use distributions.KL instead of utility function

edward/__init__.py

@@ -21,7 +21,6 @@
     RandomVariable
 from edward.util import copy, dot, get_ancestors, get_children, \
     get_descendants, get_dims, get_parents, get_session, get_siblings, \
-    get_variables, hessian, kl_multivariate_normal, log_sum_exp, logit, \
-    multivariate_rbf, placeholder, random_variables, rbf, set_seed, \
-    to_simplex
+    get_variables, hessian, log_sum_exp, logit, multivariate_rbf, \
+    placeholder, random_variables, rbf, set_seed, to_simplex
 from edward.version import __version__

edward/inferences/klqp.py

@@ -8,7 +8,8 @@
 
 from edward.inferences.variational_inference import VariationalInference
 from edward.models import RandomVariable, Normal
-from edward.util import copy, kl_multivariate_normal
+from edward.util import copy
+from tensorflow.contrib import distributions as ds
 
 
 class KLqp(VariationalInference):
@@ -92,25 +93,23 @@ def build_loss_and_gradients(self, var_list):
 
     of the loss function.
 
-    If the variational model is a normal distribution and the prior is
-    standard normal, then loss function can be written as
+    If the KL divergence between the variational model and the prior
+    is tractable, then the loss function can be written as
 
     .. math::
 
       -\mathbb{E}_{q(z; \lambda)}[\log p(x \mid z)] +
         \\text{KL}( q(z; \lambda) \| p(z) ),
 
     where the KL term is computed analytically (Kingma and Welling,
-    2014).
+    2014). We compute this automatically when :math:`p(z)` and
+    :math:`q(z; \lambda)` are Normal.
     """
     is_reparameterizable = all([rv.is_reparameterized and rv.is_continuous
                                 for rv in six.itervalues(self.latent_vars)])
-    qz_is_normal = all([isinstance(rv, Normal) for
-                       rv in six.itervalues(self.latent_vars)])
-    z_is_normal = all([isinstance(rv, Normal) for
-                       rv in six.iterkeys(self.latent_vars)])
-    is_analytic_kl = qz_is_normal and \
-        (z_is_normal or hasattr(self.model_wrapper, 'log_lik'))
+    is_analytic_kl = all([isinstance(z, Normal) and isinstance(qz, Normal)
+                          for z, qz in six.iteritems(self.latent_vars)]) or \
+        hasattr(self.model_wrapper, 'log_lik')
     if is_reparameterizable:
       if is_analytic_kl:
         return build_reparam_kl_loss_and_gradients(self, var_list)
@@ -451,12 +450,12 @@ def build_reparam_kl_loss_and_gradients(inference, var_list):
 
   if inference.model_wrapper is None:
     kl = tf.reduce_sum([
-        inference.kl_scaling.get(z, 1.0) * tf.reduce_sum(
-            kl_multivariate_normal(qz.mu, qz.sigma, z.mu, z.sigma))
+        inference.kl_scaling.get(z, 1.0) * tf.reduce_sum(ds.kl(qz, z))
         for z, qz in six.iteritems(inference.latent_vars)])
   else:
-    kl = tf.reduce_sum([tf.reduce_sum(kl_multivariate_normal(qz.mu, qz.sigma))
-                        for qz in six.itervalues(inference.latent_vars)])
+    kl = tf.reduce_sum([tf.reduce_sum(
+        ds.kl(qz, Normal(mu=tf.zeros_like(qz), sigma=tf.ones_like(qz))))
+        for qz in six.itervalues(inference.latent_vars)])
 
   loss = -(tf.reduce_mean(p_log_lik) - kl)
 
@@ -521,8 +520,8 @@ def build_reparam_entropy_loss_and_gradients(inference, var_list):
 
   p_log_prob = tf.stack(p_log_prob)
 
-  q_entropy = tf.reduce_sum([inference.data.get(z, 1.0) * qz.entropy()
-                             for z, qz in six.iteritems(inference.latent_vars)])
+  q_entropy = tf.reduce_sum([
+      qz.entropy() for z, qz in six.iteritems(inference.latent_vars)])
 
   loss = -(tf.reduce_mean(p_log_prob) + q_entropy)
 
