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