Update distribution shape inference to handle independent dims

funsor/distribution.py

@@ -16,13 +16,13 @@
 import funsor.ops as ops
 from funsor.affine import is_affine
 from funsor.cnf import Contraction, GaussianMixture
-from funsor.domains import Array, Real, Reals
+from funsor.domains import Array, BintType, Real, Reals, RealsType
 from funsor.gaussian import Gaussian
 from funsor.interpreter import gensym
 from funsor.tensor import (Tensor, align_tensors, dummy_numeric_array, get_default_prototype,
                            ignore_jit_warnings, numeric_array, stack)
 from funsor.terms import Funsor, FunsorMeta, Independent, Number, Variable, \
-    eager, to_data, to_funsor
+    eager, reflect, to_data, to_funsor
 from funsor.util import broadcast_shape, get_backend, getargspec, lazy_property
 
 
@@ -57,12 +57,34 @@ class DistributionMeta(FunsorMeta):
     """
     def __call__(cls, *args, **kwargs):
         kwargs.update(zip(cls._ast_fields, args))
-        value = kwargs.pop('value', 'value')
-        kwargs = OrderedDict(
-            (k, to_funsor(kwargs[k], output=cls._infer_param_domain(k, getattr(kwargs[k], "shape", ()))))
-            for k in cls._ast_fields if k != 'value')
-        value = to_funsor(value, output=cls._infer_value_domain(**{k: v.output for k, v in kwargs.items()}))
-        args = numbers_to_tensors(*(tuple(kwargs.values()) + (value,)))
+        kwargs["value"] = kwargs.get("value", "value")
+        kwargs = OrderedDict((k, kwargs[k]) for k in cls._ast_fields)  # make sure args are sorted
+
+        domains = OrderedDict()
+        for k, v in kwargs.items():
+            if k == "value":
+                continue
+
+            # compute unbroadcasted param domains
+            domain = cls._infer_param_domain(k, getattr(kwargs[k], "shape", ()))
+            # use to_funsor to infer output dimensions of e.g. tensors
+            domains[k] = domain if domain is not None else to_funsor(v).output
+
+            # broadcast individual param domains with Funsor inputs
+            # this avoids .expand-ing underlying parameter tensors
+            if isinstance(v, Funsor) and isinstance(v.output, RealsType):
+                domains[k] = Reals[broadcast_shape(v.shape, domains[k].shape)]
+
+        # now use the broadcasted parameter shapes to infer the event_shape
+        domains["value"] = cls._infer_value_domain(**domains)
+        if isinstance(kwargs["value"], Funsor) and isinstance(kwargs["value"].output, RealsType):
+            # try to broadcast the event shape with the value, in case they disagree
+            domains["value"] = Reals[broadcast_shape(domains["value"].shape, kwargs["value"].output.shape)]
+
+        # finally, perform conversions to funsors
+        kwargs = OrderedDict((k, to_funsor(v, output=domains[k])) for k, v in kwargs.items())
+        args = numbers_to_tensors(*kwargs.values())
+
         return super(DistributionMeta, cls).__call__(*args)
 
 
@@ -98,14 +120,6 @@ def eager_reduce(self, op, reduced_vars):
             return Number(0.)  # distributions are normalized
         return super(Distribution, self).eager_reduce(op, reduced_vars)
 
-    @classmethod
-    def eager_log_prob(cls, *params):
-        inputs, tensors = align_tensors(*params)
-        params = dict(zip(cls._ast_fields, tensors))
-        value = params.pop('value')
-        data = cls.dist_class(**params).log_prob(value)
-        return Tensor(data, inputs)
-
     def _get_raw_dist(self):
         """
         Internal method for working with underlying distribution attributes
@@ -129,6 +143,23 @@ def has_rsample(self):
     def has_enumerate_support(self):
         return getattr(self.dist_class, "has_enumerate_support", False)
 
+    @classmethod
+    def eager_log_prob(cls, *params):
+        params, value = params[:-1], params[-1]
+        params = params + (Variable("value", value.output),)
+        instance = reflect(cls, *params)
+        raw_dist, value_name, value_output, dim_to_name = instance._get_raw_dist()
+        assert value.output == value_output
+        name_to_dim = {v: k for k, v in dim_to_name.items()}
+        dim_to_name.update({-1 - d - len(raw_dist.batch_shape): name
+                            for d, name in enumerate(value.inputs) if name not in name_to_dim})
+        name_to_dim.update({v: k for k, v in dim_to_name.items() if v not in name_to_dim})
+        raw_log_prob = raw_dist.log_prob(to_data(value, name_to_dim=name_to_dim))
+        log_prob = to_funsor(raw_log_prob, Real, dim_to_name=dim_to_name)
+        inputs = value.inputs.copy()
+        inputs.update(instance.inputs)
+        return log_prob.align(tuple(k for k, v in inputs.items() if k in log_prob.inputs and isinstance(v, BintType)))
+
     def unscaled_sample(self, sampled_vars, sample_inputs, rng_key=None):
 
