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# tfp.vi.fit_surrogate_posterior

Fit a surrogate posterior to a target (unnormalized) log density. (deprecated arguments)

### Used in the notebooks

The default behavior constructs and minimizes the negative variational evidence lower bound (ELBO), given by

``````q_samples = surrogate_posterior.sample(num_draws)
elbo_loss = -tf.reduce_mean(
target_log_prob_fn(q_samples) - surrogate_posterior.log_prob(q_samples))
``````

This corresponds to minimizing the 'reverse' Kullback-Liebler divergence (`KL[q||p]`) between the variational distribution and the unnormalized `target_log_prob_fn`, and defines a lower bound on the marginal log likelihood, `log p(x) >= -elbo_loss`. 

More generally, this function supports fitting variational distributions that minimize any Csiszar f-divergence.

`target_log_prob_fn` Python callable that takes a set of `Tensor` arguments and returns a `Tensor` log-density. Given `q_sample = surrogate_posterior.sample(sample_size)`, this will be called as `target_log_prob_fn(*q_sample)` if `q_sample` is a list or a tuple, `target_log_prob_fn(**q_sample)` if `q_sample` is a dictionary, or `target_log_prob_fn(q_sample)` if `q_sample` is a `Tensor`. It should support batched evaluation, i.e., should return a result of shape `[sample_size]`.
`surrogate_posterior` A `tfp.distributions.Distribution` instance defining a variational posterior (could be a `tfd.JointDistribution`). Crucially, the distribution's `log_prob` and (if reparameterized) `sample` methods must directly invoke all ops that generate gradients to the underlying variables. One way to ensure this is to use `tfp.util.TransformedVariable` and/or `tfp.util.DeferredTensor` to represent any parameters defined as transformations of unconstrained variables, so that the transformations execute at runtime instead of at distribution creation.
`optimizer` Optimizer instance to use. This may be a TF1-style `tf.train.Optimizer`, TF2-style `tf.optimizers.Optimizer`, or any Python object that implements `optimizer.apply_gradients(grads_and_vars)`.
`num_steps` Python `int` number of steps to run the optimizer.
`convergence_criterion` Optional instance of `tfp.optimizer.convergence_criteria.ConvergenceCriterion` representing a criterion for detecting convergence. If `None`, the optimization will run for `num_steps` steps, otherwise, it will run for at most `num_steps` steps, as determined by the provided criterion. Default value: `None`.
`trace_fn` Python callable with signature ```traced_values = trace_fn( traceable_quantities)```, where the argument is an instance of `tfp.math.MinimizeTraceableQuantities` and the returned `traced_values` may be a `Tensor` or nested structure of `Tensor`s. The traced values are stacked across steps and returned. The default `trace_fn` simply returns the loss. In general, trace functions may also examine the gradients, values of parameters, the state propagated by the specified `convergence_criterion`, if any (if no convergence criterion is specified, this will be `None`), as well as any other quantities captured in the closure of `trace_fn`, for example, statistics of a variational distribution. Default value: `lambda traceable_quantities: traceable_quantities.loss`.
`variational_loss_fn` Optional Python `callable` with signature ```loss = variational_loss_fn(target_log_prob_fn, surrogate_posterior, sample_size, seed)``` defining a variational loss function. The default is a Monte Carlo approximation to the standard evidence lower bound (ELBO), equivalent to minimizing the 'reverse' `KL[q||p]` divergence between the surrogate `q` and true posterior `p`.  Default value: `None` (equivalent to functools.partial( tfp.vi.monte_carlo_variational_loss, discrepancy_fn=tfp.vi.kl_reverse, importance_sample_size=importance_sample_size, use_reparameterization=True)```. </td> </tr><tr> <td>```discrepancy_fn```</td> <td> Python```callable`representing a Csiszar`f```function in in log-space. See the docs for <a href="../../tfp/vi/monte_carlo_variational_loss"><code>tfp.vi.monte_carlo_variational_loss</code></a> for examples. This argument is ignored if a```variational_loss_fn```is explicitly specified. Default value: <a href="../../tfp/vi/kl_reverse"><code>tfp.vi.kl_reverse</code></a>. </td> </tr><tr> <td>```sample_size```</td> <td> Python```int```number of Monte Carlo samples to use in estimating the variational divergence. Larger values may stabilize the optimization, but at higher cost per step in time and memory. Default value:```1```. </td> </tr><tr> <td>```importance_sample_size```</td> <td> Python```int```number of terms used to define an importance-weighted divergence. If```importance_sample_size > 1`, then the`surrogate_posterior```is optimized to function as an importance-sampling proposal distribution. In this case, posterior expectations should be approximated by importance sampling, as demonstrated in the example below. This argument is ignored if a```variational_loss_fn```is explicitly specified. Default value:```1```. </td> </tr><tr> <td>```trainable_variables```</td> <td> Optional list of <a href="https://www.tensorflow.org/api_docs/python/tf/Variable"><code>tf.Variable</code></a> instances to optimize with respect to. If```None```, defaults to the set of all variables accessed during the computation of the variational bound, i.e., those defining```surrogate_posterior`and the model`target_log_prob_fn```. Default value:```None```</td> </tr><tr> <td>```jit_compile```</td> <td> If True, compiles the loss function and gradient update using XLA. XLA performs compiler optimizations, such as fusion, and attempts to emit more efficient code. This may drastically improve the performance. See the docs for <a href="https://www.tensorflow.org/api_docs/python/tf/function"><code>tf.function</code></a>. (In JAX, this will apply```jax.jit```). Default value:```None```. </td> </tr><tr> <td>```seed```</td> <td> PRNG seed; see <a href="../../tfp/random/sanitize_seed"><code>tfp.random.sanitize_seed</code></a> for details. </td> </tr><tr> <td>```name```</td> <td> Python```str` name prefixed to ops created by this function. Default value: 'fit_surrogate_posterior'.

