kl.py 31 KB

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  1. # mypy: allow-untyped-defs
  2. import math
  3. import warnings
  4. from functools import total_ordering
  5. from typing import Callable
  6. import torch
  7. from torch import inf, Tensor
  8. from .bernoulli import Bernoulli
  9. from .beta import Beta
  10. from .binomial import Binomial
  11. from .categorical import Categorical
  12. from .cauchy import Cauchy
  13. from .continuous_bernoulli import ContinuousBernoulli
  14. from .dirichlet import Dirichlet
  15. from .distribution import Distribution
  16. from .exp_family import ExponentialFamily
  17. from .exponential import Exponential
  18. from .gamma import Gamma
  19. from .geometric import Geometric
  20. from .gumbel import Gumbel
  21. from .half_normal import HalfNormal
  22. from .independent import Independent
  23. from .laplace import Laplace
  24. from .lowrank_multivariate_normal import (
  25. _batch_lowrank_logdet,
  26. _batch_lowrank_mahalanobis,
  27. LowRankMultivariateNormal,
  28. )
  29. from .multivariate_normal import _batch_mahalanobis, MultivariateNormal
  30. from .normal import Normal
  31. from .one_hot_categorical import OneHotCategorical
  32. from .pareto import Pareto
  33. from .poisson import Poisson
  34. from .transformed_distribution import TransformedDistribution
  35. from .uniform import Uniform
  36. from .utils import _sum_rightmost, euler_constant as _euler_gamma
  37. _KL_REGISTRY: dict[
  38. tuple[type, type], Callable
  39. ] = {} # Source of truth mapping a few general (type, type) pairs to functions.
  40. _KL_MEMOIZE: dict[
  41. tuple[type, type], Callable
  42. ] = {} # Memoized version mapping many specific (type, type) pairs to functions.
  43. __all__ = ["register_kl", "kl_divergence"]
  44. def register_kl(type_p, type_q):
  45. """
  46. Decorator to register a pairwise function with :meth:`kl_divergence`.
  47. Usage::
  48. @register_kl(Normal, Normal)
  49. def kl_normal_normal(p, q):
  50. # insert implementation here
  51. Lookup returns the most specific (type,type) match ordered by subclass. If
  52. the match is ambiguous, a `RuntimeWarning` is raised. For example to
  53. resolve the ambiguous situation::
  54. @register_kl(BaseP, DerivedQ)
  55. def kl_version1(p, q): ...
  56. @register_kl(DerivedP, BaseQ)
  57. def kl_version2(p, q): ...
  58. you should register a third most-specific implementation, e.g.::
  59. register_kl(DerivedP, DerivedQ)(kl_version1) # Break the tie.
  60. Args:
  61. type_p (type): A subclass of :class:`~torch.distributions.Distribution`.
  62. type_q (type): A subclass of :class:`~torch.distributions.Distribution`.
  63. """
  64. if not isinstance(type_p, type) and issubclass(type_p, Distribution):
  65. raise TypeError(
  66. f"Expected type_p to be a Distribution subclass but got {type_p}"
  67. )
  68. if not isinstance(type_q, type) and issubclass(type_q, Distribution):
  69. raise TypeError(
  70. f"Expected type_q to be a Distribution subclass but got {type_q}"
  71. )
  72. def decorator(fun):
  73. _KL_REGISTRY[type_p, type_q] = fun
  74. _KL_MEMOIZE.clear() # reset since lookup order may have changed
  75. return fun
  76. return decorator
  77. @total_ordering
  78. class _Match:
  79. __slots__ = ["types"]
  80. def __init__(self, *types):
  81. self.types = types
  82. def __eq__(self, other):
  83. return self.types == other.types
  84. def __le__(self, other):
  85. for x, y in zip(self.types, other.types):
  86. if not issubclass(x, y):
  87. return False
  88. if x is not y:
  89. break
  90. return True
  91. def _dispatch_kl(type_p, type_q):
  92. """
  93. Find the most specific approximate match, assuming single inheritance.
  94. """
  95. matches = [
  96. (super_p, super_q)
  97. for super_p, super_q in _KL_REGISTRY
  98. if issubclass(type_p, super_p) and issubclass(type_q, super_q)
  99. ]
  100. if not matches:
  101. return NotImplemented
  102. # Check that the left- and right- lexicographic orders agree.
  103. # mypy isn't smart enough to know that _Match implements __lt__
  104. # see: https://github.com/python/typing/issues/760#issuecomment-710670503
  105. left_p, left_q = min(_Match(*m) for m in matches).types # type: ignore[type-var]
  106. right_q, right_p = min(_Match(*reversed(m)) for m in matches).types # type: ignore[type-var]
  107. left_fun = _KL_REGISTRY[left_p, left_q]
  108. right_fun = _KL_REGISTRY[right_p, right_q]
  109. if left_fun is not right_fun:
  110. warnings.warn(
  111. f"Ambiguous kl_divergence({type_p.__name__}, {type_q.__name__}). "
  112. f"Please register_kl({left_p.__name__}, {right_q.__name__})",
  113. RuntimeWarning,
  114. )
  115. return left_fun
  116. def _infinite_like(tensor):
  117. """
  118. Helper function for obtaining infinite KL Divergence throughout
  119. """
  120. return torch.full_like(tensor, inf)
  121. def _x_log_x(tensor):
  122. """
  123. Utility function for calculating x log x
  124. """
  125. return torch.special.xlogy(tensor, tensor) # produces correct result for x=0
  126. def _batch_trace_XXT(bmat):
  127. """
  128. Utility function for calculating the trace of XX^{T} with X having arbitrary trailing batch dimensions
  129. """
  130. n = bmat.size(-1)
  131. m = bmat.size(-2)
  132. flat_trace = bmat.reshape(-1, m * n).pow(2).sum(-1)
  133. return flat_trace.reshape(bmat.shape[:-2])
  134. def kl_divergence(p: Distribution, q: Distribution) -> Tensor:
  135. r"""
