tf.contrib.distributions.Mixture

Mixture distribution.

Inherits From: Distribution

The Mixture object implements batched mixture distributions. The mixture model is defined by a Categorical distribution (the mixture) and a python list of Distribution objects.

Methods supported include log_prob, prob, mean, sample, and entropy_lower_bound.

Examples

# Create a mixture of two Gaussians:
import tensorflow_probability as tfp
tfd = tfp.distributions

mix = 0.3
bimix_gauss = tfd.Mixture(
  cat=tfd.Categorical(probs=[mix, 1.-mix]),
  components=[
    tfd.Normal(loc=-1., scale=0.1),
    tfd.Normal(loc=+1., scale=0.5),
])

# Plot the PDF.
import matplotlib.pyplot as plt
x = tf.linspace(-2., 3., int(1e4)).eval()
plt.plot(x, bimix_gauss.prob(x).eval());
Args
cat A Categorical distribution instance, representing the probabilities of distributions.
components A list or tuple of Distribution instances. Each instance must have the same type, be defined on the same domain, and have matching event_shape and batch_shape.
validate_args Python bool, default False. If True, raise a runtime error if batch or event ranks are inconsistent between cat and any of the distributions. This is only checked if the ranks cannot be determined statically at graph construction time.
allow_nan_stats Boolean, default True. If False, raise an exception if a statistic (e.g. mean/mode/etc...) is undefined for any batch member. If True, batch members with valid parameters leading to undefined statistics will return NaN for this statistic.
use_static_graph Calls to sample will not rely on dynamic tensor indexing, allowing for some static graph compilation optimizations, but at the expense of sampling all underlying distributions in the mixture. (Possibly useful when running on TPUs). Default value: False (i.e., use dynamic indexing).
name A name for this distribution (optional).
Raises
TypeError If cat is not a Categorical, or components is not a list or tuple, or the elements of components are not instances of Distribution, or do not have matching dtype.
ValueError If components is an empty list or tuple, or its elements do not have a statically known event rank. If cat.num_classes cannot be inferred at graph creation time, or the constant value of cat.num_classes is not equal to len(components), or all components and cat do not have matching static batch shapes, or all components do not have matching static event shapes.
Attributes
allow_nan_stats Python bool describing behavior when a stat is undefined.

Stats return +/- infinity when it makes sense. E.g., the variance of a Cauchy distribution is infinity. However, sometimes the statistic is undefined, e.g., if a distribution's pdf does not achieve a maximum within the support of the distribution, the mode is undefined. If the mean is undefined, then by definition the variance is undefined. E.g. the mean for Student's T for df = 1 is undefined (no clear way to say it is either + or - infinity), so the variance = E[(X - mean)**2] is also undefined.

batch_shape Shape of a single sample from a single event index as a TensorShape.

May be partially defined or unknown.

The batch dimensions are indexes into independent, non-identical parameterizations of this distribution.

cat
components
dtype The DType of Tensors handled by this Distribution.
event_shape Shape of a single sample from a single batch as a TensorShape.

May be partially defined or unknown.

name Name prepended to all ops created by this Distribution.
num_components
parameters Dictionary of parameters used to instantiate this Distribution.
reparameterization_type Describes how samples from the distribution are reparameterized.

Currently this is one of the static instances distributions.FULLY_REPARAMETERIZED or distributions.NOT_REPARAMETERIZED.

validate_args Python bool indicating possibly expensive checks are enabled.

Methods

batch_shape_tensor

View source

Shape of a single sample from a single event index as a 1-D Tensor.

The batch dimensions are indexes into independent, non-identical parameterizations of this distribution.

Args
name name to give to the op
Returns
batch_shape Tensor.

cdf

View source

Cumulative distribution function.

Given random variable X, the cumulative distribution function cdf is:

cdf(x) := P[X <= x]
Args
value float or double Tensor.
name Python str prepended to names of ops created by this function.
Returns
cdf a Tensor of shape sample_shape(x) + self.batch_shape with values of type self.dtype.

copy

View source

Creates a deep copy of the distribution.

Note: the copy distribution may continue to depend on the original initialization arguments.
Args
**override_parameters_kwargs String/value dictionary of initialization arguments to override with new values.
Returns
distribution A new instance of type(self) initialized from the union of self.parameters and override_parameters_kwargs, i.e., dict(self.parameters, **override_parameters_kwargs).

covariance

View source

Covariance.

