Implement betainc and derivatives

aesara/scalar/basic.py

@@ -1276,6 +1276,10 @@ class BinaryScalarOp(ScalarOp):
     nin = 2
 
 
+class TernaryScalarOp(ScalarOp):
+    nin = 3
+
+
 class LogicalComparison(BinaryScalarOp):
     def __init__(self, *args, **kwargs):
         BinaryScalarOp.__init__(self, *args, **kwargs)

aesara/scalar/math.py

@@ -5,19 +5,23 @@
 """
 
 import os
+import warnings
 
 import numpy as np
 
 from aesara.configdefaults import config
 from aesara.gradient import grad_not_implemented
 from aesara.scalar.basic import (
     BinaryScalarOp,
+    TernaryScalarOp,
     UnaryScalarOp,
     complex_types,
     discrete_types,
     exp,
     float64,
     float_types,
+    log,
+    log1p,
     upcast,
     upgrade_to_float,
     upgrade_to_float64,
@@ -1070,3 +1074,228 @@ def c_code_cache_version(self):
 
 
 softplus = Softplus(upgrade_to_float, name="scalar_softplus")
+
+
+class BetaInc(TernaryScalarOp):
+    """
+    Regularized incomplete beta function
+    """
+
+    nfunc_spec = ("scipy.special.betainc", 3, 1)
+
+    def impl(self, a, b, x):
+        return scipy.special.betainc(a, b, x)
+
+    def grad(self, inp, grads):
+        a, b, x = inp
+        (gz,) = grads
+
+        return [
+            gz * betainc_dda_scalar(a, b, x),
+            gz * betainc_ddb_scalar(a, b, x),
+            gz
+            * exp(
+                log1p(-x) * (b - 1)
+                + log(x) * (a - 1)
+                - (gammaln(a) + gammaln(b) - gammaln(a + b))
+            ),
+        ]
+
+
+betainc = BetaInc(upgrade_to_float_no_complex, name="betainc")
+
+
+class BetaIncDda(TernaryScalarOp):
+    """
+    Gradient of the regularized incomplete beta function wrt to the first argument (a)
+    """
+
+    def impl(self, a, b, x):
+        return _betainc_derivative(a, b, x, wrtp=True)
+
+
+betainc_dda_scalar = BetaIncDda(upgrade_to_float_no_complex, name="betainc_dda")
+
+
+class BetaIncDdb(TernaryScalarOp):
+    """
+    Gradient of the regularized incomplete beta function wrt to the second argument (b)
+    """
+
+    def impl(self, a, b, x):
+        return _betainc_derivative(a, b, x, wrtp=False)
+
+
+betainc_ddb_scalar = BetaIncDdb(upgrade_to_float_no_complex, name="betainc_ddb")
+
+
+def _betainc_derivative(p, q, x, wrtp=True):
+    """
+    Compute the derivative of regularized incomplete beta function wrt to p (alpha) or q (beta)
+
+    Reference: Boik, R. J., & Robison-Cox, J. F. (1998). Derivatives of the incomplete beta function.
+    Journal of Statistical Software, 3(1), 1-20.
+    """
+
+    def _betainc_a_n(f, p, q, n):
+        """
+        Numerator (a_n) of the nth approximant of the continued fraction
+        representation of the regularized incomplete beta function
+        """
+
+        if n == 1:
+            return p * f * (q - 1) / (q * (p + 1))
+
+        p2n = p + 2 * n
+        F1 = p ** 2 * f ** 2 * (n - 1) / (q ** 2)
+        F2 = (
+            (p + q + n - 2)
+            * (p + n - 1)
+            * (q - n)
+            / ((p2n - 3) * (p2n - 2) ** 2 * (p2n - 1))
+        )
+
+        return F1 * F2
+
+    def _betainc_b_n(f, p, q, n):
+        """
+        Offset (b_n) of the nth approximant of the continued fraction
+        representation of the regularized incomplete beta function
+        """
+        pf = p * f
+        p2n = p + 2 * n
+
+        N1 = 2 * (pf + 2 * q) * n * (n + p - 1) + p * q * (p - 2 - pf)
+        D1 = q * (p2n - 2) * p2n
+
+        return N1 / D1
+
+    def _betainc_da_n_dp(f, p, q, n):
+        """
+        Derivative of a_n wrt p
+        """
+
+        if n == 1:
+            return -p * f * (q - 1) / (q * (p + 1) ** 2)
+
+        pp = p ** 2
+        ppp = pp * p
+        p2n = p + 2 * n
+
+        N1 = -(n - 1) * f ** 2 * pp * (q - n)
+        N2a = (-8 + 8 * p + 8 * q) * n ** 3