  136. Compute Kullback-Leibler divergence :math:`KL(p \| q)` between two distributions.
  137. .. math::
  138. KL(p \| q) = \int p(x) \log\frac {p(x)} {q(x)} \,dx
  139. Args:
  140. p (Distribution): A :class:`~torch.distributions.Distribution` object.
  141. q (Distribution): A :class:`~torch.distributions.Distribution` object.
  142. Returns:
  143. Tensor: A batch of KL divergences of shape `batch_shape`.
  144. Raises:
  145. NotImplementedError: If the distribution types have not been registered via
  146. :meth:`register_kl`.
  147. """
  148. try:
  149. fun = _KL_MEMOIZE[type(p), type(q)]
  150. except KeyError:
  151. fun = _dispatch_kl(type(p), type(q))
  152. _KL_MEMOIZE[type(p), type(q)] = fun
  153. if fun is NotImplemented:
  154. raise NotImplementedError(
  155. f"No KL(p || q) is implemented for p type {p.__class__.__name__} and q type {q.__class__.__name__}"
  156. )
  157. return fun(p, q)
  158. ################################################################################
  159. # KL Divergence Implementations
  160. ################################################################################
  161. # Same distributions
  162. @register_kl(Bernoulli, Bernoulli)
  163. def _kl_bernoulli_bernoulli(p, q):
  164. t1 = p.probs * (
  165. torch.nn.functional.softplus(-q.logits)
  166. - torch.nn.functional.softplus(-p.logits)
  167. )
  168. t1[q.probs == 0] = inf
  169. t1[p.probs == 0] = 0
  170. t2 = (1 - p.probs) * (
  171. torch.nn.functional.softplus(q.logits) - torch.nn.functional.softplus(p.logits)
  172. )
  173. t2[q.probs == 1] = inf
  174. t2[p.probs == 1] = 0
  175. return t1 + t2
  176. @register_kl(Beta, Beta)
  177. def _kl_beta_beta(p, q):
  178. sum_params_p = p.concentration1 + p.concentration0
  179. sum_params_q = q.concentration1 + q.concentration0
  180. t1 = q.concentration1.lgamma() + q.concentration0.lgamma() + (sum_params_p).lgamma()
  181. t2 = p.concentration1.lgamma() + p.concentration0.lgamma() + (sum_params_q).lgamma()
  182. t3 = (p.concentration1 - q.concentration1) * torch.digamma(p.concentration1)
  183. t4 = (p.concentration0 - q.concentration0) * torch.digamma(p.concentration0)
  184. t5 = (sum_params_q - sum_params_p) * torch.digamma(sum_params_p)
  185. return t1 - t2 + t3 + t4 + t5
  186. @register_kl(Binomial, Binomial)
  187. def _kl_binomial_binomial(p, q):
  188. # from https://math.stackexchange.com/questions/2214993/
  189. # kullback-leibler-divergence-for-binomial-distributions-p-and-q
  190. if (p.total_count < q.total_count).any():
  191. raise NotImplementedError(
  192. "KL between Binomials where q.total_count > p.total_count is not implemented"
  193. )
  194. kl = p.total_count * (
  195. p.probs * (p.logits - q.logits) + (-p.probs).log1p() - (-q.probs).log1p()
  196. )
  197. inf_idxs = p.total_count > q.total_count
  198. kl[inf_idxs] = _infinite_like(kl[inf_idxs])
  199. return kl
  200. @register_kl(Categorical, Categorical)
  201. def _kl_categorical_categorical(p, q):
  202. t = p.probs * (p.logits - q.logits)
  203. t[(q.probs == 0).expand_as(t)] = inf
  204. t[(p.probs == 0).expand_as(t)] = 0
  205. return t.sum(-1)
  206. @register_kl(ContinuousBernoulli, ContinuousBernoulli)
  207. def _kl_continuous_bernoulli_continuous_bernoulli(p, q):
  208. t1 = p.mean * (p.logits - q.logits)
  209. t2 = p._cont_bern_log_norm() + torch.log1p(-p.probs)
  210. t3 = -q._cont_bern_log_norm() - torch.log1p(-q.probs)
  211. return t1 + t2 + t3
  212. @register_kl(Dirichlet, Dirichlet)
  213. def _kl_dirichlet_dirichlet(p, q):
  214. # From http://bariskurt.com/kullback-leibler-divergence-between-two-dirichlet-and-beta-distributions/
  215. sum_p_concentration = p.concentration.sum(-1)
  216. sum_q_concentration = q.concentration.sum(-1)
  217. t1 = sum_p_concentration.lgamma() - sum_q_concentration.lgamma()
  218. t2 = (p.concentration.lgamma() - q.concentration.lgamma()).sum(-1)
  219. t3 = p.concentration - q.concentration
  220. t4 = p.concentration.digamma() - sum_p_concentration.digamma().unsqueeze(-1)
