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Add ICDF and CDF to BernoulliProbs #1652

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Add ICDF and CDF to BernoulliProbs #1652

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abb2175
Add ICDF and CDF to BernoulliProbs
12kleingordon34 Sep 27, 2023
3ce5ea4
Add tests for BernoulliProbs ICDF and CDF
12kleingordon34 Sep 27, 2023
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7 changes: 7 additions & 0 deletions numpyro/distributions/discrete.py
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Original file line number Diff line number Diff line change
Expand Up @@ -102,6 +102,13 @@ def mean(self):
def variance(self):
return self.probs * (1 - self.probs)

def cdf(self, value):
return ((1 - self.probs) * jnp.heaviside(value, 1)
+ self.probs * jnp.heaviside(value - 1, 1))

def icdf(self, q):
return jnp.heaviside(q - (1 - self.probs), 1)

def enumerate_support(self, expand=True):
values = jnp.arange(2).reshape((-1,) + (1,) * len(self.batch_shape))
if expand:
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13 changes: 10 additions & 3 deletions test/test_distributions.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1387,7 +1387,7 @@ def test_mixture_log_prob():
@pytest.mark.parametrize(
"jax_dist, sp_dist, params",
# TODO: add more complete pattern for Discrete.cdf
CONTINUOUS + [T(dist.Poisson, 2.0), T(dist.Poisson, np.array([2.0, 3.0, 5.0]))],
CONTINUOUS + [T(dist.Poisson, 2.0), T(dist.Poisson, np.array([2.0, 3.0, 5.0])), T(dist.BernoulliProbs, 0.2)],
)
@pytest.mark.filterwarnings("ignore:overflow encountered:RuntimeWarning")
def test_cdf_and_icdf(jax_dist, sp_dist, params):
Expand All @@ -1411,8 +1411,15 @@ def test_cdf_and_icdf(jax_dist, sp_dist, params):
atol=1e-5,
rtol=rtol,
)
assert_allclose(d.cdf(d.icdf(quantiles)), quantiles, atol=1e-5, rtol=1e-5)
assert_allclose(d.icdf(d.cdf(samples)), samples, atol=1e-5, rtol=rtol)
if jax_dist is dist.BernoulliProbs:
assert pytest.approx(d.icdf(quantiles).mean(), abs=0.1) == d.probs
prop_of_ones = (d.cdf(d.icdf(quantiles)) == 1).mean()
prop_of_zeros = (d.cdf(d.icdf(quantiles)) == (1 - d.probs)).mean()
assert pytest.approx(prop_of_ones, abs=0.1) == d.probs
assert pytest.approx(prop_of_zeros, abs=0.1) == (1 - d.probs)
else:
assert_allclose(d.cdf(d.icdf(quantiles)), quantiles, atol=1e-5, rtol=1e-5)
assert_allclose(d.icdf(d.cdf(samples)), samples, atol=1e-5, rtol=rtol)
except NotImplementedError:
pass

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