/
distribution_transform.jl
703 lines (524 loc) · 27.2 KB
/
distribution_transform.jl
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# This file is a part of BAT.jl, licensed under the MIT License (MIT).
const StdUvDist = Union{StandardUvUniform, StandardUvNormal}
const StdMvDist = Union{StandardMvUniform, StandardMvNormal}
_adignore(f) = f()
function ChainRulesCore.rrule(::typeof(_adignore), f)
result = _adignore(f)
_nogradient_pullback(ΔΩ) = (NoTangent(), ZeroTangent())
return result, _nogradient_pullback
end
macro _adignore(expr)
:(_adignore(() -> $(esc(expr))))
end
function _pushfront(v::AbstractVector, x)
T = promote_type(eltype(v), typeof(x))
r = similar(v, T, length(eachindex(v)) + 1)
r[firstindex(r)] = x
r[firstindex(r)+1:lastindex(r)] = v
r
end
function ChainRulesCore.rrule(::typeof(_pushfront), v::AbstractVector, x)
result = _pushfront(v, x)
function _pushfront_pullback(thunked_ΔΩ)
ΔΩ = ChainRulesCore.unthunk(thunked_ΔΩ)
(NoTangent(), ΔΩ[firstindex(ΔΩ)+1:lastindex(ΔΩ)], ΔΩ[firstindex(ΔΩ)])
end
return result, _pushfront_pullback
end
function _pushback(v::AbstractVector, x)
T = promote_type(eltype(v), typeof(x))
r = similar(v, T, length(eachindex(v)) + 1)
r[lastindex(r)] = x
r[firstindex(r):lastindex(r)-1] = v
r
end
function ChainRulesCore.rrule(::typeof(_pushback), v::AbstractVector, x)
result = _pushback(v, x)
function _pushback_pullback(thunked_ΔΩ)
ΔΩ = ChainRulesCore.unthunk(thunked_ΔΩ)
(NoTangent(), ΔΩ[firstindex(ΔΩ):lastindex(ΔΩ)-1], ΔΩ[lastindex(ΔΩ)])
end
return result, _pushback_pullback
end
_dropfront(v::AbstractVector) = v[firstindex(v)+1:lastindex(v)]
_dropback(v::AbstractVector) = v[firstindex(v):lastindex(v)-1]
_rev_cumsum(xs::AbstractVector) = reverse(cumsum(reverse(xs)))
function ChainRulesCore.rrule(::typeof(_rev_cumsum), xs::AbstractVector)
result = _rev_cumsum(xs)
function _rev_cumsum_pullback(ΔΩ)
∂xs = ChainRulesCore.@thunk cumsum(ChainRulesCore.unthunk(ΔΩ))
(NoTangent(), ∂xs)
end
return result, _rev_cumsum_pullback
end
# Equivalent to `cumprod(xs)``:
_exp_cumsum_log(xs::AbstractVector) = exp.(cumsum(log.(xs)))
function ChainRulesCore.rrule(::typeof(_exp_cumsum_log), xs::AbstractVector)
result = _exp_cumsum_log(xs)
function _exp_cumsum_log_pullback(ΔΩ)
∂xs = inv.(xs) .* _rev_cumsum(exp.(cumsum(log.(xs))) .* ChainRulesCore.unthunk(ΔΩ))
(NoTangent(), ∂xs)
end
return result, _exp_cumsum_log_pullback
end
"""
abstract type DistributionTransform{VT<:AbstractValueShape,VF<:AbstractValueShape} <: Function
*Experimental feature, not part of stable public API.*
Transform variate values between distributions
Constructors:
```julia
DistributionTransform(target_dist, source_dist)
DistributionTransform(Uniform, source_dist)
DistributionTransform(Normal, source_dist)
```
"""
struct DistributionTransform{
DT <: ContinuousDistribution,
DF <: ContinuousDistribution,
VT <: AbstractValueShape,
VF <: AbstractValueShape,
} <: Function
target_dist::DT
source_dist::DF
end
# ToDo: Unify with broadcast_trafo
function broadcast_arbitrary_trafo(trafo::DistributionTransform, smpls::DensitySampleVector)
broadcast_trafo(trafo, smpls)
end
function _distrafo_ctor_impl(target_dist::DT, source_dist::DF) where {DT<:ContinuousDistribution,DF<:ContinuousDistribution}
@argcheck eff_totalndof(target_dist) == eff_totalndof(source_dist)
VT = typeof(varshape(target_dist))
VF = typeof(varshape(source_dist))