  221. return t1 - t2 + (t3 * t4).sum(-1)
  222. @register_kl(Exponential, Exponential)
  223. def _kl_exponential_exponential(p, q):
  224. rate_ratio = q.rate / p.rate
  225. t1 = -rate_ratio.log()
  226. return t1 + rate_ratio - 1
  227. @register_kl(ExponentialFamily, ExponentialFamily)
  228. def _kl_expfamily_expfamily(p, q):
  229. if not type(p) == type(q):
  230. raise NotImplementedError(
  231. "The cross KL-divergence between different exponential families cannot \
  232. be computed using Bregman divergences"
  233. )
  234. p_nparams = [np.detach().requires_grad_() for np in p._natural_params]
  235. q_nparams = q._natural_params
  236. lg_normal = p._log_normalizer(*p_nparams)
  237. gradients = torch.autograd.grad(lg_normal.sum(), p_nparams, create_graph=True)
  238. result = q._log_normalizer(*q_nparams) - lg_normal
  239. for pnp, qnp, g in zip(p_nparams, q_nparams, gradients):
  240. term = (qnp - pnp) * g
  241. result -= _sum_rightmost(term, len(q.event_shape))
  242. return result
  243. @register_kl(Gamma, Gamma)
  244. def _kl_gamma_gamma(p, q):
  245. t1 = q.concentration * (p.rate / q.rate).log()
  246. t2 = torch.lgamma(q.concentration) - torch.lgamma(p.concentration)
  247. t3 = (p.concentration - q.concentration) * torch.digamma(p.concentration)
  248. t4 = (q.rate - p.rate) * (p.concentration / p.rate)
  249. return t1 + t2 + t3 + t4
  250. @register_kl(Gumbel, Gumbel)
  251. def _kl_gumbel_gumbel(p, q):
  252. ct1 = p.scale / q.scale
  253. ct2 = q.loc / q.scale
  254. ct3 = p.loc / q.scale
  255. t1 = -ct1.log() - ct2 + ct3
  256. t2 = ct1 * _euler_gamma
  257. t3 = torch.exp(ct2 + (1 + ct1).lgamma() - ct3)
  258. return t1 + t2 + t3 - (1 + _euler_gamma)
  259. @register_kl(Geometric, Geometric)
  260. def _kl_geometric_geometric(p, q):
  261. return -p.entropy() - torch.log1p(-q.probs) / p.probs - q.logits
  262. @register_kl(HalfNormal, HalfNormal)
  263. def _kl_halfnormal_halfnormal(p, q):
  264. return _kl_normal_normal(p.base_dist, q.base_dist)
  265. @register_kl(Laplace, Laplace)
  266. def _kl_laplace_laplace(p, q):
  267. # From http://www.mast.queensu.ca/~communications/Papers/gil-msc11.pdf
  268. scale_ratio = p.scale / q.scale
  269. loc_abs_diff = (p.loc - q.loc).abs()
  270. t1 = -scale_ratio.log()
  271. t2 = loc_abs_diff / q.scale
  272. t3 = scale_ratio * torch.exp(-loc_abs_diff / p.scale)
  273. return t1 + t2 + t3 - 1
  274. @register_kl(LowRankMultivariateNormal, LowRankMultivariateNormal)
  275. def _kl_lowrankmultivariatenormal_lowrankmultivariatenormal(p, q):
  276. if p.event_shape != q.event_shape:
  277. raise ValueError(
  278. "KL-divergence between two Low Rank Multivariate Normals with\
  279. different event shapes cannot be computed"
  280. )
  281. term1 = _batch_lowrank_logdet(
  282. q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag, q._capacitance_tril
  283. ) - _batch_lowrank_logdet(
  284. p._unbroadcasted_cov_factor, p._unbroadcasted_cov_diag, p._capacitance_tril
  285. )
  286. term3 = _batch_lowrank_mahalanobis(
  287. q._unbroadcasted_cov_factor,
  288. q._unbroadcasted_cov_diag,
  289. q.loc - p.loc,
  290. q._capacitance_tril,
  291. )
  292. # Expands term2 according to
  293. # inv(qcov) @ pcov = [inv(qD) - inv(qD) @ qW @ inv(qC) @ qW.T @ inv(qD)] @ (pW @ pW.T + pD)
  294. # = [inv(qD) - A.T @ A] @ (pD + pW @ pW.T)
  295. qWt_qDinv = q._unbroadcasted_cov_factor.mT / q._unbroadcasted_cov_diag.unsqueeze(-2)
  296. A = torch.linalg.solve_triangular(q._capacitance_tril, qWt_qDinv, upper=False)
  297. term21 = (p._unbroadcasted_cov_diag / q._unbroadcasted_cov_diag).sum(-1)
  298. term22 = _batch_trace_XXT(
  299. p._unbroadcasted_cov_factor * q._unbroadcasted_cov_diag.rsqrt().unsqueeze(-1)
  300. )
  301. term23 = _batch_trace_XXT(A * p._unbroadcasted_cov_diag.sqrt().unsqueeze(-2))
  302. term24 = _batch_trace_XXT(A.matmul(p._unbroadcasted_cov_factor))
  303. term2 = term21 + term22 - term23 - term24
  304. return 0.5 * (term1 + term2 + term3 - p.event_shape[0])
