Add ZeroSumNormal distribution

pymc/distributions/__init__.py

@@ -56,6 +56,7 @@
     VonMises,
     Wald,
     Weibull,
+    ZeroSumNormal,
 )
 from pymc.distributions.discrete import (
     Bernoulli,
@@ -115,8 +116,9 @@
     "Uniform",
     "Flat",
     "HalfFlat",
-    "TruncatedNormal",
     "Normal",
+    "TruncatedNormal",
+    "ZeroSumNormal",
     "Beta",
     "Kumaraswamy",
     "Exponential",

pymc/distributions/continuous.py

@@ -69,10 +69,13 @@ def polyagamma_cdf(*args, **kwargs):
         raise RuntimeError("polyagamma package is not installed!")
 
 
+from numpy.core.numeric import normalize_axis_tuple
 from scipy import stats
 from scipy.interpolate import InterpolatedUnivariateSpline
 from scipy.special import expit
 
+import pymc as pm
+
 from pymc.aesaraf import floatX
 from pymc.distributions import transforms
 from pymc.distributions.dist_math import (
@@ -86,16 +89,28 @@ def polyagamma_cdf(*args, **kwargs):
     normal_lcdf,
     zvalue,
 )
-from pymc.distributions.distribution import DIST_PARAMETER_TYPES, Continuous
-from pymc.distributions.shape_utils import rv_size_is_none
-from pymc.distributions.transforms import _default_transform
+from pymc.distributions.distribution import (
+    DIST_PARAMETER_TYPES,
+    Continuous,
+    Distribution,
+    SymbolicRandomVariable,
+    _moment,
+)
+from pymc.distributions.logprob import ignore_logprob
+from pymc.distributions.shape_utils import (
+    _change_dist_size,
+    convert_dims,
+    rv_size_is_none,
+)
+from pymc.distributions.transforms import ZeroSumTransform, _default_transform
 from pymc.math import invlogit, logdiffexp, logit
 
 __all__ = [
     "Uniform",
     "Flat",
     "HalfFlat",
     "Normal",
+    "ZeroSumNormal",
     "TruncatedNormal",
     "Beta",
     "Kumaraswamy",
@@ -585,6 +600,172 @@ def logcdf(value, mu, sigma):
         )
 