DistributionTransform{DT,DF,VT,VF}(target_dist, source_dist)
end
function _distrafo_ctor_impl(target_dist::Distribution, source_dist::Distribution)
@argcheck eff_totalndof(target_dist) == eff_totalndof(source_dist)
DistributionTransform(target_dist, source_dist)
end
DistributionTransform(target_dist::Distribution{VF,Continuous}, source_dist::Distribution{VF,Continuous}) where VF =
_distrafo_ctor_impl(target_dist, source_dist)
DistributionTransform(target_dist::Distribution{Multivariate,Continuous}, source_dist::Distribution{VF,Continuous}) where VF =
_distrafo_ctor_impl(target_dist, source_dist)
DistributionTransform(target_dist::Distribution{VF,Continuous}, source_dist::Distribution{Multivariate,Continuous}) where VF =
_distrafo_ctor_impl(target_dist, source_dist)
DistributionTransform(target_dist::Distribution{Multivariate,Continuous}, source_dist::Distribution{Multivariate,Continuous}) =
_distrafo_ctor_impl(target_dist, source_dist)
show_distribution(io::IO, d::Distribution) = show(io, d)
function show_distribution(io::IO, d::NamedTupleDist)
print(io, Base.typename(typeof(d)).name, "{")
show(io, propertynames(d))
print(io, "}(…)")
end
function Base.show(io::IO, trafo::DistributionTransform)
print(io, Base.typename(typeof(trafo)).name, "(")
show_distribution(io, trafo.target_dist)
print(io, ", ")
show_distribution(io, trafo.source_dist)
print(io, ")")
end
Base.show(io::IO, M::MIME"text/plain", trafo::DistributionTransform) = show(io, trafo)
# apply_dist_trafo(trg_d, src_d, src_v)
function apply_dist_trafo end
(trafo::DistributionTransform)(x) = apply_dist_trafo(trafo.target_dist, trafo.source_dist, x)
InverseFunctions.inverse(trafo::DistributionTransform) = DistributionTransform(trafo.source_dist, trafo.target_dist)
import Base.inv
Base.@deprecate inv(trafo::DistributionTransform) inverse(trafo)
function ChangesOfVariables.with_logabsdet_jacobian(trafo::DistributionTransform, x)
y = trafo(x)
logpdf_src = logpdf(trafo.source_dist, x)
logpdf_trg = logpdf(trafo.target_dist, y)
ladj = logpdf_src - logpdf_trg
# If logpdf_src and logpdf_trg are -Inf setting lafj to zero is safe:
fixed_ladj = isneginf(logpdf_src) && isneginf(logpdf_trg) ? zero(ladj) : ladj
y, fixed_ladj
end
Base.:(∘)(::typeof(identity), f::DistributionTransform) = f
Base.:(∘)(f::DistributionTransform, ::typeof(identity)) = f
function Base.Broadcast.broadcasted(
trafo::DistributionTransform,
v_src::Union{ArrayOfSimilarVectors{<:Real},ShapedAsNTArray}
)
broadcast_trafo(trafo, v_src)
end
function (trafo::DistributionTransform)(s::DensitySample)
v, ladj = with_logabsdet_jacobian(trafo, s.v)
logd = s.logd - ladj
DensitySample(v, logd, s.weight, s.info, s.aux)
end
function Base.Broadcast.broadcasted(
trafo::DistributionTransform,
s_src::DensitySampleVector
)
broadcast_trafo(trafo, s_src)
end
# Use ForwardDiff for univariate distribution transformations:
@inline function ChainRulesCore.rrule(::typeof(apply_dist_trafo), trg_d::Distribution{Univariate}, src_d::Distribution{Univariate}, src_v::Any)
ChainRulesCore.rrule(fwddiff(apply_dist_trafo), trg_d, src_d, src_v)
end
import Base.∘
function ∘(a::DistributionTransform, b::DistributionTransform)
@argcheck a.source_dist == b.target_dist
DistributionTransform(a.target_dist, b.source_dist)
end
ValueShapes.varshape(trafo::DistributionTransform) = varshape(trafo.source_dist)
function (trafo::DistributionTransform)(vs::AbstractValueShape)
