## Bijectors.jl

Implementation of normalising flows and constrained random variable transformations
Author TuringLang
Popularity
104 Stars
Updated Last
1 Year Ago
Started In
September 2018

# Bijectors.jl

This package implements a set of functions for transforming constrained random variables (e.g. simplexes, intervals) to Euclidean space. The 3 main functions implemented in this package are the `link`, `invlink` and `logpdf_with_trans` for a number of distributions. The distributions supported are:

1. `RealDistribution`: `Union{Cauchy, Gumbel, Laplace, Logistic, NoncentralT, Normal, NormalCanon, TDist}`,
2. `PositiveDistribution`: `Union{BetaPrime, Chi, Chisq, Erlang, Exponential, FDist, Frechet, Gamma, InverseGamma, InverseGaussian, Kolmogorov, LogNormal, NoncentralChisq, NoncentralF, Rayleigh, Weibull}`,
3. `UnitDistribution`: `Union{Beta, KSOneSided, NoncentralBeta}`,
4. `SimplexDistribution`: `Union{Dirichlet}`,
5. `PDMatDistribution`: `Union{InverseWishart, Wishart}`, and
6. `TransformDistribution`: `Union{T, Truncated{T}} where T<:ContinuousUnivariateDistribution`.

All exported names from the Distributions.jl package are reexported from `Bijectors`.

Bijectors.jl also provides a nice interface for working with these maps: composition, inversion, etc. The following table lists mathematical operations for a bijector and the corresponding code in Bijectors.jl.

Operation Method Automatic
`b ↦ b⁻¹` `inv(b)`
`(b₁, b₂) ↦ (b₁ ∘ b₂)` `b₁ ∘ b₂`
`(b₁, b₂) ↦ [b₁, b₂]` `stack(b₁, b₂)`
`x ↦ b(x)` `b(x)` ×
`y ↦ b⁻¹(y)` `inv(b)(y)` ×
`x ↦ log｜det J(b, x)｜` `logabsdetjac(b, x)` AD
`x ↦ b(x), log｜det J(b, x)｜` `forward(b, x)`
`p ↦ q := b_* p` `q = transformed(p, b)`
`y ∼ q` `y = rand(q)`
`p ↦ b` such that `support(b_* p) = ℝᵈ` `bijector(p)`
`(x ∼ p, b(x), log｜det J(b, x)｜, log q(y))` `forward(q)`

In this table, `b` denotes a `Bijector`, `J(b, x)` denotes the jacobian of `b` evaluated at `x`, `b_*` denotes the push-forward of `p` by `b`, and `x ∼ p` denotes `x` sampled from the distribution with density `p`.

The "Automatic" column in the table refers to whether or not you are required to implement the feature for a custom `Bijector`. "AD" refers to the fact that it can be implemented "automatically" using automatic differentiation, i.e. `ADBijector`.

## Functions

1. `link`: maps a sample of a random distribution `dist` from its support to a value in R^n. Example:
```julia> using Bijectors

julia> dist = Beta(2, 2)
Beta{Float64}(α=2.0, β=2.0)

julia> x = rand(dist)
0.7472542331020509

1.084021356473311```
1. `invlink`: the inverse of the `link` function. Example:
```julia> z = invlink(dist, y)
0.7472542331020509

