[WIP] Implementation of Inverse Wishart distribution#70275
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nonconvexopt wants to merge 352 commits intopytorch:masterfrom
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[WIP] Implementation of Inverse Wishart distribution#70275nonconvexopt wants to merge 352 commits intopytorch:masterfrom
nonconvexopt wants to merge 352 commits intopytorch:masterfrom
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…h into wishart_distribution
…h into wishart_distribution
Summary: Pull Request resolved: pytorch#76357 Fix for pytorch#76160 This fixes the random seed for the `test_wishart_log_prob` (like all random tests in `test_distributions`) to prevent non-determinism. Test Plan: Tested locally. Differential Revision: D35914795 fbshipit-source-id: 85001cc500e1d48d4e81c2e33b783ed6c38c9851
…se_wishart_distribution
…t/pytorch into inverse_wishart_distribution
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laurentdupin
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…orch#71375) Summary: While implementing pytorch#70275, I thought that it will be useful if there is a `torch.distributions.constraints` to check the positive-semidefiniteness of matrix random variables. This PR implements it with `torch.linalg.eigvalsh`, different from `torch.distributions.constraints.positive_definite` implemented with `torch.linalg.cholesky_ex`. Currently, `torch.linalg.cholesky_ex` returns only the order of the leading minor that is not positive-definite in symmetric matrices and we can't check positive semi-definiteness by the mechanism. cc neerajprad Pull Request resolved: pytorch#71375 Reviewed By: H-Huang Differential Revision: D33663990 Pulled By: neerajprad fbshipit-source-id: 02cefbb595a1da5e54a239d4f17b33c619416518 (cherry picked from commit 43eaea5)
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On the process of #68050
Contiguous to previous contribution #68588 implemented
torch.distributions.wishart.Wishartwith @neerajprad.cc @neerajprad
While working on #68588, @dccastro provided initiative implementation of Inverse Wishart distribution based on PyTorch: https://github.com/biomedia-mira/deepscm/blob/master/deepscm/distributions/torch_wishart.py
Thank you for the neat and intuitive work to reference.
TODO:
Note) Removed 'Add transform from Wishart distribution to Inverse Wishart distribution' from TODO since we added manual implementation for Inverse Wishart distribution.