@argcheck vs <= varshape(trafo)
varshape(trafo.target_dist)
end
ValueShapes.unshaped(trafo::DistributionTransform) =
DistributionTransform(unshaped(trafo.target_dist), unshaped(trafo.source_dist))
const _StdDistType = Union{Uniform, Normal}
_trg_disttype(::Type{Uniform}, ::Type{Univariate}) = StandardUvUniform
_trg_disttype(::Type{Uniform}, ::Type{Multivariate}) = StandardMvUniform
_trg_disttype(::Type{Normal}, ::Type{Univariate}) = StandardUvNormal
_trg_disttype(::Type{Normal}, ::Type{Multivariate}) = StandardMvNormal
function _trg_dist(disttype::Type{<:_StdDistType}, source_dist::Distribution{Univariate,Continuous})
trg_dt = _trg_disttype(disttype, Univariate)
trg_dt()
end
function _trg_dist(disttype::Type{<:_StdDistType}, source_dist::Distribution{Multivariate,Continuous})
trg_dt = _trg_disttype(disttype, Multivariate)
trg_dt(eff_totalndof(source_dist))
end
function _trg_dist(disttype::Type{<:_StdDistType}, source_dist::ContinuousDistribution)
trg_dt = _trg_disttype(disttype, Multivariate)
trg_dt(eff_totalndof(source_dist))
end
function DistributionTransform(disttype::Type{<:_StdDistType}, source_dist::ContinuousDistribution)
trg_d = _trg_dist(disttype, source_dist)
DistributionTransform(trg_d, source_dist)
end
function std_dist_from(src_d::Distribution)
throw(ArgumentError("No standard intermediate distribution defined to transform from $(typeof(src_d).name)"))
end
function std_dist_to(trg_d::Distribution)
throw(ArgumentError("No standard intermediate distribution defined to transform into $(typeof(trg_d).name)"))
end
@inline function _intermediate_std_dist(trg_d::Distribution, src_d::Distribution)
_select_intermediate_dist(std_dist_to(trg_d), std_dist_from(src_d))
end
@inline _intermediate_std_dist(::Union{StdUvDist,StdMvDist}, src_d::Distribution) = std_dist_from(src_d)
@inline _intermediate_std_dist(trg_d::Distribution, ::Union{StdUvDist,StdMvDist}) = std_dist_to(trg_d)
function _intermediate_std_dist(::Union{StdUvDist,StdMvDist}, ::Union{StdUvDist,StdMvDist})
throw(ArgumentError("Direct conversions must be used between standard intermediate distributions"))
end
@inline _select_intermediate_dist(a::D, ::D) where D<:Union{StdUvDist,StdMvDist} = a
@inline _select_intermediate_dist(a::D, ::D) where D<:Union{StandardUvUniform,StandardMvUniform} = a
@inline _select_intermediate_dist(a::Union{StandardUvUniform,StandardMvUniform}, ::Union{StdUvDist,StdMvDist}) = a
@inline _select_intermediate_dist(::Union{StdUvDist,StdMvDist}, b::Union{StandardUvUniform,StandardMvUniform}) = b
_check_conv_eff_totalndof(trg_d::Uniform, src_d::Uniform) = nothing
function _check_conv_eff_totalndof(trg_d::Distribution, src_d::Distribution)
trg_d_n = eff_totalndof(trg_d)
src_d_n = eff_totalndof(src_d)
if trg_d_n != src_d_n
throw(ArgumentError("Can't convert to $(typeof(trg_d).name) with $(trg_d_n) eff. DOF from $(typeof(src_d).name) with $(src_d_n) eff. DOF"))
end
nothing
end
function apply_dist_trafo(trg_d::Distribution, src_d::Distribution, src_v::Any)
_check_conv_eff_totalndof(trg_d, src_d)
intermediate_d = _intermediate_std_dist(trg_d, src_d)
intermediate_d === trg_d && throw(ArgumentError("No transformation path between distributions"))
intermediate_v = apply_dist_trafo(intermediate_d, src_d, src_v)
apply_dist_trafo(trg_d, intermediate_d, intermediate_v)
end
function apply_dist_trafo(trg_d::DT, src_d::DT, src_v) where {DT <: StdMvDist}
