import math import warnings from functools import total_ordering from typing import Callable, Dict, Tuple, Type import torch from torch import inf from .bernoulli import Bernoulli from .beta import Beta from .binomial import Binomial from .categorical import Categorical from .cauchy import Cauchy from .continuous_bernoulli import ContinuousBernoulli from .dirichlet import Dirichlet from .distribution import Distribution from .exp_family import ExponentialFamily from .exponential import Exponential from .gamma import Gamma from .geometric import Geometric from .gumbel import Gumbel from .half_normal import HalfNormal from .independent import Independent from .laplace import Laplace from .lowrank_multivariate_normal import ( _batch_lowrank_logdet, _batch_lowrank_mahalanobis, LowRankMultivariateNormal, ) from .multivariate_normal import _batch_mahalanobis, MultivariateNormal from .normal import Normal from .one_hot_categorical import OneHotCategorical from .pareto import Pareto from .poisson import Poisson from .transformed_distribution import TransformedDistribution from .uniform import Uniform from .utils import _sum_rightmost, euler_constant as _euler_gamma _KL_REGISTRY: Dict[ Tuple[Type, Type], Callable ] = {} # Source of truth mapping a few general (type, type) pairs to functions. _KL_MEMOIZE: Dict[ Tuple[Type, Type], Callable ] = {} # Memoized version mapping many specific (type, type) pairs to functions. __all__ = ["register_kl", "kl_divergence"] def register_kl(type_p, type_q): """ Decorator to register a pairwise function with :meth:`kl_divergence`. Usage:: @register_kl(Normal, Normal) def kl_normal_normal(p, q): # insert implementation here Lookup returns the most specific (type,type) match ordered by subclass. If the match is ambiguous, a `RuntimeWarning` is raised. For example to resolve the ambiguous situation:: @register_kl(BaseP, DerivedQ) def kl_version1(p, q): ... @register_kl(DerivedP, BaseQ) def kl_version2(p, q): ... you should register a third most-specific implementation, e.g.:: register_kl(DerivedP, DerivedQ)(kl_version1) # Break the tie. Args: type_p (type): A subclass of :class:`~torch.distributions.Distribution`. type_q (type): A subclass of :class:`~torch.distributions.Distribution`. """ if not isinstance(type_p, type) and issubclass(type_p, Distribution): raise TypeError( f"Expected type_p to be a Distribution subclass but got {type_p}" ) if not isinstance(type_q, type) and issubclass(type_q, Distribution): raise TypeError( f"Expected type_q to be a Distribution subclass but got {type_q}" ) def decorator(fun): _KL_REGISTRY[type_p, type_q] = fun _KL_MEMOIZE.clear() # reset since lookup order may have changed return fun return decorator @total_ordering class _Match: __slots__ = ["types"] def __init__(self, *types): self.types = types def __eq__(self, other): return self.types == other.types def __le__(self, other): for x, y in zip(self.types, other.types): if not issubclass(x, y): return False if x is not y: break return True def _dispatch_kl(type_p, type_q): """ Find the most specific approximate match, assuming single inheritance. """ matches = [ (super_p, super_q) for super_p, super_q in _KL_REGISTRY if issubclass(type_p, super_p) and issubclass(type_q, super_q) ] if not matches: return NotImplemented # Check that the left- and right- lexicographic orders agree. # mypy isn't smart enough to know that _Match implements __lt__ # see: https://github.com/python/typing/issues/760#issuecomment-710670503 left_p, left_q = min(_Match(*m) for m in matches).types # type: ignore[type-var] right_q, right_p = min(_Match(*reversed(m)) for m in matches).types # type: ignore[type-var] left_fun = _KL_REGISTRY[left_p, left_q] right_fun = _KL_REGISTRY[right_p, right_q] if left_fun is not right_fun: warnings.warn( "Ambiguous kl_divergence({}, {}). Please register_kl({}, {})".format( type_p.