 
+class ZeroSumNormalRV(SymbolicRandomVariable):
+    """ZeroSumNormal random variable"""
+
+    _print_name = ("ZeroSumNormal", "\\operatorname{ZeroSumNormal}")
+    zerosum_axes = None
+
+    def __init__(self, *args, zerosum_axes, **kwargs):
+        self.zerosum_axes = zerosum_axes
+        super().__init__(*args, **kwargs)
+
+
+class ZeroSumNormal(Distribution):
+    r"""
+    ZeroSumNormal distribution, i.e Normal distribution where one or
+    several axes are constrained to sum to zero.
+    By default, the last axis is constrained to sum to zero.
+    See `zerosum_axes` kwarg for more details.
+
+    Parameters
+    ----------
+    sigma : tensor_like of float
+        Standard deviation (sigma > 0).
+        Defaults to 1 if not specified.
+        For now, ``sigma`` has to be a scalar, to ensure the zero-sum constraint.
+    zerosum_axes: list or tuple of strings or integers
+        Axis (or axes) along which the zero-sum constraint is enforced.
+        Defaults to [-1], i.e the last axis.
+        If strings are passed, then ``dims`` is needed.
+        Otherwise, ``shape`` and ``size`` work as they do for other PyMC distributions.
+    dims: list or tuple of strings, optional
+        The dimension names of the axes.
+        Necessary when ``zerosum_axes`` is specified with strings.
+
+    Warnings
+    --------
+    ``sigma`` has to be a scalar, to ensure the zero-sum constraint.
+    The ability to specifiy a vector of ``sigma`` may be added in future versions.
+
+    Examples
+    --------
+    .. code-block:: python
+        COORDS = {
+            "regions": ["a", "b", "c"],
+            "answers": ["yes", "no", "whatever", "don't understand question"],
+        }
+        with pm.Model(coords=COORDS) as m:
+    ...:     v = pm.ZeroSumNormal("v", dims=("regions", "answers"), zerosum_axes="answers")
+
+        with pm.Model(coords=COORDS) as m:
+    ...:     v = pm.ZeroSumNormal("v", dims=("regions", "answers"), zerosum_axes=("regions", "answers"))
+
+        with pm.Model(coords=COORDS) as m:
+    ...:     v = pm.ZeroSumNormal("v", dims=("regions", "answers"), zerosum_axes=1)
+    """
+    rv_type = ZeroSumNormalRV
+
+    def __new__(cls, *args, zerosum_axes=None, dims=None, **kwargs):
+        dims = convert_dims(dims)
+        if zerosum_axes is None:
+            zerosum_axes = [-1]
+        if not isinstance(zerosum_axes, (list, tuple)):
+            zerosum_axes = [zerosum_axes]
+
+        if isinstance(zerosum_axes[0], str):
+            if not dims:
+                raise ValueError("You need to specify dims if zerosum_axes are strings.")
+            else:
+                zerosum_axes_ = []
+                for axis in zerosum_axes:
+                    zerosum_axes_.append(dims.index(axis))
+                zerosum_axes = zerosum_axes_
+
+        return super().__new__(cls, *args, zerosum_axes=zerosum_axes, dims=dims, **kwargs)
+
+    @classmethod
+    def dist(cls, sigma=1, zerosum_axes=None, **kwargs):
+        if zerosum_axes is None:
+            zerosum_axes = [-1]
+
+        sigma = at.as_tensor_variable(floatX(sigma))
+        if sigma.ndim > 0:
+            raise ValueError("sigma has to be a scalar")
+
+        return super().dist([sigma], zerosum_axes=zerosum_axes, **kwargs)
+
+    # TODO: This is if we want ZeroSum constraint on other dists than Normal
+    # def dist(cls, dist, lower, upper, **kwargs):
+    #     if not isinstance(dist, TensorVariable) or not isinstance(
+    #         dist.owner.op, (RandomVariable, SymbolicRandomVariable)
+    #     ):
+    #         raise ValueError(
+    #             f"Censoring dist must be a distribution created via the `.dist()` API, got {type(dist)}"
+    #         )
+    #     if dist.owner.op.ndim_supp > 0:
+    #         raise NotImplementedError(
+    #             "Censoring of multivariate distributions has not been implemented yet"
+    #         )
+    #     check_dist_not_registered(dist)
+    #     return super().dist([dist, lower, upper], **kwargs)
+
+    @classmethod
+    def rv_op(cls, sigma, zerosum_axes, size=None):
+        if size is None:
+            zerosum_axes_ = np.asarray(zerosum_axes)
+            # just a placeholder size to infer minimum shape
+            size = np.ones(
+                max((max(np.abs(zerosum_axes_) - 1), max(zerosum_axes_))) + 1, dtype=int
+            ).tolist()
+
+        # check if zerosum_axes is valid
+        normalize_axis_tuple(zerosum_axes, len(size))
+
+        normal_dist = ignore_logprob(pm.Normal.dist(sigma=sigma, size=size))
+        normal_dist_, sigma_ = normal_dist.type(), sigma.type()
+
+        # Zerosum-normaling is achieved by substracting the mean along the given zerosum_axes
+        zerosum_rv_ = normal_dist_
+        for axis in zerosum_axes:
+            zerosum_rv_ -= zerosum_rv_.mean(axis=axis, keepdims=True)
+
+        return ZeroSumNormalRV(
+            inputs=[normal_dist_, sigma_],
+            outputs=[zerosum_rv_],
+            zerosum_axes=zerosum_axes,
+            ndim_supp=0,
+        )(normal_dist, sigma)
+
+
+@_logprob.register(ZeroSumNormalRV)
+def zerosumnormal_logp(op, values, normal_dist, sigma, **kwargs):
+    (value,) = values
+    shape = value.shape
+    _deg_free_shape = at.inc_subtensor(shape[at.as_tensor_variable(op.zerosum_axes)], -1)
+    _full_size = at.prod(shape)
+    _degrees_of_freedom = at.prod(_deg_free_shape)
+    zerosums = [
+        at.all(at.isclose(at.mean(value, axis=axis), 0, atol=1e-9)) for axis in op.zerosum_axes
+    ]
+    # out = at.sum(
+    #     pm.logp(dist, value) * _degrees_of_freedom / _full_size,
+    #     axis=op.zerosum_axes,
+    # )
+    # figure out how dimensionality should be handled for logp
+    # for now, we assume ZSN is a scalar distribut, which is not correct
+    out = pm.logp(normal_dist, value) * _degrees_of_freedom / _full_size
+    return check_parameters(out, *zerosums, msg="at.mean(value, axis=zerosum_axes) == 0")
+
+
+@_moment.register(ZeroSumNormalRV)
+def zerosumnormal_moment(op, rv, *rv_inputs):
+    return at.zeros_like(rv)
+
+
+@_change_dist_size.register(ZeroSumNormalRV)
+def change_zerosum_size(op, normal_dist, new_size, expand=False):
+    normal_dist, sigma = normal_dist.owner.inputs
+    if expand:
+        new_size = tuple(new_size) + tuple(normal_dist.shape)
+    return ZeroSumNormal.rv_op(sigma=sigma, zerosum_axes=op.zerosum_axes, size=new_size)
+
+
+@_default_transform.register(ZeroSumNormalRV)
+def zerosum_default_transform(op, rv):
+    return ZeroSumTransform(op.zerosum_axes)
+
+
 class TruncatedNormalRV(RandomVariable):
     name = "truncated_normal"
     ndim_supp = 0

pymc/distributions/transforms.py

@@ -39,6 +39,7 @@
     "circular",
     "CholeskyCovPacked",
     "Chain",
+    "ZeroSumTransform",
 ]
 