@argcheck src_v isa AbstractVector{<:Real}
@argcheck length(trg_d) == length(src_d) == length(eachindex(src_v))
return src_v
end
_dist_params_numtype(d::Distribution) = realnumtype(typeof(params(d)))
function ChainRulesCore.rrule(::typeof(_dist_params_numtype), d::Distribution)
_dist_params_numtype_pullback(ΔΩ) = (NoTangent(), NoTangent())
_dist_params_numtype(d), _dist_params_numtype_pullback
end
@inline _trafo_cdf(d::Distribution{Univariate,Continuous}, x::Real) = _trafo_cdf_impl(_dist_params_numtype(d), d, x)
@inline _trafo_cdf_impl(::Type{<:Real}, d::Distribution{Univariate,Continuous}, x::Real) = cdf(d, x)
@inline function _trafo_cdf_impl(::Type{<:Union{Integer,AbstractFloat}}, d::Distribution{Univariate,Continuous}, x::ForwardDiff.Dual{TAG}) where TAG
x_v = ForwardDiff.value(x)
u = cdf(d, x_v)
dudx = pdf(d, x_v)
ForwardDiff.Dual{TAG}(u, dudx * ForwardDiff.partials(x))
end
@inline _trafo_quantile(d::Distribution{Univariate,Continuous}, u::Real) = _trafo_quantile_impl(_dist_params_numtype(d), d, u)
@inline _trafo_quantile_impl(::Type{<:Real}, d::Distribution{Univariate,Continuous}, u::Real) = _trafo_quantile_impl_generic(d, u)
@inline function _trafo_quantile_impl(::Type{<:Union{Integer,AbstractFloat}}, d::Distribution{Univariate,Continuous}, u::ForwardDiff.Dual{TAG}) where {TAG}
x = _trafo_quantile_impl_generic(d, ForwardDiff.value(u))
dxdu = inv(pdf(d, x))
ForwardDiff.Dual{TAG}(x, dxdu * ForwardDiff.partials(u))
end
# Workaround for Beta dist, ForwardDiff doesn't work for parameters:
@inline _trafo_quantile_impl_generic(d::Beta{T}, u::Real) where {T<:ForwardDiff.Dual} = convert(float(typeof(u)), NaN)
# Workaround for Beta dist, current quantile implementation only supports Float64:
@inline _trafo_quantile_impl_generic(d::Beta{T}, u::Union{Integer,AbstractFloat}) where {T<:Union{Integer,AbstractFloat}} = _trafo_quantile_impl(T, d, convert(promote_type(Float64, typeof(u)), u))
# Workaround for StatsFuns issues #133, caused by SpecialFunctions, fixed in SpecialFunctions v2.1.4:
@inline _trafo_quantile_impl_generic(d::Beta{T}, u::Float64) where {T<:Union{Integer,AbstractFloat}} = (d.α ≈ 1 && d.β ≈ 1 && u < 1e-19) ? u : convert(Float64, quantile(d, u))
@inline _trafo_quantile_impl_generic(d::Distribution{Univariate,Continuous}, u::Real) = quantile(d, u)
# Workaround for rounding errors that can result in quantile values outside of support of Truncated:
@inline function _trafo_quantile_impl_generic(d::Truncated{<:Distribution{Univariate,Continuous}}, u::Real)
x = quantile(d, u)
T = typeof(x)
min_x = T(minimum(d))
max_x = T(maximum(d))
if x < min_x && isapprox(x, min_x, atol = 4 * eps(T))
min_x
elseif x > max_x && isapprox(x, max_x, atol = 4 * eps(T))
max_x
else
x
end
end
@inline function _eval_dist_trafo_func(f::typeof(_trafo_cdf), d::Distribution{Univariate,Continuous}, src_v::Real)
R_V = float(promote_type(typeof(src_v), _dist_params_numtype(d)))
if insupport(d, src_v)
trg_v = f(d, src_v)
convert(R_V, trg_v)
else
convert(R_V, NaN)
end
end
@inline function _eval_dist_trafo_func(f::typeof(_trafo_quantile), d::Distribution{Univariate,Continuous}, src_v::Real)
R_V = float(promote_type(typeof(src_v), _dist_params_numtype(d)))
if 0 <= src_v <= 1
trg_v = f(d, src_v)
convert(R_V, trg_v)
else
convert(R_V, NaN)
end
end
std_dist_from(src_d::Distribution{Univariate,Continuous}) = StandardUvUniform()