@@ -647,12 +646,12 @@ def build_score_kl_loss_and_gradients(inference, var_list):
 
   if inference.model_wrapper is None:
     kl = tf.reduce_sum([
-        inference.kl_scaling.get(z, 1.0) * tf.reduce_sum(
-            kl_multivariate_normal(qz.mu, qz.sigma, z.mu, z.sigma))
+        inference.kl_scaling.get(z, 1.0) * tf.reduce_sum(ds.kl(qz, z))
         for z, qz in six.iteritems(inference.latent_vars)])
   else:
-    kl = tf.reduce_sum([tf.reduce_sum(kl_multivariate_normal(qz.mu, qz.sigma))
-                        for qz in six.itervalues(inference.latent_vars)])
+    kl = tf.reduce_sum([tf.reduce_sum(
+        ds.kl(qz, Normal(mu=tf.zeros_like(qz), sigma=tf.ones_like(qz))))
+        for qz in six.itervalues(inference.latent_vars)])
 
   if var_list is None:
     var_list = tf.trainable_variables()
@@ -716,8 +715,8 @@ def build_score_entropy_loss_and_gradients(inference, var_list):
   p_log_prob = tf.stack(p_log_prob)
   q_log_prob = tf.stack(q_log_prob)
 
-  q_entropy = tf.reduce_sum([inference.data.get(z, 1.0) * qz.entropy()
-                             for z, qz in six.iteritems(inference.latent_vars)])
+  q_entropy = tf.reduce_sum([
+      qz.entropy() for z, qz in six.iteritems(inference.latent_vars)])
 
   if var_list is None:
     var_list = tf.trainable_variables()

edward/util/tensorflow.py

@@ -110,69 +110,6 @@ def hessian(y, xs):
     return tf.stack(mat)
 
 
-def kl_multivariate_normal(loc_one, scale_one, loc_two=0.0, scale_two=1.0):
-  """Calculate the KL of multivariate normal distributions with
-  diagonal covariances.
-
-  Parameters
-  ----------
-  loc_one : tf.Tensor
-    A 0-D tensor, 1-D tensor of length n, or 2-D tensor of shape M
-    x n where each row represents the mean of a n-dimensional
-    Gaussian.
-  scale_one : tf.Tensor
-    A tensor of same shape as ``loc_one``, representing the
-    standard deviation.
-  loc_two : tf.Tensor, optional
-    A tensor of same shape as ``loc_one``, representing the
-    mean of another Gaussian.
-  scale_two : tf.Tensor, optional
-    A tensor of same shape as ``loc_one``, representing the
-    standard deviation of another Gaussian.
-
-  Returns
-  -------
-  tf.Tensor
-    For 0-D or 1-D tensor inputs, outputs the 0-D tensor
-    ``KL( N(z; loc_one, scale_one) || N(z; loc_two, scale_two) )``
-    For 2-D tensor inputs, outputs the 1-D tensor
-    ``[KL( N(z; loc_one[m,:], scale_one[m,:]) || ``
-    ``N(z; loc_two[m,:], scale_two[m,:]) )]_{m=1}^M``
-
-  Raises
-  ------
-  InvalidArgumentError
-    If the location variables have Inf or NaN values, or if the scale
-    variables are not positive.
-  """
-  loc_one = tf.convert_to_tensor(loc_one)
-  scale_one = tf.convert_to_tensor(scale_one)
-  loc_two = tf.convert_to_tensor(loc_two)
-  scale_two = tf.convert_to_tensor(scale_two)
-  dependencies = [tf.verify_tensor_all_finite(loc_one, msg=''),
-                  tf.verify_tensor_all_finite(loc_two, msg=''),
-                  tf.assert_positive(scale_one),
-                  tf.assert_positive(scale_two)]
-  loc_one = control_flow_ops.with_dependencies(dependencies, loc_one)
-  scale_one = control_flow_ops.with_dependencies(dependencies, scale_one)
-
-  if loc_two == 0.0 and scale_two == 1.0:
-    # With default arguments, we can avoid some intermediate computation.
-    out = tf.square(scale_one) + tf.square(loc_one) - \
-        1.0 - 2.0 * tf.log(scale_one)
-  else:
-    loc_two = control_flow_ops.with_dependencies(dependencies, loc_two)
-    scale_two = control_flow_ops.with_dependencies(dependencies, scale_two)
-    out = tf.square(scale_one / scale_two) + \
-        tf.square((loc_two - loc_one) / scale_two) - \
-        1.0 + 2.0 * tf.log(scale_two) - 2.0 * tf.log(scale_one)
-
-  if len(out.get_shape()) <= 1:  # scalar or vector
-    return 0.5 * tf.reduce_sum(out)
-  else:  # matrix
-    return 0.5 * tf.reduce_sum(out, 1)
-
-
 def log_mean_exp(input_tensor, axis=None, keep_dims=False):
   """Compute the ``log_mean_exp`` of elements in a tensor, taking
   the mean across axes given by ``axis``.