Table Of Contents
Table Of Contents

Source code for gluonts.distribution.mixture

# 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
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# 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
from typing import List, Optional, Tuple

# Third-party imports
from mxnet import gluon

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

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


[docs]class MixtureDistribution(Distribution): r""" A mixture distribution where each component is a Distribution. Parameters ---------- mixture_probs A tensor of mixing probabilities. The entries should all be positive and sum to 1 across the last dimension. Shape: (..., k), where k is the number of distributions to be mixed. All axis except the last one should either coincide with the ones from the component distributions, or be 1 (in which case, the mixing coefficient is shared across the axis). components A list of k Distribution objects representing the mixture components. Distributions can be of different types. Each component's support should be made of tensors of shape (..., d). F A module that can either refer to the Symbol API or the NDArray API in MXNet """ is_reparameterizable = False def __init__( self, mixture_probs: Tensor, components: List[Distribution], F=None ) -> None: self.F = F if F else getF(mixture_probs) # TODO: handle case with all components of the same type more efficiently when sampling # self.all_same = len(set(c.__class__.__name__ for c in components)) == 1 self.mixture_probs = mixture_probs self.components = components @property def batch_shape(self) -> Tuple: return self.components[0].batch_shape @property def event_shape(self) -> Tuple: return self.components[0].event_shape @property def event_dim(self) -> int: return self.components[0].event_dim
[docs] def log_prob(self, x: Tensor) -> Tensor: F = self.F log_mix_weights = F.log(self.mixture_probs) # compute log probabilities of components component_log_likelihood = F.stack( *[c.log_prob(x) for c in self.components], axis=-1 ) # compute mixture log probability by log-sum-exp summands = log_mix_weights + component_log_likelihood max_val = F.max_axis(summands, axis=-1, keepdims=True) sum_exp = F.sum( F.exp(F.broadcast_minus(summands, max_val)), axis=-1, keepdims=True ) log_sum_exp = F.log(sum_exp) + max_val return log_sum_exp.squeeze(axis=-1)
@property def mean(self) -> Tensor: F = self.F mean_values = F.stack(*[c.mean for c in self.components], axis=-1) return F.sum( F.broadcast_mul(mean_values, self.mixture_probs, axis=-1), axis=-1 )
[docs] def cdf(self, x: Tensor) -> Tensor: F = self.F cdf_values = F.stack(*[c.cdf(x) for c in self.components], axis=-1) erg = F.sum( F.broadcast_mul(cdf_values, self.mixture_probs, axis=-1), axis=-1 ) return erg
@property def stddev(self) -> Tensor: F = self.F stddev_values = F.stack(*[c.stddev for c in self.components], axis=-1) return F.sum( F.broadcast_mul(stddev_values, self.mixture_probs, axis=-1), axis=-1, )
[docs] def sample(self, num_samples: Optional[int] = None) -> Tensor: samples_list = [c.sample(num_samples) for c in self.components] samples = self.F.stack(*samples_list, axis=-1) mixture_probs = _expand_param(self.mixture_probs, num_samples) idx = self.F.random.multinomial(mixture_probs) for _ in range(self.event_dim): idx = idx.expand_dims(axis=-1) idx = idx.broadcast_like(samples_list[0]) selected_samples = self.F.pick(data=samples, index=idx, axis=-1) return selected_samples
[docs]class MixtureArgs(gluon.HybridBlock): def __init__( self, distr_outputs: List[DistributionOutput], prefix: Optional[str] = None, ) -> None: super().__init__() self.num_components = len(distr_outputs) self.component_projections: List[gluon.HybridBlock] = [] with self.name_scope(): self.proj_mixture_probs = gluon.nn.HybridSequential() self.proj_mixture_probs.add( gluon.nn.Dense( self.num_components, prefix=f"{prefix}_pi_", flatten=False ) ) self.proj_mixture_probs.add(gluon.nn.HybridLambda("softmax")) for k, do in enumerate(distr_outputs): self.component_projections.append( do.get_args_proj(prefix=str(k)) ) self.register_child(self.component_projections[-1])
[docs] def hybrid_forward(self, F, x: Tensor) -> Tuple[Tensor, ...]: mixture_probs = self.proj_mixture_probs(x) component_args = [c_proj(x) for c_proj in self.component_projections] return tuple([mixture_probs] + component_args)
[docs]class MixtureDistributionOutput(DistributionOutput): @validated() def __init__(self, distr_outputs: List[DistributionOutput]) -> None: self.num_components = len(distr_outputs) self.distr_outputs = distr_outputs
[docs] def get_args_proj(self, prefix: Optional[str] = None) -> MixtureArgs: return MixtureArgs(self.distr_outputs, prefix=prefix)
# Overwrites the parent class method.
[docs] def distribution( self, distr_args, scale: Optional[Tensor] = None, **kwargs ) -> MixtureDistribution: mixture_probs = distr_args[0] component_args = distr_args[1:] return MixtureDistribution( mixture_probs=mixture_probs, components=[ do.distribution(args, scale=scale) for do, args in zip(self.distr_outputs, component_args) ], )
@property def event_shape(self) -> Tuple: return self.distr_outputs[0].event_shape