1 files changed, 223 insertions, 0 deletions
diff --git a/tensorflow/contrib/distributions/python/ops/cauchy.py b/tensorflow/contrib/distributions/python/ops/cauchy.py
new file mode 100644
index 0000000000..a17bb091f6
--- /dev/null
+++ b/tensorflow/contrib/distributions/python/ops/cauchy.py
@@ -0,0 +1,223 @@
+# Copyright 2017 The TensorFlow Authors. All Rights Reserved.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+# ==============================================================================
+"""The Cauchy distribution class."""
+
+from __future__ import absolute_import
+from __future__ import division
+from __future__ import print_function
+
+import numpy as np
+
+from tensorflow.python.framework import constant_op
+from tensorflow.python.framework import dtypes
+from tensorflow.python.framework import ops
+from tensorflow.python.framework import tensor_shape
+from tensorflow.python.ops import array_ops
+from tensorflow.python.ops import check_ops
+from tensorflow.python.ops import math_ops
+from tensorflow.python.ops import random_ops
+from tensorflow.python.ops.distributions import distribution
+
+
+__all__ = [
+    "Cauchy",
+]
+
+
+class Cauchy(distribution.Distribution):
+  """The Cauchy distribution with location `loc` and scale `scale`.
+
+  #### Mathematical details
+
+  The probability density function (pdf) is,
+
+  ```none
+  pdf(x; loc, scale) = 1 / (pi * scale * (1 + ((x - loc) / scale)**2))
+  ```
+  where `loc` is the location, and `scale` is the scale.
+
+  The Cauchy distribution is a member of the [location-scale family](
+  https://en.wikipedia.org/wiki/Location-scale_family), i.e.
+
+  ```none
+  X ~ Cauchy(loc=0, scale=1)
+  Y ~ Cauchy(loc=loc, scale=scale)
+  Y = loc + scale * X
+  ```
+
+  #### Examples
+
+  Examples of initialization of one or a batch of distributions.
+
+  ```python
+  # Define a single scalar Cauchy distribution.
+  dist = Cauchy(loc=0., scale=3.)
+
+  # Evaluate the cdf at 1, returning a scalar.
+  dist.cdf(1.)
+
+  # Define a batch of two scalar valued Cauchy distributions.
+  dist = Cauchy(loc=[1, 2.], scale=[11, 22.])
+
+  # Evaluate the pdf of the first distribution on 0, and the second on 1.5,
+  # returning a length two tensor.
+  dist.prob([0, 1.5])
+
+  # Get 3 samples, returning a 3 x 2 tensor.
+  dist.sample([3])
+  ```
+
+  Arguments are broadcast when possible.
+
+  ```python
+  # Define a batch of two scalar valued Cauchy distributions.
+  # Both have median 1, but different scales.
+  dist = tf.contrib.distributions.Cauchy(loc=1., scale=[11, 22.])
+  # Evaluate the pdf of both distributions on the same point, 3.0,
+  # returning a length 2 tensor.
+  dist.prob(3.0)
+  ```
+  """
+
+  def __init__(self,
+               loc,
+               scale,
+               validate_args=False,
+               allow_nan_stats=True,
+               name="Cauchy"):
+    """Construct Cauchy distributions with loc and and scale `loc` and `scale`.
+
+    The parameters `loc` and `scale` must be shaped in a way that supports
+    broadcasting (e.g. `loc + scale` is a valid operation).
+
+    Args:
+      loc: Floating point tensor; the modes of the distribution(s).
+      scale: Floating point tensor; the locations of the distribution(s).
+        Must contain only positive values.
+      validate_args: Python `bool`, default `False`. When `True` distribution
+        parameters are checked for validity despite possibly degrading runtime
+        performance. When `False` invalid inputs may silently render incorrect
+        outputs.
+      allow_nan_stats: Python `bool`, default `True`. When `True`,
+        statistics (e.g., mean, mode, variance) use the value "`NaN`" to
+        indicate the result is undefined. When `False`, an exception is raised
+        if one or more of the statistic's batch members are undefined.
