import math
import torch
from torch.distributions import constraints
from torch.distributions.utils import broadcast_all
from pyro.distributions import TorchDistribution
def _eval_poly(y, coef):
coef = list(coef)
result = coef.pop()
while coef:
result = coef.pop() + y * result
return result
_I0_COEF_SMALL = [1.0, 3.5156229, 3.0899424, 1.2067492, 0.2659732, 0.360768e-1, 0.45813e-2]
_I0_COEF_LARGE = [0.39894228, 0.1328592e-1, 0.225319e-2, -0.157565e-2, 0.916281e-2,
-0.2057706e-1, 0.2635537e-1, -0.1647633e-1, 0.392377e-2]
_I1_COEF_SMALL = [0.5, 0.87890594, 0.51498869, 0.15084934, 0.2658733e-1, 0.301532e-2, 0.32411e-3]
_I1_COEF_LARGE = [0.39894228, -0.3988024e-1, -0.362018e-2, 0.163801e-2, -0.1031555e-1,
0.2282967e-1, -0.2895312e-1, 0.1787654e-1, -0.420059e-2]
_COEF_SMALL = [_I0_COEF_SMALL, _I1_COEF_SMALL]
_COEF_LARGE = [_I0_COEF_LARGE, _I1_COEF_LARGE]
def _log_modified_bessel_fn(x, order=0):
"""
Returns ``log(I_order(x))`` for ``x > 0``,
where `order` is either 0 or 1.
"""
assert order == 0 or order == 1
# compute small solution
y = (x / 3.75).pow(2)
small = _eval_poly(y, _COEF_SMALL[order])
if order == 1:
small = x.abs() * small
small = small.log()
# compute large solution
y = 3.75 / x
large = x - 0.5 * x.log() + _eval_poly(y, _COEF_LARGE[order]).log()
mask = (x < 3.75)
result = large
if mask.any():
result[mask] = small[mask]
return result
[docs]class VonMises(TorchDistribution):
"""
A circular von Mises distribution.
This implementation uses polar coordinates. The ``loc`` and ``value`` args
can be any real number (to facilitate unconstrained optimization), but are
interpreted as angles modulo 2 pi.
See :class:`~pyro.distributions.VonMises3D` for a 3D cartesian coordinate
cousin of this distribution.
:param torch.Tensor loc: an angle in radians.
:param torch.Tensor concentration: concentration parameter
"""
arg_constraints = {'loc': constraints.real, 'concentration': constraints.positive}
support = constraints.real
has_rsample = False
def __init__(self, loc, concentration, validate_args=None):
self.loc, self.concentration = broadcast_all(loc, concentration)
batch_shape = self.loc.shape
event_shape = torch.Size()
# Moments
self._variance = 1 - (_log_modified_bessel_fn(self.concentration, order=1) -
_log_modified_bessel_fn(self.concentration, order=0)).exp()
# Parameters for sampling
tau = 1 + (1 + 4 * self.concentration ** 2).sqrt()
rho = (tau - (2 * tau).sqrt()) / (2 * self.concentration)
self._proposal_r = (1 + rho ** 2) / (2 * rho)
super(VonMises, self).__init__(batch_shape, event_shape, validate_args)
[docs] def log_prob(self, value):
log_prob = self.concentration * torch.cos(value - self.loc)
log_prob = log_prob - math.log(2 * math.pi) - _log_modified_bessel_fn(self.concentration, order=0)
return log_prob
[docs] @torch.no_grad()
def sample(self, sample_shape=torch.Size()):
"""
The sampling algorithm for the von Mises distribution is based on the following paper:
Best, D. J., and Nicholas I. Fisher.
"Efficient simulation of the von Mises distribution." Applied Statistics (1979): 152-157.
"""
shape = self._extended_shape(sample_shape)
x = torch.empty(shape, dtype=self.loc.dtype, device=self.loc.device)
done = torch.zeros(shape, dtype=self.loc.dtype, device=self.loc.device).bool()
while not done.all():
u = torch.rand((3,) + shape, dtype=self.loc.dtype, device=self.loc.device)
u1, u2, u3 = u.unbind()
z = torch.cos(math.pi * u1)
f = (1 + self._proposal_r * z) / (self._proposal_r + z)
c = self.concentration * (self._proposal_r - f)
accept = ((c * (2 - c) - u2) > 0) | ((c / u2).log() + 1 - c >= 0)
if accept.any():
x[accept] = torch.sign(u3[accept] - 0.5) * torch.acos(f[accept])
done |= accept
return (x + math.pi + self.loc) % (2 * math.pi) - math.pi
[docs] def expand(self, batch_shape):
try:
return super(VonMises, self).expand(batch_shape)
except NotImplementedError:
validate_args = self.__dict__.get('_validate_args')
loc = self.loc.expand(batch_shape)
concentration = self.concentration.expand(batch_shape)
return type(self)(loc, concentration, validate_args=validate_args)
@property
def mean(self):
"""
The provided mean is the circular one.
"""
return self.loc
@property
def variance(self):
"""
The provided variance is the circular one.
"""
return self._variance