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Truncated gamma #1187

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Truncated gamma #1187

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c4ae82b
implemented left, right, and doubly truncated gamma distributions
quattro Apr 28, 2021
f0c80b7
implemented left, right, and doubly truncated gamma distributions
quattro Apr 28, 2021
13ad41d
change to jax substrate on tfp for incomplete gamma calls. updated tests
quattro May 12, 2021
2dee4e0
Merge remote-tracking branch 'upstream/master' into truncated_gamma
quattro Oct 12, 2021
265ca67
flake8 update
quattro Oct 12, 2021
4778b7c
flake8 update
quattro Oct 12, 2021
83b411f
flake8 update
quattro Oct 12, 2021
b69bc97
isort update
quattro Oct 12, 2021
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8 changes: 8 additions & 0 deletions numpyro/distributions/__init__.py
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Original file line number Diff line number Diff line change
Expand Up @@ -81,12 +81,16 @@
from numpyro.distributions.transforms import biject_to
from numpyro.distributions.truncated import (
LeftTruncatedDistribution,
LeftTruncatedGamma,
RightTruncatedDistribution,
RightTruncatedGamma,
TruncatedCauchy,
TruncatedDistribution,
TruncatedGamma,
TruncatedNormal,
TruncatedPolyaGamma,
TwoSidedTruncatedDistribution,
TwoSidedTruncatedGamma,
)

from . import constraints, transforms
Expand Down Expand Up @@ -141,6 +145,7 @@
"MultinomialLogits",
"MultinomialProbs",
"MultivariateNormal",
"LeftTruncatedGamma",
"LowRankMultivariateNormal",
"Normal",
"NegativeBinomialProbs",
Expand All @@ -152,16 +157,19 @@
"ProjectedNormal",
"PRNGIdentity",
"RightTruncatedDistribution",
"RightTruncatedGamma",
"SineBivariateVonMises",
"SineSkewed",
"SoftLaplace",
"StudentT",
"TransformedDistribution",
"TruncatedCauchy",
"TruncatedDistribution",
"TruncatedGamma",
"TruncatedNormal",
"TruncatedPolyaGamma",
"TwoSidedTruncatedDistribution",
"TwoSidedTruncatedGamma",
"Uniform",
"Unit",
"VonMises",
Expand Down
20 changes: 19 additions & 1 deletion numpyro/distributions/continuous.py
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Expand Up @@ -31,7 +31,16 @@
import jax.numpy as jnp
import jax.random as random
from jax.scipy.linalg import cho_solve, solve_triangular
from jax.scipy.special import betainc, expit, gammaln, logit, multigammaln, ndtr, ndtri
from jax.scipy.special import (
betainc,
expit,
gammainc,
gammaln,
logit,
multigammaln,
ndtr,
ndtri,
)

from numpyro.distributions import constraints
from numpyro.distributions.distribution import Distribution, TransformedDistribution
Expand Down Expand Up @@ -282,6 +291,15 @@ def mean(self):
def variance(self):
return self.concentration / jnp.power(self.rate, 2)

def cdf(self, value):
return gammainc(self.concentration, value * self.rate)

def icdf(self, q):
# https://github.com/pyro-ppl/numpyro/issues/969
from numpyro.distributions.util import gammaincinv
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I think you can move this import to the top.


return gammaincinv(self.concentration, q) / self.rate


class Chi2(Gamma):
arg_constraints = {"df": constraints.positive}
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