A Transformed Distribution.
Inherits From: Distribution
oryx.distributions.TransformedDistribution(
distribution,
bijector,
kwargs_split_fn=_default_kwargs_split_fn,
validate_args=False,
parameters=None,
name=None
)
A TransformedDistribution
models p(y)
given a base distribution p(x)
,
and a deterministic, invertible, differentiable transform, Y = g(X)
. The
transform is typically an instance of the Bijector
class and the base
distribution is typically an instance of the Distribution
class.
A Bijector
is expected to implement the following functions:
forward
,inverse
,inverse_log_det_jacobian
.The semantics of these functions are outlined in the
Bijector
documentation.We now describe how a
TransformedDistribution
alters the input/outputs of aDistribution
associated with a random variable (rv)X
.Write
cdf(Y=y)
for an absolutely continuous cumulative distribution function of random variableY
; write the probability density functionpdf(Y=y) := d^k / (dy_1,...,dy_k) cdf(Y=y)
for its derivative wrt toY
evaluated aty
. Assume thatY = g(X)
whereg
is a deterministic diffeomorphism, i.e., a nonrandom, continuous, differentiable, and invertible function. Write the inverse ofg
asX = g^{1}(Y)
and(J o g)(x)
for the Jacobian ofg
evaluated atx
.A
TransformedDistribution
implements the following operations:sample
Mathematically:Y = g(X)
Programmatically:bijector.forward(distribution.sample(...))
log_prob
Mathematically:(log o pdf)(Y=y) = (log o pdf o g^{1})(y) + (log o abs o det o J o g^{1})(y)
Programmatically:(distribution.log_prob(bijector.inverse(y)) + bijector.inverse_log_det_jacobian(y))
log_cdf
Mathematically:(log o cdf)(Y=y) = (log o cdf o g^{1})(y)
Programmatically:distribution.log_cdf(bijector.inverse(x))
and similarly for:
cdf
,prob
,log_survival_function
,survival_function
.
KullbackLeibler divergence is also well defined for
TransformedDistribution
instances that have matching bijectors. Bijector matching is performed via theBijector.eq
method, e.g.,td1.bijector == td2.bijector
, as part of the KL calculation. If the underlying bijectors do not match, aNotImplementedError
is raised when callingkl_divergence
. This is the same behavior as callingkl_divergence
when two distributions do not have a registered KL divergence.A simple example constructing a LogNormal distribution from a Normal distribution:
tfd = tfp.distributions tfb = tfp.bijectors log_normal = tfd.TransformedDistribution( distribution=tfd.Normal(loc=0., scale=1.), bijector=tfb.Exp(), name='LogNormalTransformedDistribution')
A
LogNormal
made from callables:tfd = tfp.distributions tfb = tfp.bijectors log_normal = tfd.TransformedDistribution( distribution=tfd.Normal(loc=0., scale=1.), bijector=tfb.Inline( forward_fn=tf.exp, inverse_fn=tf.log, inverse_log_det_jacobian_fn=( lambda y: tf.reduce_sum(tf.log(y), axis=1)), name='LogNormalTransformedDistribution')
Another example constructing a Normal from a StandardNormal:
tfd = tfp.distributions tfb = tfp.bijectors normal = tfd.TransformedDistribution( distribution=tfd.Normal(loc=0., scale=1.), bijector=tfb.Shift(shift=1.)(tfb.Scale(scale=2.)), name='NormalTransformedDistribution')
A
TransformedDistribution
'sbatch_shape
is derived by broadcasting the batch shapes of the base distribution and the bijector. The base distribution is then itself implicitly lifted to the broadcast batch shape. For example, intfd = tfp.distributions tfb = tfp.bijectors batch_normal = tfd.TransformedDistribution( distribution=tfd.Normal(loc=0., scale=1.), bijector=tfb.Shift(shift=[1., 0., 1.]), name='BatchNormalTransformedDistribution')
the base distribution has batch shape
[]
, and the bijector applied to this distribution contributes a batch shape of[3]
(obtained asbijector.experimental_batch_shape( x_event_ndims=tf.rank(distribution.event_shape))
, yielding the broadcast shapebatch_normal.batch_shape == [3]
. Although sampling from the base distribution would ordinarily return just a single value, callingbatch_normal.sample()
will return a Tensor of 3 independent values, just as if the base distribution had explicitly followed the broadcast batch shape.The
event_shape
of aTransformedDistribution
is theforward_event_shape
of the bijector applied to theevent_shape
of the base distribution.tfd.Sample
ortfd.Independent
may be used to add extra IID dimensions to theevent_shape
of the base distribution before the bijector operates on it. The following example demonstrates how to construct a multivariate Normal as aTransformedDistribution
, by adding a rank1 IID dimension to theevent_shape
of a standard Normal and applyingtfb.ScaleMatvecTriL
.tfd = tfp.distributions tfb = tfp.bijectors # We will create two MVNs with batch_shape = event_shape = 2. mean = [[1., 0], # batch:0 [0., 1]] # batch:1 chol_cov = [[[1., 0], [0, 1]], # batch:0 [[1, 0], [2, 2]]] # batch:1 mvn1 = tfd.TransformedDistribution( distribution=tfd.Sample( tfd.Normal(loc=[0., 0], scale=1.), # base_dist.batch_shape == [2] sample_shape=[2]) # base_dist.event_shape == [2] bijector=tfb.Shift(shift=mean)(tfb.ScaleMatvecTriL(scale_tril=chol_cov))) mvn2 = ds.MultivariateNormalTriL(loc=mean, scale_tril=chol_cov) # mvn1.log_prob(x) == mvn2.log_prob(x)
If both distribution
and bijector
are CompositeTensor
s, then the resulting TransformedDistribution
instance is a CompositeTensor
as well. Otherwise, a nonCompositeTensor
_TransformedDistribution
instance is created instead. Distribution subclasses that inherit from TransformedDistribution
will also inherit from CompositeTensor
.
Methods
batch_shape_tensor
batch_shape_tensor(
name='batch_shape_tensor'
)
Shape of a single sample from a single event index as a 1D Tensor
.
The batch dimensions are indexes into independent, nonidentical parameterizations of this distribution.
Args  

