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# tfp.bijectors.CorrelationCholesky

Maps unconstrained reals to Cholesky-space correlation matrices.

#### Mathematical Details

This bijector provides a change of variables from unconstrained reals to a parameterization of the CholeskyLKJ distribution. The CholeskyLKJ distribution [1] is a distribution on the set of Cholesky factors of positive definite correlation matrices. The CholeskyLKJ probability density function is obtained from the LKJ density on n x n matrices as follows:

1 = int p(A | eta) dA = int Z(eta) * det(A) ** (eta - 1) dA = int Z(eta) L_ii ** {(n - i - 1) + 2 * (eta - 1)} ^dL_ij (0 <= i < j < n)

where Z(eta) is the normalizer; the matrix L is the Cholesky factor of the correlation matrix A; and ^dL_ij denotes the wedge product (or differential) of the strictly lower triangular entries of L. The entries L_ij are constrained such that each entry lies in [-1, 1] and the norm of each row is

1. The norm includes the diagonal; which is not included in the wedge product. To preserve uniqueness, we further specify that the diagonal entries are positive.

The image of unconstrained reals under the `CorrelationCholesky` bijector is the set of correlation matrices which are positive definite. A correlation matrix can be characterized as a symmetric positive semidefinite matrix with 1s on the main diagonal.

For a lower triangular matrix `L` to be a valid Cholesky-factor of a positive definite correlation matrix, it is necessary and sufficient that each row of `L` have unit Euclidean norm [1]. To see this, observe that if `L_i` is the `i`th row of the Cholesky factor corresponding to the correlation matrix `R`, then the `i`th diagonal entry of `R` satisfies:

1 = R_i,i = L_i . L_i = ||L_i||^2

where '.' is the dot product of vectors and `||...||` denotes the Euclidean norm.

Furthermore, observe that `R_i,j` lies in the interval `[-1, 1]`. By the Cauchy-Schwarz inequality:

|R_i,j| = |L_i . L_j| <= ||L_i|| ||L_j|| = 1

This is a consequence of the fact that `R` is symmetric positive definite with 1s on the main diagonal.

We choose the mapping from x in `R^{m}` to `R^{n^2}` where `m` is the `(n - 1)`th triangular number; i.e. `m = 1 + 2 + ... + (n - 1)`.

L_ij = x_i,j / s_i (for i < j) L_ii = 1 / s_i

where s_i = sqrt(1 + x_i,0^2 + xi,1^2 + ... + x(i,i-1)^2). We can check that the required constraints on the image are satisfied.

#### Examples

``````bijector.CorrelationCholesky().forward([2., 2., 1.])
# Result: [[ 1.        ,  0.        ,  0.        ],
[ 0.70710678,  0.70710678,  0.        ],
[ 0.66666667,  0.66666667,  0.33333333]]

bijector.CorrelationCholesky().inverse(
[[ 1.        ,  0.        ,  0. ],
[ 0.70710678,  0.70710678,  0.        ],
[ 0.66666667,  0.66666667,  0.33333333]])
# Result: [2., 2., 1.]
``````

#### References

[1] Stan Manual. Section 24.2. Cholesky LKJ Correlation Distribution. https://mc-stan.org/docs/2_18/functions-reference/cholesky-lkj-correlation-distribution.html [2] Daniel Lewandowski, Dorota Kurowicka, and Harry Joe, "Generating random correlation matrices based on vines and extended onion method," Journal of Multivariate Analysis 100 (2009), pp 1989-2001.

