergence.__doc__:
  651. kl_divergence.__doc__ += kl_info # type: ignore[operator]