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Add Stable distribution with numerically integrated log-probability calculation (StableWithLogProb). #3369

Merged
merged 24 commits into from
May 28, 2024
Merged

Add Stable distribution with numerically integrated log-probability calculation (StableWithLogProb). #3369

merged 24 commits into from
May 28, 2024

Commits on May 19, 2024

  1. Added Stable distribution with unsafe log-probability calculation.

    Ben Zickel committed May 19, 2024
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  2. Make Stable distribution log-probability calculation safe at values n… 

    …ear zero.
    Ben Zickel committed May 19, 2024
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  3. Make Stable distribution log-probability calculation safe at alpha ne… 

    …ar one.
    Ben Zickel committed May 19, 2024
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  4. Make Stable log-probability method part of an independent class.

    Ben Zickel committed May 19, 2024
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  5. Added dynamic near zero value tolerance to the log-probability estima… 

    …tion of the Stable distribution.
    Ben Zickel committed May 19, 2024
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  6. Reduce Stable log-probability calculation value near zero tolerance i… 

    …n order to improve convergence.
    Ben Zickel committed May 19, 2024
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  7. Cap range of Stable log-probability.

    Ben Zickel committed May 19, 2024
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Commits on May 20, 2024

  1. Clamp log in order to make gradient continuous.

    Ben Zickel committed May 20, 2024
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  2. Code cleanup.

    Ben Zickel committed May 20, 2024
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  3. Don't reparametrize pyro.distributions.StableWithLogProb.

    Ben Zickel committed May 20, 2024
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  4. Add tests for Stable distribution with method for calculating the log… 

    …-probability.
    Ben Zickel committed May 20, 2024
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  5. Linting and formatting.

    Ben Zickel committed May 20, 2024
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Commits on May 21, 2024

  1. Moved definition of StableWithLogProb into pyro.distributions.stable.

    Ben Zickel committed May 21, 2024
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  2. Avoid importing scipy until StableWithLogProb.log_prob is called for … 

    …the first time in order to avoid requiring scipy when building the docs.
    Ben Zickel committed May 21, 2024
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  3. Don't allow reparameterization of StableWithLogProb.

    Ben Zickel committed May 21, 2024
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  4. Linting and formatting.

    Ben Zickel committed May 21, 2024
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  5. Add iterations in order to assure convergence in parameter fit tests.

    Ben Zickel committed May 21, 2024
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  6. Comment out test.

    Ben Zickel committed May 21, 2024
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  7. Increase test error limit.

    Ben Zickel committed May 21, 2024
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Commits on May 22, 2024

  1. Added StableWithLogProb docs.

    Ben Zickel committed May 22, 2024
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Commits on May 27, 2024

  1. Cap near zero tolerance by inverse probability density.

    Ben Zickel committed May 27, 2024
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  2. Make log_prob return data type same as that of the input value.

    Ben Zickel committed May 27, 2024
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  3. Added Stable distirbution log-probability calculation goodness of fit… 

    … tests.
    Ben Zickel committed May 27, 2024
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  4. Added explanation of StableWithLogProb usage and results.

    Ben Zickel committed May 27, 2024
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