+      name: Python `str` name prefixed to Ops created by this class.
+
+    Raises:
+      TypeError: if `loc` and `scale` have different `dtype`.
+    """
+    parameters = locals()
+    with ops.name_scope(name, values=[loc, scale]):
+      with ops.control_dependencies([check_ops.assert_positive(scale)] if
+                                    validate_args else []):
+        self._loc = array_ops.identity(loc, name="loc")
+        self._scale = array_ops.identity(scale, name="scale")
+        check_ops.assert_same_float_dtype([self._loc, self._scale])
+    super(Cauchy, self).__init__(
+        dtype=self._scale.dtype,
+        reparameterization_type=distribution.FULLY_REPARAMETERIZED,
+        validate_args=validate_args,
+        allow_nan_stats=allow_nan_stats,
+        parameters=parameters,
+        graph_parents=[self._loc, self._scale],
+        name=name)
+
+  @staticmethod
+  def _param_shapes(sample_shape):
+    return dict(
+        zip(("loc", "scale"), ([ops.convert_to_tensor(
+            sample_shape, dtype=dtypes.int32)] * 2)))
+
+  @property
+  def loc(self):
+    """Distribution parameter for the mean."""
+    return self._loc
+
+  @property
+  def scale(self):
+    """Distribution parameter for standard deviation."""
+    return self._scale
+
+  def _batch_shape_tensor(self):
+    return array_ops.broadcast_dynamic_shape(
+        array_ops.shape(self.loc),
+        array_ops.shape(self.scale))
+
+  def _batch_shape(self):
+    return array_ops.broadcast_static_shape(
+        self.loc.shape,
+        self.scale.shape)
+
+  def _event_shape_tensor(self):
+    return constant_op.constant([], dtype=dtypes.int32)
+
+  def _event_shape(self):
+    return tensor_shape.scalar()
+
+  def _sample_n(self, n, seed=None):
+    shape = array_ops.concat([[n], self.batch_shape_tensor()], 0)
+    probs = random_ops.random_uniform(
+        shape=shape, minval=0., maxval=1., dtype=self.dtype, seed=seed)
+    return self._quantile(probs)
+
+  def _log_prob(self, x):
+    return self._log_unnormalized_prob(x) - self._log_normalization()
+
+  def _cdf(self, x):
+    return math_ops.atan(self._z(x)) / np.pi + 0.5
+
+  def _log_cdf(self, x):
+    return math_ops.log1p(2 / np.pi * math_ops.atan(self._z(x))) - np.log(2)
+
+  def _log_unnormalized_prob(self, x):
+    return -math_ops.log1p(math_ops.square(self._z(x)))
+
+  def _log_normalization(self):
+    return np.log(np.pi) + math_ops.log(self.scale)
+
+  def _entropy(self):
+    h = np.log(4 * np.pi) + math_ops.log(self.scale)
+    return h * array_ops.ones_like(self.loc)
+
+  def _quantile(self, p):
+    return self.loc + self.scale * math_ops.tan(np.pi * (p - 0.5))
+
+  def _mode(self):
+    return self.loc * array_ops.ones_like(self.scale)
+
+  def _z(self, x):
+    """Standardize input `x`."""
+    with ops.name_scope("standardize", values=[x]):
+      return (x - self.loc) / self.scale
+
+  def _inv_z(self, z):
+    """Reconstruct input `x` from a its normalized version."""
+    with ops.name_scope("reconstruct", values=[z]):
+      return z * self.scale + self.loc
+
+  def _mean(self):
+    if self.allow_nan_stats:
+      return array_ops.fill(self.batch_shape_tensor(),
+                            self.dtype.as_numpy_dtype(np.nan))
+    else:
+      raise ValueError("`mean` is undefined for Cauchy distribution.")
+
+  def _stddev(self):
+    if self.allow_nan_stats:
+      return array_ops.fill(self.batch_shape_tensor(),
+                            self.dtype.as_numpy_dtype(np.nan))
+    else:
+      raise ValueError("`stddev` is undefined for Cauchy distribution.")