         # note this should handle transforms correctly via distribution_to_data
@@ -142,7 +173,8 @@ def unscaled_sample(self, sampled_vars, sample_inputs, rng_key=None):
         sample_shape = tuple(v.size for v in sample_inputs.values())
         sample_args = (sample_shape,) if get_backend() == "torch" else (rng_key, sample_shape)
         if self.has_rsample:
-            raw_value = raw_dist.rsample(*sample_args)
+            # TODO fix this hack by adding rsample and has_rsample to Independent upstream in NumPyro
+            raw_value = getattr(raw_dist, "rsample", raw_dist.sample)(*sample_args)
         else:
             raw_value = ops.detach(raw_dist.sample(*sample_args))
 
@@ -191,7 +223,13 @@ def _infer_value_domain(cls, **kwargs):
         # rely on the underlying distribution's logic to infer the event_shape given param domains
         instance = cls.dist_class(**{k: dummy_numeric_array(domain) for k, domain in kwargs.items()},
                                   validate_args=False)
-        out_shape = instance.event_shape
+
+        # Note inclusion of batch_shape here to handle independent event dimensions.
+        # The arguments to _infer_value_domain are the .output shapes of parameters,
+        # so any extra batch dimensions that aren't part of the instance event_shape
+        # must be broadcasted output dimensions by construction.
+        out_shape = instance.batch_shape + instance.event_shape
+
         if type(instance.support).__name__ == "_IntegerInterval":
             out_dtype = int(instance.support.upper_bound + 1)
         else:
@@ -400,10 +438,32 @@ def __call__(self, cls, args, kwargs):
 
 @to_data.register(Distribution)
 def distribution_to_data(funsor_dist, name_to_dim=None):
-    params = [to_data(getattr(funsor_dist, param_name), name_to_dim=name_to_dim)
-              for param_name in funsor_dist._ast_fields if param_name != 'value']
-    pyro_dist = funsor_dist.dist_class(**dict(zip(funsor_dist._ast_fields[:-1], params)))
     funsor_event_shape = funsor_dist.value.output.shape
+
+    # attempt to generically infer the independent output dimensions
+    instance = funsor_dist.dist_class(**{
+        k: dummy_numeric_array(domain)
+        for k, domain in zip(funsor_dist._ast_fields, (v.output for v in funsor_dist._ast_values))
+        if k != "value"
+    }, validate_args=False)
+    event_shape = broadcast_shape(instance.event_shape, funsor_dist.value.output.shape)
+    # XXX is this final broadcast_shape necessary? should just be event_shape[...]?
+    indep_shape = broadcast_shape(instance.batch_shape, event_shape[:len(event_shape) - len(instance.event_shape)])
+
+    params = []
+    for param_name, funsor_param in zip(funsor_dist._ast_fields, funsor_dist._ast_values[:-1]):
+        param = to_data(funsor_param, name_to_dim=name_to_dim)
+
+        # infer the independent dimensions of each parameter separately, since we chose to keep them unbroadcasted
+        param_event_shape = getattr(funsor_dist._infer_param_domain(param_name, funsor_param.output.shape), "shape", ())
+        param_indep_shape = funsor_param.output.shape[:len(funsor_param.output.shape) - len(param_event_shape)]
+        for i in range(max(0, len(indep_shape) - len(param_indep_shape))):
+            # add singleton event dimensions, leave broadcasting/expanding to backend
+            param = ops.unsqueeze(param, -1 - len(funsor_param.output.shape))
+
+        params.append(param)
+
+    pyro_dist = funsor_dist.dist_class(**dict(zip(funsor_dist._ast_fields[:-1], params)))
     pyro_dist = pyro_dist.to_event(max(len(funsor_event_shape) - len(pyro_dist.event_shape), 0))
 
     # TODO get this working for all backends

funsor/torch/distributions.py

@@ -137,7 +137,7 @@ def _infer_value_domain(**kwargs):
 @functools.lru_cache(maxsize=5000)
 def _infer_value_domain(cls, **kwargs):
     instance = cls.dist_class(**{k: dummy_numeric_array(domain) for k, domain in kwargs.items()}, validate_args=False)
-    return Reals[instance.event_shape]
+    return Reals[instance.batch_shape + instance.event_shape]
 
