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WIP robust interval transforms #1430

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Merged
merged 3 commits into from
Oct 8, 2016
Merged

WIP robust interval transforms #1430

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3cf5450
Added epsilon to numerator and denominator of Interval.forward
Oct 7, 2016
28ad127
Removed redundant bounds check on normal
Oct 7, 2016
8ff7d64
Narrowed bounds of precision in adjust_precision
Oct 7, 2016
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3 changes: 1 addition & 2 deletions pymc3/distributions/continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -217,10 +217,9 @@ def random(self, point=None, size=None, repeat=None):

def logp(self, value):
tau = self.tau
sd = self.sd
mu = self.mu
return bound((-tau * (value - mu)**2 + tt.log(tau / np.pi / 2.)) / 2.,
tau > 0, sd > 0)
tau > 0)


class HalfNormal(PositiveContinuous):
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9 changes: 5 additions & 4 deletions pymc3/distributions/transforms.py
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Expand Up @@ -109,18 +109,19 @@ class Interval(ElemwiseTransform):

name = "interval"

def __init__(self, a, b):
def __init__(self, a, b, eps=1e-6):
self.a = a
self.b = b
self.eps = eps

def backward(self, x):
a, b = self.a, self.b
r = (b - a) * tt.exp(x) / (1 + tt.exp(x)) + a
r = (b - a) / (1 + tt.exp(-x)) + a
return r

def forward(self, x):
a, b = self.a, self.b
r = tt.log((x - a) / (b - x))
a, b, e = self.a, self.b, self.eps
r = tt.log(tt.maximum((x - a) / tt.maximum(b - x, e), e))
return r

interval = Interval
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2 changes: 1 addition & 1 deletion pymc3/tuning/scaling.py
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Expand Up @@ -126,7 +126,7 @@ def adjust_scaling(s):
def adjust_precision(tau):
mag = sqrt(abs(tau))

bounded = bound(log(mag), log(1e-10), log(1e10))
bounded = bound(log(mag), log(0.1), log(10))
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Doesn't this depend on the scale of the data?

return exp(bounded)**2


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