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Add Steve's VI with NFs curriculum
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_config.yml

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name: Riley Edmunds
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email: rileyedmunds@gmail.com
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web: https://www.linkedin.com/in/rileyedmunds
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kroon:
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name: Steve Kroon
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email: skroon@gmail.com
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web: https://twitter.com/skroon
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# Build settings
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markdown: kramdown

_posts/2020-03-02-SVGD.markdown

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feedback: true
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---
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[Editor’s Note: This class was a part of the 2019 DFL Jane Street Fellowship.]
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[Editor’s Note: This class was a part of the 2019 DFL [Jane Street](https://www.janestreet.com/) Fellowship.]
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This guide is thanks to a many different people, all of whom took their time to give feedback, write reviews, and provide their own insights to the curriculum.
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_posts/2020-04-07-Resurrecting-Sigmoid.markdown

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feedback: true
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---
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[Editor’s Note: This class was a part of the 2019 DFL Jane Street Fellowship.]
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[Editor’s Note: This class was a part of the 2019 DFL [Jane Street](https://www.janestreet.com/) Fellowship.]
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This guide would not have been possible without the help and feedback from many people.
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assets/VI-with-NFs.svg

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assets/vae.py

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# VAE implementation exercise for Depth First Learning Curriculum: Normalizing Flows for Variational Inference.
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# This is a stripped-down version of the PyTorch VAE example available at https://github.com/pytorch/examples/blob/master/vae/main.py.
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from __future__ import print_function
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import argparse
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import torch
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import torch.utils.data
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from torch import nn, optim
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from torch.nn import functional as F
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from torchvision import datasets, transforms
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from torchvision.utils import save_image
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parser = argparse.ArgumentParser(description='VAE MNIST Example')
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parser.add_argument('--batch-size', type=int, default=128, metavar='N',
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help='input batch size for training (default: 128)')
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parser.add_argument('--epochs', type=int, default=10, metavar='N',
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help='number of epochs to train (default: 10)')
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parser.add_argument('--no-cuda', action='store_true', default=False,
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help='enables CUDA training')
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parser.add_argument('--seed', type=int, default=1, metavar='S',
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help='random seed (default: 1)')
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parser.add_argument('--log-interval', type=int, default=10, metavar='N',
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help='how many batches to wait before logging training status')
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args = parser.parse_args()
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args.cuda = not args.no_cuda and torch.cuda.is_available()
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torch.manual_seed(args.seed)
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device = torch.device("cuda" if args.cuda else "cpu")
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kwargs = {'num_workers': 1, 'pin_memory': True} if args.cuda else {}
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train_loader = torch.utils.data.DataLoader(
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datasets.MNIST('../data', train=True, download=True,
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transform=transforms.ToTensor()),
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batch_size=args.batch_size, shuffle=True, **kwargs)
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test_loader = torch.utils.data.DataLoader(
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datasets.MNIST('../data', train=False, transform=transforms.ToTensor()),
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batch_size=args.batch_size, shuffle=True, **kwargs)
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class VAE(nn.Module):
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def __init__(self):
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super(VAE, self).__init__()
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# fc1, fc21 and fc22 are used by the encoder.
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# fc1 takes a vectorized MNIST image as input
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# fc21 and fc22 are both attached to the activation output of fc1 (using ReLU).
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# fc21 outputs the means, and fc22 the log-variances of
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# each component of th 20-dimensional latent Gaussian.
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self.fc1 = nn.Linear(784, 400)
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self.fc21 = nn.Linear(400, 20)
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self.fc22 = nn.Linear(400, 20)
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# fc3 and fc4 are connected in series as the decoder.
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# fc3 takes a realization from the latent space as input
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# and the decoder generates a vectorized 28x28 image.
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# The output of fc3 passes through a ReLU,
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# while fc4 uses a sigmoid in order to output a probability for each pixel
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self.fc3 = nn.Linear(20, 400)
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self.fc4 = nn.Linear(400, 784)
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# TODO: Implement the following four functions. Note that they should be able to accept arguments containing stacked information for multiple observations
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# e.g. a minibatch rather than a single observation. Your solution will need to handle this. If you treat the arguments as
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# representing a single observation in your logic, in most cases broadcasting will do the rest of the job automatically for you.
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def encode(self, x):
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# This should return the outputs of fc21 and fc22 as a tuple
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pass
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def reparameterize(self, mu, logvar):
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# This should sample vectors from an isotropic Gaussian, and use these to generate
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# and return observations with a mean vectors from mu, and log-variances of log-var
