Source code for gluonts.distribution.gaussian

# Copyright 2018, Inc. or its affiliates. All Rights Reserved.
# Licensed under the Apache License, Version 2.0 (the "License").
# You may not use this file except in compliance with the License.
# A copy of the License is located at
# or in the "license" file accompanying this file. This file is distributed
# express or implied. See the License for the specific language governing
# permissions and limitations under the License.

# Standard library imports
import math
from functools import partial
from typing import Dict, Optional, Tuple, List

# Third-party imports
import numpy as np

# First-party imports
from gluonts.model.common import Tensor
from import erf, erfinv
from gluonts.core.component import validated

# Relative imports
from .distribution import Distribution, _sample_multiple, getF, softplus
from .distribution_output import DistributionOutput

[docs]class Gaussian(Distribution): r""" Gaussian distribution. Parameters ---------- mu Tensor containing the means, of shape `(*batch_shape, *event_shape)`. std Tensor containing the standard deviations, of shape `(*batch_shape, *event_shape)`. F """ is_reparameterizable = True @validated() def __init__(self, mu: Tensor, sigma: Tensor, F=None) -> None: = mu self.sigma = sigma self.F = F if F else getF(mu) @property def batch_shape(self) -> Tuple: return @property def event_shape(self) -> Tuple: return () @property def event_dim(self) -> int: return 0
[docs] def log_prob(self, x: Tensor) -> Tensor: F = self.F mu, sigma =, self.sigma return -1.0 * ( F.log(sigma) + 0.5 * math.log(2 * math.pi) + 0.5 * F.square((x - mu) / sigma) )
@property def mean(self) -> Tensor: return @property def stddev(self) -> Tensor: return self.sigma
[docs] def cdf(self, x): F = self.F u = F.broadcast_div( F.broadcast_minus(x,, self.sigma * math.sqrt(2.0) ) return (erf(F, u) + 1.0) / 2.0
[docs] def sample( self, num_samples: Optional[int] = None, dtype=np.float32 ) -> Tensor: return _sample_multiple( partial(self.F.sample_normal, dtype=dtype),, sigma=self.sigma, num_samples=num_samples, )
[docs] def sample_rep( self, num_samples: Optional[int] = None, dtype=np.float32 ) -> Tensor: def s(mu: Tensor, sigma: Tensor) -> Tensor: raw_samples = self.F.sample_normal( mu=mu.zeros_like(), sigma=sigma.ones_like(), dtype=dtype ) return sigma * raw_samples + mu return _sample_multiple( s,, sigma=self.sigma, num_samples=num_samples )
[docs] def quantile(self, level: Tensor) -> Tensor: F = self.F # we consider level to be an independent axis and so expand it # to shape (num_levels, 1, 1, ...) for _ in range(self.all_dim): level = level.expand_dims(axis=-1) return F.broadcast_add(, F.broadcast_mul( self.sigma, math.sqrt(2.0) * erfinv(F, 2.0 * level - 1.0) ), )
@property def args(self) -> List: return [, self.sigma]
[docs]class GaussianOutput(DistributionOutput): args_dim: Dict[str, int] = {"mu": 1, "sigma": 1} distr_cls: type = Gaussian
[docs] @classmethod def domain_map(cls, F, mu, sigma): r""" Maps raw tensors to valid arguments for constructing a Gaussian distribution. Parameters ---------- F mu Tensor of shape `(*batch_shape, 1)` sigma Tensor of shape `(*batch_shape, 1)` Returns ------- Tuple[Tensor, Tensor] Two squeezed tensors, of shape `(*batch_shape)`: the first has the same entries as `mu` and the second has entries mapped to the positive orthant. """ sigma = softplus(F, sigma) return mu.squeeze(axis=-1), sigma.squeeze(axis=-1)
@property def event_shape(self) -> Tuple: return ()