Table Of Contents
Table Of Contents

Source code for gluonts.distribution.gaussian

# Copyright 2018 Amazon.com, 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
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# or in the "license" file accompanying this file. This file is distributed
# on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either
# express or implied. See the License for the specific language governing
# permissions and limitations under the License.

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

# First-party imports
from gluonts.model.common import Tensor
from gluonts.support.util import erf

# 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 def __init__(self, mu: Tensor, sigma: Tensor, F=None) -> None: self.mu = mu self.sigma = sigma self.F = F if F else getF(mu) @property def batch_shape(self) -> Tuple: return self.mu.shape @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.mu, 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 self.mu @property def stddev(self) -> Tensor: return self.sigma
[docs] def cdf(self, x): F = self.F u = self.F.broadcast_div( self.F.broadcast_minus(x, self.mu), self.sigma * math.sqrt(2.0) ) return (erf(F, u) + 1.0) / 2.0
[docs] def sample(self, num_samples: Optional[int] = None) -> Tensor: return _sample_multiple( self.F.sample_normal, mu=self.mu, sigma=self.sigma, num_samples=num_samples, )
[docs] def sample_rep(self, num_samples: Optional[int] = None) -> Tensor: def s(mu: Tensor, sigma: Tensor) -> Tensor: raw_samples = self.F.sample_normal( mu=mu.zeros_like(), sigma=sigma.ones_like() ) return sigma * raw_samples + mu return _sample_multiple( s, mu=self.mu, sigma=self.sigma, num_samples=num_samples )
[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 ()