  305. @register_kl(MultivariateNormal, LowRankMultivariateNormal)
  306. def _kl_multivariatenormal_lowrankmultivariatenormal(p, q):
  307. if p.event_shape != q.event_shape:
  308. raise ValueError(
  309. "KL-divergence between two (Low Rank) Multivariate Normals with\
  310. different event shapes cannot be computed"
  311. )
  312. term1 = _batch_lowrank_logdet(
  313. q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag, q._capacitance_tril
  314. ) - 2 * p._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1)
  315. term3 = _batch_lowrank_mahalanobis(
  316. q._unbroadcasted_cov_factor,
  317. q._unbroadcasted_cov_diag,
  318. q.loc - p.loc,
  319. q._capacitance_tril,
  320. )
  321. # Expands term2 according to
  322. # inv(qcov) @ pcov = [inv(qD) - inv(qD) @ qW @ inv(qC) @ qW.T @ inv(qD)] @ p_tril @ p_tril.T
  323. # = [inv(qD) - A.T @ A] @ p_tril @ p_tril.T
  324. qWt_qDinv = q._unbroadcasted_cov_factor.mT / q._unbroadcasted_cov_diag.unsqueeze(-2)
  325. A = torch.linalg.solve_triangular(q._capacitance_tril, qWt_qDinv, upper=False)
  326. term21 = _batch_trace_XXT(
  327. p._unbroadcasted_scale_tril * q._unbroadcasted_cov_diag.rsqrt().unsqueeze(-1)
  328. )
  329. term22 = _batch_trace_XXT(A.matmul(p._unbroadcasted_scale_tril))
  330. term2 = term21 - term22
  331. return 0.5 * (term1 + term2 + term3 - p.event_shape[0])
  332. @register_kl(LowRankMultivariateNormal, MultivariateNormal)
  333. def _kl_lowrankmultivariatenormal_multivariatenormal(p, q):
  334. if p.event_shape != q.event_shape:
  335. raise ValueError(
  336. "KL-divergence between two (Low Rank) Multivariate Normals with\
  337. different event shapes cannot be computed"
  338. )
  339. term1 = 2 * q._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(
  340. -1
  341. ) - _batch_lowrank_logdet(
  342. p._unbroadcasted_cov_factor, p._unbroadcasted_cov_diag, p._capacitance_tril
  343. )
  344. term3 = _batch_mahalanobis(q._unbroadcasted_scale_tril, (q.loc - p.loc))
  345. # Expands term2 according to
  346. # inv(qcov) @ pcov = inv(q_tril @ q_tril.T) @ (pW @ pW.T + pD)
  347. combined_batch_shape = torch._C._infer_size(
  348. q._unbroadcasted_scale_tril.shape[:-2], p._unbroadcasted_cov_factor.shape[:-2]
  349. )
  350. n = p.event_shape[0]
  351. q_scale_tril = q._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n))
  352. p_cov_factor = p._unbroadcasted_cov_factor.expand(
  353. combined_batch_shape + (n, p.cov_factor.size(-1))
  354. )
  355. p_cov_diag = torch.diag_embed(p._unbroadcasted_cov_diag.sqrt()).expand(
  356. combined_batch_shape + (n, n)
  357. )
  358. term21 = _batch_trace_XXT(
  359. torch.linalg.solve_triangular(q_scale_tril, p_cov_factor, upper=False)
  360. )
  361. term22 = _batch_trace_XXT(
  362. torch.linalg.solve_triangular(q_scale_tril, p_cov_diag, upper=False)
  363. )
  364. term2 = term21 + term22
  365. return 0.5 * (term1 + term2 + term3 - p.event_shape[0])
  366. @register_kl(MultivariateNormal, MultivariateNormal)
  367. def _kl_multivariatenormal_multivariatenormal(p, q):
  368. # From https://en.wikipedia.org/wiki/Multivariate_normal_distribution#Kullback%E2%80%93Leibler_divergence
  369. if p.event_shape != q.event_shape:
  370. raise ValueError(
  371. "KL-divergence between two Multivariate Normals with\
  372. different event shapes cannot be computed"
  373. )
  374. half_term1 = q._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(
  375. -1
  376. ) - p._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1)
  377. combined_batch_shape = torch._C._infer_size(
  378. q._unbroadcasted_scale_tril.shape[:-2], p._unbroadcasted_scale_tril.shape[:-2]
  379. )
  380. n = p.event_shape[0]
  381. q_scale_tril = q._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n))
  382. p_scale_tril = p._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n))
  383. term2 = _batch_trace_XXT(
  384. torch.linalg.solve_triangular(q_scale_tril, p_scale_tril, upper=False)
  385. )
  386. term3 = _batch_mahalanobis(q._unbroadcasted_scale_tril, (q.loc - p.loc))
