#pragma once #include #include #include // ROCM hcc doesn't work well with using std:: in kernel functions #if defined(__CUDA_ARCH__) #include #define compat_exp c10::cuda::compat::exp #define compat_ceil c10::cuda::compat::ceil #define compat_floor c10::cuda::compat::floor #define compat_log c10::cuda::compat::log #define compat_pow c10::cuda::compat::pow #define compat_sqrt c10::cuda::compat::sqrt #define compat_tan c10::cuda::compat::tan #define compat_abs c10::cuda::compat::abs #define compat_log1p c10::cuda::compat::log1p #elif defined(__HIPCC__) #include #define compat_exp c10::hip::compat::exp #define compat_ceil c10::hip::compat::ceil #define compat_floor c10::hip::compat::floor #define compat_log c10::hip::compat::log #define compat_pow c10::hip::compat::pow #define compat_sqrt c10::hip::compat::sqrt #define compat_tan c10::hip::compat::tan #define compat_abs c10::hip::compat::abs #define compat_log1p c10::hip::compat::log1p #else #define compat_exp std::exp #define compat_ceil std::ceil #define compat_floor std::floor #define compat_log std::log #define compat_pow std::pow #define compat_sqrt std::sqrt #define compat_tan std::tan #define compat_abs std::abs #define compat_log1p std::log1p #endif namespace { #if !defined(__CUDA_ARCH__) && !defined(__HIPCC__) // we cannot use std::isnan directly due to some incompatibility of // gcc constexpr'ing and nvcc using std::isnan; #endif // Here sampler_t should be function type scalar_t(void). For gpu // "sampler" is a device function, but since ROCM doesn't have // equivalent to nvstd::function, we use a template type parameter to // capture it. template struct BaseSampler { sampler_t sampler; C10_DEVICE BaseSampler(const sampler_t& sampler): sampler(sampler) {} C10_DEVICE scalar_t sample() { return sampler(); } }; // The function `sample_gamma` is // is adapted from Numpy's distributions.c implementation. // It is MIT licensed, so here is the copyright: /* Copyright 2005 Robert Kern (robert.kern@gmail.com) * * Permission is hereby granted, free of charge, to any person obtaining a * copy of this software and associated documentation files (the * "Software"), to deal in the Software without restriction, including * without limitation the rights to use, copy, modify, merge, publish, * distribute, sublicense, and/or sell copies of the Software, and to * permit persons to whom the Software is furnished to do so, subject to * the following conditions: * * The above copyright notice and this permission notice shall be included * in all copies or substantial portions of the Software. * * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS * OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF * MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. * IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY * CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, * TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE * SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. */ template C10_DEVICE scalar_t sample_gamma(scalar_t alpha, BaseSampler& standard_uniform, BaseSampler& standard_normal) { accscalar_t scale = 1.0f; // Boost alpha for higher acceptance probability. if (alpha < 1.0f) { if (alpha == 0.f) return 0.f; scale *= compat_pow(1 - standard_uniform.sample(), 1.0f / alpha); alpha += 1.0f; } // This implements the acceptance-rejection method of Marsaglia and Tsang (2000) // doi:10.1145/358407.358414 const accscalar_t d = alpha - 1.0f / 3.0f; const accscalar_t c = 1.0f / compat_sqrt(9.0f * d); for (;;) { accscalar_t x, y; do { x = standard_normal.sample(); y = 1.0f + c * x; } while (y <= 0); const accscalar_t v = y * y * y; const accscalar_t u = 