name

name to give to the op 
Returns  

batch_shape

Tensor .

cdf
cdf(
value, name='cdf', **kwargs
)
Cumulative distribution function.
Given random variable X
, the cumulative distribution function cdf
is:
cdf(x) := P[X <= x]
Args  

value

float or double Tensor .

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

cdf

a Tensor of shape sample_shape(x) + self.batch_shape with
values of type self.dtype .

copy
copy(
**override_parameters_kwargs
)
Creates a deep copy of the distribution.
Args  

**override_parameters_kwargs

String/value dictionary of initialization arguments to override with new values. 
Returns  

distribution

A new instance of type(self) initialized from the union
of self.parameters and override_parameters_kwargs, i.e.,
dict(self.parameters, **override_parameters_kwargs) .

covariance
covariance(
name='covariance', **kwargs
)
Covariance.
Covariance is (possibly) defined only for nonscalarevent distributions.
For example, for a lengthk
, vectorvalued distribution, it is calculated
as,
Cov[i, j] = Covariance(X_i, X_j) = E[(X_i  E[X_i]) (X_j  E[X_j])]
where Cov
is a (batch of) k x k
matrix, 0 <= (i, j) < k
, and E
denotes expectation.
Alternatively, for nonvector, multivariate distributions (e.g.,
matrixvalued, Wishart), Covariance
shall return a (batch of) matrices
under some vectorization of the events, i.e.,
Cov[i, j] = Covariance(Vec(X)_i, Vec(X)_j) = [as above]
where Cov
is a (batch of) k' x k'
matrices,
0 <= (i, j) < k' = reduce_prod(event_shape)
, and Vec
is some function
mapping indices of this distribution's event dimensions to indices of a
lengthk'
vector.
Args  

