Source code for botorch.models.transforms.utils

#!/usr/bin/env python3
# Copyright (c) Facebook, Inc. and its affiliates.
#
# This source code is licensed under the MIT license found in the
# LICENSE file in the root directory of this source tree.

from __future__ import annotations

from typing import Tuple

import torch
from torch import Tensor


[docs]def lognorm_to_norm(mu: Tensor, Cov: Tensor) -> Tuple[Tensor, Tensor]:
    """Compute mean and covariance of a MVN from those of the associated log-MVN

    If `Y` is log-normal with mean mu_ln and covariance Cov_ln, then
    `X ~ N(mu_n, Cov_n)` with

        Cov_n_{ij} = log(1 + Cov_ln_{ij} / (mu_ln_{i} * mu_n_{j}))
        mu_n_{i} = log(mu_ln_{i}) - 0.5 * log(1 + Cov_ln_{ii} / mu_ln_{i}**2)

    Args:
        mu: A `batch_shape x n` mean vector of the log-Normal distribution.
        Cov: A `batch_shape x n x n` covariance matrix of the log-Normal
            distribution.

    Returns:
        A two-tuple containing:

        - The `batch_shape x n` mean vector of the Normal distribution
        - The `batch_shape x n x n` covariance matrix of the Normal distribution
    """
    Cov_n = torch.log(1 + Cov / (mu.unsqueeze(-1) * mu.unsqueeze(-2)))
    mu_n = torch.log(mu) - 0.5 * torch.diagonal(Cov_n, dim1=-1, dim2=-2)
    return mu_n, Cov_n


[docs]def norm_to_lognorm(mu: Tensor, Cov: Tensor) -> Tuple[Tensor, Tensor]:
    """Compute mean and covariance of a log-MVN from its MVN sufficient statistics

    If `X ~ N(mu, Cov)` and `Y = exp(X)`, then `Y` is log-normal with

        mu_ln_{i} = exp(mu_{i} + 0.5 * Cov_{ii})
        Cov_ln_{ij} = exp(mu_{i} + mu_{j} + 0.5 * (Cov_{ii} + Cov_{jj})) *
        (exp(Cov_{ij}) - 1)

    Args:
        mu: A `batch_shape x n` mean vector of the Normal distribution.
        Cov: A `batch_shape x n x n` covariance matrix of the Normal distribution.

    Returns:
        A two-tuple containing:

        - The `batch_shape x n` mean vector of the log-Normal distribution.
        - The `batch_shape x n x n` covariance matrix of the log-Normal
            distribution.
    """
    diag = torch.diagonal(Cov, dim1=-1, dim2=-2)
    b = mu + 0.5 * diag
    mu_ln = torch.exp(b)
    Cov_ln = (torch.exp(Cov) - 1) * torch.exp(b.unsqueeze(-1) + b.unsqueeze(-2))
    return mu_ln, Cov_ln


[docs]def norm_to_lognorm_mean(mu: Tensor, var: Tensor) -> Tensor:
    """Compute mean of a log-MVN from its MVN marginals

    Args:
        mu: A `batch_shape x n` mean vector of the Normal distribution.
        var: A `batch_shape x n` variance vectorof the Normal distribution.

    Returns:
        The `batch_shape x n` mean vector of the log-Normal distribution
    """
    return torch.exp(mu + 0.5 * var)


[docs]def norm_to_lognorm_variance(mu: Tensor, var: Tensor) -> Tensor:
    """Compute variance of a log-MVN from its MVN marginals

    Args:
        mu: A `batch_shape x n` mean vector of the Normal distribution.
        var: A `batch_shape x n` variance vectorof the Normal distribution.

    Returns:
        The `batch_shape x n` variance vector of the log-Normal distribution.
    """
    b = mu + 0.5 * var
    return (torch.exp(var) - 1) * torch.exp(2 * b)