Add Stable distribution with numerically integrated log-probability calculation (StableWithLogProb).#3369

Merged

fritzo merged 24 commits intopyro-ppl:devfrom BenZickel:stable_with_log_prob

May 28, 2024

+688-75

Commits on May 19, 2024

Added Stable distribution with unsafe log-probability calculation.
Ben Zickel
committed
Make Stable distribution log-probability calculation safe at values near zero.
Ben Zickel
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Make Stable distribution log-probability calculation safe at alpha near one.
Ben Zickel
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Make Stable log-probability method part of an independent class.
Ben Zickel
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Added dynamic near zero value tolerance to the log-probability estimation of the Stable distribution.
Ben Zickel
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Reduce Stable log-probability calculation value near zero tolerance in order to improve convergence.
Ben Zickel
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Cap range of Stable log-probability.
Ben Zickel
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Commits on May 20, 2024

Clamp log in order to make gradient continuous.
Ben Zickel
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Code cleanup.
Ben Zickel
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Don't reparametrize pyro.distributions.StableWithLogProb.
Ben Zickel
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Add tests for Stable distribution with method for calculating the log-probability.
Ben Zickel
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Linting and formatting.
Ben Zickel
committed

Commits on May 21, 2024

Commits on May 22, 2024

Added StableWithLogProb docs.
Ben Zickel
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Commits on May 27, 2024

Cap near zero tolerance by inverse probability density.
Ben Zickel
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Make log_prob return data type same as that of the input value.
Ben Zickel
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Added Stable distirbution log-probability calculation goodness of fit tests.
Ben Zickel
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Added explanation of StableWithLogProb usage and results.
Ben Zickel
committed