`graph_parents` Python list of graph prerequisites of this `Bijector`.
`is_constant_jacobian` Python `bool` indicating that the Jacobian matrix is not a function of the input.
`validate_args` Python `bool`, default `False`. Whether to validate input with asserts. If `validate_args` is `False`, and the inputs are invalid, correct behavior is not guaranteed.
`dtype` `tf.dtype` supported by this `Bijector`. `None` means dtype is not enforced. For multipart bijectors, this value is expected to be the same for all elements of the input and output structures.
`forward_min_event_ndims` Python `integer` (structure) indicating the minimum number of dimensions on which `forward` operates.
`inverse_min_event_ndims` Python `integer` (structure) indicating the minimum number of dimensions on which `inverse` operates. Will be set to `forward_min_event_ndims` by default, if no value is provided.
`experimental_use_kahan_sum` Python `bool`. When `True`, use Kahan summation to aggregate log-det jacobians from independent underlying log-det jacobian values, which improves against the precision of a naive float32 sum. This can be noticeable in particular for large dimensions in float32. See CPU caveat on `tfp.math.reduce_kahan_sum`.
`parameters` Python `dict` of parameters used to instantiate this `Bijector`. Bijector instances with identical types, names, and `parameters` share an input/output cache. `parameters` dicts are keyed by strings and are identical if their keys are identical and if corresponding values have identical hashes (or object ids, for unhashable objects).
`name` The name to give Ops created by the initializer.

`ValueError` If neither `forward_min_event_ndims` and `inverse_min_event_ndims` are specified, or if either of them is negative.
`ValueError` If a member of `graph_parents` is not a `Tensor`.

`dtype`

`forward_min_event_ndims` Returns the minimal number of dimensions bijector.forward operates on.

Multipart bijectors return structured `ndims`, which indicates the expected structure of their inputs. Some multipart bijectors, notably Composites, may return structures of `None`.

`graph_parents` Returns this `Bijector`'s graph_parents as a Python list.
`has_static_min_event_ndims` Returns True if the bijector has statically-known `min_event_ndims`. (deprecated)

`inverse_min_event_ndims` Returns the minimal number of dimensions bijector.inverse operates on.

Multipart bijectors return structured `event_ndims`, which indicates the expected structure of their outputs. Some multipart bijectors, notably Composites, may return structures of `None`.

`is_constant_jacobian` Returns true iff the Jacobian matrix is not a function of x.

`name` Returns the string name of this `Bijector`.
`name_scope` Returns a `tf.name_scope` instance for this class.
`non_trainable_variables` Sequence of non-trainable variables owned by this module and its submodules.
`parameters` Dictionary of parameters used to instantiate this `Bijector`.
`submodules` Sequence of all sub-modules.

Submodules are modules which are properties of this module, or found as properties of modules which are properties of this module (and so on).

````a = tf.Module()`
`b = tf.Module()`
`c = tf.Module()`
`a.b = b`
`b.c = c`
`list(a.submodules) == [b, c]`
`True`
`list(b.submodules) == [c]`
`True`
`list(c.submodules) == []`
`True`
```

`trainable_variables` Sequence of trainable variables owned by this module and its submodules.

`validate_args` Returns True if Tensor arguments will be validated.
`variables` Sequence of variables owned by this module and its submodules.

## Methods

### `copy`

View source

Creates a copy of the bijector.

Args
`**override_parameters_kwargs` String/value dictionary of initialization arguments to override with new values.

Returns
`bijector` A new instance of `type(self)` initialized from the union of self.parameters and override_parameters_kwargs, i.e., `dict(self.parameters, **override_parameters_kwargs)`.

### `experimental_batch_shape`

View source

Returns the batch shape of this bijector for inputs of the given rank.

The batch shape of a bijector decribes the set of distinct transformations it represents on events of a given size. For example: the bijector `tfb.Scale([1., 2.])` has batch shape `[2]` for scalar events (`event_ndims = 0`), because applying it to a scalar event produces two scalar outputs, the result of two different scaling transformations. The same bijector has batch shape `[]` for vector events, because applying it to a vector produces (via elementwise multiplication) a single vector output.

Bijectors that operate independently on multiple state parts, such as `tfb.JointMap`, must broadcast to a coherent batch shape. Some events may not be valid: for example, the bijector `tfd.JointMap([tfb.Scale([1., 2.]), tfb.Scale([1., 2., 3.])])` does not produce a valid batch shape when `event_ndims = [0, 0]`, since the batch shapes of the two parts are inconsistent. The same bijector does define valid batch shapes of `[]`, `[2]`, and `[3]` if `event_ndims` is `[1, 1]`, `[0, 1]`, or `[1, 0]`, respectively.