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

covariance

Floatingpoint Tensor with shape [B1, ..., Bn, k', k']
where the first n dimensions are batch coordinates and
k' = reduce_prod(self.event_shape) .

cross_entropy
cross_entropy(
other, name='cross_entropy'
)
Computes the (Shannon) cross entropy.
Denote this distribution (self
) by P
and the other
distribution by
Q
. Assuming P, Q
are absolutely continuous with respect to
one another and permit densities p(x) dr(x)
and q(x) dr(x)
, (Shannon)
cross entropy is defined as:
H[P, Q] = E_p[log q(X)] = int_F p(x) log q(x) dr(x)
where F
denotes the support of the random variable X ~ P
.
other
types with builtin registrations: Chi
, ExpInverseGamma
, GeneralizedExtremeValue
, Gumbel
, JohnsonSU
, Kumaraswamy
, LambertWDistribution
, LambertWNormal
, LogLogistic
, LogNormal
, LogitNormal
, Moyal
, MultivariateNormalDiag
, MultivariateNormalDiagPlusLowRank
, MultivariateNormalFullCovariance
, MultivariateNormalLinearOperator
, MultivariateNormalTriL
, RelaxedOneHotCategorical
, SinhArcsinh
, TransformedDistribution
, Weibull
Args  

other

tfp.distributions.Distribution instance.

name

Python str prepended to names of ops created by this function.

Returns  

cross_entropy

self.dtype Tensor with shape [B1, ..., Bn]
representing n different calculations of (Shannon) cross entropy.

entropy
entropy(
name='entropy', **kwargs
)
Shannon entropy in nats.
event_shape_tensor
event_shape_tensor(
name='event_shape_tensor'
)
Shape of a single sample from a single batch as a 1D int32 Tensor
.
Args  

name

name to give to the op 
Returns  

event_shape

Tensor .

experimental_default_event_space_bijector
experimental_default_event_space_bijector(
*args, **kwargs
)
Bijector mapping the reals (R**n) to the event space of the distribution.
Distributions with continuous support may implement
_default_event_space_bijector
which returns a subclass of
tfp.bijectors.Bijector
that maps R**n to the distribution's event space.
For example, the default bijector for the Beta
distribution
is tfp.bijectors.Sigmoid()
, which maps the real line to [0, 1]
, the
support of the Beta
distribution. The default bijector for the
CholeskyLKJ
distribution is tfp.bijectors.CorrelationCholesky
, which
maps R^(k * (k1) // 2) to the submanifold of k x k lower triangular
matrices with ones along the diagonal.
The purpose of experimental_default_event_space_bijector
is
to enable gradient descent in an unconstrained space for Variational
Inference and Hamiltonian Monte Carlo methods. Some effort has been made to
choose bijectors such that the tails of the distribution in the
unconstrained space are between Gaussian and Exponential.
For distributions with discrete event space, or for which TFP currently
lacks a suitable bijector, this function returns None
.
Args  

*args

Passed to implementation _default_event_space_bijector .

**kwargs

Passed to implementation _default_event_space_bijector .

Returns  

event_space_bijector

Bijector instance or None .

experimental_fit
@classmethod
experimental_fit( value, sample_ndims=1, validate_args=False, **init_kwargs )
Instantiates a distribution that maximizes the likelihood of x
.
Args  

value

a Tensor valid sample from this distribution family.

sample_ndims

Positive int Tensor number of leftmost dimensions of
value that index i.i.d. samples.
Default value: 1 .

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.
Default value: False .

**init_kwargs

Additional keyword arguments passed through to
cls.__init__ . These take precedence in case of collision with the
fitted parameters; for example,
tfd.Normal.experimental_fit([1., 1.], scale=20.) returns a Normal
distribution with scale=20. rather than the maximum likelihood
parameter scale=0. .