function apply_dist_trafo(::StandardUvUniform, src_d::Distribution{Univariate,Continuous}, src_v::Real)
_eval_dist_trafo_func(_trafo_cdf, src_d, src_v)
end
std_dist_to(trg_d::Distribution{Univariate,Continuous}) = StandardUvUniform()
function apply_dist_trafo(trg_d::Distribution{Univariate,Continuous}, ::StandardUvUniform, src_v::Real)
TV = float(typeof(src_v))
# Avoid src_v ≈ 0 and src_v ≈ 1 to avoid infinite variate values for target distributions with infinite support:
mod_src_v = ifelse(src_v ≈ 0, zero(TV) + eps(TV), ifelse(src_v ≈ 1, one(TV) - eps(TV), convert(TV, src_v)))
_eval_dist_trafo_func(_trafo_quantile, trg_d, mod_src_v)
end
function _dist_trafo_rescale_impl(trg_d, src_d, src_v::Real)
R = float(typeof(src_v))
trg_offs, trg_scale = location(trg_d), scale(trg_d)
src_offs, src_scale = location(src_d), scale(src_d)
rescale_factor = trg_scale / src_scale
(src_v - src_offs) * rescale_factor + trg_offs
end
@inline apply_dist_trafo(trg_d::Uniform, src_d::Uniform, src_v::Real) = _dist_trafo_rescale_impl(trg_d, src_d, src_v)
@inline apply_dist_trafo(trg_d::StandardUvUniform, src_d::Uniform, src_v::Real) = _dist_trafo_rescale_impl(trg_d, src_d, src_v)
@inline apply_dist_trafo(trg_d::Uniform, src_d::StandardUvUniform, src_v::Real) = _dist_trafo_rescale_impl(trg_d, src_d, src_v)
# ToDo: Use StandardUvNormal as standard intermediate dist for Normal? Would
# be useful if StandardUvNormal would be a better standard intermediate than
# StandardUvUniform for some other uniform distributions as well.
#
# std_dist_from(src_d::Normal) = StandardUvNormal()
# std_dist_to(trg_d::Normal) = StandardUvNormal()
@inline apply_dist_trafo(trg_d::Normal, src_d::Normal, src_v::Real) = _dist_trafo_rescale_impl(trg_d, src_d, src_v)
@inline apply_dist_trafo(trg_d::StandardUvNormal, src_d::Normal, src_v::Real) = _dist_trafo_rescale_impl(trg_d, src_d, src_v)
@inline apply_dist_trafo(trg_d::Normal, src_d::StandardUvNormal, src_v::Real) = _dist_trafo_rescale_impl(trg_d, src_d, src_v)
# ToDo: Optimized implementation for Distributions.Truncated <-> StandardUvUniform
@inline apply_dist_trafo(trg_d::StandardUvUniform, src_d::StandardUvUniform, src_v::Real) = src_v
@inline apply_dist_trafo(trg_d::StandardUvNormal, src_d::StandardUvNormal, src_v::Real) = src_v
@inline function apply_dist_trafo(trg_d::StandardUvUniform, src_d::StandardUvNormal, src_v::Real)
apply_dist_trafo(StandardUvUniform(), Normal(), src_v)
end
@inline function apply_dist_trafo(trg_d::StandardUvNormal, src_d::StandardUvUniform, src_v::Real)
apply_dist_trafo(Normal(), StandardUvUniform(), src_v)
end
@inline function apply_dist_trafo(trg_d::StandardMvUniform, src_d::StandardMvNormal, src_v::AbstractVector{<:Real})
@_adignore @argcheck eff_totalndof(trg_d) == eff_totalndof(src_d)
_product_dist_trafo_impl(StandardUvUniform(), StandardUvNormal(), src_v)
end
@inline function apply_dist_trafo(trg_d::StandardMvNormal, src_d::StandardMvUniform, src_v::AbstractVector{<:Real})
@_adignore @argcheck eff_totalndof(trg_d) == eff_totalndof(src_d)
_product_dist_trafo_impl(StandardUvNormal(), StandardUvUniform(), src_v)
end
std_dist_from(src_d::MvNormal) = StandardMvNormal(length(src_d))
_cholesky_L(A) = cholesky(A).L
_cholesky_L(A::Diagonal{<:Real}) = Diagonal(sqrt.(diag(A)))
_cholesky_L(A::PDiagMat{<:Real}) = Diagonal(sqrt.(A.diag))
_cholesky_L(A::ScalMat{<:Real}) = Diagonal(Fill(sqrt(A.value), A.dim))