Since transforming a single event produces a scalar log-det-Jacobian, the batch shape of a bijector with non-constant Jacobian is expected to equal the shape of `forward_log_det_jacobian(x, event_ndims=x_event_ndims)` or `inverse_log_det_jacobian(y, event_ndims=y_event_ndims)`, for `x` or `y` of the specified `ndims`.

Args
`x_event_ndims` Optional Python `int` (structure) number of dimensions in a probabilistic event passed to `forward`; this must be greater than or equal to `self.forward_min_event_ndims`. If `None`, defaults to `self.forward_min_event_ndims`. Mutually exclusive with `y_event_ndims`. Default value: `None`.
`y_event_ndims` Optional Python `int` (structure) number of dimensions in a probabilistic event passed to `inverse`; this must be greater than or equal to `self.inverse_min_event_ndims`. Mutually exclusive with `x_event_ndims`. Default value: `None`.

Returns
`batch_shape` `TensorShape` batch shape of this bijector for a value with the given event rank. May be unknown or partially defined.

### `experimental_batch_shape_tensor`

View source

Returns the batch shape of this bijector for inputs of the given rank.

The batch shape of a bijector decribes the set of distinct transformations it represents on events of a given size. For example: the bijector `tfb.Scale([1., 2.])` has batch shape `[2]` for scalar events (`event_ndims = 0`), because applying it to a scalar event produces two scalar outputs, the result of two different scaling transformations. The same bijector has batch shape `[]` for vector events, because applying it to a vector produces (via elementwise multiplication) a single vector output.

Bijectors that operate independently on multiple state parts, such as `tfb.JointMap`, must broadcast to a coherent batch shape. Some events may not be valid: for example, the bijector `tfd.JointMap([tfb.Scale([1., 2.]), tfb.Scale([1., 2., 3.])])` does not produce a valid batch shape when `event_ndims = [0, 0]`, since the batch shapes of the two parts are inconsistent. The same bijector does define valid batch shapes of `[]`, `[2]`, and `[3]` if `event_ndims` is `[1, 1]`, `[0, 1]`, or `[1, 0]`, respectively.

Since transforming a single event produces a scalar log-det-Jacobian, the batch shape of a bijector with non-constant Jacobian is expected to equal the shape of `forward_log_det_jacobian(x, event_ndims=x_event_ndims)` or `inverse_log_det_jacobian(y, event_ndims=y_event_ndims)`, for `x` or `y` of the specified `ndims`.

Args
`x_event_ndims` Optional Python `int` (structure) number of dimensions in a probabilistic event passed to `forward`; this must be greater than or equal to `self.forward_min_event_ndims`. If `None`, defaults to `self.forward_min_event_ndims`. Mutually exclusive with `y_event_ndims`. Default value: `None`.
`y_event_ndims` Optional Python `int` (structure) number of dimensions in a probabilistic event passed to `inverse`; this must be greater than or equal to `self.inverse_min_event_ndims`. Mutually exclusive with `x_event_ndims`. Default value: `None`.

Returns
`batch_shape_tensor` integer `Tensor` batch shape of this bijector for a value with the given event rank.

### `experimental_compute_density_correction`

View source

Density correction for this transformation wrt the tangent space, at x.

Subclasses of Bijector may call the most specific applicable method of `TangentSpace`, based on whether the transformation is dimension-preserving, coordinate-wise, a projection, or something more general. The backward-compatible assumption is that the transformation is dimension-preserving (goes from R^n to R^n).

Args
`x` `Tensor` (structure). The point at which to calculate the density.
`tangent_space` `TangentSpace` or one of its subclasses. The tangent to the support manifold at `x`.
`backward_compat` `bool` specifying whether to assume that the Bijector is dimension-preserving.