 
 # TODO fix Delta.arg_constraints["v"] to be a

test/test_distribution.py

@@ -1123,3 +1123,61 @@ def test_gamma_poisson_conjugate(batch_shape):
 
     obs = Tensor(ops.astype(ops.astype(ops.exp(randn(batch_shape)), 'int32'), 'float32'), inputs)
     _assert_conjugate_density_ok(latent, conditional, obs)
+
+
+@pytest.mark.parametrize('batch_shape', [(), (5,), (2, 3)], ids=str)
+@pytest.mark.parametrize('event_shape', [(4,), (4, 7), (1, 4), (4, 1), (4, 1, 7)], ids=str)
+def test_normal_event_dim_conversion(batch_shape, event_shape):
+
+    batch_dims = ('i', 'j', 'k')[:len(batch_shape)]
+    inputs = OrderedDict((k, Bint[v]) for k, v in zip(batch_dims, batch_shape))
+
+    value = Variable("value", Reals[event_shape])
+    loc = Tensor(randn(batch_shape + event_shape), inputs)
+    scale = Tensor(ops.exp(randn(batch_shape)), inputs)
+
+    with interpretation(lazy):
+        actual = dist.Normal(loc=loc, scale=scale, value=value)
+
+    expected_inputs = inputs.copy()
+    expected_inputs.update({"value": Reals[event_shape]})
+    check_funsor(actual, expected_inputs, Real)
+
+    name_to_dim = {batch_dim: -1-i for i, batch_dim in enumerate(batch_dims)}
+    rng_key = None if get_backend() == "torch" else np.array([0, 0], dtype=np.uint32)
+    data = actual.sample(frozenset(["value"]), rng_key=rng_key).terms[0][1][0]
+
+    actual_log_prob = funsor.to_data(actual(value=data), name_to_dim=name_to_dim)
+    expected_log_prob = funsor.to_data(actual, name_to_dim=name_to_dim).log_prob(
+        funsor.to_data(data, name_to_dim=name_to_dim))
+    assert actual_log_prob.shape == expected_log_prob.shape
+    assert_close(actual_log_prob, expected_log_prob)
+
+
+@pytest.mark.parametrize('batch_shape', [(), (5,), (2, 3)], ids=str)
+@pytest.mark.parametrize('event_shape', [(4,), (4, 7), (1, 4), (4, 1), (4, 1, 7)], ids=str)
+def test_mvnormal_event_dim_conversion(batch_shape, event_shape):
+
+    batch_dims = ('i', 'j', 'k')[:len(batch_shape)]
+    inputs = OrderedDict((k, Bint[v]) for k, v in zip(batch_dims, batch_shape))
+
+    value = Variable("value", Reals[event_shape])
+    loc = Tensor(randn(batch_shape + event_shape), inputs)
+    scale_tril = Tensor(random_scale_tril(batch_shape + event_shape + event_shape[-1:]), inputs)
+
+    with interpretation(lazy):
+        actual = dist.MultivariateNormal(loc=loc, scale_tril=scale_tril, value=value)
+
+    expected_inputs = inputs.copy()
+    expected_inputs.update({"value": Reals[event_shape]})
+    check_funsor(actual, expected_inputs, Real)
+
+    name_to_dim = {batch_dim: -1-i for i, batch_dim in enumerate(batch_dims)}
+    rng_key = None if get_backend() == "torch" else np.array([0, 0], dtype=np.uint32)
+    data = actual.sample(frozenset(["value"]), rng_key=rng_key).terms[0][1][0]
+
+    actual_log_prob = funsor.to_data(actual(value=data), name_to_dim=name_to_dim)
+    expected_log_prob = funsor.to_data(actual, name_to_dim=name_to_dim).log_prob(
+        funsor.to_data(data, name_to_dim=name_to_dim))
+    assert actual_log_prob.shape == expected_log_prob.shape
+    assert_close(actual_log_prob, expected_log_prob)

test/test_distribution_generic.py

@@ -496,7 +496,8 @@ def test_generic_log_prob(case, use_lazy):
         raw_value = raw_dist.sample()
     expected_logprob = to_funsor(raw_dist.log_prob(raw_value), output=funsor.Real, dim_to_name=dim_to_name)
     funsor_value = to_funsor(raw_value, output=expected_value_domain, dim_to_name=dim_to_name)
-    assert_close(funsor_dist(value=funsor_value), expected_logprob, rtol=1e-4 if use_lazy else 1e-3)
+    actual_logprob = funsor_dist(value=funsor_value)
+    assert_close(actual_logprob, expected_logprob, rtol=1e-4 if use_lazy else 1e-3)
 
 
 @pytest.mark.parametrize("case", TEST_CASES, ids=str)