# Copyright (c) 2022 PaddlePaddle Authors. All Rights Reserved. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. import paddle from paddle.distribution.normal import Normal from paddle.distribution.transform import ExpTransform from paddle.distribution.transformed_distribution import TransformedDistribution class LogNormal(TransformedDistribution): r"""The LogNormal distribution with location `loc` and `scale` parameters. .. math:: X \sim Normal(\mu, \sigma) Y = exp(X) \sim LogNormal(\mu, \sigma) Due to LogNormal distribution is based on the transformation of Normal distribution, we call that :math:`Normal(\mu, \sigma)` is the underlying distribution of :math:`LogNormal(\mu, \sigma)` Mathematical details The probability density function (pdf) is .. math:: pdf(x; \mu, \sigma) = \frac{1}{\sigma x \sqrt{2\pi}}e^{(-\frac{(ln(x) - \mu)^2}{2\sigma^2})} In the above equation: * :math:`loc = \mu`: is the means of the underlying Normal distribution. * :math:`scale = \sigma`: is the stddevs of the underlying Normal distribution. Args: loc(int|float|list|tuple|numpy.ndarray|Tensor): The means of the underlying Normal distribution. scale(int|float|list|tuple|numpy.ndarray|Tensor): The stddevs of the underlying Normal distribution. Examples: .. code-block:: python import paddle from paddle.distribution import LogNormal # Define a single scalar LogNormal distribution. dist = LogNormal(loc=0., scale=3.) # Define a batch of two scalar valued LogNormals. # The underlying Normal of first has mean 1 and standard deviation 11, the underlying Normal of second 2 and 22. dist = LogNormal(loc=[1., 2.], scale=[11., 22.]) # Get 3 samples, returning a 3 x 2 tensor. dist.sample((3, )) # Define a batch of two scalar valued LogNormals. # Their underlying Normal have mean 1, but different standard deviations. dist = LogNormal(loc=1., scale=[11., 22.]) # Complete example value_tensor = paddle.to_tensor([0.8], dtype="float32") lognormal_a = LogNormal([0.], [1.]) lognormal_b = LogNormal([0.5], [2.]) sample = lognormal_a.sample((2, )) # a random tensor created by lognormal distribution with shape: [2, 1] entropy = lognormal_a.entropy() # [1.4189385] with shape: [1] lp = lognormal_a.log_prob(value_tensor) # [-0.72069150] with shape: [1] p = lognormal_a.probs(value_tensor) # [0.48641577] with shape: [1] kl = lognormal_a.kl_divergence(lognormal_b) # [0.34939718] with shape: [1] """ def __init__(self, loc, scale): self._base = Normal(loc=loc, scale=scale) self.loc = self._base.loc self.scale = self._base.scale super().__init__(self._base, [ExpTransform()]) @property def mean(self): """Mean of lognormal distribuion. Returns: Tensor: mean value. """ return paddle.exp(self._base.mean + self._base.variance / 2) @property def variance(self): """Variance of lognormal distribution. Returns: Tensor: variance value. """ return paddle.expm1(self._base.variance) * paddle.exp( 2 * self._base.mean + self._base.variance ) def entropy(self): r"""Shannon entropy in nats. The entropy is .. math:: entropy(\sigma) = 0.5 \log (2 \pi e \sigma^2) + \mu In the above equation: * :math:`loc = \mu`: is the mean of the underlying Normal distribution. * :math:`scale = \sigma`: is the stddevs of the underlying Normal distribution. Returns: Tensor: Shannon entropy of lognormal distribution. """ return self._base.entropy() + self._base.mean def probs(self, value): """Probability density/mass function. Args: value (Tensor): The input tensor. Returns: Tensor: probability.The data type is same with :attr:`value` . """ return paddle.exp(self.log_prob(value)) def kl_divergence(self, other): r"""The KL-divergence between two lognormal distributions. The probability density function (pdf) is .. math:: KL\_divergence(\mu_0, \sigma_0; \mu_1, \sigma_1) = 0.5 (ratio^2 + (\frac{diff}{\sigma_1})^2 - 1 - 2 \ln {ratio}) .. math:: ratio = \frac{\sigma_0}{\sigma_1} .. math:: diff = \mu_1 - \mu_0 In the above equation: * :math:`loc = \mu_0`: is the means of current underlying Normal distribution. * :math:`scale = \sigma_0`: is the stddevs of current underlying Normal distribution. * :math:`loc = \mu_1`: is the means of other underlying Normal distribution. * :math:`scale = \sigma_1`: is the stddevs of other underlying Normal distribution. * :math:`ratio`: is the ratio of scales. * :math:`diff`: is the difference between means. Args: other (LogNormal): instance of LogNormal. Returns: Tensor: kl-divergence between two lognormal distributions. """ return self._base.kl_divergence(other._base)