Returns
`density_correction` `Tensor` representing the density correction---in log space---under the transformation that this Bijector denotes.

Raises
TypeError if `backward_compat` is False but no method of `TangentSpace` has been called explicitly.

### `forward`

View source

Returns the forward `Bijector` evaluation, i.e., X = g(Y).

Args
`x` `Tensor` (structure). The input to the 'forward' evaluation.
`name` The name to give this op.
`**kwargs` Named arguments forwarded to subclass implementation.

Returns
`Tensor` (structure).

Raises
`TypeError` if `self.dtype` is specified and `x.dtype` is not `self.dtype`.
`NotImplementedError` if `_forward` is not implemented.

### `forward_dtype`

View source

Returns the dtype returned by `forward` for the provided input.

### `forward_event_ndims`

View source

Returns the number of event dimensions produced by `forward`.

Args
`event_ndims` Structure of Python and/or Tensor `int`s, and/or `None` values. The structure should match that of `self.forward_min_event_ndims`, and all non-`None` values must be greater than or equal to the corresponding value in `self.forward_min_event_ndims`.
`**kwargs` Optional keyword arguments forwarded to nested bijectors.

Returns
`forward_event_ndims` Structure of integers and/or `None` values matching `self.inverse_min_event_ndims`. These are computed using 'prefer static' semantics: if any inputs are `None`, some or all of the outputs may be `None`, indicating that the output dimension could not be inferred (conversely, if all inputs are non-`None`, all outputs will be non-`None`). If all input `event_ndims` are Python `int`s, all of the (non-`None`) outputs will be Python `int`s; otherwise, some or all of the outputs may be `Tensor` `int`s.

### `forward_event_shape`

View source

Shape of a single sample from a single batch as a `TensorShape`.

Same meaning as `forward_event_shape_tensor`. May be only partially defined.

Args
`input_shape` `TensorShape` (structure) indicating event-portion shape passed into `forward` function.

Returns
`forward_event_shape_tensor` `TensorShape` (structure) indicating event-portion shape after applying `forward`. Possibly unknown.

### `forward_event_shape_tensor`

View source

Shape of a single sample from a single batch as an `int32` 1D `Tensor`.

Args
`input_shape` `Tensor`, `int32` vector (structure) indicating event-portion shape passed into `forward` function.
`name` name to give to the op

Returns
`forward_event_shape_tensor` `Tensor`, `int32` vector (structure) indicating event-portion shape after applying `forward`.

### `forward_log_det_jacobian`

View source

Returns both the forward_log_det_jacobian.

Args
`x` `Tensor` (structure). The input to the 'forward' Jacobian determinant evaluation.
`event_ndims` Optional number of dimensions in the probabilistic events being transformed; this must be greater than or equal to `self.forward_min_event_ndims`. If `event_ndims` is specified, the log Jacobian determinant is summed to produce a scalar log-determinant for each event. Otherwise (if `event_ndims` is `None`), no reduction is performed. Multipart bijectors require structured event_ndims, such that the batch rank `rank(y[i]) - event_ndims[i]` is the same for all elements `i` of the structured input. In most cases (with the exception of `tfb.JointMap`) they further require that `event_ndims[i] - self.inverse_min_event_ndims[i]` is the same for all elements `i` of the structured input. Default value: `None` (equivalent to `self.forward_min_event_ndims`).
`name` The name to give this op.
`**kwargs` Named arguments forwarded to subclass implementation.

Returns
`Tensor` (structure), if this bijector is injective. If not injective this is not implemented.

Raises
`TypeError` if `y`'s dtype is incompatible with the expected output dtype.
`NotImplementedError` if neither `_forward_log_det_jacobian` nor {`_inverse`, `_inverse_log_det_jacobian`} are implemented, or this is a non-injective bijector.
`ValueError` if the value of `event_ndims` is not valid for this bijector.

### `inverse`

View source

Returns the inverse `Bijector` evaluation, i.e., X = g^{-1}(Y).