+        N2b = (16 * pp + (-44 + 20 * q) * p + 26 - 24 * q) * n ** 2
+        N2c = (10 * ppp + (14 * q - 46) * pp + (-40 * q + 66) * p - 28 + 24 * q) * n
+        N2d = 2 * pp ** 2 + (-13 + 3 * q) * ppp + (-14 * q + 30) * pp
+        N2e = (-29 + 19 * q) * p + 10 - 8 * q
+
+        D1 = q ** 2 * (p2n - 3) ** 2
+        D2 = (p2n - 2) ** 3 * (p2n - 1) ** 2
+
+        return (N1 / D1) * (N2a + N2b + N2c + N2d + N2e) / D2
+
+    def _betainc_da_n_dq(f, p, q, n):
+        """
+        Derivative of a_n wrt q
+        """
+        if n == 1:
+            return p * f / (q * (p + 1))
+
+        p2n = p + 2 * n
+        F1 = (p ** 2 * f ** 2 / (q ** 2)) * (n - 1) * (p + n - 1) * (2 * q + p - 2)
+        D1 = (p2n - 3) * (p2n - 2) ** 2 * (p2n - 1)
+
+        return F1 / D1
+
+    def _betainc_db_n_dp(f, p, q, n):
+        """
+        Derivative of b_n wrt p
+        """
+        p2n = p + 2 * n
+        pp = p ** 2
+        q4 = 4 * q
+        p4 = 4 * p
+
+        F1 = (p * f / q) * (
+            (-p4 - q4 + 4) * n ** 2 + (p4 - 4 + q4 - 2 * pp) * n + pp * q
+        )
+        D1 = (p2n - 2) ** 2 * p2n ** 2
+
+        return F1 / D1
+
+    def _betainc_db_n_dq(f, p, q, n):
+        """
+        Derivative of b_n wrt to q
+        """
+        p2n = p + 2 * n
+        return -(p ** 2 * f) / (q * (p2n - 2) * p2n)
+
+    # Input validation
+    if not (0 <= x <= 1) or p < 0 or q < 0:
+        return np.nan
+
+    if x > (p / (p + q)):
+        return -_betainc_derivative(q, p, 1 - x, not wrtp)
+
+    min_iters = 3
+    max_iters = 200
+    err_threshold = 1e-12
+
+    derivative_old = 0
+
+    Am2, Am1 = 1, 1
+    Bm2, Bm1 = 0, 1
+    dAm2, dAm1 = 0, 0
+    dBm2, dBm1 = 0, 0
+
+    f = (q * x) / (p * (1 - x))
+    K = np.exp(
+        p * np.log(x) + (q - 1) * np.log1p(-x) - np.log(p) - scipy.special.betaln(p, q)
+    )
+    if wrtp:
+        dK = np.log(x) - 1 / p + scipy.special.digamma(p + q) - scipy.special.digamma(p)
+    else:
+        dK = np.log1p(-x) + scipy.special.digamma(p + q) - scipy.special.digamma(q)
+
+    for n in range(1, max_iters + 1):
+        a_n_ = _betainc_a_n(f, p, q, n)
+        b_n_ = _betainc_b_n(f, p, q, n)
+        if wrtp:
+            da_n = _betainc_da_n_dp(f, p, q, n)
+            db_n = _betainc_db_n_dp(f, p, q, n)
+        else:
+            da_n = _betainc_da_n_dq(f, p, q, n)
+            db_n = _betainc_db_n_dq(f, p, q, n)
+
+        A = a_n_ * Am2 + b_n_ * Am1
+        B = a_n_ * Bm2 + b_n_ * Bm1
+        dA = da_n * Am2 + a_n_ * dAm2 + db_n * Am1 + b_n_ * dAm1
+        dB = da_n * Bm2 + a_n_ * dBm2 + db_n * Bm1 + b_n_ * dBm1
+
+        Am2, Am1 = Am1, A
+        Bm2, Bm1 = Bm1, B
+        dAm2, dAm1 = dAm1, dA
+        dBm2, dBm1 = dBm1, dB
+
+        if n < min_iters - 1:
+            continue
+
+        F1 = A / B
+        F2 = (dA - F1 * dB) / B
+        derivative = K * (F1 * dK + F2)
+
+        errapx = abs(derivative_old - derivative)
+        d_errapx = errapx / max(err_threshold, abs(derivative))
+        derivative_old = derivative
+
+        if d_errapx <= err_threshold:
+            break
+
+        if n >= max_iters:
+            warnings.warn(
+                f"_betainc_derivative did not converge after {n} iterations",
+                RuntimeWarning,
+            )
+            return np.nan
+
+    return derivative

aesara/tensor/inplace.py

@@ -318,6 +318,11 @@ def softplus_inplace(x):
     """Compute log(1 + exp(x)), also known as softplus or log1pexp"""
 
 
+@scalar_elemwise
+def betainc_inplace(a, b, x):
+    """Regularized incomplete beta function"""
+
+
 @scalar_elemwise
 def second_inplace(a):
     """Fill `a` with `b`"""

aesara/tensor/math.py

@@ -1417,6 +1417,11 @@ def softplus(x):
     """Compute log(1 + exp(x)), also known as softplus or log1pexp"""
 
