tfp.math.diag_jacobian

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Computes diagonal of the Jacobian matrix of ys=fn(xs) wrt xs.

If ys is a tensor or a list of tensors of the form (ys_1, .., ys_n) and xs is of the form (xs_1, .., xs_n), the function jacobians_diag computes the diagonal of the Jacobian matrix, i.e., the partial derivatives (dys_1/dxs_1,.., dys_n/dxs_n). For definition details, see https://en.wikipedia.org/wiki/Jacobian_matrix_and_determinant

Example

Diagonal Hessian of the log-density of a 3D Gaussian distribution

In this example we sample from a standard univariate normal distribution using MALA with step_size equal to 0.75.

import tensorflow as tf
import tensorflow_probability as tfp
import numpy as np

tfd = tfp.distributions

dtype = np.float32
with tf.Session(graph=tf.Graph()) as sess:
  true_mean = dtype([0, 0, 0])
  true_cov = dtype([[1, 0.25, 0.25], [0.25, 2, 0.25], [0.25, 0.25, 3]])
  chol = tf.linalg.cholesky(true_cov)
  target = tfd.MultivariateNormalTriL(loc=true_mean, scale_tril=chol)

  # Assume that the state is passed as a list of tensors `x` and `y`.
  # Then the target function is defined as follows:
  def target_fn(x, y):
    # Stack the input tensors together
    z = tf.concat([x, y], axis=-1) - true_mean
    return target.log_prob(z)

  sample_shape = [3, 5]
  state = [tf.ones(sample_shape + [2], dtype=dtype),
           tf.ones(sample_shape + [1], dtype=dtype)]
  fn_val, grads = tfp.math.value_and_gradient(target_fn, state)

  # We can either pass the `sample_shape` of the `state` or not, which impacts
  # computational speed of `diag_jacobian`
  _, diag_jacobian_shape_passed = diag_jacobian(
      xs=state, ys=grads, sample_shape=tf.shape(fn_val))
  _, diag_jacobian_shape_none = diag_jacobian(
      xs=state, ys=grads)

  diag_jacobian_shape_passed_ = sess.run(diag_jacobian_shape_passed)
  diag_jacobian_shape_none_ = sess.run(diag_jacobian_shape_none)

print('hessian computed through `diag_jacobian`, sample_shape passed: ',
      np.concatenate(diag_jacobian_shape_passed_, -1))
print('hessian computed through `diag_jacobian`, sample_shape skipped',
      np.concatenate(diag_jacobian_shape_none_, -1))

xs Tensor or a python list of Tensors of real-like dtypes and shapes sample_shape + event_shape_i, where event_shape_i can be different for different tensors.
ys Tensor or a python list of Tensors of the same dtype as xs. Must broadcast with the shape of xs. Can be omitted if fn is provided.
sample_shape A common sample_shape of the input tensors of xs. If not, provided, assumed to be [1], which may result in a slow performance of jacobians_diag.
fn Python callable that takes xs as an argument (or *xs, if it is a list) and returns ys. Might be skipped if ys is provided and tf.enable_eager_execution() is disabled.
parallel_iterations int that specifies the allowed number of coordinates of the input tensor xs, for which the partial derivatives dys_i/dxs_i can be computed in parallel.
name Python str name prefixed to Ops created by this function. Default value: None (i.e., "diag_jacobian").

ys a list, which coincides with the input ys, when provided. If the input ys is None, fn(*xs) gets computed and returned as a list.
jacobians_diag_res a Tensor or a Python list of Tensors of the same dtypes and shapes as the input xs. This is the diagonal of the Jacobian of ys wrt xs.

ValueError if lists xs and ys have different length or both ys and fn are None, or fn is None in the eager execution mode.