Returns  

maximum_likelihood_instance

instance of cls with parameters that
maximize the likelihood of value .

experimental_local_measure
experimental_local_measure(
y, backward_compat=False, **kwargs
)
Returns a log probability density together with a TangentSpace
.
A TangentSpace
allows us to calculate the correct pushforward
density when we apply a transformation to a Distribution
on
a strict submanifold of R^n (typically via a Bijector
in the
TransformedDistribution
subclass). The density correction uses
the basis of the tangent space.
Args  

value

float or double Tensor .

backward_compat

bool specifying whether to fall back to returning
FullSpace as the tangent space, and representing R^n with the standard
basis.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

log_prob

a Tensor representing the log probability density, of shape
sample_shape(x) + self.batch_shape with values of type self.dtype .

tangent_space

a TangentSpace object (by default FullSpace )
representing the tangent space to the manifold at value .

Raises  

UnspecifiedTangentSpaceError if backward_compat is False and
the _experimental_tangent_space attribute has not been defined.

experimental_sample_and_log_prob
experimental_sample_and_log_prob(
sample_shape=(), seed=None, name='sample_and_log_prob', **kwargs
)
Samples from this distribution and returns the log density of the sample.
The default implementation simply calls sample
and log_prob
:
def _sample_and_log_prob(self, sample_shape, seed, **kwargs):
x = self.sample(sample_shape=sample_shape, seed=seed, **kwargs)
return x, self.log_prob(x, **kwargs)
However, some subclasses may provide more efficient and/or numerically stable implementations.
Args  

sample_shape

integer Tensor desired shape of samples to draw.
Default value: () .

seed

PRNG seed; see tfp.random.sanitize_seed for details.
Default value: None .

name

name to give to the op.
Default value: 'sample_and_log_prob' .

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

samples

a Tensor , or structure of Tensor s, with prepended dimensions
sample_shape .

log_prob

a Tensor of shape sample_shape(x) + self.batch_shape with
values of type self.dtype .

is_scalar_batch
is_scalar_batch(
name='is_scalar_batch'
)
Indicates that batch_shape == []
.
Args  

name

Python str prepended to names of ops created by this function.

Returns  

is_scalar_batch

bool scalar Tensor .

is_scalar_event
is_scalar_event(
name='is_scalar_event'
)
Indicates that event_shape == []
.
Args  

name

Python str prepended to names of ops created by this function.

Returns  

is_scalar_event

bool scalar Tensor .

kl_divergence
kl_divergence(
other, name='kl_divergence'
)
Computes the KullbackLeibler divergence.
Denote this distribution (self
) by p
and the other
distribution by
q
. Assuming p, q
are absolutely continuous with respect to reference
measure r
, the KL divergence is defined as:
KL[p, q] = E_p[log(p(X)/q(X))]
= int_F p(x) log q(x) dr(x) + int_F p(x) log p(x) dr(x)
= H[p, q]  H[p]
where F
denotes the support of the random variable X ~ p
, H[., .]
denotes (Shannon) cross entropy, and H[.]
denotes (Shannon) entropy.
other
types with builtin registrations: Chi
, ExpInverseGamma
, GeneralizedExtremeValue
, Gumbel
, JohnsonSU
, Kumaraswamy
, LambertWDistribution
, LambertWNormal
, LogLogistic
, LogNormal
, LogitNormal
, Moyal
, MultivariateNormalDiag
, MultivariateNormalDiagPlusLowRank
, MultivariateNormalFullCovariance
, MultivariateNormalLinearOperator
, MultivariateNormalTriL
, RelaxedOneHotCategorical
, SinhArcsinh
, TransformedDistribution
, Weibull
Args  

other

tfp.distributions.Distribution instance.

name

Python str prepended to names of ops created by this function.

Returns  

kl_divergence

self.dtype Tensor with shape [B1, ..., Bn]
representing n different calculations of the KullbackLeibler
divergence.

log_cdf
log_cdf(
value, name='log_cdf', **kwargs
)
Log cumulative distribution function.
Given random variable X
, the cumulative distribution function cdf
is:
log_cdf(x) := Log[ P[X <= x] ]
Often, a numerical approximation can be used for log_cdf(x)
that yields
a more accurate answer than simply taking the logarithm of the cdf
when
x << 1
.
Args  

value

float or double Tensor .