julia> x ≈ z
true```
1. `logpdf_with_trans`: finds `log` of the (transformed) probability density function of a distribution `dist` at a sample `x`. Example:
```julia> using Bijectors

julia> dist = Dirichlet(2, 3)
Dirichlet{Float64}(alpha=[3.0, 3.0])

julia> x = rand(dist)
2-element Array{Float64,1}:
0.46094823621110165
0.5390517637888984

julia> logpdf_with_trans(dist, x, false) # ignoring the transformation
0.6163709733893024

julia> logpdf_with_trans(dist, x, true) # considering the transformation
-0.7760422307471244```

## `Bijector` interface

A `Bijector` is a differentiable bijection with a differentiable inverse. That's basically it.

The primary application of `Bijector`s is the (very profitable) business of transforming (usually continuous) probability densities. If we transfrom a random variable `x ~ p(x)` to `y = b(x)` where `b` is a `Bijector`, we also get a canonical density `q(y) = p(b⁻¹(y)) |det J(b⁻¹, y)|` for `y`. Here `J(b⁻¹, y)` is the jacobian of the inverse transform evaluated at `y`. `q` is also known as the push-forward of `p` by `b` in measure theory.

There's plenty of different reasons why one would want to do something like this. It can be because your `p` has non-zero probability (support) on a closed interval `[a, b]` and you want to use AD without having to worry about reaching the boundary. E.g. `Beta` has support `[0, 1]` so if we could transform `p = Beta` into a density `q` with support on ℝ, we could instead compute the derivative of `logpdf(q, y)` wrt. `y`, and then transform back `x = b⁻¹(y)`. This is very useful for certain inference methods, e.g. Hamiltonian Monte-Carlo, where we need to take the derivative of the logpdf-computation wrt. input.

Another use-case is constructing a parameterized `Bijector` and consider transforming a "simple" density, e.g. `MvNormal`, to match a more complex density. One class of such bijectors is Normalizing Flows (NFs) which are compositions of differentiable and invertible neural networks, i.e. composition of a particular family of parameterized bijectors. We'll see an example of this later on.

### Basic usage

Other than the `logpdf_with_trans` methods, the package also provides a more composable interface through the `Bijector` types. Consider for example the one from above with `Beta(2, 2)`.

```julia> using Random; Random.seed!(42);

julia> using Bijectors; using Bijectors: Logit

julia> dist = Beta(2, 2)
Beta{Float64}(α=2.0, β=2.0)

julia> x = rand(dist)
0.36888689965963756

julia> b = bijector(dist) # bijection (0, 1) → ℝ
Logit{Float64}(0.0, 1.0)

julia> y = b(x)
-0.5369949942509267```

In this case we see that `bijector(d::Distribution)` returns the corresponding constrained-to-unconstrained bijection for `Beta`, which indeed is a `Logit` with `a = 0.0` and `b = 1.0`. The resulting `Logit <: Bijector` has a method `(b::Logit)(x)` defined, allowing us to call it just like any other function. Comparing with the above example, `b(x) ≈ link(dist, x)`. Just to convince ourselves:

```julia> b(x) ≈ link(dist, x)
true```

#### Inversion

What about `invlink`?

```julia> b⁻¹ = inv(b)
Inverse{Logit{Float64},0}(Logit{Float64}(0.0, 1.0))

julia> b⁻¹(y)
0.3688868996596376

true```

Pretty neat, huh? `Inverse{Logit}` is also a `Bijector` where we've defined `(ib::Inverse{<:Logit})(y)` as the inverse transformation of `(b::Logit)(x)`. Note that it's not always the case that `inv(b) isa Inverse`, e.g. the inverse of `Exp` is simply `Log` so `inv(Exp()) isa Log` is true.

#### Dimensionality

One more thing. See the `0` in `Inverse{Logit{Float64}, 0}`? It represents the dimensionality of the bijector, in the same sense as for an `AbstractArray` with the exception of `0` which means it expects 0-dim input and output, i.e. `<:Real`. This can also be accessed through `dimension(b)`:

```julia> Bijectors.dimension(b)
0

julia> Bijectors.dimension(Exp{1}())
1```

In most cases specification of the dimensionality is unnecessary as a `Bijector{N}` is usually only defined for a particular value of `N`, e.g. `Logit isa Bijector{0}` since it only makes sense to apply `Logit` to a real number (or a vector of reals if you're doing batch-computation). As a user, you'll rarely have to deal with this dimensionality specification. Unfortunately there are exceptions, e.g. `Exp` which can be applied to both real numbers and a vector of real numbers, in both cases treating it as a single input. This means that when `Exp` receives a vector input `x` as input, it's ambiguous whether or not to treat `x` as a batch of 0-dim inputs or as a single 1-dim input. As a result, to support batch-computation it is necessary to know the expected dimensionality of the input and output. Notice that we assume the dimensionality of the input and output to be the same. This is a reasonable assumption considering we're working with bijections.

#### Composition

Also, we can compose bijectors:

