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sinh_arcsinh.py
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sinh_arcsinh.py
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# Copyright 2017 The TensorFlow Authors. All Rights Reserved.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
# ==============================================================================
"""SinhArcsinh transformation of a distribution."""
from __future__ import absolute_import
from __future__ import division
from __future__ import print_function
from tensorflow.contrib.distributions.python.ops import bijectors
from tensorflow.contrib.distributions.python.ops import distribution_util
from tensorflow.python.framework import ops
from tensorflow.python.ops import array_ops
from tensorflow.python.ops import control_flow_ops
from tensorflow.python.ops.distributions import normal
from tensorflow.python.ops.distributions import transformed_distribution
from tensorflow.python.util import deprecation
__all__ = [
"SinhArcsinh",
]
class SinhArcsinh(transformed_distribution.TransformedDistribution):
"""The SinhArcsinh transformation of a distribution on `(-inf, inf)`.
This distribution models a random variable, making use of
a `SinhArcsinh` transformation (which has adjustable tailweight and skew),
a rescaling, and a shift.
The `SinhArcsinh` transformation of the Normal is described in great depth in
[Sinh-arcsinh distributions](https://www.jstor.org/stable/27798865).
Here we use a slightly different parameterization, in terms of `tailweight`
and `skewness`. Additionally we allow for distributions other than Normal,
and control over `scale` as well as a "shift" parameter `loc`.
#### Mathematical Details
Given random variable `Z`, we define the SinhArcsinh
transformation of `Z`, `Y`, parameterized by
`(loc, scale, skewness, tailweight)`, via the relation:
```
Y := loc + scale * F(Z) * (2 / F_0(2))
F(Z) := Sinh( (Arcsinh(Z) + skewness) * tailweight )
F_0(Z) := Sinh( Arcsinh(Z) * tailweight )
```
This distribution is similar to the location-scale transformation
`L(Z) := loc + scale * Z` in the following ways:
* If `skewness = 0` and `tailweight = 1` (the defaults), `F(Z) = Z`, and then
`Y = L(Z)` exactly.
* `loc` is used in both to shift the result by a constant factor.
* The multiplication of `scale` by `2 / F_0(2)` ensures that if `skewness = 0`
`P[Y - loc <= 2 * scale] = P[L(Z) - loc <= 2 * scale]`.
Thus it can be said that the weights in the tails of `Y` and `L(Z)` beyond
`loc + 2 * scale` are the same.
This distribution is different than `loc + scale * Z` due to the
reshaping done by `F`:
* Positive (negative) `skewness` leads to positive (negative) skew.
* positive skew means, the mode of `F(Z)` is "tilted" to the right.
* positive skew means positive values of `F(Z)` become more likely, and
negative values become less likely.
* Larger (smaller) `tailweight` leads to fatter (thinner) tails.
* Fatter tails mean larger values of `|F(Z)|` become more likely.
* `tailweight < 1` leads to a distribution that is "flat" around `Y = loc`,
and a very steep drop-off in the tails.
* `tailweight > 1` leads to a distribution more peaked at the mode with
heavier tails.
To see the argument about the tails, note that for `|Z| >> 1` and
`|Z| >> (|skewness| * tailweight)**tailweight`, we have
`Y approx 0.5 Z**tailweight e**(sign(Z) skewness * tailweight)`.
To see the argument regarding multiplying `scale` by `2 / F_0(2)`,
```
P[(Y - loc) / scale <= 2] = P[F(Z) * (2 / F_0(2)) <= 2]
= P[F(Z) <= F_0(2)]
= P[Z <= 2] (if F = F_0).
```
"""
@deprecation.deprecated(
"2018-10-01",
"The TensorFlow Distributions library has moved to "
"TensorFlow Probability "
"(https://github.com/tensorflow/probability). You "
"should update all references to use `tfp.distributions` "
"instead of `tf.contrib.distributions`.",
warn_once=True)
def __init__(self,
loc,
scale,
skewness=None,
tailweight=None,
distribution=None,
validate_args=False,
allow_nan_stats=True,
name="SinhArcsinh"):
"""Construct SinhArcsinh distribution on `(-inf, inf)`.