  387. return half_term1 + 0.5 * (term2 + term3 - n)
  388. @register_kl(Normal, Normal)
  389. def _kl_normal_normal(p, q):
  390. var_ratio = (p.scale / q.scale).pow(2)
  391. t1 = ((p.loc - q.loc) / q.scale).pow(2)
  392. return 0.5 * (var_ratio + t1 - 1 - var_ratio.log())
  393. @register_kl(OneHotCategorical, OneHotCategorical)
  394. def _kl_onehotcategorical_onehotcategorical(p, q):
  395. return _kl_categorical_categorical(p._categorical, q._categorical)
  396. @register_kl(Pareto, Pareto)
  397. def _kl_pareto_pareto(p, q):
  398. # From http://www.mast.queensu.ca/~communications/Papers/gil-msc11.pdf
  399. scale_ratio = p.scale / q.scale
  400. alpha_ratio = q.alpha / p.alpha
  401. t1 = q.alpha * scale_ratio.log()
  402. t2 = -alpha_ratio.log()
  403. result = t1 + t2 + alpha_ratio - 1
  404. result[p.support.lower_bound < q.support.lower_bound] = inf
  405. return result
  406. @register_kl(Poisson, Poisson)
  407. def _kl_poisson_poisson(p, q):
  408. return p.rate * (p.rate.log() - q.rate.log()) - (p.rate - q.rate)
  409. @register_kl(TransformedDistribution, TransformedDistribution)
  410. def _kl_transformed_transformed(p, q):
  411. if p.transforms != q.transforms:
  412. raise NotImplementedError
  413. if p.event_shape != q.event_shape:
  414. raise NotImplementedError
  415. return kl_divergence(p.base_dist, q.base_dist)
  416. @register_kl(Uniform, Uniform)
  417. def _kl_uniform_uniform(p, q):
  418. result = ((q.high - q.low) / (p.high - p.low)).log()
  419. result[(q.low > p.low) | (q.high < p.high)] = inf
  420. return result
  421. # Different distributions
  422. @register_kl(Bernoulli, Poisson)
  423. def _kl_bernoulli_poisson(p, q):
  424. return -p.entropy() - (p.probs * q.rate.log() - q.rate)
  425. @register_kl(Beta, ContinuousBernoulli)
  426. def _kl_beta_continuous_bernoulli(p, q):
  427. return (
  428. -p.entropy()
  429. - p.mean * q.logits
  430. - torch.log1p(-q.probs)
  431. - q._cont_bern_log_norm()
  432. )
  433. @register_kl(Beta, Pareto)
  434. def _kl_beta_infinity(p, q):
  435. return _infinite_like(p.concentration1)
  436. @register_kl(Beta, Exponential)
  437. def _kl_beta_exponential(p, q):
  438. return (
  439. -p.entropy()
  440. - q.rate.log()
  441. + q.rate * (p.concentration1 / (p.concentration1 + p.concentration0))
  442. )
  443. @register_kl(Beta, Gamma)
  444. def _kl_beta_gamma(p, q):
  445. t1 = -p.entropy()
  446. t2 = q.concentration.lgamma() - q.concentration * q.rate.log()
  447. t3 = (q.concentration - 1) * (
  448. p.concentration1.digamma() - (p.concentration1 + p.concentration0).digamma()
  449. )
  450. t4 = q.rate * p.concentration1 / (p.concentration1 + p.concentration0)
  451. return t1 + t2 - t3 + t4
  452. # TODO: Add Beta-Laplace KL Divergence
  453. @register_kl(Beta, Normal)
  454. def _kl_beta_normal(p, q):
  455. E_beta = p.concentration1 / (p.concentration1 + p.concentration0)
  456. var_normal = q.scale.pow(2)
  457. t1 = -p.entropy()
  458. t2 = 0.5 * (var_normal * 2 * math.pi).log()
  459. t3 = (
  460. E_beta * (1 - E_beta) / (p.concentration1 + p.concentration0 + 1)
  461. + E_beta.pow(2)
  462. ) * 0.5
  463. t4 = q.loc * E_beta
  464. t5 = q.loc.pow(2) * 0.5
  465. return t1 + t2 + (t3 - t4 + t5) / var_normal
  466. @register_kl(Beta, Uniform)
  467. def _kl_beta_uniform(p, q):
  468. result = -p.entropy() + (q.high - q.low).log()
  469. result[(q.low > p.support.lower_bound) | (q.high < p.support.upper_bound)] = inf
  470. return result
  471. # Note that the KL between a ContinuousBernoulli and Beta has no closed form
  472. @register_kl(ContinuousBernoulli, Pareto)
  473. def _kl_continuous_bernoulli_infinity(p, q):
  474. return _infinite_like(p.probs)
  475. @register_kl(ContinuousBernoulli, Exponential)
  476. def _kl_continuous_bernoulli_exponential(p, q):
  477. return -p.entropy() - torch.log(q.rate) + q.rate * p.mean
  478. # Note that the KL between a ContinuousBernoulli and Gamma has no closed form
  479. # TODO: Add ContinuousBernoulli-Laplace KL Divergence