__name__, type_q.__name__, left_p.__name__, right_q.__name__ ), RuntimeWarning, ) return left_fun def _infinite_like(tensor): """ Helper function for obtaining infinite KL Divergence throughout """ return torch.full_like(tensor, inf) def _x_log_x(tensor): """ Utility function for calculating x log x """ return tensor * tensor.log() def _batch_trace_XXT(bmat): """ Utility function for calculating the trace of XX^{T} with X having arbitrary trailing batch dimensions """ n = bmat.size(-1) m = bmat.size(-2) flat_trace = bmat.reshape(-1, m * n).pow(2).sum(-1) return flat_trace.reshape(bmat.shape[:-2]) def kl_divergence(p: Distribution, q: Distribution) -> torch.Tensor: r""" Compute Kullback-Leibler divergence :math:`KL(p \| q)` between two distributions. .. math:: KL(p \| q) = \int p(x) \log\frac {p(x)} {q(x)} \,dx Args: p (Distribution): A :class:`~torch.distributions.Distribution` object. q (Distribution): A :class:`~torch.distributions.Distribution` object. Returns: Tensor: A batch of KL divergences of shape `batch_shape`. Raises: NotImplementedError: If the distribution types have not been registered via :meth:`register_kl`. """ try: fun = _KL_MEMOIZE[type(p), type(q)] except KeyError: fun = _dispatch_kl(type(p), type(q)) _KL_MEMOIZE[type(p), type(q)] = fun if fun is NotImplemented: raise NotImplementedError( f"No KL(p || q) is implemented for p type {p.__class__.__name__} and q type {q.__class__.__name__}" ) return fun(p, q) ################################################################################ # KL Divergence Implementations ################################################################################ # Same distributions @register_kl(Bernoulli, Bernoulli) def _kl_bernoulli_bernoulli(p, q): t1 = p.probs * ( torch.nn.functional.softplus(-q.logits) - torch.nn.functional.softplus(-p.logits) ) t1[q.probs == 0] = inf t1[p.probs == 0] = 0 t2 = (1 - p.probs) * ( torch.nn.functional.softplus(q.logits) - torch.nn.functional.softplus(p.logits) ) t2[q.probs == 1] = inf t2[p.probs == 1] = 0 return t1 + t2 @register_kl(Beta, Beta) def _kl_beta_beta(p, q): sum_params_p = p.concentration1 + p.concentration0 sum_params_q = q.concentration1 + q.concentration0 t1 = q.concentration1.lgamma() + q.concentration0.lgamma() + (sum_params_p).lgamma() t2 = p.concentration1.lgamma() + p.concentration0.lgamma() + (sum_params_q).lgamma() t3 = (p.concentration1 - q.concentration1) * torch.digamma(p.concentration1) t4 = (p.concentration0 - q.concentration0) * torch.digamma(p.concentration0) t5 = (sum_params_q - sum_params_p) * torch.digamma(sum_params_p) return t1 - t2 + t3 + t4 + t5 @register_kl(Binomial, Binomial) def _kl_binomial_binomial(p, q): # from https://math.stackexchange.com/questions/2214993/ # kullback-leibler-divergence-for-binomial-distributions-p-and-q if (p.total_count < q.total_count).any(): raise NotImplementedError( "KL between Binomials where q.total_count > p.total_count is not implemented" ) kl = p.total_count * ( p.probs * (p.logits - q.logits) + (-p.probs).log1p() - (-q.probs).log1p() ) inf_idxs = p.total_count > q.total_count kl[inf_idxs] = _infinite_like(kl[inf_idxs]) return kl @register_kl(Categorical, Categorical) def _kl_categorical_categorical(p, q): t = p.probs * (p.logits - q.logits) t[(q.probs == 0).expand_as(t)] = inf t[(p.probs == 0).expand_as(t)] = 0 return t.sum(-1) @register_kl(ContinuousBernoulli, ContinuousBernoulli) def _kl_continuous_bernoulli_continuous_bernoulli(p, q): t1 = p.mean * (p.logits - q.logits) t2 = p._cont_bern_log_norm() + torch.log1p(-p.probs) t3 = -q._cont_bern_log_norm() - torch.log1p(-q.probs) return t1 + t2 + t3 @register_kl(Dirichlet, Dirichlet) def _kl_dirichlet_dirichlet(p, q): # From http://bariskurt.com/kullback-leibler-divergence-between-two-dirichlet-and-beta-distributions/ sum_p_concentration = p.concentration.sum(-1) sum_q_concentration = q.concentration.sum(-1) t1 = sum_p_concentration.lgamma() - sum_q_concentration.lgamma() t2 = (p.concentration.lgamma() - q.concentration.lgamma()).sum(-1) t3 = p.concentration - q.concentration t4 = p.concentration.digamma() - sum_p_concentration.digamma().unsqueeze(-1) return t1 - t2 + (t3 * t4).sum(-1) @register_kl(Exponential, Exponential) def _kl_exponential_exponential(p, q): rate_ratio = q.rate / p.rate t1 = -rate_ratio.log() return t1 + rate_ratio - 1 @register_kl(ExponentialFamily, ExponentialFamily) def _kl_expfamily_expfamily(p, q): if not type(p) == type(q): raise NotImplementedError( "The cross KL-divergence between different exponential families cannot \ be computed using Bregman divergences" ) p_nparams = [np.detach().requires_grad_() for np in p._natural_params] q_nparams = q._natural_params lg_normal = p._log_normalizer(*p_nparams) gradients = torch.autograd.grad(lg_normal.sum(), p_nparams, create_graph=True) result = q._log_normalizer(*q_nparams) - lg_normal for pnp, qnp, g in zip(p_nparams, q_nparams, gradients): term = (qnp - pnp) * g result -= _sum_rightmost(term, len(q.event_shape)) return result @register_kl(Gamma, Gamma) def _kl_gamma_gamma(p, q): t1 = q.concentration * (p.rate / q.rate).log() t2 = torch.lgamma(q.concentration) - torch.lgamma(p.concentration) t3 = (p.concentration - q.concentration) * torch.digamma(p.concentration) t4 = (q.rate - p.rate) * (p.concentration / p.rate) return t1 + t2 + t3 + t4 @register_kl(Gumbel, Gumbel) def _kl_gumbel_gumbel(p, q): ct1 = p.scale / q.scale ct2 = q.loc / q.scale ct3 = p.loc / q.scale t1 = -ct1.log() - ct2 + ct3 t2 = ct1 * _euler_gamma t3 = torch.exp(ct2 + (1 + ct1).lgamma() - ct3) return t1 + t2 + t3 - (1 + _euler_gamma) @register_kl(Geometric, Geometric) def _kl_geometric_geometric(p, q): return -p.entropy() - torch.log1p(-q.probs) / p.probs - q.logits @register_kl(HalfNormal, HalfNormal) def _kl_halfnormal_halfnormal(p, q): return _kl_normal_normal(p.base_dist, q.base_dist) @register_kl(Laplace, Laplace) def _kl_laplace_laplace(p, q): # From http://www.mast.queensu.ca/~communications/Papers/gil-msc11.pdf scale_ratio = p.scale / q.scale loc_abs_diff = (p.loc - q.loc).abs() t1 = -scale_ratio.log() t2 = loc_abs_diff / q.scale t3 = scale_ratio * torch.exp(-loc_abs_diff / p.scale) return t1 + t2 + t3 - 1 @register_kl(LowRankMultivariateNormal, LowRankMultivariateNormal) def _kl_lowrankmultivariatenormal_lowrankmultivariatenormal(p, q): if p.event_shape != q.event_shape: raise ValueError( "KL-divergence between two Low Rank Multivariate Normals with\ different event shapes cannot be computed" ) term1 = _batch_lowrank_logdet( q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag, q._capacitance_tril ) - _batch_lowrank_logdet( p._unbroadcasted_cov_factor, p._unbroadcasted_cov_diag, p._capacitance_tril ) term3 = _batch_lowrank_mahalanobis( q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag, q.loc - p.loc, q._capacitance_tril, ) # Expands term2 according to # inv(qcov) @ pcov = [inv(qD) - inv(qD) @ qW @ inv(qC) @ qW.T @ inv(qD)] @ (pW @ pW.T + pD) # = [inv(qD) - A.T @ A] @ (pD + pW @ pW.T) qWt_qDinv = q._unbroadcasted_cov_factor.mT / q._unbroadcasted_cov_diag.unsqueeze(-2) A = torch.linalg.solve_triangular(q._capacitance_tril, qWt_qDinv, upper=False) term21 = (p._unbroadcasted_cov_diag / q._unbroadcasted_cov_diag).sum(-1) term22 = _batch_trace_XXT( p._unbroadcasted_cov_factor * q._unbroadcasted_cov_diag.rsqrt().unsqueeze(-1) ) term23 = _batch_trace_XXT(A * p._unbroadcasted_cov_diag.sqrt().unsqueeze(-2)) term24 = _batch_trace_XXT(A.matmul(p._unbroadcasted_cov_factor)) term2 = term21 + term22 - term23 - term24 return 0.5 * (term1 + term2 + term3 - p.event_shape[0]) @register_kl(MultivariateNormal, LowRankMultivariateNormal) def _kl_multivariatenormal_lowrankmultivariatenormal(p, q): if p.event_shape != q.event_shape: raise ValueError( "KL-divergence between two (Low Rank) Multivariate Normals with\ different event shapes cannot be computed" ) term1 = _batch_lowrank_logdet( q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag, q._capacitance_tril ) - 2 * p._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1) term3 = _batch_lowrank_mahalanobis( q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag, q.loc - p.loc, q._capacitance_tril, ) # Expands term2 according to # inv(qcov) @ pcov = [inv(qD) - inv(qD) @ qW @ inv(qC) @ qW.T @ inv(qD)] @ p_tril @ p_tril.T # = [inv(qD) - A.T @ A] @ p_tril @ p_tril.T qWt_qDinv = q._unbroadcasted_cov_factor.mT / q._unbroadcasted_cov_diag.unsqueeze(-2) A = torch.linalg.solve_triangular(q._capacitance_tril, qWt_qDinv, upper=False) term21 = _batch_trace_XXT( p._unbroadcasted_scale_tril * q._unbroadcasted_cov_diag.rsqrt().unsqueeze(-1) ) term22 = _batch_trace_XXT(A.matmul(p._unbroadcasted_scale_tril)) term2 = term21 - term22 return 0.5 * (term1 + term2 + term3 - p.event_shape[0]) @register_kl(LowRankMultivariateNormal, MultivariateNormal) def _kl_lowrankmultivariatenormal_multivariatenormal(p, q): if p.event_shape != q.event_shape: raise ValueError( "KL-divergence between two (Low Rank) Multivariate Normals with\ different event shapes cannot be computed" ) term1 = 2 * q._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum( -1 ) - _batch_lowrank_logdet( p._unbroadcasted_cov_factor, p._unbroadcasted_cov_diag, p._capacitance_tril ) term3 = _batch_mahalanobis(q._unbroadcasted_scale_tril, (q.loc - p.loc)) # Expands term2 according to # inv(qcov) @ pcov = inv(q_tril @ q_tril.T) @ (pW @ pW.T + pD) combined_batch_shape = torch._C._infer_size( q._unbroadcasted_scale_tril.shape[:-2], p._unbroadcasted_cov_factor.shape[:-2] ) n = p.event_shape[0] q_scale_tril = q._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n)) p_cov_factor = p._unbroadcasted_cov_factor.expand( combined_batch_shape + (n, p.cov_factor.size(-1)) ) p_cov_diag = torch.diag_embed(p._unbroadcasted_cov_diag.sqrt()).expand( combined_batch_shape + (n, n) ) term21 = _batch_trace_XXT( torch.linalg.solve_triangular(q_scale_tril, p_cov_factor, upper=False) ) term22 = _batch_trace_XXT( torch.linalg.solve_triangular(q_scale_tril, p_cov_diag, upper=False) ) term2 = term21 + term22 return 0.5 * (term1 + term2 + term3 - p.event_shape[0]) @register_kl(MultivariateNormal, MultivariateNormal) def _kl_multivariatenormal_multivariatenormal(p, q): # From https://en.wikipedia.org/wiki/Multivariate_normal_distribution#Kullback%E2%80%93Leibler_divergence