```julia> id_y = (b ∘ b⁻¹)
Composed{Tuple{Inverse{Logit{Float64},0},Logit{Float64}},0}((Inverse{Logit{Float64},0}(Logit{Float64}(0.0, 1.0)), Logit{Float64}(0.0, 1.0)))

julia> id_y(y) ≈ y
true```

And since `Composed isa Bijector`:

```julia> id_x = inv(id_y)
Composed{Tuple{Inverse{Logit{Float64},0},Logit{Float64}},0}((Inverse{Logit{Float64},0}(Logit{Float64}(0.0, 1.0)), Logit{Float64}(0.0, 1.0)))

julia> id_x(x) ≈ x
true```

#### `logpdf` of `TransformedDistribution`

This far we've seen that we can replicate the functionality provided by `link` and `invlink`. To replicate `logpdf_with_trans` we instead provide a `TransformedDistribution <: Distribution` implementing the `Distribution` interface from Distributions.jl:

```julia> using Bijectors: TransformedDistribution

julia> td = transformed(dist)
TransformedDistribution{Beta{Float64},Logit{Float64},Univariate}(
dist: Beta{Float64}(α=2.0, β=2.0)
transform: Logit{Float64}(0.0, 1.0)
)

julia> td isa UnivariateDistribution
true

julia> logpdf(td, y)
-1.123311289915276

julia> logpdf_with_trans(dist, x, true)
-1.123311289915276```

When computing `logpdf(td, y)` where `td` is the transformed distribution corresponding to `Beta(2, 2)`, it makes more semantic sense to compute the pdf of the transformed variable `y` rather than using the "un-transformed" variable `x` to do so, as we do in `logpdf_with_trans`. With that being said, we can also do

```julia> logpdf_forward(td, x)
-1.123311289915276```

#### `logabsdetjac` and `forward`

In the computation of both `logpdf` and `logpdf_forward` we need to compute `log(abs(det(jacobian(inv(b), y))))` and `log(abs(det(jacobian(b, x))))`, respectively. This computation is available using the `logabsdetjac` method

```julia> logabsdetjac(b⁻¹, y)
-1.4575353795716655

julia> logabsdetjac(b, x)
1.4575353795716655```

Notice that

```julia> logabsdetjac(b, x) ≈ -logabsdetjac(b⁻¹, y)
true```

which is always the case for a differentiable bijection with differentiable inverse. Therefore if you want to compute `logabsdetjac(b⁻¹, y)` and we know that `logabsdetjac(b, b⁻¹(y))` is actually more efficient, we'll return `-logabsdetjac(b, b⁻¹(y))` instead. For some bijectors it might be easy to compute, say, the forward pass `b(x)`, but expensive to compute `b⁻¹(y)`. Because of this you might want to avoid doing anything "backwards", i.e. using `b⁻¹`. This is where `forward` comes to good use:

```julia> forward(b, x)
(rv = -0.5369949942509267, logabsdetjac = 1.4575353795716655)```

Similarily

```julia> forward(inv(b), y)
(rv = 0.3688868996596376, logabsdetjac = -1.4575353795716655)```

In fact, the purpose of `forward` is to just do the right thing, not necessarily "forward". In this function we'll have access to both the original value `x` and the transformed value `y`, so we can compute `logabsdetjac(b, x)` in either direction. Furthermore, in a lot of cases we can re-use a lot of the computation from `b(x)` in the computation of `logabsdetjac(b, x)`, or vice-versa. `forward(b, x)` will take advantage of such opportunities (if implemented).

#### Sampling from `TransformedDistribution`

At this point we've only shown that we can replicate the existing functionality. But we said `TransformedDistribution isa Distribution`, so we also have `rand`:

```julia> y = rand(td)              # ∈ ℝ
0.999166054552483

julia> x = inv(td.transform)(y)  # transform back to interval [0, 1]
0.7308945834125756```

This can be quite convenient if you have computations assuming input to be on the real line.