  480. @register_kl(ContinuousBernoulli, Normal)
  481. def _kl_continuous_bernoulli_normal(p, q):
  482. t1 = -p.entropy()
  483. t2 = 0.5 * (math.log(2.0 * math.pi) + torch.square(q.loc / q.scale)) + torch.log(
  484. q.scale
  485. )
  486. t3 = (p.variance + torch.square(p.mean) - 2.0 * q.loc * p.mean) / (
  487. 2.0 * torch.square(q.scale)
  488. )
  489. return t1 + t2 + t3
  490. @register_kl(ContinuousBernoulli, Uniform)
  491. def _kl_continuous_bernoulli_uniform(p, q):
  492. result = -p.entropy() + (q.high - q.low).log()
  493. return torch.where(
  494. torch.max(
  495. torch.ge(q.low, p.support.lower_bound),
  496. torch.le(q.high, p.support.upper_bound),
  497. ),
  498. torch.ones_like(result) * inf,
  499. result,
  500. )
  501. @register_kl(Exponential, Beta)
  502. @register_kl(Exponential, ContinuousBernoulli)
  503. @register_kl(Exponential, Pareto)
  504. @register_kl(Exponential, Uniform)
  505. def _kl_exponential_infinity(p, q):
  506. return _infinite_like(p.rate)
  507. @register_kl(Exponential, Gamma)
  508. def _kl_exponential_gamma(p, q):
  509. ratio = q.rate / p.rate
  510. t1 = -q.concentration * torch.log(ratio)
  511. return (
  512. t1
  513. + ratio
  514. + q.concentration.lgamma()
  515. + q.concentration * _euler_gamma
  516. - (1 + _euler_gamma)
  517. )
  518. @register_kl(Exponential, Gumbel)
  519. def _kl_exponential_gumbel(p, q):
  520. scale_rate_prod = p.rate * q.scale
  521. loc_scale_ratio = q.loc / q.scale
  522. t1 = scale_rate_prod.log() - 1
  523. t2 = torch.exp(loc_scale_ratio) * scale_rate_prod / (scale_rate_prod + 1)
  524. t3 = scale_rate_prod.reciprocal()
  525. return t1 - loc_scale_ratio + t2 + t3
  526. # TODO: Add Exponential-Laplace KL Divergence
  527. @register_kl(Exponential, Normal)
  528. def _kl_exponential_normal(p, q):
  529. var_normal = q.scale.pow(2)
  530. rate_sqr = p.rate.pow(2)
  531. t1 = 0.5 * torch.log(rate_sqr * var_normal * 2 * math.pi)
  532. t2 = rate_sqr.reciprocal()
  533. t3 = q.loc / p.rate
  534. t4 = q.loc.pow(2) * 0.5
  535. return t1 - 1 + (t2 - t3 + t4) / var_normal
  536. @register_kl(Gamma, Beta)
  537. @register_kl(Gamma, ContinuousBernoulli)
  538. @register_kl(Gamma, Pareto)
  539. @register_kl(Gamma, Uniform)
  540. def _kl_gamma_infinity(p, q):
  541. return _infinite_like(p.concentration)
  542. @register_kl(Gamma, Exponential)
  543. def _kl_gamma_exponential(p, q):
  544. return -p.entropy() - q.rate.log() + q.rate * p.concentration / p.rate
  545. @register_kl(Gamma, Gumbel)
  546. def _kl_gamma_gumbel(p, q):
  547. beta_scale_prod = p.rate * q.scale
  548. loc_scale_ratio = q.loc / q.scale
  549. t1 = (
  550. (p.concentration - 1) * p.concentration.digamma()
  551. - p.concentration.lgamma()
  552. - p.concentration
  553. )
  554. t2 = beta_scale_prod.log() + p.concentration / beta_scale_prod
  555. t3 = (
  556. torch.exp(loc_scale_ratio)
  557. * (1 + beta_scale_prod.reciprocal()).pow(-p.concentration)
  558. - loc_scale_ratio
  559. )
  560. return t1 + t2 + t3
  561. # TODO: Add Gamma-Laplace KL Divergence
  562. @register_kl(Gamma, Normal)
  563. def _kl_gamma_normal(p, q):
  564. var_normal = q.scale.pow(2)
  565. beta_sqr = p.rate.pow(2)
  566. t1 = (
  567. 0.5 * torch.log(beta_sqr * var_normal * 2 * math.pi)
  568. - p.concentration
  569. - p.concentration.lgamma()
  570. )
  571. t2 = 0.5 * (p.concentration.pow(2) + p.concentration) / beta_sqr
  572. t3 = q.loc * p.concentration / p.rate
  573. t4 = 0.5 * q.loc.pow(2)
  574. return (
  575. t1
  576. + (p.concentration - 1) * p.concentration.digamma()
  577. + (t2 - t3 + t4) / var_normal
  578. )
  579. @register_kl(Gumbel, Beta)
  580. @register_kl(Gumbel, ContinuousBernoulli)
  581. @register_kl(Gumbel, Exponential)
  582. @register_kl(Gumbel, Gamma)
  583. @register_kl(Gumbel, Pareto)
  584. @register_kl(Gumbel, Uniform)
  585. def _kl_gumbel_infinity(p, q):
  586. return _infinite_like(p.loc)
  587. # TODO: Add Gumbel-Laplace KL Divergence
  588. @register_kl(Gumbel, Normal)
