from utils import GetterReturnType import torch import torch.distributions as dist from torch import Tensor def get_simple_regression(device: torch.device) -> GetterReturnType: N = 10 K = 10 loc_beta = 0.0 scale_beta = 1.0 beta_prior = dist.Normal(loc_beta, scale_beta) X = torch.rand(N, K + 1, device=device) Y = torch.rand(N, 1, device=device) # X.shape: (N, K + 1), Y.shape: (N, 1), beta_value.shape: (K + 1, 1) beta_value = beta_prior.sample((K + 1, 1)) beta_value.requires_grad_(True) def forward(beta_value: Tensor) -> Tensor: mu = X.mm(beta_value) # We need to compute the first and second gradient of this score with respect # to beta_value. We disable Bernoulli validation because Y is a relaxed value. score = ( dist.Bernoulli(logits=mu, validate_args=False).log_prob(Y).sum() + beta_prior.log_prob(beta_value).sum() ) return score return forward, (beta_value.to(device),) def get_robust_regression(device: torch.device) -> GetterReturnType: N = 10 K = 10 # X.shape: (N, K + 1), Y.shape: (N, 1) X = torch.rand(N, K + 1, device=device) Y = torch.rand(N, 1, device=device) # Predefined nu_alpha and nu_beta, nu_alpha.shape: (1, 1), nu_beta.shape: (1, 1) nu_alpha = torch.rand(1, 1, device=device) nu_beta = torch.rand(1, 1, device=device) nu = dist.Gamma(nu_alpha, nu_beta) # Predefined sigma_rate: sigma_rate.shape: (N, 1) sigma_rate = torch.rand(N, 1, device=device) sigma = dist.Exponential(sigma_rate) # Predefined beta_mean and beta_sigma: beta_mean.shape: (K + 1, 1), beta_sigma.shape: (K + 1, 1) beta_mean = torch.rand(K + 1, 1, device=device) beta_sigma = torch.rand(K + 1, 1, device=device) beta = dist.Normal(beta_mean, beta_sigma) nu_value = nu.sample() nu_value.requires_grad_(True) sigma_value = sigma.sample() sigma_unconstrained_value = sigma_value.log() sigma_unconstrained_value.requires_grad_(True) beta_value = beta.sample() beta_value.requires_grad_(True) def forward( nu_value: Tensor, sigma_unconstrained_value: Tensor, beta_value: Tensor ) -> Tensor: sigma_constrained_value = sigma_unconstrained_value.exp() mu = X.mm(beta_value) # For this model, we need to compute the following three scores: # We need to compute the first and second gradient of this score with respect # to nu_value. nu_score = dist.StudentT(nu_value, mu, sigma_constrained_value).log_prob( Y ).sum() + nu.log_prob(nu_value) # We need to compute the first and second gradient of this score with respect # to sigma_unconstrained_value. sigma_score = ( dist.StudentT(nu_value, mu, sigma_constrained_value).log_prob(Y).sum() + sigma.log_prob(sigma_constrained_value) + sigma_unconstrained_value ) # We need to compute the first and second gradient of this score with respect # to beta_value. beta_score = dist.StudentT(nu_value, mu, sigma_constrained_value).log_prob( Y ).sum() + beta.log_prob(beta_value) return nu_score.sum() + sigma_score.sum() + beta_score.sum() return forward, ( nu_value.to(device), sigma_unconstrained_value.to(device), beta_value.to(device), )