1 - standard_uniform.sample(); const accscalar_t xx = x * x; if (u < 1.0f - 0.0331f * xx * xx) return static_cast(scale * d * v); if (compat_log(u) < 0.5f * xx + d * (1.0f - v + compat_log(v))) return static_cast(scale * d * v); } } /* the functions stirling_approx_tail, binomial_inversion, and btrs are adapted * from TensorFlow's random_binomial_op.cc implementation. That code is under * copyright: 2019 The TensorFlow Authors. * * It was released under the Apache License, Version 2.0 (the "License"), available at: * http://www.apache.org/licenses/LICENSE-2.0 */ template C10_DEVICE scalar_t stirling_approx_tail(scalar_t k) { const static scalar_t kTailValues[] = { 0.0810614667953272, 0.0413406959554092, 0.0276779256849983, 0.02079067210376509, 0.0166446911898211, 0.0138761288230707, 0.0118967099458917, 0.0104112652619720, 0.00925546218271273, 0.00833056343336287 }; if (k <= 9) { return kTailValues[static_cast(k)]; } scalar_t kp1sq = (k + 1) * (k + 1); return (1.0 / 12 - (1.0 / 360 - 1.0 / 1260 / kp1sq) / kp1sq) / (k + 1); } template C10_DEVICE scalar_t binomial_inversion(scalar_t count, scalar_t prob, BaseSampler& standard_uniform) { accscalar_t U; accscalar_t geom_sum = 0; scalar_t num_geom = 0; accscalar_t logprob = compat_log1p(-prob); while (1) { U = standard_uniform.sample(); accscalar_t geom = compat_ceil(compat_log(U) / logprob); geom_sum += geom; if (geom_sum > count) { break; } num_geom = num_geom + 1; } return num_geom; } template C10_DEVICE scalar_t btrs(scalar_t count, scalar_t prob, BaseSampler& standard_uniform) { scalar_t k; accscalar_t U, V, us; // This is spq in the paper. const accscalar_t stddev = compat_sqrt(count * prob * (1 - prob)); // Other coefficients for Transformed Rejection sampling. const accscalar_t b = 1.15 + 2.53 * stddev; const accscalar_t a = -0.0873 + 0.0248 * b + 0.01 * prob; const accscalar_t c = count * prob + 0.5; const accscalar_t v_r = 0.92 - 4.2 / b; const accscalar_t r = prob / (1 - prob); const accscalar_t alpha = (2.83 + 5.1 / b) * stddev; const accscalar_t m = compat_floor((count + 1) * prob); while (1) { U = standard_uniform.sample() - 0.5; V = standard_uniform.sample(); us = 0.5 - compat_abs(U); k = static_cast(compat_floor((2 * a / us + b) * U + c)); // Reject non-sensical answers. if (k < 0 || k > count) { continue; } // Region for which the box is tight, and we can return our calculated value. // This should happen 0.86 * v_r times. In the limit as n * p is large, // the acceptance rate converges to ~79% (and in the lower regime it is ~24%). if (us >= 0.07 && V <= v_r) { return k; } // This deviates from Hormann's BTRS algorithm, as there is a log missing. // For all (u, v) pairs outside of the bounding box, this calculates the // transformed-reject ratio. V = compat_log(V * alpha / (a / (us * us) + b)); accscalar_t upperbound = ((m + 0.5) * compat_log((m + 1) / (r * (count - m + 1))) + (count + 1) * compat_log((count - m + 1) / (count - k + 1)) + (k + 0.5) * compat_log(r * (count - k + 1) / (k + 1)) + stirling_approx_tail(m) + stirling_approx_tail(count - m) - stirling_approx_tail(k) - stirling_approx_tail(count - k)); if (V <= upperbound) { return k; } } } template C10_DEVICE scalar_t sample_binomial(scalar_t count, scalar_t prob, BaseSampler& standard_uniform) { if (count <= 0.0 || prob <= 0.0) { return 0; } else if (prob >= 1.0) { return count; } else if (prob <= 0.5) { if (count * prob >= 10.0) { // btrs return btrs(count, prob, standard_uniform); } else { // binomial inversion return binomial_inversion(count, prob, standard_uniform); } } else if (prob > 0.5) { scalar_t qprob = 1.0 - prob; if (count * qprob >= 10.0) { // btrs return count - btrs(count, qprob, standard_uniform); } else { // count - binomial inversion return count - binomial_inversion(count, qprob, standard_uniform); } } else { // prob is nan? return static_cast(NAN); } } /* * This function is derived from the implementation of the digamma function in the Cephes Math Library. * See note [3-Clause BSD License for the Cephes Math Library] in ATen/native/Math.h. */ template C10_DEVICE static inline scalar_t digamma_one(scalar_t x) { constexpr accscalar_t PSI_10 = 2.25175258906672110764; if (x == 0) { return INFINITY; } accscalar_t additional_summand = 0; int x_is_integer = x == compat_floor(x); if (x < 0) { if (x_is_integer) { return INFINITY; } // it is more standard to write this as recursion, but // nvcc does not like that additional_summand = -c10::pi / compat_tan(c10::pi * x); x = 1 - x; } // Push x to be >= 10 accscalar_t result = 0; while (x < 10) { result -= 1 / x; x += 1; } if (x == 10) { return result + PSI_10 + additional_summand; } // Compute asymptotic digamma static const accscalar_t A[] = { 8.33333333333333333333E-2, -2.10927960927960927961E-2, 7.57575757575757575758E-3, -4.16666666666666666667E-3, 3.96825396825396825397E-3, -8.33333333333333333333E-3, 8.33333333333333333333E-2, }; accscalar_t y = 0; if (x < 1.0e17f) { accscalar_t z = 1.0 / (x * x); y = z * polevl(z, A, 6); } return static_cast( result + compat_log(x) - (0.5f / x) - y + additional_summand); } // Computes the reparameterized gradient -(d/dalpha cdf(x;alpha)) / pdf(x;alpha) // for random number x drawn from a standard Gamma distribution Gamma(alpha). template C10_HOST_DEVICE scalar_t standard_gamma_grad_one(scalar_t alpha_, scalar_t x_) { // Use a Taylor series expansion for small x. accscalar_t x = static_cast(x_); accscalar_t alpha = static_cast(alpha_); if (x < 0.8f) { accscalar_t numer = 1; accscalar_t denom = alpha; auto series1 = numer / denom; auto series2 = numer / (denom * denom); for (int i = 1; i <= 5; ++i) { numer *= -x / static_cast(i); denom += 1; series1 += numer / denom; series2 += numer / (denom * denom); } const auto pow_x_alpha = compat_pow(x, alpha); const auto gamma_pdf = compat_pow(x, alpha - 1) * compat_exp(-x); const auto gamma_cdf = pow_x_alpha * series1; const auto gamma_cdf_alpha = (compat_log(x) - digamma_one(alpha)) * gamma_cdf - pow_x_alpha * series2; const auto result = -gamma_cdf_alpha / gamma_pdf; return isnan(result) ? static_cast( 0.f ) : static_cast(result); } // Use a Rice saddle point expansion for large alpha. if (alpha > 8.0f) { if (0.9f * alpha <= x && x <= 1.1f * alpha) { const auto numer_1 = 1 + 24 * alpha * (1 + 12 * alpha); const auto numer_2 = 1440 * (alpha * alpha) + 6 * x * (53 - 120 * x) - 65 * x * x / alpha + alpha * (107 + 3600 * x); const auto denom = 1244160 * (alpha * alpha) * (alpha * alpha); return static_cast(numer_1 * numer_2 / denom); } const auto denom = compat_sqrt(8 * alpha); const auto term2 = denom / (alpha - x); const auto term3 = compat_pow( x - alpha - alpha * compat_log(x / alpha), static_cast(-1.5)); const auto term23 = (x < alpha) ? term2 - term3 : term2 + term3; const auto term1 = compat_log(x / alpha) * term23 - compat_sqrt(2 / alpha) * (alpha + x) / ((alpha - x) * (alpha - x)); const auto stirling = 1 + 1 / (12 * alpha) * (1 + 1 / (24 * alpha)); const auto numer = x * term1; return static_cast(-stirling * numer / denom); } // Use a bivariate rational approximation to the reparameterized gradient. const auto u = compat_log(x / alpha); const auto v = compat_log(alpha); static const accscalar_t coef_uv[3][8] = { {0.16009398, -0.094634809, 0.025146376, -0.0030648343, 1, 0.32668115, 0.10406089, 0.0014179084}, {0.53487893, 0.1298071, 