`results` `Tensor` or nested structure of `Tensor`s, according to the return type of `trace_fn`. Each `Tensor` has an added leading dimension of size `num_steps`, packing the trajectory of the result over the course of the optimization.

#### Examples

Normal-Normal model. We'll first consider a simple model `z ~ N(0, 1)`, `x ~ N(z, 1)`, where we suppose we are interested in the posterior `p(z | x=5)`:

``````import tensorflow_probability as tfp
from tensorflow_probability import distributions as tfd

def log_prob(z, x):
return tfd.Normal(0., 1.).log_prob(z) + tfd.Normal(z, 1.).log_prob(x)
conditioned_log_prob = lambda z: log_prob(z, x=5.)
``````

The posterior is itself normal by conjugacy, and can be computed analytically (it's `N(loc=5/2., scale=1/sqrt(2)`). But suppose we don't want to bother doing the math: we can use variational inference instead!

``````q_z = tfp.experimental.util.make_trainable(tfd.Normal, name='q_z')
losses = tfp.vi.fit_surrogate_posterior(
conditioned_log_prob,
surrogate_posterior=q_z,
num_steps=100)
print(q_z.mean(), q_z.stddev())  # => approximately [2.5, 1/sqrt(2)]
``````

Note that we ensure positive scale by using a softplus transformation of the underlying variable, invoked via `TransformedVariable`. Deferring the transformation causes it to be applied upon evaluation of the distribution's methods, creating a gradient to the underlying variable. If we had simply specified `scale=tf.nn.softplus(scale_var)` directly, without the `TransformedVariable`, fitting would fail because calls to `q.log_prob` and `q.sample` would never access the underlying variable. In general, transformations of trainable parameters must be deferred to runtime, using either `TransformedVariable` or `DeferredTensor` or by the callable mechanisms available in joint distribution classes (demonstrated below).

Custom loss function. Suppose we prefer to fit the same model using the forward KL divergence `KL[p||q]`. We can pass a custom discrepancy function:

``````  losses = tfp.vi.fit_surrogate_posterior(
conditioned_log_prob,
surrogate_posterior=q_z,
num_steps=100,
discrepancy_fn=tfp.vi.kl_forward)
``````

Note that in practice this may have substantially higher-variance gradients than the reverse KL.

Importance weighting. A surrogate posterior may be corrected by interpreting it as a proposal for an importance sampler. That is, one can use weighted samples from the surrogate to estimate expectations under the true posterior:

``````zs, q_log_prob = surrogate_posterior.experimental_sample_and_log_prob(
num_samples)

# Naive expectation under the surrogate posterior.
expected_x = tf.reduce_mean(f(zs), axis=0)

# Importance-weighted estimate of the expectation under the true posterior.
self_normalized_log_weights = tf.nn.log_softmax(
target_log_prob_fn(zs) - q_log_prob)
expected_x = tf.reduce_sum(
tf.exp(self_normalized_log_weights) * f(zs),
axis=0)
``````

Any distribution may be used as a proposal, but it is often natural to consider surrogates that were themselves fit by optimizing an importance-weighted variational objective , which directly optimizes the surrogate's effectiveness as an proposal distribution. This may be specified by passing `importance_sample_size > 1`. The importance-weighted objective may favor different characteristics than the original objective. For example, effective proposals are generally overdispersed, whereas a surrogate optimizing reverse KL would otherwise tend to be underdispersed.

Although importance sampling is guaranteed to tighten the variational bound, some research has found that this does not necessarily improve the quality of deep generative models, because it also introduces gradient noise that can lead to a weaker training signal . As always, evaluation is important to choose the approach that works best for a particular task.

