Verify result of biject_to satisfies the constraint. (pyro-ppl#1770)

* Verify result of `biject_to` satisfies the constraint.

* Replace global `jax.numpy` arrays by `numpy` arrays.

numpyro/distributions/constraints.py

@@ -169,9 +169,9 @@ class _CorrMatrix(_SingletonConstraint):
     def __call__(self, x):
         jnp = np if isinstance(x, (np.ndarray, np.generic)) else jax.numpy
         # check for symmetric
-        symmetric = jnp.all(jnp.all(x == jnp.swapaxes(x, -2, -1), axis=-1), axis=-1)
+        symmetric = jnp.all(jnp.isclose(x, jnp.swapaxes(x, -2, -1)), axis=(-2, -1))
         # check for the smallest eigenvalue is positive
-        positive = jnp.linalg.eigh(x)[0][..., 0] > 0
+        positive = jnp.linalg.eigvalsh(x)[..., 0] > 0
         # check for diagonal equal to 1
         unit_variance = jnp.all(
             jnp.abs(jnp.diagonal(x, axis1=-2, axis2=-1) - 1) < 1e-6, axis=-1

test/test_transforms.py

@@ -5,11 +5,13 @@
 from functools import partial
 import math
 
+import numpy as np
 import pytest
 
 from jax import jacfwd, jit, random, tree_map, vmap
 import jax.numpy as jnp
 
+from numpyro.distributions import constraints
 from numpyro.distributions.flows import (
     BlockNeuralAutoregressiveTransform,
     InverseAutoregressiveTransform,
@@ -49,9 +51,6 @@ def _unpack(x):
     return (x,)
 
 
-_a = jnp.asarray
-
-
 def _smoke_neural_network():
     return None, None
 
@@ -61,31 +60,29 @@ class T(namedtuple("TestCase", ["transform_cls", "params", "kwargs"])):
 
 
 TRANSFORMS = {
-    "affine": T(
-        AffineTransform, (jnp.array([1.0, 2.0]), jnp.array([3.0, 4.0])), dict()
-    ),
+    "affine": T(AffineTransform, (np.array([1.0, 2.0]), np.array([3.0, 4.0])), dict()),
     "compose": T(
         ComposeTransform,
         (
             [
-                AffineTransform(jnp.array([1.0, 2.0]), jnp.array([3.0, 4.0])),
+                AffineTransform(np.array([1.0, 2.0]), np.array([3.0, 4.0])),
                 ExpTransform(),
             ],
         ),
         dict(),
     ),
     "independent": T(
         IndependentTransform,
-        (AffineTransform(jnp.array([1.0, 2.0]), jnp.array([3.0, 4.0])),),
+        (AffineTransform(np.array([1.0, 2.0]), np.array([3.0, 4.0])),),
         dict(reinterpreted_batch_ndims=1),
     ),
     "lower_cholesky_affine": T(
-        LowerCholeskyAffine, (jnp.array([1.0, 2.0]), jnp.eye(2)), dict()
+        LowerCholeskyAffine, (np.array([1.0, 2.0]), np.eye(2)), dict()
     ),
-    "permute": T(PermuteTransform, (jnp.array([1, 0]),), dict()),
+    "permute": T(PermuteTransform, (np.array([1, 0]),), dict()),
     "power": T(
         PowerTransform,
-        (_a(2.0),),
+        (np.array(2.0),),
         dict(),
     ),
     "rfft": T(
@@ -95,12 +92,12 @@ class T(namedtuple("TestCase", ["transform_cls", "params", "kwargs"])):
     ),
     "recursive_linear": T(
         RecursiveLinearTransform,
-        (jnp.eye(5),),
+        (np.eye(5),),
         dict(),
     ),
     "simplex_to_ordered": T(
         SimplexToOrderedTransform,
-        (_a(1.0),),
+        (np.array(1.0),),
         dict(),
     ),
     "unpack": T(UnpackTransform, (), dict(unpack_fn=_unpack)),
@@ -124,7 +121,7 @@ class T(namedtuple("TestCase", ["transform_cls", "params", "kwargs"])):
         # autoregressive_nn is a non-jittable arg, which does not fit well with
         # the current test pipeline, which assumes jittable args, and non-jittable kwargs
         partial(InverseAutoregressiveTransform, _smoke_neural_network),
-        (_a(-1.0), _a(1.0)),
+        (np.array(-1.0), np.array(1.0)),
         dict(),
     ),
     "bna": T(
@@ -279,10 +276,10 @@ def test_real_fast_fourier_transform(input_shape, shape, ndims):
         (IdentityTransform(), ()),
         (IndependentTransform(ExpTransform(), 2), (3, 4)),
         (L1BallTransform(), (9,)),
-        (LowerCholeskyAffine(jnp.ones(3), jnp.eye(3)), (3,)),
+        (LowerCholeskyAffine(np.ones(3), np.eye(3)), (3,)),
         (LowerCholeskyTransform(), (10,)),
         (OrderedTransform(), (5,)),
-        (PermuteTransform(jnp.roll(jnp.arange(7), 2)), (7,)),
+        (PermuteTransform(np.roll(np.arange(7), 2)), (7,)),
         (PowerTransform(2.5), ()),
         (RealFastFourierTransform(7), (7,)),
         (RealFastFourierTransform((8, 9), 2), (8, 9)),
@@ -354,3 +351,41 @@ def test_batched_recursive_linear_transform():
     y = transform(x)
     assert y.shape == x.shape
     assert jnp.allclose(x, transform.inv(y), atol=1e-6)
+
+
+@pytest.mark.parametrize(
+    "constraint, shape",
+    [
+        (constraints.circular, (3,)),
+        (constraints.complex, (3,)),
+        (constraints.corr_cholesky, (10, 10)),
+        (constraints.corr_matrix, (21,)),
+        (constraints.greater_than(3), ()),
+        (constraints.interval(8, 13), (17,)),
+        (constraints.l1_ball, (4,)),
+        (constraints.less_than(-1), ()),
+        (constraints.lower_cholesky, (21,)),
+        (constraints.open_interval(3, 4), ()),
+        (constraints.ordered_vector, (5,)),
+        (constraints.positive_definite, (6,)),
+        (constraints.positive_ordered_vector, (7,)),
+        (constraints.positive, (7,)),
+        (constraints.real_matrix, (17,)),
+        (constraints.real_vector, (18,)),
+        (constraints.real, (3,)),
+        (constraints.scaled_unit_lower_cholesky, (21,)),
+        (constraints.simplex, (3,)),
+        (constraints.softplus_lower_cholesky, (21,)),
+        (constraints.softplus_positive, (2,)),
+        (constraints.unit_interval, (4,)),
+    ],
+    ids=str,
+)
+def test_biject_to(constraint, shape):
+    batch_shape = (13, 19)
+    unconstrained = random.normal(random.key(93), batch_shape + shape)
+    constrained = biject_to(constraint)(unconstrained)
+    passed = constraint.check(constrained)
+    expected_shape = constrained.shape[: constrained.ndim - constraint.event_dim]
+    assert passed.shape == expected_shape
+    assert jnp.all(passed)