Specialize logdensityof for DensityMeasure

Ensures proper type propagation (until future refactor of density calculation
engine).

Author: oschulz

ext/MeasureBaseChainRulesCoreExt.jl

@@ -7,6 +7,17 @@ using ChainRulesCore: NoTangent, ZeroTangent
 import ChainRulesCore
 
 
+# = utils ====================================================================
+
+using MeasureBase: isneginf, isposinf
+
+_isneginf_pullback(::Any) = (NoTangent(), ZeroTangent())
+ChainRulesCore.rrule(::typeof(isneginf), x) = isneginf(x), _logdensityof_rt_pullback
+
+_isposinf_pullback(::Any) = (NoTangent(), ZeroTangent())
+ChainRulesCore.rrule(::typeof(isposinf), x) = isposinf(x), _isposinf_pullback
+
+
 # = insupport & friends ======================================================
 
 using MeasureBase:
@@ -44,4 +55,12 @@ _check_dof_pullback(ΔΩ) = NoTangent(), NoTangent(), NoTangent()
 ChainRulesCore.rrule(::typeof(check_dof), ν, μ) = check_dof(ν, μ), _check_dof_pullback
 
 
+# = return type inference ====================================================
+
+using MeasureBase: logdensityof_rt
+
+_logdensityof_rt_pullback(::Any) = (NoTangent(), NoTangent(), ZeroTangent())
+ChainRulesCore.rrule(::typeof(logdensityof_rt), target, v) = logdensityof_rt(target, v), _logdensityof_rt_pullback
+
+
 end # module MeasureBaseChainRulesCoreExt

src/density-core.jl

@@ -33,6 +33,10 @@ To compute a log-density relative to a specific base-measure, see
     _checksupport(insupport(μ, x), result)
 end
 
+@inline function logdensityof_rt(::T, ::U) where {T,U}
+    Core.Compiler.return_type(logdensityof, Tuple{T,U})
+end
+
 _checksupport(cond, result) = ifelse(cond == true, result, oftype(result, -Inf))
 
 

src/density.jl

@@ -163,6 +163,25 @@ logdensity_def(μ::DensityMeasure, x) = logdensityof(μ.f, x)
 
 density_def(μ::DensityMeasure, x) = densityof(μ.f, x)
 
+function logdensityof(μ::DensityMeasure, x::Any)
+    integrand, μ_base = μ.f, μ.base
+
+    base_logval = logdensityof(μ_base, x)
+
+    T = typeof(base_logval)
+    U = logdensityof_rt(integrand, x)
+    R = promote_type(T, U)
+
+    # Don't evaluate base measure if integrand is zero or NaN
+    if isneginf(base_logval)
+        R(-Inf)
+    else
+        integrand_logval = logdensityof(integrand, x)
+        convert(R, integrand_logval + base_logval)::R
+    end
+end
+
+
 """
     rebase(μ, ν)
 

src/utils.jl

@@ -165,20 +165,18 @@ using InverseFunctions: FunctionWithInverse
 unwrap(f) = f
 unwrap(f::FunctionWithInverse) = f.f
 
-
 fcomp(f, g) = fchain(g, f)
 fcomp(::typeof(identity), g) = g
 fcomp(f, ::typeof(identity)) = f
 fcomp(::typeof(identity), ::typeof(identity)) = identity
 
+near_neg_inf(::Type{T}) where {T<:Real} = T(-1E38) # Still fits into Float32
 
-near_neg_inf(::Type{T}) where T<:Real = T(-1E38) # Still fits into Float32
-
-isneginf(x) = isinf(x) && x < 0 
-isposinf(x) = isinf(x) && x > 0 
+isneginf(x) = isinf(x) && x < zero(x)
+isposinf(x) = isinf(x) && x > zero(x)
 
-isapproxzero(x::T) where T<:Real = x ≈ zero(T)
+isapproxzero(x::T) where {T<:Real} = x ≈ zero(T)
 isapproxzero(A::AbstractArray) = all(isapproxzero, A)
 
-isapproxone(x::T) where T<:Real = x ≈ one(T)
+isapproxone(x::T) where {T<:Real} = x ≈ one(T)
 isapproxone(A::AbstractArray) = all(isapproxone, A)

test/test_basics.jl

@@ -189,6 +189,22 @@ end
     end
 end
 
+@testset "logdensityof" begin
+    f1 = let A=randn(Float32, 3,3); x -> sum(A*x); end
+    f2 = x -> sqrt(abs(sum(x)))
+    f3 = x -> 2 * sum(x)
+    f4 = x -> sum(sqrt.(abs.(x)))
+    m = @inferred ∫exp(f1, ∫exp(f2, ∫exp(f3, ∫exp(f4, StdUniform()^3))))
+
+    for x in [
+        Float32[0.7, 0.2, 0.5],
+        Float32[-0.7, 0.2, 0.5],
+    ]
+        @test @inferred(logdensityof(m, x)) isa Float32
+        @test logdensityof(m, x) ≈ f1(x) + f2(x) + f3(x) + f4(x) + logdensityof(StdUniform()^3, x)
+    end
+end
+
 @testset "logdensity_rel" begin
     @test logdensity_rel(Dirac(0.0) + Lebesgue(), Dirac(1.0), 0.0) == Inf
     @test logdensity_rel(Dirac(0.0) + Lebesgue(), Dirac(1.0), 1.0) == -Inf