  589. def _kl_gumbel_normal(p, q):
  590. param_ratio = p.scale / q.scale
  591. t1 = (param_ratio / math.sqrt(2 * math.pi)).log()
  592. t2 = (math.pi * param_ratio * 0.5).pow(2) / 3
  593. t3 = ((p.loc + p.scale * _euler_gamma - q.loc) / q.scale).pow(2) * 0.5
  594. return -t1 + t2 + t3 - (_euler_gamma + 1)
  595. @register_kl(Laplace, Beta)
  596. @register_kl(Laplace, ContinuousBernoulli)
  597. @register_kl(Laplace, Exponential)
  598. @register_kl(Laplace, Gamma)
  599. @register_kl(Laplace, Pareto)
  600. @register_kl(Laplace, Uniform)
  601. def _kl_laplace_infinity(p, q):
  602. return _infinite_like(p.loc)
  603. @register_kl(Laplace, Normal)
  604. def _kl_laplace_normal(p, q):
  605. var_normal = q.scale.pow(2)
  606. scale_sqr_var_ratio = p.scale.pow(2) / var_normal
  607. t1 = 0.5 * torch.log(2 * scale_sqr_var_ratio / math.pi)
  608. t2 = 0.5 * p.loc.pow(2)
  609. t3 = p.loc * q.loc
  610. t4 = 0.5 * q.loc.pow(2)
  611. return -t1 + scale_sqr_var_ratio + (t2 - t3 + t4) / var_normal - 1
  612. @register_kl(Normal, Beta)
  613. @register_kl(Normal, ContinuousBernoulli)
  614. @register_kl(Normal, Exponential)
  615. @register_kl(Normal, Gamma)
  616. @register_kl(Normal, Pareto)
  617. @register_kl(Normal, Uniform)
  618. def _kl_normal_infinity(p, q):
  619. return _infinite_like(p.loc)
  620. @register_kl(Normal, Gumbel)
  621. def _kl_normal_gumbel(p, q):
  622. mean_scale_ratio = p.loc / q.scale
  623. var_scale_sqr_ratio = (p.scale / q.scale).pow(2)
  624. loc_scale_ratio = q.loc / q.scale
  625. t1 = var_scale_sqr_ratio.log() * 0.5
  626. t2 = mean_scale_ratio - loc_scale_ratio
  627. t3 = torch.exp(-mean_scale_ratio + 0.5 * var_scale_sqr_ratio + loc_scale_ratio)
  628. return -t1 + t2 + t3 - (0.5 * (1 + math.log(2 * math.pi)))
  629. @register_kl(Normal, Laplace)
  630. def _kl_normal_laplace(p, q):
  631. loc_diff = p.loc - q.loc
  632. scale_ratio = p.scale / q.scale
  633. loc_diff_scale_ratio = loc_diff / p.scale
  634. t1 = torch.log(scale_ratio)
  635. t2 = (
  636. math.sqrt(2 / math.pi) * p.scale * torch.exp(-0.5 * loc_diff_scale_ratio.pow(2))
  637. )
  638. t3 = loc_diff * torch.erf(math.sqrt(0.5) * loc_diff_scale_ratio)
  639. return -t1 + (t2 + t3) / q.scale - (0.5 * (1 + math.log(0.5 * math.pi)))
  640. @register_kl(Pareto, Beta)
  641. @register_kl(Pareto, ContinuousBernoulli)
  642. @register_kl(Pareto, Uniform)
  643. def _kl_pareto_infinity(p, q):
  644. return _infinite_like(p.scale)
  645. @register_kl(Pareto, Exponential)
  646. def _kl_pareto_exponential(p, q):
  647. scale_rate_prod = p.scale * q.rate
  648. t1 = (p.alpha / scale_rate_prod).log()
  649. t2 = p.alpha.reciprocal()
  650. t3 = p.alpha * scale_rate_prod / (p.alpha - 1)
  651. result = t1 - t2 + t3 - 1
  652. result[p.alpha <= 1] = inf
  653. return result
  654. @register_kl(Pareto, Gamma)
  655. def _kl_pareto_gamma(p, q):
  656. common_term = p.scale.log() + p.alpha.reciprocal()
  657. t1 = p.alpha.log() - common_term
  658. t2 = q.concentration.lgamma() - q.concentration * q.rate.log()
  659. t3 = (1 - q.concentration) * common_term
  660. t4 = q.rate * p.alpha * p.scale / (p.alpha - 1)
  661. result = t1 + t2 + t3 + t4 - 1
  662. result[p.alpha <= 1] = inf
  663. return result
  664. # TODO: Add Pareto-Laplace KL Divergence
  665. @register_kl(Pareto, Normal)
  666. def _kl_pareto_normal(p, q):
  667. var_normal = 2 * q.scale.pow(2)
  668. common_term = p.scale / (p.alpha - 1)
  669. t1 = (math.sqrt(2 * math.pi) * q.scale * p.alpha / p.scale).log()
  670. t2 = p.alpha.reciprocal()
  671. t3 = p.alpha * common_term.pow(2) / (p.alpha - 2)
  672. t4 = (p.alpha * common_term - q.loc).pow(2)
  673. result = t1 - t2 + (t3 + t4) / var_normal - 1
  674. result[p.alpha <= 2] = inf
  675. return result
  676. @register_kl(Poisson, Bernoulli)
  677. @register_kl(Poisson, Binomial)
  678. def _kl_poisson_infinity(p, q):
  679. return _infinite_like(p.rate)
  680. @register_kl(Uniform, Beta)
  681. def _kl_uniform_beta(p, q):
  682. common_term = p.high - p.low
  683. t1 = torch.log(common_term)