Arguments `(loc, scale, skewness, tailweight)` must have broadcastable shape
(indexing batch dimensions). They must all have the same `dtype`.
Args:
loc: Floating-point `Tensor`.
scale: `Tensor` of same `dtype` as `loc`.
skewness: Skewness parameter. Default is `0.0` (no skew).
tailweight: Tailweight parameter. Default is `1.0` (unchanged tailweight)
distribution: `tf.Distribution`-like instance. Distribution that is
transformed to produce this distribution.
Default is `tfp.distributions.Normal(0., 1.)`.
Must be a scalar-batch, scalar-event distribution. Typically
`distribution.reparameterization_type = FULLY_REPARAMETERIZED` or it is
a function of non-trainable parameters. WARNING: If you backprop through
a `SinhArcsinh` sample and `distribution` is not
`FULLY_REPARAMETERIZED` yet is a function of trainable variables, then
the gradient will be incorrect!
validate_args: Python `bool`, default `False`. When `True` distribution
parameters are checked for validity despite possibly degrading runtime
performance. When `False` invalid inputs may silently render incorrect
outputs.
allow_nan_stats: Python `bool`, default `True`. When `True`,
statistics (e.g., mean, mode, variance) use the value "`NaN`" to
indicate the result is undefined. When `False`, an exception is raised
if one or more of the statistic's batch members are undefined.
name: Python `str` name prefixed to Ops created by this class.
"""
parameters = dict(locals())
with ops.name_scope(name,
values=[loc, scale, skewness, tailweight]) as name:
loc = ops.convert_to_tensor(loc, name="loc")
dtype = loc.dtype
scale = ops.convert_to_tensor(scale, name="scale", dtype=dtype)
tailweight = 1. if tailweight is None else tailweight
has_default_skewness = skewness is None
skewness = 0. if skewness is None else skewness
tailweight = ops.convert_to_tensor(
tailweight, name="tailweight", dtype=dtype)
skewness = ops.convert_to_tensor(skewness, name="skewness", dtype=dtype)
batch_shape = distribution_util.get_broadcast_shape(
loc, scale, tailweight, skewness)
# Recall, with Z a random variable,
# Y := loc + C * F(Z),
# F(Z) := Sinh( (Arcsinh(Z) + skewness) * tailweight )
# F_0(Z) := Sinh( Arcsinh(Z) * tailweight )
# C := 2 * scale / F_0(2)
if distribution is None:
distribution = normal.Normal(
loc=array_ops.zeros([], dtype=dtype),
scale=array_ops.ones([], dtype=dtype),
allow_nan_stats=allow_nan_stats)
else:
asserts = distribution_util.maybe_check_scalar_distribution(
distribution, dtype, validate_args)
if asserts:
loc = control_flow_ops.with_dependencies(asserts, loc)
# Make the SAS bijector, 'F'.
f = bijectors.SinhArcsinh(
skewness=skewness, tailweight=tailweight)
if has_default_skewness:
f_noskew = f
else:
f_noskew = bijectors.SinhArcsinh(
skewness=skewness.dtype.as_numpy_dtype(0.),
tailweight=tailweight)
# Make the AffineScalar bijector, Z --> loc + scale * Z (2 / F_0(2))
c = 2 * scale / f_noskew.forward(ops.convert_to_tensor(2, dtype=dtype))
affine = bijectors.AffineScalar(
shift=loc,
scale=c,
validate_args=validate_args)
bijector = bijectors.Chain([affine, f])
super(SinhArcsinh, self).__init__(
distribution=distribution,
bijector=bijector,
batch_shape=batch_shape,
validate_args=validate_args,
name=name)
self._parameters = parameters
self._loc = loc
self._scale = scale
self._tailweight = tailweight
self._skewness = skewness
@property
def loc(self):
"""The `loc` in `Y := loc + scale @ F(Z) * (2 / F(2))."""
return self._loc
@property
def scale(self):
"""The `LinearOperator` `scale` in `Y := loc + scale @ F(Z) * (2 / F(2))."""
return self._scale
@property
def tailweight(self):
"""Controls the tail decay. `tailweight > 1` means faster than Normal."""
return self._tailweight
@property
def skewness(self):
"""Controls the skewness. `Skewness > 0` means right skew."""
return self._skewness