When using an importance-weighted loss to fit a surrogate, it is also recommended to apply importance sampling when computing expectations under that surrogate.

``````# Fit `q` with an importance-weighted variational loss.
losses = tfp.vi.fit_surrogate_posterior(
conditioned_log_prob,
surrogate_posterior=q_z,
importance_sample_size=10,
num_steps=200)

# Estimate posterior statistics with importance sampling.
zs, q_log_prob = q_z.experimental_sample_and_log_prob(1000)
self_normalized_log_weights = tf.nn.log_softmax(
conditioned_log_prob(zs) - q_log_prob)
posterior_mean = tf.reduce_sum(
tf.exp(self_normalized_log_weights) * zs,
axis=0)
posterior_variance = tf.reduce_sum(
tf.exp(self_normalized_log_weights) * (zs - posterior_mean)**2,
axis=0)
``````

Inhomogeneous Poisson Process. For a more interesting example, let's consider a model with multiple latent variables as well as trainable parameters in the model itself. Given observed counts `y` from spatial locations `X`, consider an inhomogeneous Poisson process model `log_rates = GaussianProcess(index_points=X); y = Poisson(exp(log_rates))` in which the latent (log) rates are spatially correlated following a Gaussian process. We'll fit a variational model to the latent rates while also optimizing the GP kernel hyperparameters (largely for illustration; in practice we might prefer to 'be Bayesian' about these parameters and include them as latents in our model and variational posterior). First we define the model, including trainable variables:

``````# Toy 1D data.
index_points = np.array([-10., -7.2, -4., -0.1, 0.1, 4., 6.2, 9.]).reshape(
[-1, 1]).astype(np.float32)
observed_counts = np.array(
[100, 90, 60, 13, 18, 37, 55, 42]).astype(np.float32)

# Trainable GP hyperparameters.
kernel_log_amplitude = tf.Variable(0., name='kernel_log_amplitude')
kernel_log_lengthscale = tf.Variable(0., name='kernel_log_lengthscale')
observation_noise_log_scale = tf.Variable(
0., name='observation_noise_log_scale')

# Generative model.
Root = tfd.JointDistributionCoroutine.Root
def model_fn():
amplitude=tf.exp(kernel_log_amplitude),
length_scale=tf.exp(kernel_log_lengthscale))
latent_log_rates = yield Root(tfd.GaussianProcess(
kernel,
index_points=index_points,
observation_noise_variance=tf.exp(observation_noise_log_scale),
name='latent_log_rates'))
y = yield tfd.Independent(tfd.Poisson(log_rate=latent_log_rates, name='y'),
reinterpreted_batch_ndims=1)
model = tfd.JointDistributionCoroutine(model_fn)
``````

Next we define a variational distribution. We incorporate the observations directly into the variational model using the 'trick' of representing them by a deterministic distribution (observe that the true posterior on an observed value is in fact a point mass at the observed value).

``````logit_locs = tf.Variable(tf.zeros(observed_counts.shape), name='logit_locs')
logit_softplus_scales = tf.Variable(tf.ones(observed_counts.shape) * -4,
name='logit_softplus_scales')
def variational_model_fn():
latent_rates = yield Root(tfd.Independent(
tfd.Normal(loc=logit_locs, scale=tf.nn.softplus(logit_softplus_scales)),
reinterpreted_batch_ndims=1))
y = yield tfd.VectorDeterministic(observed_counts)
q = tfd.JointDistributionCoroutine(variational_model_fn)
``````

Note that here we could apply transforms to variables without using `DeferredTensor` because the `JointDistributionCoroutine` argument is a function, i.e., executed "on demand." (The same is true when distribution-making functions are supplied to `JointDistributionSequential` and `JointDistributionNamed`. That is, as long as variables are transformed within the callable, they will appear on the gradient tape when `q.log_prob()` or `q.sample()` are invoked.

Finally, we fit the variational posterior and model variables jointly: by not explicitly specifying `trainable_variables`, the optimization will automatically include all variables accessed. We'll use a custom `trace_fn` to see how the kernel amplitudes and a set of sampled latent rates with fixed seed evolve during the course of the optimization:

``````losses, log_amplitude_path, sample_path = tfp.vi.fit_surrogate_posterior(
target_log_prob_fn=lambda *args: model.log_prob(args),
surrogate_posterior=q,
sample_size=1,
num_steps=500,
trace_fn=lambda loss, grads, vars: (loss, kernel_log_amplitude,
q.sample(5, seed=42)))
``````

: Christopher M. Bishop. Pattern Recognition and Machine Learning. Springer, 2006.

 Yuri Burda, Roger Grosse, and Ruslan Salakhutdinov. Importance Weighted Autoencoders. In International Conference on Learning Representations, 2016. https://arxiv.org/abs/1509.00519

 Tom Rainforth, Adam R. Kosiorek, Tuan Anh Le, Chris J. Maddison, Maximilian Igl, Frank Wood, and Yee Whye Teh. Tighter Variational Bounds are Not Necessarily Better. In International Conference on Machine Learning (ICML), 2018. https://arxiv.org/abs/1802.04537

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