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tfp.edward2.MultivariateNormalFullCovariance

Create a random variable for MultivariateNormalFullCovariance.

tfp.edward2.MultivariateNormalFullCovariance(
    *args,
    **kwargs
)

Defined in python/edward2/interceptor.py.

See MultivariateNormalFullCovariance for more details.

Returns:

RandomVariable.

Original Docstring for Distribution

Construct Multivariate Normal distribution on R^k.

The batch_shape is the broadcast shape between loc and covariance_matrix arguments.

The event_shape is given by last dimension of the matrix implied by covariance_matrix. The last dimension of loc (if provided) must broadcast with this.

A non-batch covariance_matrix matrix is a k x k symmetric positive definite matrix. In other words it is (real) symmetric with all eigenvalues strictly positive.

Additional leading dimensions (if any) will index batches.

Args:

  • loc: Floating-point Tensor. If this is set to None, loc is implicitly 0. When specified, may have shape [B1, ..., Bb, k] where b >= 0 and k is the event size.
  • covariance_matrix: Floating-point, symmetric positive definite Tensor of same dtype as loc. The strict upper triangle of covariance_matrix is ignored, so if covariance_matrix is not symmetric no error will be raised (unless validate_args is True). covariance_matrix has shape [B1, ..., Bb, k, k] where b >= 0 and k is the event size.
  • validate_args: Python bool, default False. When True distribution parameters are checked for validity despite possibly degrading runtime performance. When False invalid inputs may silently render incorrect outputs.
  • allow_nan_stats: Python bool, default True. When True, statistics (e.g., mean, mode, variance) use the value "NaN" to indicate the result is undefined. When False, an exception is raised if one or more of the statistic's batch members are undefined.
  • name: Python str name prefixed to Ops created by this class.

Raises:

  • ValueError: if neither loc nor covariance_matrix are specified.