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

logcdf

a Tensor of shape sample_shape(x) + self.batch_shape with
values of type self.dtype .

log_prob
log_prob(
value, name='log_prob', **kwargs
)
Log probability density/mass function.
Args  

value

float or double Tensor .

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

log_prob

a Tensor of shape sample_shape(x) + self.batch_shape with
values of type self.dtype .

log_survival_function
log_survival_function(
value, name='log_survival_function', **kwargs
)
Log survival function.
Given random variable X
, the survival function is defined:
log_survival_function(x) = Log[ P[X > x] ]
= Log[ 1  P[X <= x] ]
= Log[ 1  cdf(x) ]
Typically, different numerical approximations can be used for the log
survival function, which are more accurate than 1  cdf(x)
when x >> 1
.
Args  

value

float or double Tensor .

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

Tensor of shape sample_shape(x) + self.batch_shape with values of type
self.dtype .

mean
mean(
name='mean', **kwargs
)
Mean.
mode
mode(
name='mode', **kwargs
)
Mode.
param_shapes
@classmethod
param_shapes( sample_shape, name='DistributionParamShapes' )
Shapes of parameters given the desired shape of a call to sample()
.
This is a class method that describes what key/value arguments are required
to instantiate the given Distribution
so that a particular shape is
returned for that instance's call to sample()
.
Subclasses should override class method _param_shapes
.
Args  

sample_shape

Tensor or python list/tuple. Desired shape of a call to
sample() .

name

name to prepend ops with. 
Returns  

dict of parameter name to Tensor shapes.

param_static_shapes
@classmethod
param_static_shapes( sample_shape )
param_shapes with static (i.e. TensorShape
) shapes.
This is a class method that describes what key/value arguments are required
to instantiate the given Distribution
so that a particular shape is
returned for that instance's call to sample()
. Assumes that the sample's
shape is known statically.
Subclasses should override class method _param_shapes
to return
constantvalued tensors when constant values are fed.
Args  

sample_shape

TensorShape or python list/tuple. Desired shape of a call
to sample() .

Returns  

dict of parameter name to TensorShape .

Raises  

ValueError

if sample_shape is a TensorShape and is not fully defined.

parameter_properties
@classmethod
parameter_properties( dtype=tf.float32, num_classes=None )
Returns a dict mapping constructor arg names to property annotations.
This dict should include an entry for each of the distribution's
Tensor
valued constructor arguments.
Distribution subclasses are not required to implement
_parameter_properties
, so this method may raise NotImplementedError
.
Providing a _parameter_properties
implementation enables several advanced
features, including:
 Distribution batch slicing (
sliced_distribution = distribution[i:j]
).  Automatic inference of
_batch_shape
and_batch_shape_tensor
, which must otherwise be computed explicitly.  Automatic instantiation of the distribution within TFP's internal property tests.
 Automatic construction of 'trainable' instances of the distribution using appropriate bijectors to avoid violating parameter constraints. This enables the distribution family to be used easily as a surrogate posterior in variational inference.
In the future, parameter property annotations may enable additional
functionality; for example, returning Distribution instances from
tf.vectorized_map
.
Args  

dtype

Optional float dtype to assume for continuousvalued parameters.
Some constraining bijectors require advance knowledge of the dtype
because certain constants (e.g., tfb.Softplus.low ) must be
instantiated with the same dtype as the values to be transformed.

num_classes

Optional int Tensor number of classes to assume when
inferring the shape of parameters for categoricallike distributions.
Otherwise ignored.

Returns  

parameter_properties

A
str > tfp.python.internal.parameter_properties.ParameterPropertiesdict mapping constructor argument names to ParameterProperties`
instances.

Raises  

NotImplementedError

if the distribution class does not implement
_parameter_properties .

prob
prob(
value, name='prob', **kwargs
)
Probability density/mass function.
Args  

value

float or double Tensor .