But the real utility of `TransformedDistribution` becomes more apparent when using `transformed(dist, b)` for any bijector `b`. To get the transformed distribution corresponding to the `Beta(2, 2)`, we called `transformed(dist)` before. This is simply an alias for `transformed(dist, bijector(dist))`. Remember `bijector(dist)` returns the constrained-to-constrained bijector for that particular `Distribution`. But we can of course construct a `TransformedDistribution` using different bijectors with the same `dist`. This is particularly useful in something called Automatic Differentiation Variational Inference (ADVI). An important part of ADVI is to approximate a constrained distribution, e.g. `Beta`, as follows:

1. Sample `x` from a `Normal` with parameters `μ` and `σ`, i.e. `x ~ Normal(μ, σ)`.
2. Transform `x` to `y` s.t. `y ∈ support(Beta)`, with the transform being a differentiable bijection with a differentiable inverse (a "bijector")

This then defines a probability density with same support as `Beta`! Of course, it's unlikely that it will be the same density, but it's an approximation. Creating such a distribution becomes trivial with `Bijector` and `TransformedDistribution`:

```julia> dist = Beta(2, 2)
Beta{Float64}(α=2.0, β=2.0)

julia> b = bijector(dist)              # (0, 1) → ℝ
Logit{Float64}(0.0, 1.0)

julia> b⁻¹ = inv(b)                    # ℝ → (0, 1)
Inverse{Logit{Float64},0}(Logit{Float64}(0.0, 1.0))

julia> td = transformed(Normal(), b⁻¹) # x ∼ 𝓝(0, 1) then b(x) ∈ (0, 1)
TransformedDistribution{Normal{Float64},Inverse{Logit{Float64},0},Univariate}(
dist: Normal{Float64}(μ=0.0, σ=1.0)
transform: Inverse{Logit{Float64},0}(Logit{Float64}(0.0, 1.0))
)

julia> x = rand(td)                    # ∈ (0, 1)
0.538956748141868```

It's worth noting that `support(Beta)` is the closed interval `[0, 1]`, while the constrained-to-unconstrained bijection, `Logit` in this case, is only well-defined as a map `(0, 1) → ℝ` for the open interval `(0, 1)`. This is of course not an implementation detail. `ℝ` is itself open, thus no continuous bijection exists from a closed interval to `ℝ`. But since the boundaries of a closed interval has what's known as measure zero, this doesn't end up affecting the resulting density with support on the entire real line. In practice, this means that

```td = transformed(Beta())

inv(td.transform)(rand(td))```

will never result in `0` or `1` though any sample arbitrarily close to either `0` or `1` is possible. Disclaimer: numerical accuracy is limited, so you might still see `0` and `1` if you're lucky.

We can also do multivariate ADVI using the `Stacked` bijector. `Stacked` gives us a way to combine univariate and/or multivariate bijectors into a singe multivariate bijector. Say you have a vector `x` of length 2 and you want to transform the first entry using `Exp` and the second entry using `Log`. `Stacked` gives you an easy and efficient way of representing such a bijector.

```julia> Random.seed!(42);

julia> using Bijectors: Exp, Log, SimplexBijector

julia> # Original distributions
dists = (
Beta(),
InverseGamma(),
Dirichlet(2, 3)
);

julia> # Construct the corresponding ranges
ranges = [];

julia> idx = 1;

julia> for i = 1:length(dists)
d = dists[i]
push!(ranges, idx:idx + length(d) - 1)

global idx
idx += length(d)
end;

julia> ranges
3-element Array{Any,1}:
1:1
2:2
3:4

julia> # Base distribution; mean-field normal
num_params = ranges[end][end]
4

julia> d = MvNormal(zeros(num_params), ones(num_params))
DiagNormal(
dim: 4
μ: [0.0, 0.0, 0.0, 0.0]
Σ: [1.0 0.0 0.0 0.0; 0.0 1.0 0.0 0.0; 0.0 0.0 1.0 0.0; 0.0 0.0 0.0 1.0]
)

julia> # Construct the transform
bs = bijector.(dists)     # constrained-to-unconstrained bijectors for dists
(Logit{Float64}(0.0, 1.0), Log{0}(), SimplexBijector{true}())

julia> ibs = inv.(bs)            # invert, so we get unconstrained-to-constrained
(Inverse{Logit{Float64},0}(Logit{Float64}(0.0, 1.0)), Exp{0}(), Inverse{SimplexBijector{true},1}(SimplexBijector{true}()))

julia> sb = Stacked(ibs, ranges) # => Stacked <: Bijector
Stacked{Tuple{Inverse{Logit{Float64},0},Exp{0},Inverse{SimplexBijector{true},1}},3}((Inverse{Logit{Float64},0}(Logit{Float64}(0.0, 1.0)), Exp{0}(), Inverse{SimplexBijector{true},1}(SimplexBijector{true}())), (1:1, 2:2, 3:4))

julia> # Mean-field normal with unconstrained-to-constrained stacked bijector
td = transformed(d, sb);

julia> y = rand(td)
4-element Array{Float64,1}:
0.36446726136766217
0.6412195576273355
0.5067884173521743
0.4932115826478257

julia> 0.0 ≤ y ≤ 1.0   # => true
true

julia> 0.0 < y         # => true
true

julia> sum(y[3:4]) ≈ 1.0  # => true
true```

### Normalizing flows

A very interesting application is that of normalizing flows. Usually this is done by sampling from a multivariate normal distribution, and then transforming this to a target distribution using invertible neural networks. Currently there are two such transforms available in Bijectors.jl: `PlanarLayer` and `RadialLayer`. Let's create a flow with a single `PlanarLayer`:

