Monte-Carlo approximation of the Csiszar f-Divergence. (deprecated)

A Csiszar-function is a member of,

F = { f:R_+ to R : f convex }.

The Csiszar f-Divergence for Csiszar-function f is given by:

D_f[p(X), q(X)] := E_{q(X)}[ f( p(X) / q(X) ) ]
                ~= m**-1 sum_j^m f( p(x_j) / q(x_j) ),
                           where x_j ~iid q(X)

Tricks: Reparameterization and Score-Gradient

When q 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 ~iid q(X).

However, if q is not reparameterized, TensorFlow's gradient will be incorrect since the chain-rule stops at samples of unreparameterized distributions. In this circumstance using the Score-Gradient trick results in an unbiased gradient, i.e.,

grad[ E_q[f(X)] ]
= grad[ int dx q(x) f(x) ]
= int dx grad[ q(x) f(x) ]
= int dx [ q'(x) f(x) + q(x) f'(x) ]
= int dx q(x) [q'(x) / q(x) f(x) + f'(x) ]
= int dx q(x) grad[ f(x) q(x) / stop_grad[q(x)] ]
= E_q[ grad[ f(x) q(x) / stop_grad[q(x)] ] ]

Unless q.reparameterization_type != tfd.FULLY_REPARAMETERIZED it is usually preferable to set use_reparametrization = True.

Example Application:

The Csiszar f-Divergence is a useful framework for variational inference. I.e., observe that,

f(p(x)) =  f( E_{q(Z | x)}[ p(x, Z) / q(Z | x) ] )
        <= E_{q(Z | x)}[ f( p(x, Z) / q(Z | x) ) ]
        := D_f[p(x, Z), q(Z | x)]

The inequality follows from the fact that the "perspective" of f, i.e., (s, t) |-> t f(s / t)), is convex in (s, t) when s/t in domain(f) and t is a real. Since the above framework includes the popular Evidence Lower BOund (ELBO) as a special case, i.e., f(u) = -log(u), we call this framework "Evidence Divergence Bound Optimization" (EDBO).


  • f: Python callable representing a Csiszar-function in log-space, i.e., takes p_log_prob(q_samples) - q.log_prob(q_samples).
  • p_log_prob: Python callable taking (a batch of) samples from q and returning the natural-log of the probability under distribution p. (In variational inference p is the joint distribution.)
  • q: tf.Distribution-like instance; must implement: reparameterization_type, sample(n, seed), and log_prob(x). (In variational inference q is the approximate posterior distribution.)
  • num_draws: Integer scalar number of draws used to approximate the f-Divergence expectation.
  • use_reparametrization: Python bool. When None (the default), automatically set to: q.reparameterization_type == tfd.FULLY_REPARAMETERIZED. When True uses the standard Monte-Carlo average. When False uses the score-gradient trick. (See above for details.) When False, consider using csiszar_vimco.
  • seed: Python int seed for q.sample.
  • name: Python str name prefixed to Ops created by this function.


  • monte_carlo_csiszar_f_divergence: float-like Tensor Monte Carlo approximation of the Csiszar f-Divergence.


  • ValueError: if q is not a reparameterized distribution and use_reparametrization = True. A distribution q is said to be "reparameterized" when its samples are generated by transforming the samples of another distribution which does not depend on the parameterization of q. This property ensures the gradient (with respect to parameters) is valid.
  • TypeError: if p_log_prob is not a Python callable.