if p.event_shape != q.event_shape: raise ValueError( "KL-divergence between two Multivariate Normals with\ different event shapes cannot be computed" ) half_term1 = q._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum( -1 ) - p._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1) combined_batch_shape = torch._C._infer_size( q._unbroadcasted_scale_tril.shape[:-2], p._unbroadcasted_scale_tril.shape[:-2] ) n = p.event_shape[0] q_scale_tril = q._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n)) p_scale_tril = p._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n)) term2 = _batch_trace_XXT( torch.linalg.solve_triangular(q_scale_tril, p_scale_tril, upper=False) ) term3 = _batch_mahalanobis(q._unbroadcasted_scale_tril, (q.loc - p.loc)) return half_term1 + 0.5 * (term2 + term3 - n) @register_kl(Normal, Normal) def _kl_normal_normal(p, q): var_ratio = (p.scale / q.scale).pow(2) t1 = ((p.loc - q.loc) / q.scale).pow(2) return 0.5 * (var_ratio + t1 - 1 - var_ratio.log()) @register_kl(OneHotCategorical, OneHotCategorical) def _kl_onehotcategorical_onehotcategorical(p, q): return _kl_categorical_categorical(p._categorical, q._categorical) @register_kl(Pareto, Pareto) def _kl_pareto_pareto(p, q): # From http://www.mast.queensu.ca/~communications/Papers/gil-msc11.pdf scale_ratio = p.scale / q.scale alpha_ratio = q.alpha / p.alpha t1 = q.alpha * scale_ratio.log() t2 = -alpha_ratio.log() result = t1 + t2 + alpha_ratio - 1 result[p.support.lower_bound < q.support.lower_bound] = inf return result @register_kl(Poisson, Poisson) def _kl_poisson_poisson(p, q): return p.rate * (p.rate.log() - q.rate.log()) - (p.rate - q.rate) @register_kl(TransformedDistribution, TransformedDistribution) def _kl_transformed_transformed(p, q): if p.transforms != q.transforms: raise NotImplementedError if p.event_shape != q.event_shape: raise NotImplementedError return kl_divergence(p.base_dist, q.base_dist) @register_kl(Uniform, Uniform) def _kl_uniform_uniform(p, q): result = ((q.high - q.low) / (p.high - p.low)).log() result[(q.low > p.low) | (q.high < p.high)] = inf return result # Different distributions @register_kl(Bernoulli, Poisson) def _kl_bernoulli_poisson(p, q): return -p.entropy() - (p.probs * q.rate.log() - q.rate) @register_kl(Beta, ContinuousBernoulli) def _kl_beta_continuous_bernoulli(p, q): return ( -p.entropy() - p.mean * q.logits - torch.log1p(-q.probs) - q._cont_bern_log_norm() ) @register_kl(Beta, Pareto) def _kl_beta_infinity(p, q): return _infinite_like(p.concentration1) @register_kl(Beta, Exponential) def _kl_beta_exponential(p, q): return ( -p.entropy() - q.rate.log() + q.rate * (p.concentration1 / (p.concentration1 + p.concentration0)) ) @register_kl(Beta, Gamma) def _kl_beta_gamma(p, q): t1 = -p.entropy() t2 = q.concentration.lgamma() - q.concentration * q.rate.log() t3 = (q.concentration - 1) * ( p.concentration1.digamma() - (p.concentration1 + p.concentration0).digamma() ) t4 = q.rate * p.concentration1 / (p.concentration1 + p.concentration0) return t1 + t2 - t3 + t4 # TODO: Add Beta-Laplace KL Divergence @register_kl(Beta, Normal) def _kl_beta_normal(p, q): E_beta = p.concentration1 / (p.concentration1 + p.concentration0) var_normal = q.scale.pow(2) t1 = -p.entropy() t2 = 0.5 * (var_normal * 2 * math.pi).log() t3 = ( E_beta * (1 - E_beta) / (p.concentration1 + p.concentration0 + 1) + E_beta.pow(2) ) * 0.5 t4 = q.loc * E_beta t5 = q.loc.pow(2) * 0.5 return t1 + t2 + (t3 - t4 + t5) / var_normal @register_kl(Beta, Uniform) def _kl_beta_uniform(p, q): result = -p.entropy() + (q.high - q.low).log() result[(q.low > p.support.lower_bound) | (q.high < p.support.upper_bound)] = inf return result # Note that the KL between a ContinuousBernoulli and Beta has no closed form @register_kl(ContinuousBernoulli, Pareto) def _kl_continuous_bernoulli_infinity(p, q): return _infinite_like(p.probs) @register_kl(ContinuousBernoulli, Exponential) def _kl_continuous_bernoulli_exponential(p, q): return -p.entropy() - torch.log(q.rate) + q.rate * p.mean # Note that the KL between a ContinuousBernoulli and Gamma has no closed form # TODO: Add ContinuousBernoulli-Laplace KL Divergence @register_kl(ContinuousBernoulli, Normal) def _kl_continuous_bernoulli_normal(p, q): t1 = -p.entropy() t2 = 0.5 * (math.log(2.0 * math.pi) + torch.square(q.loc / q.scale)) + torch.log( q.scale ) t3 = (p.variance + torch.square(p.mean) - 2.0 * q.loc * p.mean) / ( 2.0 * torch.square(q.scale) ) return t1 + t2 + t3 @register_kl(ContinuousBernoulli, Uniform) def _kl_continuous_bernoulli_uniform(p, q): result = -p.entropy() + (q.high - q.low).log() return torch.where( torch.max( torch.ge(q.low, p.support.lower_bound), torch.le(q.high, p.support.upper_bound), ), torch.ones_like(result) * inf, result, ) @register_kl(Exponential, Beta) @register_kl(Exponential, ContinuousBernoulli) @register_kl(Exponential, Pareto) @register_kl(Exponential, Uniform) def _kl_exponential_infinity(p, q): return _infinite_like(p.rate) @register_kl(Exponential, Gamma) def _kl_exponential_gamma(p, q): ratio = q.rate / p.rate t1 = -q.concentration * torch.log(ratio) return ( t1 + ratio + q.concentration.lgamma() + q.concentration * _euler_gamma - (1 + _euler_gamma) ) @register_kl(Exponential, Gumbel) def _kl_exponential_gumbel(p, q): scale_rate_prod = p.rate * q.scale loc_scale_ratio = q.loc / q.scale t1 = scale_rate_prod.log() - 1 t2 = torch.exp(loc_scale_ratio) * scale_rate_prod / (scale_rate_prod + 1) t3 = scale_rate_prod.reciprocal() return t1 - loc_scale_ratio + t2 + t3 # TODO: Add Exponential-Laplace KL Divergence @register_kl(Exponential, Normal) def _kl_exponential_normal(p, q): var_normal = q.scale.pow(2) rate_sqr = p.rate.pow(2) t1 = 0.5 * torch.log(rate_sqr * var_normal * 2 * math.pi) t2 = rate_sqr.reciprocal() t3 = q.loc / p.rate t4 = q.loc.pow(2) * 0.5 return t1 - 1 + (t2 - t3 + t4) / var_normal @register_kl(Gamma, Beta) @register_kl(Gamma, ContinuousBernoulli) @register_kl(Gamma, Pareto) @register_kl(Gamma, Uniform) def _kl_gamma_infinity(p, q): return _infinite_like(p.concentration) @register_kl(Gamma, Exponential) def _kl_gamma_exponential(p, q): return -p.entropy() - q.rate.log() + q.rate * p.concentration / p.rate @register_kl(Gamma, Gumbel) def _kl_gamma_gumbel(p, q): beta_scale_prod = p.rate * q.scale loc_scale_ratio = q.loc / q.scale t1 = ( (p.concentration - 1) * p.concentration.digamma() - p.concentration.lgamma() - p.concentration ) t2 = beta_scale_prod.log() + p.concentration / beta_scale_prod t3 = ( torch.exp(loc_scale_ratio) * (1 + beta_scale_prod.reciprocal()).pow(-p.concentration) - loc_scale_ratio ) return t1 + t2 + t3 # TODO: Add Gamma-Laplace KL Divergence @register_kl(Gamma, Normal) def _kl_gamma_normal(p, q): var_normal = q.scale.pow(2) beta_sqr = p.rate.pow(2) t1 = ( 0.5 * torch.log(beta_sqr * var_normal * 2 * math.pi) - p.concentration - p.concentration.lgamma() ) t2 = 0.5 * (p.concentration.pow(2) + p.concentration) / beta_sqr t3 = q.loc * p.concentration / p.rate t4 = 0.5 * q.loc.pow(2) return ( t1 + (p.concentration - 1) * p.concentration.digamma() + (t2 - t3 + t4) / var_normal ) @register_kl(Gumbel, Beta) @register_kl(Gumbel, ContinuousBernoulli) @register_kl(Gumbel, Exponential) @register_kl(Gumbel, Gamma) @register_kl(Gumbel, Pareto) @register_kl(Gumbel, Uniform) def _kl_gumbel_infinity(p, q): return _infinite_like(p.loc) # TODO: Add Gumbel-Laplace KL Divergence @register_kl(Gumbel, Normal) def _kl_gumbel_normal(p, q): param_ratio = p.scale / q.scale t1 = (param_ratio / math.sqrt(2 * math.pi)).log() t2 = (math.pi * param_ratio * 0.5).pow(2) / 3 t3 = ((p.loc + p.scale * _euler_gamma - q.loc) / q.scale).pow(2) * 0.5 return -t1 + t2 + t3 - (_euler_gamma + 1) @register_kl(Laplace, Beta) @register_kl(Laplace, ContinuousBernoulli) @register_kl(Laplace, Exponential) @register_kl(Laplace, Gamma) @register_kl(Laplace, Pareto) @register_kl(Laplace, Uniform) def _kl_laplace_infinity(p, q): return _infinite_like(p.loc) @register_kl(Laplace, Normal) def _kl_laplace_normal(p, q): var_normal = q.scale.pow(2) scale_sqr_var_ratio = p.scale.pow(2) / var_normal t1 = 0.5 * torch.log(2 * scale_sqr_var_ratio / math.pi) t2 = 0.5 * p.loc.pow(2) t3 = p.loc * q.loc t4 = 0.5 * q.loc.pow(2) return -t1 + scale_sqr_var_ratio + (t2 - t3 + t4) / var_normal - 1 @register_kl(Normal, Beta) @register_kl(Normal, ContinuousBernoulli) @register_kl(Normal, Exponential) @register_kl(Normal, Gamma) @register_kl(Normal, Pareto) @register_kl(Normal, Uniform) def _kl_normal_infinity(p, q): return _infinite_like(p.loc) @register_kl(Normal, Gumbel) def _kl_normal_gumbel(p, q): mean_scale_ratio = p.loc / q.scale var_scale_sqr_ratio = (p.scale / q.scale).pow(2) loc_scale_ratio = q.loc / q.scale t1 = var_scale_sqr_ratio.log() * 0.5 t2 = mean_scale_ratio - loc_scale_ratio t3 = torch.exp(-mean_scale_ratio + 0.5 * var_scale_sqr_ratio + loc_scale_ratio) return -t1 + t2 + t3 - (0.5 * (1 + math.log(2 * math.pi))) @register_kl(Normal, Laplace) def _kl_normal_laplace(p, q): loc_diff = p.loc - q.loc scale_ratio = p.scale / q.scale loc_diff_scale_ratio = loc_diff / p.scale t1 = torch.log(scale_ratio) t2 = ( math.sqrt(2 / math.pi) * p.scale * torch.exp(-0.5 * loc_diff_scale_ratio.pow(2)) ) t3 = loc_diff * torch.erf(math.sqrt(0.5) * loc_diff_scale_ratio) return -t1 + (t2 + t3) / q.scale - (0.5 * (1 + math.log(0.5 * math.pi))) @register_kl(Pareto, Beta) @register_kl(Pareto, ContinuousBernoulli) @register_kl(Pareto, Uniform) def _kl_pareto_infinity(p, q): return _infinite_like(p.scale) @register_kl(Pareto, Exponential) def _kl_pareto_exponential(p, q): scale_rate_prod = p.scale * q.rate t1 = (p.alpha / scale_rate_prod).log() t2 = p.alpha.reciprocal() t3 = p.alpha * scale_rate_prod / (p.alpha - 1) result = t1 - t2 + t3 - 1 result[p.alpha <= 1] = inf return result @register_kl(Pareto, Gamma) def _kl_pareto_gamma(p, q): common_term = p.scale.log() + p.alpha.reciprocal() t1 = p.alpha.log() - common_term t2 = q.concentration.lgamma() - q.concentration * q.rate.log() t3 = (1 - q.concentration) * common_term t4 = q.rate * p.alpha * p.scale / (p.alpha - 1) result = t1 + t2 + t3 + t4 - 1 result[p.alpha <= 1] = inf return result # TODO: Add Pareto-Laplace KL Divergence @register_kl(Pareto, Normal) def _kl_pareto_normal(p, q): var_normal = 2 * q.scale.pow(2) common_term = p.scale / (p.alpha - 1) t1 = (math.sqrt(2 * math.pi) * q.scale * p.alpha / p.scale).log() t2 = p.alpha.reciprocal() t3 = p.alpha * common_term.pow(2) / (p.alpha - 2) t4 = (p.alpha * common_term - q.loc).pow(2) result = t1 - t2 + (t3 + t4) / var_normal - 1 result[p.alpha <= 2] = inf return result @register_kl(Poisson, Bernoulli) @register_kl(Poisson, Binomial) def _kl_poisson_infinity(p, q): return _infinite_like(p.rate) @register_kl(Uniform, Beta) def _kl_uniform_beta(p, q): common_term = p.high - p.low t1 = torch.log(common_term) t2 = ( (q.concentration1 - 1) * (_x_log_x(p.high) - _x_log_x(p.low) - common_term) / common_term ) t3 = ( (q.concentration0 - 1) * (_x_log_x(1 - p.high) - _x_log_x(1 - p.low) + common_term) / common_term ) t4 = ( q.concentration1.lgamma() + q.concentration0.lgamma() - (q.concentration1 + q.concentration0).lgamma() ) result = t3 + t4 - t1 - t2 result[(p.high > q.support.upper_bound) | (p.low < q.support.lower_bound)] = inf return result @register_kl(Uniform, ContinuousBernoulli) def _kl_uniform_continuous_bernoulli(p, q): result = ( -p.entropy() - p.mean * q.logits - torch.log1p(-q.probs) - q._cont_bern_log_norm() ) return torch.where( torch.max( torch.ge(p.high, q.support.upper_bound), torch.le(p.low, q.support.lower_bound), ), torch.ones_like(result) * inf, result, ) @register_kl(Uniform, Exponential) def _kl_uniform_exponetial(p, q): result = q.rate * (p.high + p.low) / 2 - ((p.high - p.low) * q.rate).log() result[p.low < q.support.lower_bound] = inf return result @register_kl(Uniform, Gamma) def _kl_uniform_gamma(p, q): common_term = p.high - p.low t1 = common_term.log() t2 = q.concentration.lgamma() - q.concentration * q.rate.log() t3 = ( (1 - q.concentration) * (_x_log_x(p.high) - _x_log_x(p.low) - common_term) / common_term ) t4 = q.rate * (p.high + p.low) / 2 result = -t1 + t2 + t3 + t4 result[p.low < q.support.lower_bound] = inf return result @register_kl(Uniform, Gumbel) def _kl_uniform_gumbel(p, q): common_term = q.scale / (p.high - p.low) high_loc_diff = (p.high - q.loc) / q.scale low_loc_diff = (p.low - q.loc) / q.scale t1 = common_term.log() + 0.5 * (high_loc_diff + low_loc_diff) t2 = common_term * (torch.exp(-high_loc_diff) - torch.exp(-low_loc_diff)) return t1 - t2 # TODO: Uniform-Laplace KL Divergence @register_kl(Uniform, Normal) def _kl_uniform_normal(p, q): common_term = p.high - p.low t1 = (math.sqrt(math.pi * 2) * q.scale / common_term).log() t2 = (common_term).pow(2) / 12 t3 = ((p.high + p.low - 2 * q.loc) / 2).pow(2) return t1 + 0.5 * (t2 + t3) / q.scale.pow(2) @register_kl(Uniform, Pareto) def _kl_uniform_pareto(p, q): support_uniform = p.high - p.low t1 = (q.alpha * q.scale.pow(q.alpha) * (support_uniform)).log() t2 = (_x_log_x(p.high) - _x_log_x(p.low) - support_uniform) / support_uniform result = t2 * (q.alpha + 1) - t1 result[p.low < q.support.lower_bound] = inf return result @register_kl(Independent, Independent) def _kl_independent_independent(p, q): if p.reinterpreted_batch_ndims != q.reinterpreted_batch_ndims: raise NotImplementedError result = kl_divergence(p.base_dist, q.base_dist) return _sum_rightmost(result, p.reinterpreted_batch_ndims) @register_kl(Cauchy, Cauchy) def _kl_cauchy_cauchy(p, q): # From https://arxiv.org/abs/1905.10965 t1 = ((p.scale + q.scale).pow(2) + (p.loc - q.loc).pow(2)).log() t2 = (4 * p.scale * q.scale).log() return t1 - t2 def _add_kl_info(): """Appends a list of implemented KL functions to the doc for kl_divergence.""" rows = [ "KL divergence is currently implemented for the following distribution pairs:" ] for p, q in sorted( _KL_REGISTRY, key=lambda p_q: (p_q[0].__name__, p_q[1].__name__) ): rows.append( f"* :class:`~torch.distributions.{p.__name__}` and :class:`~torch.distributions.{q.__name__}`" ) kl_info = "\n\t".join(rows) if kl_divergence.__doc__: kl_divergence.__doc__ += kl_info # type: ignore[operator]