```julia> d = MvNormal(zeros(2), ones(2));

julia> b = PlanarLayer(2)
PlanarLayer{Array{Float64,2},Array{Float64,1}}([1.77786; -1.1449], [-0.468606; 0.156143], [-2.64199])

julia> flow = transformed(d, b)
TransformedDistribution{MvNormal{Float64,PDMats.PDiagMat{Float64,Array{Float64,1}},Array{Float64,1}},PlanarLayer{Array{Float64,2},Array{Float64,1}},Multivariate}(
dist: DiagNormal(
dim: 2
μ: [0.0, 0.0]
Σ: [1.0 0.0; 0.0 1.0]
)

transform: PlanarLayer{Array{Float64,2},Array{Float64,1}}([1.77786; -1.1449], [-0.468606; 0.156143], [-2.64199])
)

julia> flow isa MultivariateDistribution
true```

That's it. Now we can sample from it using `rand` and compute the `logpdf`, like any other `Distribution`.

```julia> y = rand(flow)
2-element Array{Float64,1}:
1.3337915588180933
1.010861989639227

julia> logpdf(flow, y)         # uses inverse of `b`
-2.8996106373788293

julia> x = rand(flow.dist)
2-element Array{Float64,1}:
0.18702790710363
0.5181487878771377

julia> logpdf_forward(flow, x) # more efficent and accurate
-1.9813114667203335```

Similarily to the multivariate ADVI example, we could use `Stacked` to get a bounded flow:

```julia> d = MvNormal(zeros(2), ones(2));

julia> ibs = inv.(bijector.((InverseGamma(2, 3), Beta())));

julia> sb = stack(ibs...) # == Stacked(ibs) == Stacked(ibs, [i:i for i = 1:length(ibs)]
Stacked{Tuple{Exp{0},Inverse{Logit{Float64},0}},2}((Exp{0}(), Inverse{Logit{Float64},0}(Logit{Float64}(0.0, 1.0))), (1:1, 2:2))

julia> b = sb ∘ PlanarLayer(2)
Composed{Tuple{PlanarLayer{Array{Float64,2},Array{Float64,1}},Stacked{Tuple{Exp{0},Inverse{Logit{Float64},0}},2}},1}((PlanarLayer{Array{Float64,2},Array{Float64,1}}([1.49138; 0.367563], [-0.886205; 0.684565], [-1.59058]), Stacked{Tuple{Exp{0},Inverse{Logit{Float64},0}},2}((Exp{0}(), Inverse{Logit{Float64},0}(Logit{Float64}(0.0, 1.0))), (1:1, 2:2))))

julia> td = transformed(d, b);

julia> y = rand(td)
2-element Array{Float64,1}:
2.6493626783431035
0.1833391433092443

