Source code for

# Copyright (c) 2017-2019 Uber Technologies, Inc.
# SPDX-License-Identifier: Apache-2.0

import torch
from torch.distributions import constraints

from import Kernel
from pyro.nn.module import PyroParam

[docs]class Brownian(Kernel): r""" This kernel correponds to a two-sided Brownion motion (Wiener process): :math:`k(x,z)=\begin{cases}\sigma^2\min(|x|,|z|),& \text{if } x\cdot z\ge 0\\ 0, & \text{otherwise}. \end{cases}` Note that the input dimension of this kernel must be 1. Reference: [1] `Theory and Statistical Applications of Stochastic Processes`, Yuliya Mishura, Georgiy Shevchenko """ def __init__(self, input_dim, variance=None, active_dims=None): if input_dim != 1: raise ValueError("Input dimensional for Brownian kernel must be 1.") super().__init__(input_dim, active_dims) variance = torch.tensor(1.0) if variance is None else variance self.variance = PyroParam(variance, constraints.positive)
[docs] def forward(self, X, Z=None, diag=False): if Z is None: Z = X X = self._slice_input(X) if diag: return self.variance * X.abs().squeeze(1) Z = self._slice_input(Z) if X.size(1) != Z.size(1): raise ValueError("Inputs must have the same number of features.") Zt = Z.t() return torch.where( X.sign() == Zt.sign(), self.variance * torch.min(X.abs(), Zt.abs()),, Z.size(0)), )