hmdn.py

NHIDDEN = 50
STDEV   = 0.1
KMIX    = 20 # NUMBER OF MIXTURES
NOUT    = KMIX * 3 # PI / MU / STD

x = tf.placeholder(dtype=tf.float32, shape=[None,1], name="x")
y = tf.placeholder(dtype=tf.float32, shape=[None,1], name="y")

Wmdn = {
    "l1": tf.Variable(tf.random_normal([1,NHIDDEN], stddev=STDEV, dtype=tf.float32)),
    "l2_mds": tf.Variable(tf.random_normal([NHIDDEN,NOUT], stddev=STDEV, dtype=tf.float32)),
    "l2_err": tf.Variable(tf.random_normal([NHIDDEN,1], stddev=STDEV, dtype=tf.float32))
}
bmdn = {
    "l1": tf.Variable(tf.zeros([1,NHIDDEN], dtype=tf.float32)),
    "l2_mds": tf.Variable(tf.random_uniform([1,NOUT], minval=-10, maxval=10, dtype=tf.float32)),
    "l2_err": tf.Variable(tf.zeros([1,1], dtype=tf.float32))
}

def hmdn(_x, _W, _b):
    sig_gain = 1
    _l1  = tf.nn.tanh(tf.matmul(_x, _W['l1']) + _b['l1'])
    _out_mds = tf.matmul(_l1, _W['l2_mds']) + _b['l2_mds']
    _out_err_sigma_hat = tf.matmul(_l1, _W['l2_err']) + _b['l2_err']
    # CONVERT OUTPUT (PI / MU / SIGMA)
    _out_pi_hat, _out_sigma_hat, _out_mu = tf.split(_out_mds, 3, 1)
    _out_pi_hat = tf.exp(_out_pi_hat - tf.reduce_max(_out_pi_hat, 1, keep_dims=True))
    _nor_pi = tf.reciprocal(tf.reduce_sum(_out_pi_hat, 1, keep_dims=True))
    _out_pi = tf.multiply(_nor_pi, _out_pi_hat)
    _out_sigma = sig_gain*tf.sigmoid(_out_sigma_hat)
    # CONVERT NOISE MODEL (SIGMA)
    _out_err_sigma = sig_gain*tf.sigmoid(_out_err_sigma_hat)
    return _out_pi, _out_sigma, _out_mu, _out_err_sigma
out_pi, out_sigma, out_mu, out_err_sigma = hmdn(x, Wmdn, bmdn)
print ("HETEROSCEDASTIC MIXTURE DENSITY NETOWRK READY")

pi = math.pi
# UNIVARIATE GAUSSIAN MODEL
def tf_normal(_y, _mu, _sigma):
    _result = (_y-_mu)/_sigma
    _result = -tf.square(_result)/2
    _result = tf.exp(_result)/(math.sqrt(2*pi)*_sigma)    
    return _result

# HETEROSCEDASTIC GAUSSIAN MIXTURE MODEL
def hgmm(_y, _out_pi, _out_sigma, _out_mu, _out_err_sig):
    _probs  = tf_normal(_y, _out_mu, _out_sigma+_out_err_sig)
    _result = tf.multiply(_out_pi, _probs)
    _result = tf.reduce_sum(_result, 1, keep_dims=True)
    return tf.reduce_mean(-tf.log(_result))

# SET LOSS AND OPTIMIZER
loss = hgmm(y, out_pi, out_sigma, out_mu, out_err_sigma)
optm = tf.train.AdamOptimizer(learning_rate=0.001
            , beta1=0.9, beta2=0.999, epsilon=0.1).minimize(loss)