julia> 0 < y
true

julia> 0 ≤ y ≤ 1
true```

Want to fit the flow?

```julia> using Tracker

julia> b = PlanarLayer(2, param)                  # construct parameters using `param`
PlanarLayer{TrackedArray{…,Array{Float64,2}},TrackedArray{…,Array{Float64,1}}}([-1.05099; 0.502079] (tracked), [-0.216248; -0.706424] (tracked), [-4.33747] (tracked))

julia> flow = transformed(d, b)
TransformedDistribution{MvNormal{Float64,PDMats.PDiagMat{Float64,Array{Float64,1}},Array{Float64,1}},PlanarLayer{TrackedArray{…,Array{Float64,2}},TrackedArray{…,Array{Float64,1}}},Multivariate}(
dist: DiagNormal(
dim: 2
μ: [0.0, 0.0]
Σ: [1.0 0.0; 0.0 1.0]
)

transform: PlanarLayer{TrackedArray{…,Array{Float64,2}},TrackedArray{…,Array{Float64,1}}}([-1.05099; 0.502079] (tracked), [-0.216248; -0.706424] (tracked), [-4.33747] (tracked))
)

julia> rand(flow)
Tracked 2-element Array{Float64,1}:
0.5992818950827451
-0.6264187818605164

julia> x = rand(flow.dist)
2-element Array{Float64,1}:
-0.37240087577993225
0.36901028455183293

julia> Tracker.back!(logpdf_forward(flow, x), 1.0) # backprob

2×1 Array{Float64,2}:
-0.00037431072968105417
0.0013039074681623036```

We can easily create more complex flows by simply doing `PlanarLayer(10) ∘ PlanarLayer(10) ∘ RadialLayer(10)` and so on.

In those cases, it might be useful to use Flux.jl's `Flux.params` to extract the parameters:

```julia> using Flux

julia> Flux.params(flow)
Params([[-1.05099; 0.502079] (tracked), [-0.216248; -0.706424] (tracked), [-4.33747] (tracked)])```

Another useful function is the `forward(d::Distribution)` method. It is similar to `forward(b::Bijector)` in the sense that it does a forward pass of the entire process "sample then transform" and returns all the most useful quantities in process using the most efficent computation path.

```julia> x, y, logjac, logpdf_y = forward(flow) # sample + transform and returns all the useful quantities in one pass
(x = [-0.839739, 0.169613], y = [-0.810354, 0.963392] (tracked), logabsdetjac = -0.0017416108706436628 (tracked), logpdf = -2.203100286792651 (tracked))```

This method is for example useful when computing quantities such as the expected lower bound (ELBO) between this transformed distribution and some other joint density. If no analytical expression is available, we have to approximate the ELBO by a Monte Carlo estimate. But one term in the ELBO is the entropy of the base density, which we do know analytically in this case. Using the analytical expression for the entropy and then using a monte carlo estimate for the rest of the terms in the ELBO gives an estimate with lower variance than if we used the monte carlo estimate for the entire expectation.

## Implementing your own `Bijector`

There's mainly two ways you can implement your own `Bijector`, and which way you choose mainly depends on the following question: are you bothered enough to manually implement `logabsdetjac`? If the answer is "Yup!", then you subtype from `Bijector`, if "Naaaah" then you subtype `ADBijector`.

### `<:Bijector`

Here's a simple example taken from the source code, the `Identity`:

```import Bijectors: logabsdetjac

struct Identity{N} <: Bijector{N} end
(::Identity)(x) = x                           # transform itself, "forward"
(::Inverse{<: Identity})(y) = y              # inverse tramsform, "backward"

# see the proper implementation for `logabsdetjac` in general
logabsdetjac(::Identity{0}, y::Real) = zero(eltype(y)) # ∂ₓid(x) = ∂ₓ x = 1 → log(abs(1)) = log(1) = 0```

A slightly more complex example is `Logit`:

```using StatsFuns: logit, logistic

struct Logit{T<:Real} <: Bijector{0}
a::T
b::T
end

(b::Logit)(x::Real) = logit((x - b.a) / (b.b - b.a))
(b::Logit)(x) = map(b, x)
# `orig` contains the `Bijector` which was inverted
(ib::Inverse{<:Logit})(y::Real) = (ib.orig.b - ib.orig.a) * logistic(y) + ib.orig.a
(ib::Inverse{<:Logit})(y) = map(ib, y)

logabsdetjac(b::Logit, x::Real) = - log((x - b.a) * (b.b - x) / (b.b - b.a))
logabsdetjac(b::Logit, x) = map(logabsdetjac, x)```

(Batch computation is not fully supported by all bijectors yet (see issue #35), but is actively worked on. In the particular case of `Logit` there's only one thing that makes sense, which is elementwise application. Therefore we've added `@.` to the implementation above, thus this works for any `AbstractArray{<:Real}`.)

Then

