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"""Gradients of the univariate t distribution.""" |
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from __future__ import absolute_import |
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import scipy.stats |
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import autograd.numpy as np |
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from autograd.extend import primitive, defvjp |
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from autograd.numpy.numpy_vjps import unbroadcast_f |
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from autograd.scipy.special import psi |
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pdf = primitive(scipy.stats.t.pdf) |
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cdf = primitive(scipy.stats.t.cdf) |
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logpdf = primitive(scipy.stats.t.logpdf) |
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logcdf = primitive(scipy.stats.t.logcdf) |
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def grad_tlogpdf_diff(diff, df): |
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return -diff * (1.0 + df) / (diff**2 + df) |
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def grad_tlogpdf_x(x, df, loc, scale): |
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return grad_tlogpdf_diff((x - loc) / scale, df) / scale |
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def grad_tlogpdf_loc(x, df, loc, scale): |
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return -grad_tlogpdf_diff((x - loc) / scale, df) / scale |
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def grad_tlogpdf_scale(x, df, loc, scale): |
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diff = x - loc |
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return -(df * (scale**2 - diff**2))/(scale * (df * scale**2 + diff**2)) |
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def grad_tlogpdf_df(x, df, loc, scale): |
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y = (x - loc)/scale |
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return 0.5 * ((y**2 * (df+1))/(df * (y**2 + df)) - np.log(y**2 / df + 1) - 1.0/df -psi(df/2.0) + psi((df + 1)/2.0)) |
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defvjp(pdf, lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(x, lambda g: g * ans * grad_tlogpdf_x( x, df, loc, scale)), |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(df, lambda g: g * ans * grad_tlogpdf_df( x, df, loc, scale)), |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(loc, lambda g: g * ans * grad_tlogpdf_loc( x, df, loc, scale)), |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(scale, lambda g: g * ans * grad_tlogpdf_scale(x, df, loc, scale))) |
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defvjp(cdf, |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(x, lambda g: g * pdf(x, df, loc, scale)), |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(loc, lambda g: -g * pdf(x, df, loc, scale)), argnums=(0,2)) |
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defvjp(logpdf, |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(x, lambda g: g * grad_tlogpdf_x( x, df, loc, scale)), |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(df, lambda g: g * grad_tlogpdf_df( x, df, loc, scale)), |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(loc, lambda g: g * grad_tlogpdf_loc( x, df, loc, scale)), |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(scale, lambda g: g * grad_tlogpdf_scale(x, df, loc, scale))) |
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defvjp(logcdf, |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(x, lambda g: g * np.exp(logpdf(x, df, loc, scale) - logcdf(x, df, loc, scale))), |
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lambda ans, x, df, loc=0.0, scale=1.0: |
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unbroadcast_f(loc, lambda g: -g * np.exp(logpdf(x, df, loc, scale) - logcdf(x, df, loc, scale))), |
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argnums=(0,2)) |
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