Args
`y` `Tensor` (structure). The input to the 'inverse' evaluation.
`name` The name to give this op.
`**kwargs` Named arguments forwarded to subclass implementation.

Returns
`Tensor` (structure), if this bijector is injective. If not injective, returns the k-tuple containing the unique `k` points `(x1, ..., xk)` such that `g(xi) = y`.

Raises
`TypeError` if `y`'s structured dtype is incompatible with the expected output dtype.
`NotImplementedError` if `_inverse` is not implemented.

### `inverse_dtype`

View source

Returns the dtype returned by `inverse` for the provided input.

### `inverse_event_ndims`

View source

Returns the number of event dimensions produced by `inverse`.

Args
`event_ndims` Structure of Python and/or Tensor `int`s, and/or `None` values. The structure should match that of `self.inverse_min_event_ndims`, and all non-`None` values must be greater than or equal to the corresponding value in `self.inverse_min_event_ndims`.
`**kwargs` Optional keyword arguments forwarded to nested bijectors.

Returns
`inverse_event_ndims` Structure of integers and/or `None` values matching `self.forward_min_event_ndims`. These are computed using 'prefer static' semantics: if any inputs are `None`, some or all of the outputs may be `None`, indicating that the output dimension could not be inferred (conversely, if all inputs are non-`None`, all outputs will be non-`None`). If all input `event_ndims` are Python `int`s, all of the (non-`None`) outputs will be Python `int`s; otherwise, some or all of the outputs may be `Tensor` `int`s.

### `inverse_event_shape`

View source

Shape of a single sample from a single batch as a `TensorShape`.

Same meaning as `inverse_event_shape_tensor`. May be only partially defined.

Args
`output_shape` `TensorShape` (structure) indicating event-portion shape passed into `inverse` function.

Returns
`inverse_event_shape_tensor` `TensorShape` (structure) indicating event-portion shape after applying `inverse`. Possibly unknown.

### `inverse_event_shape_tensor`

View source

Shape of a single sample from a single batch as an `int32` 1D `Tensor`.

Args
`output_shape` `Tensor`, `int32` vector (structure) indicating event-portion shape passed into `inverse` function.
`name` name to give to the op

Returns
`inverse_event_shape_tensor` `Tensor`, `int32` vector (structure) indicating event-portion shape after applying `inverse`.

### `inverse_log_det_jacobian`

View source

Returns the (log o det o Jacobian o inverse)(y).

Mathematically, returns: `log(det(dX/dY))(Y)`. (Recall that: `X=g^{-1}(Y)`.)

Note that `forward_log_det_jacobian` is the negative of this function, evaluated at `g^{-1}(y)`.

Args
`y` `Tensor` (structure). The input to the 'inverse' Jacobian determinant evaluation.
`event_ndims` Optional number of dimensions in the probabilistic events being transformed; this must be greater than or equal to `self.inverse_min_event_ndims`. If `event_ndims` is specified, the log Jacobian determinant is summed to produce a scalar log-determinant for each event. Otherwise (if `event_ndims` is `None`), no reduction is performed. Multipart bijectors require structured event_ndims, such that the batch rank `rank(y[i]) - event_ndims[i]` is the same for all elements `i` of the structured input. In most cases (with the exception of `tfb.JointMap`) they further require that `event_ndims[i] - self.inverse_min_event_ndims[i]` is the same for all elements `i` of the structured input. Default value: `None` (equivalent to `self.inverse_min_event_ndims`).
`name` The name to give this op.
`**kwargs` Named arguments forwarded to subclass implementation.

Returns
`ildj` `Tensor`, if this bijector is injective. If not injective, returns the tuple of local log det Jacobians, `log(det(Dg_i^{-1}(y)))`, where `g_i` is the restriction of `g` to the `ith` partition `Di`.

Raises
`TypeError` if `x`'s dtype is incompatible with the expected inverse-dtype.
`NotImplementedError` if `_inverse_log_det_jacobian` is not implemented.
`ValueError` if the value of `event_ndims` is not valid for this bijector.

