tensorflow_probability/python/mcmc/diagnostic.py
def _potential_scale_reduction_single_state(state, independent_chain_ndims):
  """potential_scale_reduction for one single state `Tensor`."""
  with tf.compat.v1.name_scope(
      'potential_scale_reduction_single_state',
      values=[state, independent_chain_ndims]):
    # We assume exactly one leading dimension indexes e.g. correlated samples
    # from each Markov chain.
    state = tf.convert_to_tensor(value=state, name='state')
    sample_ndims = 1

    sample_axis = tf.range(0, sample_ndims)
    chain_axis = tf.range(sample_ndims,
                          sample_ndims + independent_chain_ndims)
    sample_and_chain_axis = tf.range(
        0, sample_ndims + independent_chain_ndims)

    n = _axis_size(state, sample_axis)
    m = _axis_size(state, chain_axis)

    # In the language of Brooks and Gelman (1998),
    # B / n is the between chain variance, the variance of the chain means.
    # W is the within sequence variance, the mean of the chain variances.
    b_div_n = _reduce_variance(
        tf.reduce_mean(input_tensor=state, axis=sample_axis, keepdims=True),
        sample_and_chain_axis,
        biased=False)
    w = tf.reduce_mean(
        input_tensor=_reduce_variance(
            state, sample_axis, keepdims=True, biased=True),
        axis=sample_and_chain_axis)

    # sigma^2_+ is an estimate of the true variance, which would be unbiased if
    # each chain was drawn from the target.  c.f. "law of total variance."
    sigma_2_plus = w + b_div_n

    return ((m + 1.) / m) * sigma_2_plus / w - (n - 1.) / (m * n)
def _potential_scale_reduction_single_state(state, independent_chain_ndims):
  with tf.compat.v1.name_scope(
      'potential_scale_reduction_single_state',
      values=[state, independent_chain_ndims]):
    # We assume exactly one leading dimension indexes e.g. correlated samples
    # from each Markov chain.
    state = tf.convert_to_tensor(value=state, name='state')
    sample_ndims = 1

    sample_axis = tf.range(0, sample_ndims)
    chain_axis = tf.range(sample_ndims,
                          sample_ndims + independent_chain_ndims)
    sample_and_chain_axis = tf.range(
        0, sample_ndims + independent_chain_ndims)

    n = _axis_size(state, sample_axis)
    m = _axis_size(state, chain_axis)

    # In the language of Brooks and Gelman (1998),
    # B / n is the between chain variance, the variance of the chain means.
    # W is the within sequence variance, the mean of the chain variances.
    b_div_n = _reduce_variance(
        tf.reduce_mean(input_tensor=state, axis=sample_axis, keepdims=True),
        sample_and_chain_axis,
        biased=False)
    w = tf.reduce_mean(
        input_tensor=_reduce_variance(
            state, sample_axis, keepdims=True, biased=True),
        axis=sample_and_chain_axis)

    # sigma^2_+ is an estimate of the true variance, which would be unbiased if
    # each chain was drawn from the target.  c.f. "law of total variance."
    sigma_2_plus = w + b_div_n

    return ((m + 1.) / m) * sigma_2_plus / w - (n - 1.) / (m * n)
def _potential_scale_reduction_single_state ( state , independent_chain_ndims ) : with tf . compat . v1 . name_scope ( 'potential_scale_reduction_single_state' , values = [ state , independent_chain_ndims ] ) : # We assume exactly one leading dimension indexes e.g. correlated samples # from each Markov chain. state = tf . convert_to_tensor ( value = state , name = 'state' ) sample_ndims = 1 sample_axis = tf . range ( 0 , sample_ndims ) chain_axis = tf . range ( sample_ndims , sample_ndims + independent_chain_ndims ) sample_and_chain_axis = tf . range ( 0 , sample_ndims + independent_chain_ndims ) n = _axis_size ( state , sample_axis ) m = _axis_size ( state , chain_axis ) # In the language of Brooks and Gelman (1998), # B / n is the between chain variance, the variance of the chain means. # W is the within sequence variance, the mean of the chain variances. b_div_n = _reduce_variance ( tf . reduce_mean ( input_tensor = state , axis = sample_axis , keepdims = True ) , sample_and_chain_axis , biased = False ) w = tf . reduce_mean ( input_tensor = _reduce_variance ( state , sample_axis , keepdims = True , biased = True ) , axis = sample_and_chain_axis ) # sigma^2_+ is an estimate of the true variance, which would be unbiased if # each chain was drawn from the target.  c.f. "law of total variance." sigma_2_plus = w + b_div_n return ( ( m + 1. ) / m ) * sigma_2_plus / w - ( n - 1. ) / ( m * n )
potential_scale_reduction for one single state `Tensor`.
potential_scale_reduction for one single state Tensor .