function apply_dist_trafo(trg_d::StandardMvNormal, src_d::MvNormal, src_v::AbstractVector{<:Real})
@argcheck length(trg_d) == length(src_d)
_cholesky_L(src_d.Σ) \ (src_v - src_d.μ)
end
std_dist_to(trg_d::MvNormal) = StandardMvNormal(length(trg_d))
function apply_dist_trafo(trg_d::MvNormal, src_d::StandardMvNormal, src_v::AbstractVector{<:Real})
@argcheck length(trg_d) == length(src_d)
_cholesky_L(trg_d.Σ) * src_v + trg_d.μ
end
eff_totalndof(d::Dirichlet) = length(d) - 1
eff_totalndof(d::DistributionsAD.TuringDirichlet) = length(d) - 1
std_dist_to(trg_d::Dirichlet) = StandardMvUniform(eff_totalndof(trg_d))
std_dist_to(trg_d::DistributionsAD.TuringDirichlet) = StandardMvUniform(eff_totalndof(trg_d))
std_dist_from(trg_d::Dirichlet) = StandardMvUniform(eff_totalndof(trg_d))
std_dist_from(trg_d::DistributionsAD.TuringDirichlet) = StandardMvUniform(eff_totalndof(trg_d))
function apply_dist_trafo(trg_d::Dirichlet, src_d::StandardMvUniform, src_v::AbstractVector{<:Real})
apply_dist_trafo(DistributionsAD.TuringDirichlet(trg_d.alpha), src_d, src_v)
end
function apply_dist_trafo(trg_d::StandardMvUniform, src_d::Dirichlet, src_v::AbstractVector{<:Real})
apply_dist_trafo(trg_d, DistributionsAD.TuringDirichlet(src_d.alpha), src_v)
end
function _dirichlet_beta_trafo(α::Real, β::Real, src_v::Real)
R = float(promote_type(typeof(α), typeof(β), typeof(src_v)))
convert(R, apply_dist_trafo(Beta(α, β), StandardUvUniform(), src_v))::R
end
_a_times_one_minus_b(a::Real, b::Real) = a * (1 - b)
function apply_dist_trafo(trg_d::DistributionsAD.TuringDirichlet, src_d::StandardMvUniform, src_v::AbstractVector{<:Real})
# See M. J. Betancourt, "Cruising The Simplex: Hamiltonian Monte Carlo and the Dirichlet Distribution",
# https://arxiv.org/abs/1010.3436
@_adignore @argcheck length(trg_d) == length(src_d) + 1
αs = _dropfront(_rev_cumsum(trg_d.alpha))
βs = _dropback(trg_d.alpha)
beta_v = fwddiff(_dirichlet_beta_trafo).(αs, βs, src_v)
beta_v_cp = _exp_cumsum_log(_pushfront(beta_v, 1))
beta_v_ext = _pushback(beta_v, 0)
fwddiff(_a_times_one_minus_b).(beta_v_cp, beta_v_ext)
end
function _inv_dirichlet_beta_trafo(α::Real, β::Real, beta_v::Real)
R = float(promote_type(typeof(α), typeof(β), typeof(beta_v)))
convert(R, apply_dist_trafo(StandardUvUniform(), Beta(α, β), beta_v))::R
end
# ToDo: Find efficient pullback for this:
function _dirichlet_variate_to_beta_v(src_v::AbstractVector{<:Real})
idxs = eachindex(src_v)
beta_v = similar(src_v, length(idxs) - 1)
@assert firstindex(beta_v) == firstindex(src_v)
@assert lastindex(beta_v) == lastindex(src_v) - 1
T = eltype(src_v)
sum_log_beta_v::T = 0
@inbounds for i in eachindex(beta_v)
beta_v[i] = 1 - src_v[i] / exp(sum_log_beta_v)
sum_log_beta_v += log(beta_v[i])
end
return beta_v
end
# ToDo: Make Zygote-compatible:
function apply_dist_trafo(trg_d::StandardMvUniform, src_d::DistributionsAD.TuringDirichlet, src_v::AbstractVector{<:Real})
@_adignore @argcheck length(trg_d) == length(src_d) - 1
αs = _dropfront(_rev_cumsum(src_d.alpha))
βs = _dropback(src_d.alpha)
beta_v = _dirichlet_variate_to_beta_v(src_v)
fwddiff(_inv_dirichlet_beta_trafo).(αs, βs, beta_v)
end
function _product_dist_trafo_impl(trg_ds, src_ds, src_v::AbstractVector{<:Real})
fwddiff(apply_dist_trafo).(trg_ds, src_ds, src_v)
end
function apply_dist_trafo(trg_d::Distributions.Product, src_d::Distributions.Product, src_v::AbstractVector{<:Real})