```julia> b = Logit(0.0, 1.0)
Logit{Float64}(0.0, 1.0)

julia> b(0.6)
0.4054651081081642

julia> inv(b)(y)
Tracked 2-element Array{Float64,1}:
0.3078149833748082
0.72380041667891

julia> logabsdetjac(b, 0.6)
1.4271163556401458

julia> logabsdetjac(inv(b), y) # defaults to `- logabsdetjac(b, inv(b)(x))`
Tracked 2-element Array{Float64,1}:
-1.546158373866469
-1.6098711387913573

julia> forward(b, 0.6)         # defaults to `(rv=b(x), logabsdetjac=logabsdetjac(b, x))`
(rv = 0.4054651081081642, logabsdetjac = 1.4271163556401458)```

For further efficiency, one could manually implement `forward(b::Logit, x)`:

```julia> import Bijectors: forward, Logit

julia> function forward(b::Logit{<:Real}, x)
totally_worth_saving = @. (x - b.a) / (b.b - b.a)  # spoiler: it's probably not
y = logit.(totally_worth_saving)
logjac = @. - log((b.b - x) * totally_worth_saving)
return (rv=y, logabsdetjac = logjac)
end
forward (generic function with 16 methods)

julia> forward(b, 0.6)
(rv = 0.4054651081081642, logabsdetjac = 1.4271163556401458)

julia> @which forward(b, 0.6)
forward(b::Logit{#s4} where #s4<:Real, x) in Main at REPL:2```

As you can see it's a very contrived example, but you get the idea.

### `<:ADBijector`

We could also have implemented `Logit` as an `ADBijector`:

```using StatsFuns: logit, logistic

a::T
b::T
end

(b::ADLogit)(x) = @. logit((x - b.a) / (b.b - b.a))
(ib::Inverse{<:ADLogit{<:Real}})(y) = @. (ib.orig.b - ib.orig.a) * logistic(y) + ib.orig.a```

No implementation of `logabsdetjac`, but:

```julia> b_ad = ADLogit(0.0, 1.0)

1.4271163556401458

0.4054651081081642

0.6

-1.4271163556401458```

Neat! And just to verify that everything works:

```julia> b = Logit(0.0, 1.0)
Logit{Float64}(0.0, 1.0)

julia> logabsdetjac(b, 0.6)
1.4271163556401458

julia> logabsdetjac(b_ad, 0.6) ≈ logabsdetjac(b, 0.6)
true```

We can also use Tracker.jl for the AD, rather than ForwardDiff.jl:

```julia> Bijectors.setadbackend(:reversediff)
:reversediff

1.4271163556401458```

### Reference

Most of the methods and types mention below will have docstrings with more elaborate explanation and examples, e.g.

```help?> Bijectors.Composed
Composed(ts::A)

∘(b1::Bijector{N}, b2::Bijector{N})::Composed{<:Tuple}
composel(ts::Bijector{N}...)::Composed{<:Tuple}
composer(ts::Bijector{N}...)::Composed{<:Tuple}

where A refers to either

•    Tuple{Vararg{<:Bijector{N}}}: a tuple of bijectors of dimensionality N

•    AbstractArray{<:Bijector{N}}: an array of bijectors of dimensionality N

A Bijector representing composition of bijectors. composel and composer results in a Composed for which application occurs from left-to-right and right-to-left, respectively.

Note that all the alternative ways of constructing a Composed returns a Tuple of bijectors. This ensures type-stability of implementations of all relating methdos, e.g. inv.

If you want to use an Array as the container instead you can do

Composed([b1, b2, ...])

In general this is not advised since you lose type-stability, but there might be cases where this is desired, e.g. if you have a insanely large number of bijectors to compose.

Examples
≡≡≡≡≡≡≡≡≡≡

It's important to note that ∘ does what is expected mathematically, which means that the bijectors are applied to the input right-to-left, e.g. first applying b2 and then b1:

(b1 ∘ b2)(x) == b1(b2(x))     # => true

But in the Composed struct itself, we store the bijectors left-to-right, so that

cb1 = b1 ∘ b2                  # => Composed.ts == (b2, b1)
cb2 = composel(b2, b1)         # => Composed.ts == (b2, b1)
cb1(x) == cb2(x) == b1(b2(x))  # => true```

If anything is lacking or not clear in docstrings, feel free to open an issue or PR.