Covariance is (possibly) defined only for non-scalar-event distributions.

For example, for a length-k, vector-valued distribution, it is calculated as,

Cov[i, j] = Covariance(X_i, X_j) = E[(X_i - E[X_i]) (X_j - E[X_j])]

where Cov is a (batch of) k x k matrix, 0 <= (i, j) < k, and E denotes expectation.

Alternatively, for non-vector, multivariate distributions (e.g., matrix-valued, Wishart), Covariance shall return a (batch of) matrices under some vectorization of the events, i.e.,

Cov[i, j] = Covariance(Vec(X)_i, Vec(X)_j) = [as above]

where Cov is a (batch of) k' x k' matrices, 0 <= (i, j) < k' = reduce_prod(event_shape), and Vec is some function mapping indices of this distribution's event dimensions to indices of a length-k' vector.

Args
name Python str prepended to names of ops created by this function.
Returns
covariance Floating-point Tensor with shape [B1, ..., Bn, k', k'] where the first n dimensions are batch coordinates and k' = reduce_prod(self.event_shape).

cross_entropy

View source

Computes the (Shannon) cross entropy.

Denote this distribution (self) by P and the other distribution by Q. Assuming P, Q are absolutely continuous with respect to one another and permit densities p(x) dr(x) and q(x) dr(x), (Shanon) cross entropy is defined as:

H[P, Q] = E_p[-log q(X)] = -int_F p(x) log q(x) dr(x)

where F denotes the support of the random variable X ~ P.

Args
other tfp.distributions.Distribution instance.
name Python str prepended to names of ops created by this function.
Returns
cross_entropy self.dtype Tensor with shape [B1, ..., Bn] representing n different calculations of (Shanon) cross entropy.

entropy

View source

Shannon entropy in nats.

entropy_lower_bound

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A lower bound on the entropy of this mixture model.

The bound below is not always very tight, and its usefulness depends on the mixture probabilities and the components in use.

A lower bound is useful for ELBO when the Mixture is the variational distribution:

\( \log p(x) >= ELBO = \int q(z) \log p(x, z) dz + H[q] \)

where \( p \) is the prior distribution, \( q \) is the variational, and \( H[q] \) is the entropy of \( q \). If there is a lower bound \( G[q] \) such that \( H[q] \geq G[q] \) then it can be used in place of \( H[q] \).

For a mixture of distributions \( q(Z) = \sum_i c_i q_i(Z) \) with \( \sum_i c_i = 1 \), by the concavity of \( f(x) = -x \log x \), a simple lower bound is:

\( \begin{align} H[q] & = - \int q(z) \log q(z) dz \\\ & = - \int (\sum_i c_i q_i(z)) \log(\sum_i c_i q_i(z)) dz \\\ & \geq - \sum_i c_i \int q_i(z) \log q_i(z) dz \\\ & = \sum_i c_i H[q_i] \end{align} \)

This is the term we calculate below for \( G[q] \).

Args
name A name for this operation (optional).
Returns
A lower bound on the Mixture's entropy.

event_shape_tensor

View source

Shape of a single sample from a single batch as a 1-D int32 Tensor.

Args
name name to give to the op
Returns
event_shape Tensor.

is_scalar_batch

View source

Indicates that batch_shape == [].

Args
name Python str prepended to names of ops created by this function.
Returns
is_scalar_batch bool scalar Tensor.

is_scalar_event

View source

Indicates that event_shape == [].

Args
name Python str prepended to names of ops created by this function.
Returns
is_scalar_event bool scalar Tensor.

kl_divergence

View source

Computes the Kullback--Leibler divergence.

Denote this distribution (self) by p and the other distribution by q. Assuming p, q are absolutely continuous with respect to reference measure r, the KL divergence is defined as:

KL[p, q] = E_p[log(p(X)/q(X))]
         = -int_F p(x) log q(x) dr(x) + int_F p(x) log p(x) dr(x)
         = H[p, q] - H[p]

where F denotes the support of the random variable X ~ p, H[., .] denotes (Shanon) cross entropy, and H[.] denotes (Shanon) entropy.

Args
other tfp.distributions.Distribution instance.
name Python str prepended to names of ops created by this function.
Returns
kl_divergence self.dtype Tensor with shape [B1, ..., Bn] representing n different calculations of the Kullback-Leibler divergence.

log_cdf

View source

Log cumulative distribution function.