@_adignore @argcheck eff_totalndof(trg_d) == eff_totalndof(src_d)
_product_dist_trafo_impl(trg_d.v, src_d.v, src_v)
end
function apply_dist_trafo(trg_d::StandardMvUniform, src_d::Distributions.Product, src_v::AbstractVector{<:Real})
@_adignore @argcheck eff_totalndof(trg_d) == eff_totalndof(src_d)
_product_dist_trafo_impl(StandardUvUniform(), src_d.v, src_v)
end
function apply_dist_trafo(trg_d::StandardMvNormal, src_d::Distributions.Product, src_v::AbstractVector{<:Real})
@_adignore @argcheck eff_totalndof(trg_d) == eff_totalndof(src_d)
_product_dist_trafo_impl(StandardUvNormal(), src_d.v, src_v)
end
function apply_dist_trafo(trg_d::Distributions.Product, src_d::StandardMvUniform, src_v::AbstractVector{<:Real})
@_adignore @argcheck eff_totalndof(trg_d) == eff_totalndof(src_d)
_product_dist_trafo_impl(trg_d.v, StandardUvUniform(), src_v)
end
function apply_dist_trafo(trg_d::Distributions.Product, src_d::StandardMvNormal, src_v::AbstractVector{<:Real})
@_adignore @argcheck eff_totalndof(trg_d) == eff_totalndof(src_d)
_product_dist_trafo_impl(trg_d.v, StandardUvNormal(), src_v)
end
_flat_ntd_orig_elshape(d::Distribution) = ArrayShape{Real}(totalndof(varshape(d)))
function _flat_ntd_orig_accessors(d::NamedTupleDist{names,DT,AT,VT}) where {names,DT,AT,VT}
shapes = map(_flat_ntd_orig_elshape, values(d))
vs = NamedTupleShape(VT, NamedTuple{names}(shapes))
values(vs)
end
_flat_ntd_eff_elshape(d::Distribution) = ArrayShape{Real}(eff_totalndof(d))
function _flat_ntd_eff_accessors(d::NamedTupleDist{names,DT,AT,VT}) where {names,DT,AT,VT}
shapes = map(_flat_ntd_eff_elshape, values(d))
vs = NamedTupleShape(VT, NamedTuple{names}(shapes))
values(vs)
end
function _flat_ntdistelem_to_stdmv(trg_d::StdMvDist, sd::Distribution, src_v_unshaped::AbstractVector{<:Real}, src_acc::ValueAccessor)
td = view(trg_d, Base.OneTo(eff_totalndof(sd)))
sv = src_acc(src_v_unshaped)
apply_dist_trafo(td, unshaped(sd), sv)
end
function _flat_ntdistelem_to_stdmv(trg_d::StdMvDist, sd::ConstValueDist, src_v_unshaped::AbstractVector{<:Real}, src_acc::ValueAccessor)
Bool[]
end
function apply_dist_trafo(trg_d::StdMvDist, src_d::ValueShapes.UnshapedNTD, src_v::AbstractVector{<:Real})
@argcheck length(src_d) == length(eachindex(src_v))
src_accessors = _flat_ntd_orig_accessors(src_d.shaped)
rs = map((src_acc, sd) -> _flat_ntdistelem_to_stdmv(trg_d, sd, src_v, src_acc), src_accessors, values(src_d.shaped))
vcat(rs...)
end
function apply_dist_trafo(trg_d::StdMvDist, src_d::NamedTupleDist, src_v::Union{NamedTuple,ShapedAsNT})
src_v_unshaped = unshaped(src_v, varshape(src_d))
apply_dist_trafo(trg_d, unshaped(src_d), src_v_unshaped)
end
function _stdmv_to_flat_ntdistelem(td::Distribution, src_d::StdMvDist, src_v::AbstractVector{<:Real}, src_acc::ValueAccessor)
sd = view(src_d, ValueShapes.view_idxs(Base.OneTo(length(src_d)), src_acc))
sv = src_acc(src_v)
apply_dist_trafo(unshaped(td), sd, sv)
end
function _stdmv_to_flat_ntdistelem(td::ConstValueDist, src_d::StdMvDist, src_v::AbstractVector{<:Real}, src_acc::ValueAccessor)
Bool[]
end
function apply_dist_trafo(trg_d::ValueShapes.UnshapedNTD, src_d::StdMvDist, src_v::AbstractVector{<:Real})
@argcheck length(src_d) == length(eachindex(src_v))
src_accessors = _flat_ntd_eff_accessors(trg_d.shaped)
rs = map((acc, td) -> _stdmv_to_flat_ntdistelem(td, src_d, src_v, acc), src_accessors, values(trg_d.shaped))
vcat(rs...)
