tfp.monte_carlo.expectation

Computes the Monte-Carlo approximation of E_p[f(X)].

tfp.monte_carlo.expectation(
    f,
    samples,
    log_prob=None,
    use_reparameterization=True,
    axis=0,
    keepdims=False,
    name=None
)

This function computes the Monte-Carlo approximation of an expectation, i.e.,

E_p[f(X)] approx= m**-1 sum_i^m f(x_j),  x_j ~iid p(X)

where:

x_j = samples[j, ...],
log(p(samples)) = log_prob(samples) and
m = prod(shape(samples)[axis]).

Tricks: Reparameterization and Score-Gradient

When p is "reparameterized", i.e., a diffeomorphic transformation of a parameterless distribution (e.g., Normal(Y; m, s) <=> Y = sX + m, X ~ Normal(0,1)), we can swap gradient and expectation, i.e., grad[ Avg{ s_i : i=1...n } ] = Avg{ grad[s_i] : i=1...n } where S_n = Avg{s_i} and s_i = f(x_i), x_i ~ p.

However, if p is not reparameterized, TensorFlow's gradient will be incorrect since the chain-rule stops at samples of non-reparameterized distributions. (The non-differentiated result, approx_expectation, is the same regardless of use_reparameterization.) In this circumstance using the Score-Gradient trick results in an unbiased gradient, i.e.,

grad[ E_p[f(X)] ]
= grad[ int dx p(x) f(x) ]
= int dx grad[ p(x) f(x) ]
= int dx [ p'(x) f(x) + p(x) f'(x) ]
= int dx p(x) [p'(x) / p(x) f(x) + f'(x) ]
= int dx p(x) grad[ f(x) p(x) / stop_grad[p(x)] ]
= E_p[ grad[ f(x) p(x) / stop_grad[p(x)] ] ]

Unless p is not reparameterized, it is usually preferable to use_reparameterization = True.

Example Use:

# Monte-Carlo approximation of a reparameterized distribution, e.g., Normal.

num_draws = int(1e5)
p = tfp.distributions.Normal(loc=0., scale=1.)
q = tfp.distributions.Normal(loc=1., scale=2.)
exact_kl_normal_normal = tfp.distributions.kl_divergence(p, q)
# ==> 0.44314718
approx_kl_normal_normal = tfp.monte_carlo.expectation(
    f=lambda x: p.log_prob(x) - q.log_prob(x),
    samples=p.sample(num_draws, seed=42),
    log_prob=p.log_prob,
    use_reparameterization=(p.reparameterization_type
                           == tfp.distributions.FULLY_REPARAMETERIZED))
# ==> 0.44632751
# Relative Error: <1%

# Monte-Carlo approximation of non-reparameterized distribution,
# e.g., Bernoulli.

num_draws = int(1e5)
p = tfp.distributions.Bernoulli(probs=0.4)
q = tfp.distributions.Bernoulli(probs=0.8)
exact_kl_bernoulli_bernoulli = tfp.distributions.kl_divergence(p, q)
# ==> 0.38190854
approx_kl_bernoulli_bernoulli = tfp.monte_carlo.expectation(
    f=lambda x: p.log_prob(x) - q.log_prob(x),
    samples=p.sample(num_draws, seed=42),
    log_prob=p.log_prob,
    use_reparameterization=(p.reparameterization_type
                           == tfp.distributions.FULLY_REPARAMETERIZED))
# ==> 0.38336259
# Relative Error: <1%

# For comparing the gradients, see `expectation_test.py`.

approx_kl_p_q = bf.monte_carlo_variational_loss(
    p_log_prob=q.log_prob,
    q=p,
    discrepancy_fn=bf.kl_reverse,
    num_draws=num_draws)

Args
`f`	Python callable which can return `f(samples)`.
`samples`	`Tensor` or nested structure (list, dict, etc.) of `Tensor`s, representing samples used to form the Monte-Carlo approximation of `E_p[f(X)]`. A batch of samples should be indexed by `axis` dimensions.
`log_prob`	Python callable which can return `log_prob(samples)`. Must correspond to the natural-logarithm of the pdf/pmf of each sample. Only required/used if `use_reparameterization=False`. Default value: `None`.
`use_reparameterization`	Python `bool` indicating that the approximation should use the fact that the gradient of samples is unbiased. Whether `True` or `False`, this arg only affects the gradient of the resulting `approx_expectation`. Default value: `True`.
`axis`	The dimensions to average. If `None`, averages all dimensions. Default value: `0` (the left-most dimension).
`keepdims`	If True, retains averaged dimensions using size `1`. Default value: `False`.
`name`	A `name_scope` for operations created by this function. Default value: `None` (which implies "expectation").

Returns
`approx_expectation`	`Tensor` corresponding to the Monte-Carlo approximation of `E_p[f(X)]`.

Raises
`ValueError`	if `f` is not a Python `callable`.
`ValueError`	if `use_reparameterization=False` and `log_prob` is not a Python `callable`.

tfp.monte_carlo.expectation

Example Use:

Args

Returns

Raises