  684. t2 = (
  685. (q.concentration1 - 1)
  686. * (_x_log_x(p.high) - _x_log_x(p.low) - common_term)
  687. / common_term
  688. )
  689. t3 = (
  690. (q.concentration0 - 1)
  691. * (_x_log_x(1 - p.high) - _x_log_x(1 - p.low) + common_term)
  692. / common_term
  693. )
  694. t4 = (
  695. q.concentration1.lgamma()
  696. + q.concentration0.lgamma()
  697. - (q.concentration1 + q.concentration0).lgamma()
  698. )
  699. result = t3 + t4 - t1 - t2
  700. result[(p.high > q.support.upper_bound) | (p.low < q.support.lower_bound)] = inf
  701. return result
  702. @register_kl(Uniform, ContinuousBernoulli)
  703. def _kl_uniform_continuous_bernoulli(p, q):
  704. result = (
  705. -p.entropy()
  706. - p.mean * q.logits
  707. - torch.log1p(-q.probs)
  708. - q._cont_bern_log_norm()
  709. )
  710. return torch.where(
  711. torch.max(
  712. torch.ge(p.high, q.support.upper_bound),
  713. torch.le(p.low, q.support.lower_bound),
  714. ),
  715. torch.ones_like(result) * inf,
  716. result,
  717. )
  718. @register_kl(Uniform, Exponential)
  719. def _kl_uniform_exponetial(p, q):
  720. result = q.rate * (p.high + p.low) / 2 - ((p.high - p.low) * q.rate).log()
  721. result[p.low < q.support.lower_bound] = inf
  722. return result
  723. @register_kl(Uniform, Gamma)
  724. def _kl_uniform_gamma(p, q):
  725. common_term = p.high - p.low
  726. t1 = common_term.log()
  727. t2 = q.concentration.lgamma() - q.concentration * q.rate.log()
  728. t3 = (
  729. (1 - q.concentration)
  730. * (_x_log_x(p.high) - _x_log_x(p.low) - common_term)
  731. / common_term
  732. )
  733. t4 = q.rate * (p.high + p.low) / 2
  734. result = -t1 + t2 + t3 + t4
  735. result[p.low < q.support.lower_bound] = inf
  736. return result
  737. @register_kl(Uniform, Gumbel)
  738. def _kl_uniform_gumbel(p, q):
  739. common_term = q.scale / (p.high - p.low)
  740. high_loc_diff = (p.high - q.loc) / q.scale
  741. low_loc_diff = (p.low - q.loc) / q.scale
  742. t1 = common_term.log() + 0.5 * (high_loc_diff + low_loc_diff)
  743. t2 = common_term * (torch.exp(-high_loc_diff) - torch.exp(-low_loc_diff))
  744. return t1 - t2
  745. # TODO: Uniform-Laplace KL Divergence
  746. @register_kl(Uniform, Normal)
  747. def _kl_uniform_normal(p, q):
  748. common_term = p.high - p.low
  749. t1 = (math.sqrt(math.pi * 2) * q.scale / common_term).log()
  750. t2 = (common_term).pow(2) / 12
  751. t3 = ((p.high + p.low - 2 * q.loc) / 2).pow(2)
  752. return t1 + 0.5 * (t2 + t3) / q.scale.pow(2)
  753. @register_kl(Uniform, Pareto)
  754. def _kl_uniform_pareto(p, q):
  755. support_uniform = p.high - p.low
  756. t1 = (q.alpha * q.scale.pow(q.alpha) * (support_uniform)).log()
  757. t2 = (_x_log_x(p.high) - _x_log_x(p.low) - support_uniform) / support_uniform
  758. result = t2 * (q.alpha + 1) - t1
  759. result[p.low < q.support.lower_bound] = inf
  760. return result
  761. @register_kl(Independent, Independent)
  762. def _kl_independent_independent(p, q):
  763. if p.reinterpreted_batch_ndims != q.reinterpreted_batch_ndims:
  764. raise NotImplementedError
  765. result = kl_divergence(p.base_dist, q.base_dist)
  766. return _sum_rightmost(result, p.reinterpreted_batch_ndims)
  767. @register_kl(Cauchy, Cauchy)
  768. def _kl_cauchy_cauchy(p, q):
  769. # From https://arxiv.org/abs/1905.10965
  770. t1 = ((p.scale + q.scale).pow(2) + (p.loc - q.loc).pow(2)).log()
  771. t2 = (4 * p.scale * q.scale).log()
  772. return t1 - t2
  773. def _add_kl_info():
  774. """Appends a list of implemented KL functions to the doc for kl_divergence."""
  775. rows = [
  776. "KL divergence is currently implemented for the following distribution pairs:"
  777. ]
  778. for p, q in sorted(
  779. _KL_REGISTRY, key=lambda p_q: (p_q[0].__name__, p_q[1].__name__)
  780. ):
  781. rows.append(
  782. f"* :class:`~torch.distributions.{p.__name__}` and :class:`~torch.distributions.{q.__name__}`"
  783. )
  784. kl_info = "\n\t".join(rows)
  785. if kl_divergence.__doc__:
  786. kl_divergence.__doc__ += kl_info