### `parameter_properties`

View source

Returns a dict mapping constructor arg names to property annotations.

This dict should include an entry for each of the bijector's `Tensor`-valued constructor arguments.

Args
`dtype` Optional float `dtype` to assume for continuous-valued parameters. Some constraining bijectors require advance knowledge of the dtype because certain constants (e.g., `tfb.Softplus.low`) must be instantiated with the same dtype as the values to be transformed.

Returns
`parameter_properties` A `str ->`tfp.python.internal.parameter_properties.ParameterProperties`dict mapping constructor argument names to`ParameterProperties` instances.

### `with_name_scope`

Decorator to automatically enter the module name scope.

````class MyModule(tf.Module):`
`  @tf.Module.with_name_scope`
`  def __call__(self, x):`
`    if not hasattr(self, 'w'):`
`      self.w = tf.Variable(tf.random.normal([x.shape[1], 3]))`
`    return tf.matmul(x, self.w)`
```

Using the above module would produce `tf.Variable`s and `tf.Tensor`s whose names included the module name:

````mod = MyModule()`
`mod(tf.ones([1, 2]))`
`<tf.Tensor: shape=(1, 3), dtype=float32, numpy=..., dtype=float32)>`
`mod.w`
`<tf.Variable 'my_module/Variable:0' shape=(2, 3) dtype=float32,`
`numpy=..., dtype=float32)>`
```

Args
`method` The method to wrap.

Returns
The original method wrapped such that it enters the module's name scope.

### `__call__`

View source

Applies or composes the `Bijector`, depending on input type.

This is a convenience function which applies the `Bijector` instance in three different ways, depending on the input:

1. If the input is a `tfd.Distribution` instance, return `tfd.TransformedDistribution(distribution=input, bijector=self)`.
2. If the input is a `tfb.Bijector` instance, return `tfb.Chain([self, input])`.
3. Otherwise, return `self.forward(input)`

Args
`value` A `tfd.Distribution`, `tfb.Bijector`, or a (structure of) `Tensor`.
`name` Python `str` name given to ops created by this function.
`**kwargs` Additional keyword arguments passed into the created `tfd.TransformedDistribution`, `tfb.Bijector`, or `self.forward`.

Returns
`composition` A `tfd.TransformedDistribution` if the input was a `tfd.Distribution`, a `tfb.Chain` if the input was a `tfb.Bijector`, or a (structure of) `Tensor` computed by `self.forward`.

#### Examples

``````sigmoid = tfb.Reciprocal()(
tfb.Shift(shift=1.)(
tfb.Exp()(
tfb.Scale(scale=-1.))))
# ==> `tfb.Chain([
#         tfb.Reciprocal(),
#         tfb.Shift(shift=1.),
#         tfb.Exp(),
#         tfb.Scale(scale=-1.),
#      ])`  # ie, `tfb.Sigmoid()`

log_normal = tfb.Exp()(tfd.Normal(0, 1))
# ==> `tfd.TransformedDistribution(tfd.Normal(0, 1), tfb.Exp())`

tfb.Exp()([-1., 0., 1.])
# ==> tf.exp([-1., 0., 1.])
``````

### `__eq__`

View source

Return self==value.

### `__getitem__`

View source

[{ "type": "thumb-down", "id": "missingTheInformationINeed", "label":"Missing the information I need" },{ "type": "thumb-down", "id": "tooComplicatedTooManySteps", "label":"Too complicated / too many steps" },{ "type": "thumb-down", "id": "outOfDate", "label":"Out of date" },{ "type": "thumb-down", "id": "samplesCodeIssue", "label":"Samples / code issue" },{ "type": "thumb-down", "id": "otherDown", "label":"Other" }]
[{ "type": "thumb-up", "id": "easyToUnderstand", "label":"Easy to understand" },{ "type": "thumb-up", "id": "solvedMyProblem", "label":"Solved my problem" },{ "type": "thumb-up", "id": "otherUp", "label":"Other" }]