Implement a SoftAsymmetricLaplace distribution #2872
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fehiepsi
reviewed
Jun 12, 2021
| # left = Integrate[e^(-t/L - ((x+t)/S)^2/2)/sqrt(2 pi)/S, {t,0,Infinity}] | ||
| # = 1/2 e^((2 L x + S^2)/(2 L^2)) erfc((L x + S^2)/(sqrt(2) L S)) | ||
| # right = Integrate[e^(-t/R - ((x-t)/S)^2/2)/sqrt(2 pi)/S, {t,0,Infinity}] | ||
| # = 1/2 e^((S^2 - 2 R x)/(2 R^2)) erfc((S^2 - R x)/(sqrt(2) R S)) |
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the approach sounds reasonable to me. I haven't checked the details but we can trust the tests I think.
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@fehiepsi @neerajprad any ideas how to fix coveralls? Our config seems pretty different from the parallel example on github/marketplace/actions. |
fehiepsi
approved these changes
Jun 14, 2021
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The coveralls issue is not related to this PR so I just made a fix and merged to see if the dev branch passes CI. We can change what to put to |
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Thanks for reviewing @fehiepsi ! |
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Resolves #2868
This adds a flexible univariate distribution with exponential tails and an infinitely differentiable concave log density.
Numerical stability
This may be numerically unstable due to the
log(erfc(-)), which will be replace bytorch.logerfc(-)after pytorch/pytorch#31945Tested