Given random variable X, the cumulative distribution function cdf is:

log_cdf(x) := Log[ P[X <= x] ]

Often, a numerical approximation can be used for log_cdf(x) that yields a more accurate answer than simply taking the logarithm of the cdf when x << -1.

Args
value float or double Tensor.
name Python str prepended to names of ops created by this function.
Returns
logcdf a Tensor of shape sample_shape(x) + self.batch_shape with values of type self.dtype.

log_prob

View source

Log probability density/mass function.

Args
value float or double Tensor.
name Python str prepended to names of ops created by this function.
Returns
log_prob a Tensor of shape sample_shape(x) + self.batch_shape with values of type self.dtype.

log_survival_function

View source

Log survival function.

Given random variable X, the survival function is defined:

log_survival_function(x) = Log[ P[X > x] ]
                         = Log[ 1 - P[X <= x] ]
                         = Log[ 1 - cdf(x) ]

Typically, different numerical approximations can be used for the log survival function, which are more accurate than 1 - cdf(x) when x >> 1.

Args
value float or double Tensor.
name Python str prepended to names of ops created by this function.
Returns
Tensor of shape sample_shape(x) + self.batch_shape with values of type self.dtype.

mean

View source

Mean.

mode

View source

Mode.

param_shapes

View source

Shapes of parameters given the desired shape of a call to sample().

This is a class method that describes what key/value arguments are required to instantiate the given Distribution so that a particular shape is returned for that instance's call to sample().

Subclasses should override class method _param_shapes.

Args
sample_shape Tensor or python list/tuple. Desired shape of a call to sample().
name name to prepend ops with.
Returns
dict of parameter name to Tensor shapes.

param_static_shapes

View source

param_shapes with static (i.e. TensorShape) shapes.

This is a class method that describes what key/value arguments are required to instantiate the given Distribution so that a particular shape is returned for that instance's call to sample(). Assumes that the sample's shape is known statically.

Subclasses should override class method _param_shapes to return constant-valued tensors when constant values are fed.

Args
sample_shape TensorShape or python list/tuple. Desired shape of a call to sample().
Returns
dict of parameter name to TensorShape.
Raises
ValueError if sample_shape is a TensorShape and is not fully defined.

prob

View source

Probability density/mass function.

Args
value float or double Tensor.
name Python str prepended to names of ops created by this function.
Returns
prob a Tensor of shape sample_shape(x) + self.batch_shape with values of type self.dtype.

quantile

View source

Quantile function. Aka "inverse cdf" or "percent point function".

Given random variable X and p in [0, 1], the quantile is:

quantile(p) := x such that P[X <= x] == p
Args
value float or double Tensor.
name Python str prepended to names of ops created by this function.
Returns
quantile a Tensor of shape sample_shape(x) + self.batch_shape with values of type self.dtype.

sample

View source

Generate samples of the specified shape.

Note that a call to sample() without arguments will generate a single sample.

Args
sample_shape 0D or 1D int32 Tensor. Shape of the generated samples.
seed Python integer seed for RNG
name name to give to the op.
Returns
samples a Tensor with prepended dimensions sample_shape.

stddev

View source

Standard deviation.

Standard deviation is defined as,

stddev = E[(X - E[X])**2]**0.5

where X is the random variable associated with this distribution, E denotes expectation, and stddev.shape = batch_shape + event_shape.

Args
name Python str prepended to names of ops created by this function.
Returns
stddev Floating-point Tensor with shape identical to batch_shape + event_shape, i.e., the same shape as self.mean().

survival_function

View source

Survival function.

Given random variable X, the survival function is defined:

survival_function(x) = P[X > x]
                     = 1 - P[X <= x]
                     = 1 - cdf(x).
Args
value float or double Tensor.
name Python str prepended to names of ops created by this function.
Returns
Tensor of shape sample_shape(x) + self.batch_shape with values of type self.dtype.

variance

View source

Variance.

Variance is defined as,

Var = E[(X - E[X])**2]

where X is the random variable associated with this distribution, E denotes expectation, and Var.shape = batch_shape + event_shape.

Args
name Python str prepended to names of ops created by this function.
Returns
variance Floating-point Tensor with shape identical to batch_shape + event_shape, i.e., the same shape as self.mean().

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Licensed under the Creative Commons Attribution License 3.0.
Code samples licensed under the Apache 2.0 License.
https://www.tensorflow.org/versions/r1.15/api_docs/python/tf/contrib/distributions/Mixture