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

prob

a Tensor of shape sample_shape(x) + self.batch_shape with
values of type self.dtype .

quantile
quantile(
value, name='quantile', **kwargs
)
Quantile function. Aka 'inverse cdf' or 'percent point function'.
Given random variable X
and p in [0, 1]
, the quantile
is:
quantile(p) := x such that P[X <= x] == p
Args  

value

float or double Tensor .

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

quantile

a Tensor of shape sample_shape(x) + self.batch_shape with
values of type self.dtype .

sample
sample(
sample_shape=(), seed=None, name='sample', **kwargs
)
Generate samples of the specified shape.
Note that a call to sample()
without arguments will generate a single
sample.
Args  

sample_shape

0D or 1D int32 Tensor . Shape of the generated samples.

seed

PRNG seed; see tfp.random.sanitize_seed for details.

name

name to give to the op. 
**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

samples

a Tensor with prepended dimensions sample_shape .

stddev
stddev(
name='stddev', **kwargs
)
Standard deviation.
Standard deviation is defined as,
stddev = E[(X  E[X])**2]**0.5
where X
is the random variable associated with this distribution, E
denotes expectation, and stddev.shape = batch_shape + event_shape
.
Args  

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

stddev

Floatingpoint Tensor with shape identical to
batch_shape + event_shape , i.e., the same shape as self.mean() .

survival_function
survival_function(
value, name='survival_function', **kwargs
)
Survival function.
Given random variable X
, the survival function is defined:
survival_function(x) = P[X > x]
= 1  P[X <= x]
= 1  cdf(x).
Args  

value

float or double Tensor .

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

Tensor of shape sample_shape(x) + self.batch_shape with values of type
self.dtype .

unnormalized_log_prob
unnormalized_log_prob(
value, name='unnormalized_log_prob', **kwargs
)
Potentially unnormalized log probability density/mass function.
This function is similar to log_prob
, but does not require that the
return value be normalized. (Normalization here refers to the total
integral of probability being one, as it should be by definition for any
probability distribution.) This is useful, for example, for distributions
where the normalization constant is difficult or expensive to compute. By
default, this simply calls log_prob
.
Args  

value

float or double Tensor .

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

unnormalized_log_prob

a Tensor of shape
sample_shape(x) + self.batch_shape with values of type self.dtype .

variance
variance(
name='variance', **kwargs
)
Variance.
Variance is defined as,
Var = E[(X  E[X])**2]
where X
is the random variable associated with this distribution, E
denotes expectation, and Var.shape = batch_shape + event_shape
.
Args  

name

Python str prepended to names of ops created by this function.

**kwargs

Named arguments forwarded to subclass implementation. 
Returns  

variance

Floatingpoint Tensor with shape identical to
batch_shape + event_shape , i.e., the same shape as self.mean() .

__getitem__
__getitem__(
slices
)
Slices the batch axes of this distribution, returning a new instance.
b = tfd.Bernoulli(logits=tf.zeros([3, 5, 7, 9]))
b.batch_shape # => [3, 5, 7, 9]
b2 = b[:, tf.newaxis, ..., 2:, 1::2]
b2.batch_shape # => [3, 1, 5, 2, 4]
x = tf.random.stateless_normal([5, 3, 2, 2])
cov = tf.matmul(x, x, transpose_b=True)
chol = tf.linalg.cholesky(cov)
loc = tf.random.stateless_normal([4, 1, 3, 1])
mvn = tfd.MultivariateNormalTriL(loc, chol)
mvn.batch_shape # => [4, 5, 3]
mvn.event_shape # => [2]
mvn2 = mvn[:, 3:, ..., ::1, tf.newaxis]
mvn2.batch_shape # => [4, 2, 3, 1]
mvn2.event_shape # => [2]
Args  

slices

slices from the [] operator 
Returns  

dist

A new tfd.Distribution instance with sliced parameters.

__iter__
__iter__()