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pass
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def decode(self, z):
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# Pass z through the decoder. For each 20-dimensional latent realization, there should be a 784-dimensional vector of
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#probabilities generated, one per pixel
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pass
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def forward(self, x):
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# For each observation in x:
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# 1. Pass it through the encoder to get predicted variational distribution parameters
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# 2. Reparameterize an isotropic Gaussian with these parameters to get sample latent variable realizations
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# 3. Pass the realization through the encoder to get predicted pixel probabilities
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# Return a tuple with 3 elements: (a) the predicted pixel probabilities, (b) the predicted variational means, and (c) the predicted variational log-variances
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x = x.view(-1,784) # Reshape x to provide suitable inputs to the encoder
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pass
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model = VAE().to(device)
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optimizer = optim.Adam(model.parameters(), lr=1e-3)
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# TODO: Implement this loss function
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def loss_function(recon_x, x, mu, logvar):
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# The loss should be (an estimate of) the negative ELBO - remember we wish to maximise the ELBO - but the ELBO can be written in a number of forms.
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# In this case, the prior for the latent variable and the variational posterior are both Gaussians, and we will exploit this.
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# Specifically, we can analytically calculate a part of the ELBO, and only use Monte Carlo estimation for the rest.
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# 1. We use the form of the ELBO which includes a KL divergence between the latent prior and the variational family
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# - see the form at the bottom of page 6 of Blei et al's "Variational Inference: A Review for Statisticians".
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# 2. In this case, the expression for the relevant KL divergence can be obtained from Exercise (e) in Week 1.
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#
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# The other term is the expected conditional log-likelihood, which is estimated using a single Monte-Carlo sample.
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# For the log-likelihood, one evaluates the probability of observing an input point given the "conditional distribution" for
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# observations output by the network - in this case, each pixel is independently Bernoulli with parameter equal to the output probability.
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# You may find torch.nn.functional's binary_cross_entropy function useful here.
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#
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# Additional: the extraction of the KL divergence as above reduces the variance. Investigate the effect of directly estimating
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# the full ELBO term for each observation with a single Monte Carlo sample.
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#
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# You may find torch.nn.functional's binary_cross_entropy function useful.
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#
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# Return a single value accumulating the loss over the whole batch.
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#
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# Arguments:
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# x is the batch of observations
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# recon_x, mu, and logvar are the outputs of forward(x) (above) - see the usage below
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x = x.view(-1,784) # Reshape x to provide suitable inputs to the encoder
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pass
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def train(epoch):
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model.train()
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train_loss = 0
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for batch_idx, (data, _) in enumerate(train_loader):
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data = data.to(device)
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optimizer.zero_grad()
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recon_batch, mu, logvar = model(data)
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loss = loss_function(recon_batch, data, mu, logvar)
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loss.backward()
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train_loss += loss.item()
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optimizer.step()
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if batch_idx % args.log_interval == 0:
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print('Train Epoch: {} [{}/{} ({:.0f}%)]\tLoss: {:.6f}'.format(
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epoch, batch_idx * len(data), len(train_loader.dataset),
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100. * batch_idx / len(train_loader),
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loss.item() / len(data)))
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print('====> Epoch: {} Average loss: {:.4f}'.format(
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epoch, train_loss / len(train_loader.dataset)))
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def test(epoch):
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model.eval()
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test_loss = 0
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with torch.no_grad():
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for i, (data, _) in enumerate(test_loader):
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data = data.to(device)
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recon_batch, mu, logvar = model(data)
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test_loss += loss_function(recon_batch, data, mu, logvar).item()
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if i == 0:
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n = min(data.size(0), 8)
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comparison = torch.cat([data[:n],
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recon_batch.view(args.batch_size, 1, 28, 28)[:n]])
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save_image(comparison.cpu(),
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'results/reconstruction_' + str(epoch) + '.png', nrow=n)
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test_loss /= len(test_loader.dataset)
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print('====> Test set loss: {:.4f}'.format(test_loss))
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if __name__ == "__main__":
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for epoch in range(1, args.epochs + 1):
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train(epoch)
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test(epoch)
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with torch.no_grad():
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sample = torch.randn(64, 20).to(device)
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sample = model.decode(sample).cpu()
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save_image(sample.view(64, 1, 28, 28),
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'results/sample_' + str(epoch) + '.png')

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