#### Types

The following are the bijectors available:

• Abstract:
• `Bijector`: super-type of all bijectors.
• `ADBijector{AD} <: Bijector`: subtypes of this only require the user to implement `(b::UserBijector)(x)` and `(ib::Inverse{<:UserBijector})(y)`. Automatic differentation will be used to compute the `jacobian(b, x)` and thus `logabsdetjac(b, x).
• Concrete:
• `Composed`: represents a composition of bijectors.
• `Stacked`: stacks univariate and multivariate bijectors
• `Identity`: does what it says, i.e. nothing.
• `Logit`
• `Exp`
• `Log`
• `Scale`: scaling by scalar value, though at the moment only well-defined `logabsdetjac` for univariate.
• `Shift`: shifts by a scalar value.
• `Permute`: permutes the input array using matrix multiplication
• `SimplexBijector`: mostly used as the constrained-to-unconstrained bijector for `SimplexDistribution`, e.g. `Dirichlet`.
• `PlanarLayer`: §4.1 Eq. (10) in 
• `RadialLayer`: §4.1 Eq. (14) in 

The distribution interface consists of:

• `TransformedDistribution <: Distribution`: implements the `Distribution` interface from Distributions.jl. This means `rand` and `logpdf` are provided at the moment.

#### Methods

The following methods are implemented by all subtypes of `Bijector`, this also includes bijectors such as `Composed`.

• `(b::Bijector)(x)`: implements the transform of the `Bijector`
• `inv(b::Bijector)`: returns the inverse of `b`, i.e. `ib::Bijector` s.t. `(ib ∘ b)(x) ≈ x`. In most cases this is `Inverse{<:Bijector}`.
• `logabsdetjac(b::Bijector, x)`: computes log(abs(det(jacobian(b, x)))).
• `forward(b::Bijector, x)`: returns named tuple `(rv=b(x), logabsdetjac=logabsdetjac(b, x))` in the most efficient manner.
• `∘`, `composel`, `composer`: convenient and type-safe constructors for `Composed`. `composel(bs...)` composes s.t. the resulting composition is evaluated left-to-right, while `composer(bs...)` is evaluated right-to-left. `∘` is right-to-left, as excepted from standard mathematical notation.
• `jacobian(b::Bijector, x)` [OPTIONAL]: returns the jacobian of the transformation. In some cases the analytical jacobian has been implemented for efficiency.
• `dimension(b::Bijector)`: returns the dimensionality of `b`.
• `isclosedform(b::Bijector)`: returns `true` or `false` depending on whether or not `b(x)` has a closed-form implementation.

For `TransformedDistribution`, together with default implementations for `Distribution`, we have the following methods:

• `bijector(d::Distribution)`: returns the default constrained-to-unconstrained bijector for `d`
• `transformed(d::Distribution)`, `transformed(d::Distribution, b::Bijector)`: constructs a `TransformedDistribution` from `d` and `b`.
• `logpdf_forward(d::Distribution, x)`, `logpdf_forward(d::Distribution, x, logjac)`: computes the `logpdf(td, td.transform(x))` using the forward pass, which is potentially faster depending on the transform at hand.
• `forward(d::Distribution)`: returns `(x = rand(dist), y = b(x), logabsdetjac = logabsdetjac(b, x), logpdf = logpdf_forward(td, x))` where `b = td.transform`. This combines sampling from base distribution and transforming into one function. The intention is that this entire process should be performed in the most efficient manner, e.g. the `logabsdetjac(b, x)` call might instead be implemented as `- logabsdetjac(inv(b), b(x))` depending on which is most efficient.

# Bibliography

1. Rezende, D. J., & Mohamed, S. (2015). Variational Inference With Normalizing Flows. arXiv:1505.05770.
2. Kucukelbir, A., Tran, D., Ranganath, R., Gelman, A., & Blei, D. M. (2016). Automatic Differentiation Variational Inference. arXiv:1603.00788.

### Required Packages

View all packages