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Add Wishart distribution. #1779

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Merged
fehiepsi merged 11 commits into from
May 13, 2024
Merged

Add Wishart distribution. #1779

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9baef2c
Add Wishart distribution.
tillahoffmann Apr 11, 2024
6cac84a
Reduce dimensionality for bijection tests of positive definite matrices.
tillahoffmann Apr 12, 2024
497f056
Add `WishartCholesky` distribution and use it as base for `Wishart`.
tillahoffmann Apr 13, 2024
9a1841a
Promote instead of broadcast Wishart parameters.
tillahoffmann Apr 13, 2024
231f3a2
Assert exactly one of parameters is specified and update shape infere…
tillahoffmann Apr 13, 2024
43d8e03
Implement `infer_shapes` for `Wishart` and `WishartCholesky`.
tillahoffmann Apr 13, 2024
538c191
Add entropy for Wishart distribution.
tillahoffmann May 2, 2024
9ad4ea9
Add sampled entropy test for distribution without `scipy` equivalent.
tillahoffmann May 2, 2024
9737b27
Simplify `logabsdet` evaluation of `scale_tril`.
tillahoffmann May 10, 2024
4a471d1
Remove default `None` argument for concentration of Wishart distribut…
tillahoffmann May 10, 2024
34aa3e6
Add `tri_logabsdet` utility function.
tillahoffmann May 13, 2024
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16 changes: 16 additions & 0 deletions docs/source/distributions.rst
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Original file line number Diff line number Diff line change
Expand Up @@ -380,6 +380,22 @@ Weibull
:show-inheritance:
:member-order: bysource

Wishart
^^^^^^^
.. autoclass:: numpyro.distributions.continuous.Wishart
:members:
:undoc-members:
:show-inheritance:
:member-order: bysource

WishartCholesky
^^^^^^^^^^^^^^^
.. autoclass:: numpyro.distributions.continuous.WishartCholesky
:members:
:undoc-members:
:show-inheritance:
:member-order: bysource

ZeroSumNormal
^^^^^^^^^^^^^
.. autoclass:: numpyro.distributions.continuous.ZeroSumNormal
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4 changes: 4 additions & 0 deletions numpyro/distributions/__init__.py
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Expand Up @@ -47,6 +47,8 @@
StudentT,
Uniform,
Weibull,
Wishart,
WishartCholesky,
ZeroSumNormal,
)
from numpyro.distributions.copula import GaussianCopula, GaussianCopulaBeta
Expand Down Expand Up @@ -194,6 +196,8 @@
"Unit",
"VonMises",
"Weibull",
"Wishart",
"WishartCholesky",
"ZeroInflatedDistribution",
"ZeroInflatedPoisson",
"ZeroInflatedNegativeBinomial2",
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