0.065735949, -0.0015649758, 0.16639465, 0.020070113, -0.0035938915, -0.00058392623}, {0.040121004, -0.0065914022, -0.0026286047, -0.0013441777, 0.017050642, -0.0021309326, 0.00085092367, -1.5247877e-07}, }; accscalar_t coef_v[8]; for (int i = 0; i < 8; ++ i) { coef_v[i] = coef_uv[0][i] + u * (coef_uv[1][i] + u * coef_uv[2][i]); } const auto p = coef_v[0] + v * (coef_v[1] + v * (coef_v[2] + v * coef_v[3])); const auto q = coef_v[4] + v * (coef_v[5] + v * (coef_v[6] + v * coef_v[7])); return static_cast(compat_exp(p / q)); } // Approximate reparameterized gradient of Beta(x,alpha,beta) wrt alpha. // Assumes x is close to zero and uses a Taylor expansion. template C10_DEVICE static inline scalar_t _beta_grad_alpha_small(scalar_t x, scalar_t alpha, scalar_t beta) { const scalar_t factor = digamma_one(alpha) - digamma_one(alpha + beta) - compat_log(x); scalar_t numer = 1; scalar_t series = numer / alpha * (factor + 1 / alpha); for (int i = 1; i <= 10; ++i) { scalar_t casted_i = static_cast(i); numer *= (casted_i - beta) * x / casted_i; const scalar_t denom = alpha + casted_i; series += numer / denom * (factor + 1 / denom); } const scalar_t result = x * compat_pow(1 - x, -beta) * series; return isnan(result) ? static_cast( 0.f ) : result; } // Approximate reparameterized gradient of Beta(x,alpha,beta) wrt beta. // Assumes x is close to zero and uses a Taylor expansion. template C10_DEVICE static inline scalar_t _beta_grad_beta_small(scalar_t x, scalar_t alpha, scalar_t beta) { const scalar_t factor = digamma_one(alpha + beta) - digamma_one(beta); scalar_t numer = 1, betas = 1, dbetas = 0, series = factor / alpha; for (int i = 1; i <= 8; ++i) { scalar_t casted_i = static_cast(i); numer *= -x / casted_i; dbetas = dbetas * (beta - casted_i) + betas; betas = betas * (beta - casted_i); series += numer / (alpha + casted_i) * (dbetas + factor * betas); } const scalar_t result = -compat_pow(1 - x, 1 - beta) * series; return isnan(result) ? static_cast( 0.f ) : result; } // Approximate reparameterized gradient of Beta(x,alpha,beta) wrt alpha. // Assumes alpha and beta are both large and uses a Rice saddle point expansion. // To ensure numerical stability, this computation is performed at higher precision. template C10_DEVICE static inline scalar_t _beta_grad_alpha_mid(accscalar_t x, accscalar_t alpha, accscalar_t beta) { const accscalar_t total = alpha + beta; const accscalar_t mean = alpha / total; const accscalar_t std = compat_sqrt(alpha * beta / (total + 1)) / total; if (mean - 0.1 * std <= x && x <= mean + 0.1 * std) { // Avoid the singularity at x = mean. const accscalar_t poly = 47 * x * (beta * beta) * (beta * beta) + alpha * ( (43 + 20 * (16 + 27 * beta) * x) * (beta * beta) * beta + alpha * ( 3 * (59 + 180 * beta - 90 * x) * (beta * beta) + alpha * ( (453 + 1620 * beta * (1 - x) - 455 * x) * beta + alpha * ( 8 * (1 - x) * (135 * beta - 11))))); const accscalar_t prefactor_num = (1 + 12 * alpha) * (1 + 12 * beta) / (total * total); const accscalar_t prefactor_den = 12960 * alpha * alpha * alpha * beta * beta * (1 + 12 * total); return prefactor_num / (1 - x) * poly / prefactor_den; } const accscalar_t prefactor = -x / compat_sqrt(2 * alpha * beta / total); const accscalar_t stirling = (1 + 1 / (12 * alpha) + 1 / (288 * alpha * alpha)) * (1 + 1 / (12 * beta) + 1 / (288 * beta * beta)) / (1 + 1 / (12 * total) + 1 / (288 * total * total)); const accscalar_t term1_num = 2 * (alpha * alpha) * (x - 1) + alpha * beta * (x - 1) - x * (beta * beta); const accscalar_t axbx = alpha * (x - 1) + beta * x; const accscalar_t term1_den = compat_sqrt(2 * alpha / beta) * compat_pow(total, static_cast(1.5f)) * axbx * axbx; const accscalar_t term1 = term1_num / term1_den; const accscalar_t term2 = 0.5f * compat_log(alpha / (total * x)); const accscalar_t term3_num = compat_sqrt(8 * alpha * beta / total); const accscalar_t term3_den = beta * x + alpha * (x - 1); const accscalar_t term3 = term3_num / term3_den; const accscalar_t term4_base = beta * compat_log(beta / (total * (1 - x))) + alpha * compat_log(alpha / (total * x)); const accscalar_t term4 = compat_pow(term4_base, static_cast(-1.5f)); const accscalar_t term1234 = term1 + term2 * (term3 + (x < mean ? term4 : -term4)); return static_cast(stirling * prefactor * term1234); } // Computes a scaled reparameterized gradient // -(d/dalpha cdf(x;alpha,beta)) / pdf(x;alpha,beta) / (1-x) // for random number x drawn from a Beta distribution Beta(alpha,beta). // This function inputs total=alpha+beta to make it easy to implement // Dirichlet reparameterized gradients in terms of Betas. template C10_HOST_DEVICE static inline scalar_t dirichlet_grad_one(scalar_t x, scalar_t alpha, scalar_t total) { accscalar_t x_ = static_cast(x); accscalar_t alpha_ = static_cast(alpha); accscalar_t total_ = static_cast(total); const scalar_t beta = total - alpha; const accscalar_t beta_ = total_ - alpha_; const scalar_t boundary = total * x * (1 - x); // Use an asymptotic approximation for x close to 0. if (x <= 0.5f && boundary < 2.5f) { return _beta_grad_alpha_small(x, alpha, beta); } // Use an asymptotic approximation for x close to 1. if (x >= 0.5f && boundary < 0.75f) { return -_beta_grad_beta_small(1 - x, beta, alpha); } // Use an asymptotic approximation when alpha and (total - alpha) are both large. if (alpha > 6 && beta > 6) { return _beta_grad_alpha_mid(x_, alpha_, beta_); } // Use a rational correction to an analytic approximation. static const accscalar_t c[2][3][3][4] = { {{{1.003668233, -0.01061107488, -0.0657888334, 0.01201642863}, {0.6336835991, -0.3557432599, 0.05486251648, -0.001465281033}, {-0.03276231906, 0.004474107445, 0.002429354597, -0.0001557569013}}, {{0.221950385, -0.3187676331, 0.01799915743, 0.01074823814}, {-0.2951249643, 0.06219954479, 0.01535556598, 0.001550077057}, {0.02155310298, 0.004170831599, 0.001292462449, 6.976601077e-05}}, {{-0.05980841433, 0.008441916499, 0.01085618172, 0.002319392565}, {0.02911413504, 0.01400243777, -0.002721828457, 0.000751041181}, {0.005900514878, -0.001936558688, -9.495446725e-06, 5.385558597e-05}}}, {{{1, -0.02924021934, -0.04438342661, 0.007285809825}, {0.6357567472, -0.3473456711, 0.05454656494, -0.002407477521}, {-0.03301322327, 0.004845219414, 0.00231480583, -0.0002307248149}}, {{0.5925320577, -0.1757678135, 0.01505928619, 0.000564515273}, {0.1014815858, -0.06589186703, 0.01272886114, -0.0007316646956}, {-0.007258481865, 0.001096195486, 0.0003934994223, -4.12701925e-05}}, {{0.06469649321, -0.0236701437, 0.002902096474, -5.896963079e-05}, {0.001925008108, -0.002869809258, 0.0008000589141, -6.063713228e-05}, {-0.0003477407336, 6.959756487e-05, 1.097287507e-05, -1.650964693e-06}}}, }; const accscalar_t u = compat_log(x_); const accscalar_t a = compat_log(alpha_) - u; const accscalar_t b = compat_log(total_) - a; const accscalar_t pow_u[3] = {1, u, u * u}; const accscalar_t pow_a[3] = {1, a, a * a}; accscalar_t p = 0.0; accscalar_t q = 0.0; for (int i = 0; i < 3; ++i) { for (int j = 0; j < 3; ++j) { const accscalar_t ua = pow_u[i] * pow_a[j]; p += ua * (c[0][i][j][0] + b * (c[0][i][j][1] + b * (c[0][i][j][2] + b * c[0][i][j][3]))); q += ua * (c[1][i][j][0] + b * (c[1][i][j][1] + b * (c[1][i][j][2] + b * c[1][i][j][3]))); } } const accscalar_t approx = x_ * (digamma_one(total_) - digamma_one(alpha_)) / beta_; return static_cast(p / q * approx); } } // namespace