Implemented cov parametrization via eigen-decomp

metastable_baselines/distributions/distributions.py

@@ -7,6 +7,8 @@ from torch import nn
 from torch.distributions import Normal, Independent, MultivariateNormal
 from math import pi
 
+import givens
+
 from stable_baselines3.common.preprocessing import get_action_dim
 
 from stable_baselines3.common.distributions import sum_independent_dims
@@ -34,9 +36,8 @@ class ParametrizationType(Enum):
     NONE = 0
     CHOL = 1
     SPHERICAL_CHOL = 2
-    # Not (yet?) implemented:
-    # GIVENS = 3
-    # NNLN_EIGEN = 4
+    EIGEN = 3
+    EIGEN_RAW = 4
 
 
 class EnforcePositiveType(Enum):
@@ -382,6 +383,9 @@ class CholNet(nn.Module):
 
         self._flat_chol_len = action_dim * (action_dim + 1) // 2
 
+        self._givens_rotator = givens.Rotation(action_dim)
+        self._givens_ident = th.eye(action_dim)
+
         # Yes, this is ugly.
         # But I don't know how this mess could be elegantly abstracted away...
 
@@ -493,6 +497,10 @@ class CholNet(nn.Module):
             return self._flat_chol_len
         elif self.par_type == ParametrizationType.SPHERICAL_CHOL:
             return self._flat_chol_len
+        elif self.par_type == ParametrizationType.EIGEN:
+            return self.action_dim * 2
+        elif self.par_type == ParametrizationType.EIGEN_BIJECT:
+            return self.action_dim * 2
         raise Exception()
 
     def _parameterize_full(self, params):
@@ -500,6 +508,10 @@ class CholNet(nn.Module):
             return self._chol_from_flat(params)
         elif self.par_type == ParametrizationType.SPHERICAL_CHOL:
             return self._chol_from_flat_sphe_chol(params)
+        elif self.par_type == ParametrizationType.EIGEN:
+            return self._chol_from_givens_params(params, True)
+        elif self.par_type == ParametrizationType.EIGEN_RAW:
+            return self._chol_from_givens_params(params, False)
         raise Exception()
 
     def _chol_from_flat(self, flat_chol):
@@ -576,6 +588,24 @@ class CholNet(nn.Module):
         return chol.tril(-1) + self._ensure_positive_func(chol.diagonal(dim1=-2,
                                                                         dim2=-1)).diag_embed() + chol.triu(1)
 
+    def _chol_from_givens_params(self, params, bijection=False):
+        theta, eigenv = params[:self.action_dim], params[self.action_dim:]
+
+        eigenv = self._ensure_positive_func(eigenv)
+
+        if bijection:
+            eigenv = th.cumsum(eigenv, -1)
+            # reverse order, oh well...
+
+        self._givens_rot.theta = theta
+        Q = self._givens_rotator(self._givens_ident)
+        Qinv = Q.transpose(dim0=-2, dim1=-1)
+
+        cov = Q * th.diag(eigenv) * Qinv
+        chol = th.linalg.cholesky(cov)
+
+        return chol
+
     def string(self):
         return '<CholNet />'
 

metastable_baselines/misc/givens.py

@@ -0,0 +1,66 @@
+# Source : https://github.com/diadochos/givens-torch
+# TODO: License
+
+import itertools
+import torch
+import torch.nn as nn
+
+
+def G_transpose(D, i, j, theta):
+    """Generate Givens rotation matrix.
+    >>> G_transpose(2, 0, 1, torch.FloatTensor([[3.1415 / 2]]))
+    tensor([[ 4.6329e-05,  1.0000e+00],
+            [-1.0000e+00,  4.6329e-05]])
+    """
+    R = torch.eye(D)
+    s, c = torch.sin(theta), torch.cos(theta)
+    R[i, i] = c
+    R[j, j] = c
+    R[i, j] = s
+    R[j, i] = -s
+    return R
+
+
+class Rotation(nn.Module):
+    def __init__(self, D):
+        """
+        >>> # Initialized as an identity.
+        >>> A, R = torch.eye(3), Rotation(3)
+        >>> torch.all(A.eq(R(A))).item()
+        True
+        """
+        super().__init__()
+        self.D = D
+        self.theta = torch.zeros(
+            (len(list(itertools.combinations(range(self.D), 2))), ))
+
+    def forward(self, x):
+        """Apply rotation.
+        >>> A, R = torch.eye(3), Rotation(3)
+        >>> R.theta = torch.FloatTensor([3.1415 / 2, 0., 0.])
+        >>> R(A)
+        tensor([[ 4.6329e-05,  1.0000e+00,  0.0000e+00],
+                [-1.0000e+00,  4.6329e-05,  0.0000e+00],
+                [ 0.0000e+00,  0.0000e+00,  1.0000e+00]])
+        """
+        for idx, (i, j) in enumerate(itertools.combinations(range(self.D), 2)):
+            x = torch.matmul(x, G_transpose(self.D, i, j, self.theta[idx]))
+        return x
+
+    def reverse(self, x):
+        """Apply reverse rotation.
+        >>> A, R = torch.eye(3), Rotation(3)
+        >>> R.weight = torch.FloatTensor([1., 2., 3.])
+        >>> torch.any(A.eq(R(A))).item()
+        True
+        >>> torch.all(A.eq(R.reverse(R(A)))).item()
+        True
+        """
+        for idx, (i, j) in reversed(list(enumerate(itertools.combinations(range(self.D), 2)))):
+            x = torch.matmul(x, G_transpose(self.D, i, j, -self.theta[idx]))
+        return x
+
+
+if __name__ == '__main__':
+    import doctest
+    doctest.testmod()