end
function apply_dist_trafo(trg_d::NamedTupleDist, src_d::StdMvDist, src_v::AbstractVector{<:Real})
unshaped_result = apply_dist_trafo(unshaped(trg_d), src_d, src_v)
varshape(trg_d)(unshaped_result)
end
@static if isdefined(Distributions, :ReshapedDistribution)
const AnyReshapedDist = Union{Distributions.ReshapedDistribution,ValueShapes.ReshapedDist}
else
const AnyReshapedDist = Union{Distributions.MatrixReshaped,ValueShapes.ReshapedDist}
end
eff_totalndof(d::AnyReshapedDist) = eff_totalndof(unshaped(d))
std_dist_from(src_d::AnyReshapedDist) = std_dist_from(unshaped(src_d))
std_dist_to(trg_d::AnyReshapedDist) = std_dist_to(unshaped(trg_d))
function apply_dist_trafo(trg_d::Distribution{Multivariate}, src_d::AnyReshapedDist, src_v::Any)
src_vs = varshape(src_d)
@argcheck eff_totalndof(trg_d) == eff_totalndof(src_d)
apply_dist_trafo(trg_d, unshaped(src_d), unshaped(src_v, src_vs))
end
function apply_dist_trafo(trg_d::AnyReshapedDist, src_d::Distribution{Multivariate}, src_v::AbstractVector{<:Real})
trg_vs = varshape(trg_d)
@argcheck eff_totalndof(trg_d) == eff_totalndof(src_d)
r = apply_dist_trafo(unshaped(trg_d), src_d, src_v)
trg_vs(r)
end
function apply_dist_trafo(trg_d::AnyReshapedDist, src_d::AnyReshapedDist, src_v::AbstractVector{<:Real})
trg_vs = varshape(trg_d)
src_vs = varshape(src_d)
@argcheck totalndof(trg_vs) == totalndof(src_vs)
r = apply_dist_trafo(unshaped(trg_d), unshaped(src_d), unshaped(src_v, src_vs))
v = trg_vs(r)
end
function apply_dist_trafo(trg_d::StdMvDist, src_d::UnshapedHDist, src_v::AbstractVector{<:Real})
src_v_primary, src_v_secondary = _hd_split(src_d, src_v)
trg_d_primary = typeof(trg_d)(length(eachindex(src_v_primary)))
trg_d_secondary = typeof(trg_d)(length(eachindex(src_v_secondary)))
trg_v_primary = apply_dist_trafo(trg_d_primary, _hd_pridist(src_d), src_v_primary)
trg_v_secondary = apply_dist_trafo(trg_d_secondary, _hd_secdist(src_d, src_v_primary), src_v_secondary)
vcat(trg_v_primary, trg_v_secondary)
end
function apply_dist_trafo(trg_d::StdMvDist, src_d::HierarchicalDistribution, src_v::Any)
src_v_unshaped = unshaped(src_v, varshape(src_d))
apply_dist_trafo(trg_d, unshaped(src_d), src_v_unshaped)
end
function apply_dist_trafo(trg_d::UnshapedHDist, src_d::StdMvDist, src_v::AbstractVector{<:Real})
src_v_primary, src_v_secondary = _hd_split_efftotalndof(trg_d, src_v)
src_d_primary = typeof(src_d)(length(eachindex(src_v_primary)))
src_d_secondary = typeof(src_d)(length(eachindex(src_v_secondary)))
trg_v_primary = apply_dist_trafo(_hd_pridist(trg_d), src_d_primary, src_v_primary)
trg_v_secondary = apply_dist_trafo(_hd_secdist(trg_d, trg_v_primary), src_d_secondary, src_v_secondary)
vcat(trg_v_primary, trg_v_secondary)
end
function apply_dist_trafo(trg_d::HierarchicalDistribution, src_d::StdMvDist, src_v::AbstractVector{<:Real})
unshaped_result = apply_dist_trafo(unshaped(trg_d), src_d, src_v)
varshape(trg_d)(unshaped_result)
end