tensorflow_probability/python/mcmc/langevin.py
def _euler_method(random_draw_parts,
                  state_parts,
                  drift_parts,
                  step_size_parts,
                  volatility_parts,
                  name=None):
  """Applies one step of Euler-Maruyama method.

  Generates proposal of the form:

  ```python
  tfd.Normal(loc=state_parts + _get_drift(state_parts, ...),
             scale=tf.sqrt(step_size * volatility_fn(current_state)))
  ```

  `_get_drift(state_parts, ..)` is a diffusion drift value at `state_parts`.


  Args:
    random_draw_parts: Python `list` of `Tensor`s containing the value(s) of the
      random perturbation variable(s). Must broadcast with the shape of
      `state_parts`.
    state_parts: Python `list` of `Tensor`s representing the current
      state(s) of the Markov chain(s).
    drift_parts: Python `list` of `Tensor`s representing value of the drift
      `_get_drift(*state_parts, ..)`. Must broadcast with the shape of
      `state_parts`.
    step_size_parts: Python `list` of `Tensor`s representing the step size for
      the Euler-Maruyama method. Must broadcast with the shape of
      `state_parts`.  Larger step sizes lead to faster progress, but
      too-large step sizes make rejection exponentially more likely. When
      possible, it's often helpful to match per-variable step sizes to the
      standard deviations of the target distribution in each variable.
    volatility_parts: Python `list` of `Tensor`s representing the value of
      `volatility_fn(*state_parts)`. Must broadcast with the shape of
      `state_parts`.
    name: Python `str` name prefixed to Ops created by this function.
      Default value: `None` (i.e., 'mala_euler_method').

  Returns:
    proposed_state_parts: Tensor or Python list of `Tensor`s representing the
      state(s) of the Markov chain(s) at each result step. Has same shape as
      input `current_state_parts`.
  """
  with tf.compat.v1.name_scope(name, 'mala_euler_method', [
      random_draw_parts, state_parts, drift_parts, step_size_parts,
      volatility_parts
  ]):
    proposed_state_parts = []
    for random_draw, state, drift, step_size, volatility in zip(
        random_draw_parts,
        state_parts,
        drift_parts,
        step_size_parts,
        volatility_parts):
      proposal = state + drift + volatility * tf.sqrt(step_size) * random_draw
      proposed_state_parts.append(proposal)

    return proposed_state_parts
def _euler_method(random_draw_parts,
                  state_parts,
                  drift_parts,
                  step_size_parts,
                  volatility_parts,
                  name=None):
  """Applies one step of Euler-Maruyama method.

  Generates proposal of the form:

  ```python
  tfd.Normal(loc=state_parts + _get_drift(state_parts, ...),
             scale=tf.sqrt(step_size * volatility_fn(current_state)))
  ```

  `_get_drift(state_parts, ..)` is a diffusion drift value at `state_parts`.


  Args:
    random_draw_parts: Python `list` of `Tensor`s containing the value(s) of the
      random perturbation variable(s). Must broadcast with the shape of
      `state_parts`.
    state_parts: Python `list` of `Tensor`s representing the current
      state(s) of the Markov chain(s).
    drift_parts: Python `list` of `Tensor`s representing value of the drift
      `_get_drift(*state_parts, ..)`. Must broadcast with the shape of
      `state_parts`.
    step_size_parts: Python `list` of `Tensor`s representing the step size for
      the Euler-Maruyama method. Must broadcast with the shape of
      `state_parts`.  Larger step sizes lead to faster progress, but
      too-large step sizes make rejection exponentially more likely. When
      possible, it's often helpful to match per-variable step sizes to the
      standard deviations of the target distribution in each variable.
    volatility_parts: Python `list` of `Tensor`s representing the value of
      `volatility_fn(*state_parts)`. Must broadcast with the shape of
      `state_parts`.
    name: Python `str` name prefixed to Ops created by this function.
      Default value: `None` (i.e., 'mala_euler_method').

  Returns:
    proposed_state_parts: Tensor or Python list of `Tensor`s representing the
      state(s) of the Markov chain(s) at each result step. Has same shape as
      input `current_state_parts`.
  """
  with tf.compat.v1.name_scope(name, 'mala_euler_method', [
      random_draw_parts, state_parts, drift_parts, step_size_parts,
      volatility_parts
  ]):
    proposed_state_parts = []
    for random_draw, state, drift, step_size, volatility in zip(
        random_draw_parts,
        state_parts,
        drift_parts,
        step_size_parts,
        volatility_parts):
      proposal = state + drift + volatility * tf.sqrt(step_size) * random_draw
      proposed_state_parts.append(proposal)

    return proposed_state_parts
Applies one step of Euler-Maruyama method.

  Generates proposal of the form:

  ```python
  tfd.Normal(loc=state_parts + _get_drift(state_parts, ...),
             scale=tf.sqrt(step_size * volatility_fn(current_state)))
  ```

  `_get_drift(state_parts, ..)` is a diffusion drift value at `state_parts`.


  Args:
    random_draw_parts: Python `list` of `Tensor`s containing the value(s) of the
      random perturbation variable(s). Must broadcast with the shape of
      `state_parts`.
    state_parts: Python `list` of `Tensor`s representing the current
      state(s) of the Markov chain(s).
    drift_parts: Python `list` of `Tensor`s representing value of the drift
      `_get_drift(*state_parts, ..)`. Must broadcast with the shape of
      `state_parts`.
    step_size_parts: Python `list` of `Tensor`s representing the step size for
      the Euler-Maruyama method. Must broadcast with the shape of
      `state_parts`.  Larger step sizes lead to faster progress, but
      too-large step sizes make rejection exponentially more likely. When
      possible, it's often helpful to match per-variable step sizes to the
      standard deviations of the target distribution in each variable.
    volatility_parts: Python `list` of `Tensor`s representing the value of
      `volatility_fn(*state_parts)`. Must broadcast with the shape of
      `state_parts`.
    name: Python `str` name prefixed to Ops created by this function.
      Default value: `None` (i.e., 'mala_euler_method').

  Returns:
    proposed_state_parts: Tensor or Python list of `Tensor`s representing the
      state(s) of the Markov chain(s) at each result step. Has same shape as
      input `current_state_parts`.