 
@@ -266,6 +267,68 @@ def bounds_fn(*rv_inputs):
         super().__init__(args_fn=bounds_fn)
 
 
+class ZeroSumTransform(RVTransform):
+    """
+    Constrains the samples of a Normal distribution to sum to zero
+    along the user-provided ``zerosum_axes``.
+    By default (``zerosum_axes=[-1]``), the sum-to-zero constraint is imposed
+    on the last axis.
+    """
+
+    name = "zerosum"
+
+    __props__ = ("zerosum_axes",)
+
+    def __init__(self, zerosum_axes):
+        """
+        Parameters
+        ----------
+        zerosum_axes : list of ints
+            Must be a list of integers (positive or negative).
+            By default (``zerosum_axes=[-1]``), the sum-to-zero constraint is imposed
+            on the last axis.
+        """
+        self.zerosum_axes = zerosum_axes
+
+    def forward(self, value, *rv_inputs):
+        for axis in self.zerosum_axes:
+            value = extend_axis_rev(value, axis=axis)
+        return value
+
+    def backward(self, value, *rv_inputs):
+        for axis in self.zerosum_axes:
+            value = extend_axis(value, axis=axis)
+        return value
+
+    def log_jac_det(self, value, *rv_inputs):
+        return at.constant(0.0)
+
+
+def extend_axis(array, axis):
+    n = array.shape[axis] + 1
+    sum_vals = array.sum(axis, keepdims=True)
+    norm = sum_vals / (np.sqrt(n) + n)
+    fill_val = norm - sum_vals / np.sqrt(n)
+
+    out = at.concatenate([array, fill_val], axis=axis)
+    return out - norm
+
+
+def extend_axis_rev(array, axis):
+    if axis < 0:
+        axis = axis % array.ndim
+    assert axis >= 0 and axis < array.ndim
+
+    n = array.shape[axis]
+    last = at.take(array, [-1], axis=axis)
+
+    sum_vals = -last * np.sqrt(n)
+    norm = sum_vals / (np.sqrt(n) + n)
+    slice_before = (slice(None, None),) * axis
+
+    return array[slice_before + (slice(None, -1),)] + norm
+
+
 log_exp_m1 = LogExpM1()
 log_exp_m1.__doc__ = """
 Instantiation of :class:`pymc.distributions.transforms.LogExpM1`

pymc/tests/distributions/test_continuous.py

@@ -1802,6 +1802,46 @@ class TestTruncatedNormalUpperArray(BaseTestDistributionRandom):
     ]
 
 
+class TestZeroSumNormal(BaseTestDistributionRandom):
+    COORDS = {
+        "regions": ["a", "b", "c"],
+        "answers": ["yes", "no", "whatever", "don't understand question"],
+    }
+    with pm.Model(coords=COORDS) as m:
+        v = pm.ZeroSumNormal("v", dims=("regions", "answers"), zerosum_axes="answers")
+        s = pm.sample(10)
+
+    assert np.isclose(
+        s.posterior.v.mean(dim="answers"), 0
+    ).all(), "A zerosum_axis is not summing to 0 across all axes."
+    assert not np.isclose(
+        s.posterior.v.mean(dim="regions"), 0
+    ).all(), "A non zerosum_axis is nonetheless summing to 0 across all samples."
+    assert s.posterior.v.shape == (4, 10, 3, 4)
+
+    with pm.Model(coords=COORDS) as m:
+        v = pm.ZeroSumNormal("v", dims=("regions", "answers"), zerosum_axes=("regions", "answers"))
+        s = pm.sample(10)
+
+    assert np.isclose(
+        s.posterior.v.mean(dim="answers"), 0
+    ).all(), "A zerosum_axis is not summing to 0 across all axes."
+    assert np.isclose(
+        s.posterior.v.mean(dim="regions"), 0
+    ).all(), "A zerosum_axis is not summing to 0 across all axes."
+
+    with pm.Model(coords=COORDS) as m:
+        v = pm.ZeroSumNormal("v", dims=("regions", "answers"), zerosum_axes=1)
+        s = pm.sample(10)
+
+    assert np.isclose(
+        s.posterior.v.mean(dim="answers"), 0
+    ).all(), "A zerosum_axis is not summing to 0 across all axes."
+    assert not np.isclose(
+        s.posterior.v.mean(dim="regions"), 0
+    ).all(), "A non zerosum_axis is nonetheless summing to 0 across all samples."
+
+
 class TestWald(BaseTestDistributionRandom):
     pymc_dist = pm.Wald
     mu, lam, alpha = 1.0, 1.0, 0.0