pytorch/torch/distributions/__init__.py

r"""
The ``distributions`` package contains parameterizable probability distributions
and sampling functions. This allows the construction of stochastic computation
graphs and stochastic gradient estimators for optimization. This package
generally follows the design of the `TensorFlow Distributions`_ package.

.. _`TensorFlow Distributions`:
    https://arxiv.org/abs/1711.10604

It is not possible to directly backpropagate through random samples. However,
there are two main methods for creating surrogate functions that can be
backpropagated through. These are the score function estimator/likelihood ratio
estimator/REINFORCE and the pathwise derivative estimator. REINFORCE is commonly
seen as the basis for policy gradient methods in reinforcement learning, and the
pathwise derivative estimator is commonly seen in the reparameterization trick
in variational autoencoders. Whilst the score function only requires the value
of samples :math:`f(x)`, the pathwise derivative requires the derivative
:math:`f'(x)`. The next sections discuss these two in a reinforcement learning
example. For more details see
`Gradient Estimation Using Stochastic Computation Graphs`_ .

.. _`Gradient Estimation Using Stochastic Computation Graphs`:
     https://arxiv.org/abs/1506.05254

Score function
^^^^^^^^^^^^^^

When the probability density function is differentiable with respect to its
parameters, we only need :meth:`~torch.distributions.Distribution.sample` and
:meth:`~torch.distributions.Distribution.log_prob` to implement REINFORCE:

.. math::

    \Delta\theta  = \alpha r \frac{\partial\log p(a|\pi^\theta(s))}{\partial\theta}

where :math:`\theta` are the parameters, :math:`\alpha` is the learning rate,
:math:`r` is the reward and :math:`p(a|\pi^\theta(s))` is the probability of
taking action :math:`a` in state :math:`s` given policy :math:`\pi^\theta`.

In practice we would sample an action from the output of a network, apply this
action in an environment, and then use ``log_prob`` to construct an equivalent
loss function. Note that we use a negative because optimizers use gradient
descent, whilst the rule above assumes gradient ascent. With a categorical
policy, the code for implementing REINFORCE would be as follows::

    probs = policy_network(state)
    # Note that this is equivalent to what used to be called multinomial
    m = Categorical(probs)
    action = m.sample()
    next_state, reward = env.step(action)
    loss = -m.log_prob(action) * reward
    loss.backward()

Pathwise derivative
^^^^^^^^^^^^^^^^^^^

The other way to implement these stochastic/policy gradients would be to use the
reparameterization trick from the
:meth:`~torch.distributions.Distribution.rsample` method, where the
parameterized random variable can be constructed via a parameterized
deterministic function of a parameter-free random variable. The reparameterized
sample therefore becomes differentiable. The code for implementing the pathwise
derivative would be as follows::

    params = policy_network(state)
    m = Normal(*params)
    # Any distribution with .has_rsample == True could work based on the application
    action = m.rsample()
    next_state, reward = env.step(action)  # Assuming that reward is differentiable
    loss = -reward
    loss.backward()
"""

from .bernoulli import Bernoulli
from .beta import Beta
from .binomial import Binomial
from .categorical import Categorical
from .cauchy import Cauchy
from .chi2 import Chi2
from .constraint_registry import biject_to, transform_to
from .continuous_bernoulli import ContinuousBernoulli
from .dirichlet import Dirichlet
from .distribution import Distribution
from .exp_family import ExponentialFamily
from .exponential import Exponential
from .fishersnedecor import FisherSnedecor
from .gamma import Gamma
from .geometric import Geometric
from .gumbel import Gumbel
from .half_cauchy import HalfCauchy
from .half_normal import HalfNormal
from .independent import Independent
from .kl import kl_divergence, register_kl
from .laplace import Laplace
from .log_normal import LogNormal
from .logistic_normal import LogisticNormal
from .lowrank_multivariate_normal import LowRankMultivariateNormal
from .mixture_same_family import MixtureSameFamily
from .multinomial import Multinomial
from .multivariate_normal import MultivariateNormal
from .negative_binomial import NegativeBinomial
from .normal import Normal
from .one_hot_categorical import OneHotCategorical
from .pareto import Pareto
from .poisson import Poisson
from .relaxed_bernoulli import RelaxedBernoulli
from .relaxed_categorical import RelaxedOneHotCategorical
from .studentT import StudentT
from .transformed_distribution import TransformedDistribution
from .transforms import *
from .uniform import Uniform
from .von_mises import VonMises
from .weibull import Weibull
from . import transforms

__all__ = [
    'Bernoulli',
    'Beta',
    'Binomial',
    'Categorical',
    'Cauchy',
    'Chi2',
    'ContinuousBernoulli',
    'Dirichlet',
    'Distribution',
    'Exponential',
    'ExponentialFamily',
    'FisherSnedecor',
    'Gamma',
    'Geometric',
    'Gumbel',
    'HalfCauchy',
    'HalfNormal',
    'Independent',
    'Laplace',
    'LogNormal',
    'LogisticNormal',
    'LowRankMultivariateNormal',
    'MixtureSameFamily',
    'Multinomial',
    'MultivariateNormal',
    'NegativeBinomial',
    'Normal',
    'OneHotCategorical',
    'Pareto',
    'RelaxedBernoulli',
    'RelaxedOneHotCategorical',
    'StudentT',
    'Poisson',
    'Uniform',
    'VonMises',
    'Weibull',
    'TransformedDistribution',
    'biject_to',
    'kl_divergence',
    'register_kl',
    'transform_to',
]
__all__.extend(transforms.__all__)