weibull.py 3.3 KB

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  1. # mypy: allow-untyped-defs
  2. from typing import Optional, Union
  3. import torch
  4. from torch import Tensor
  5. from torch.distributions import constraints
  6. from torch.distributions.exponential import Exponential
  7. from torch.distributions.gumbel import euler_constant
  8. from torch.distributions.transformed_distribution import TransformedDistribution
  9. from torch.distributions.transforms import AffineTransform, PowerTransform
  10. from torch.distributions.utils import broadcast_all
  11. __all__ = ["Weibull"]
  12. class Weibull(TransformedDistribution):
  13. r"""
  14. Samples from a two-parameter Weibull distribution.
  15. Example:
  16. >>> # xdoctest: +IGNORE_WANT("non-deterministic")
  17. >>> m = Weibull(torch.tensor([1.0]), torch.tensor([1.0]))
  18. >>> m.sample() # sample from a Weibull distribution with scale=1, concentration=1
  19. tensor([ 0.4784])
  20. Args:
  21. scale (float or Tensor): Scale parameter of distribution (lambda).
  22. concentration (float or Tensor): Concentration parameter of distribution (k/shape).
  23. validate_args (bool, optional): Whether to validate arguments. Default: None.
  24. """
  25. arg_constraints = {
  26. "scale": constraints.positive,
  27. "concentration": constraints.positive,
  28. }
  29. support = constraints.positive
  30. def __init__(
  31. self,
  32. scale: Union[Tensor, float],
  33. concentration: Union[Tensor, float],
  34. validate_args: Optional[bool] = None,
  35. ) -> None:
  36. self.scale, self.concentration = broadcast_all(scale, concentration)
  37. self.concentration_reciprocal = self.concentration.reciprocal()
  38. base_dist = Exponential(
  39. torch.ones_like(self.scale), validate_args=validate_args
  40. )
  41. transforms = [
  42. PowerTransform(exponent=self.concentration_reciprocal),
  43. AffineTransform(loc=0, scale=self.scale),
  44. ]
  45. super().__init__(base_dist, transforms, validate_args=validate_args)
  46. def expand(self, batch_shape, _instance=None):
  47. new = self._get_checked_instance(Weibull, _instance)
  48. new.scale = self.scale.expand(batch_shape)
  49. new.concentration = self.concentration.expand(batch_shape)
  50. new.concentration_reciprocal = new.concentration.reciprocal()
  51. base_dist = self.base_dist.expand(batch_shape)
  52. transforms = [
  53. PowerTransform(exponent=new.concentration_reciprocal),
  54. AffineTransform(loc=0, scale=new.scale),
  55. ]
  56. super(Weibull, new).__init__(base_dist, transforms, validate_args=False)
  57. new._validate_args = self._validate_args
  58. return new
  59. @property
  60. def mean(self) -> Tensor:
  61. return self.scale * torch.exp(torch.lgamma(1 + self.concentration_reciprocal))
  62. @property
  63. def mode(self) -> Tensor:
  64. return (
  65. self.scale
  66. * ((self.concentration - 1) / self.concentration)
  67. ** self.concentration.reciprocal()
  68. )
  69. @property
  70. def variance(self) -> Tensor:
  71. return self.scale.pow(2) * (
  72. torch.exp(torch.lgamma(1 + 2 * self.concentration_reciprocal))
  73. - torch.exp(2 * torch.lgamma(1 + self.concentration_reciprocal))
  74. )
  75. def entropy(self):
  76. return (
  77. euler_constant * (1 - self.concentration_reciprocal)
  78. + torch.log(self.scale * self.concentration_reciprocal)
  79. + 1
  80. )