 
+@scalar_elemwise
+def betainc(a, b, x):
+    """Regularized incomplete beta function"""
+
+
 @scalar_elemwise
 def real(z):
     """Return real component of complex-valued tensor `z`"""
@@ -2847,6 +2852,7 @@ def power(x, y):
     "sigmoid",
     "expit",
     "softplus",
+    "betainc",
     "real",
     "imag",
     "angle",

tests/scalar/test_math.py

@@ -1,9 +1,11 @@
 import numpy as np
+from numpy.testing import assert_allclose, assert_almost_equal
 
 import aesara.tensor as aet
+from aesara import config, function
 from aesara.graph.fg import FunctionGraph
 from aesara.link.c.basic import CLinker
-from aesara.scalar.math import gammainc, gammaincc, gammal, gammau
+from aesara.scalar.math import betainc, gammainc, gammaincc, gammal, gammau
 
 
 def test_gammainc_nan():
@@ -44,3 +46,80 @@ def test_gammau_nan():
     assert np.isnan(test_func(-1, 1))
     assert np.isnan(test_func(1, -1))
     assert np.isnan(test_func(-1, -1))
+
+
+class TestBetaIncGrad:
+
+    # This test replicates the following STAN test:
+    # https://github.com/stan-dev/math/blob/master/test/unit/math/prim/fun/grad_reg_inc_beta_test.cpp
+    @config.change_flags(cxx="")
+    def test_stan_grad_combined(self):
+        a, b, z = aet.scalars("a", "b", "z")
+        betainc_out = betainc(a, b, z)
+        betainc_grad = aet.grad(betainc_out, [a, b], null_gradients="return")
+        f_grad = function([a, b, z], betainc_grad)
+
+        for test_a, test_b, test_z, expected_dda, expected_ddb in (
+            (1.0, 1.0, 1.0, 0, np.nan),
+            (1.0, 1.0, 0.4, -0.36651629, 0.30649537),
+        ):
+            assert_allclose(
+                f_grad(test_a, test_b, test_z), [expected_dda, expected_ddb]
+            )
+
+    # This test combines the following STAN tests:
+    # https://github.com/stan-dev/math/blob/master/test/unit/math/prim/fun/inc_beta_dda_test.cpp
+    # https://github.com/stan-dev/math/blob/master/test/unit/math/prim/fun/inc_beta_ddb_test.cpp
+    # https://github.com/stan-dev/math/blob/master/test/unit/math/prim/fun/inc_beta_ddz_test.cpp
+    def test_stan_grad_partial(self):
+        a, b, z = aet.scalars("a", "b", "z")
+        betainc_out = betainc(a, b, z)
+        betainc_grad = aet.grad(betainc_out, [a, b, z])
+        f_grad = function([a, b, z], betainc_grad)
+
+        decimal_precision = 7 if config.floatX == "float64" else 3
+
+        for test_a, test_b, test_z, expected_dda, expected_ddb, expected_ddz in (
+            (1.5, 1.25, 0.001, -0.00028665637, 4.41357328e-05, 0.063300692),
+            (1.5, 1.25, 0.5, -0.26038693947, 0.29301795, 1.1905416),
+            (1.5, 1.25, 0.6, -0.23806757, 0.32279575, 1.23341068),
+            (1.5, 1.25, 0.999, -0.00022264493, 0.0018969609, 0.35587692),
+            (15000, 1.25, 0.001, 0, 0, 0),
+            (15000, 1.25, 0.5, 0, 0, 0),
+            (15000, 1.25, 0.6, 0, 0, 0),
+            (15000, 1.25, 0.999, -6.59543226e-10, 2.00849793e-06, 0.009898182),
+            (1.5, 12500, 0.001, -3.93756641e-05, 1.47821755e-09, 0.1848717),
+            (1.5, 12500, 0.5, 0, 0, 0),
+            (1.5, 12500, 0.6, 0, 0, 0),
+            (1.5, 12500, 0.999, 0, 0, 0),
+            (15000, 12500, 0.001, 0, 0, 0),
+            (15000, 12500, 0.5, -8.72102443e-53, 9.55282792e-53, 5.01131256e-48),
+            (15000, 12500, 0.6, -4.085621e-14, -5.5067062e-14, 1.15135267e-71),
+            (15000, 12500, 0.999, 0, 0, 0),
+        ):
+
+            assert_almost_equal(
+                f_grad(test_a, test_b, test_z),
+                [expected_dda, expected_ddb, expected_ddz],
+                decimal=decimal_precision,
+            )
+
+    # This test compares against the tabulated values in:
+    # Boik, R. J., & Robison-Cox, J. F. (1998). Derivatives of the incomplete beta function.
+    # Journal of Statistical Software, 3(1), 1-20.
+    def test_boik_robison_cox(self):
+        a, b, z = aet.scalars("a", "b", "z")
+        betainc_out = betainc(a, b, z)
+        betainc_grad = aet.grad(betainc_out, [a, b])
+        f_grad = function([a, b, z], betainc_grad)
+
+        for test_a, test_b, test_z, expected_dda, expected_ddb in (
+            (1.5, 11.0, 0.001, -4.5720356e-03, 1.1845673e-04),
+            (1.5, 11.0, 0.5, -2.5501997e-03, 9.0824388e-04),
+            (1000.0, 1000.0, 0.5, -8.9224793e-03, 8.9224793e-03),
+            (1000.0, 1000.0, 0.55, -3.6713108e-07, 4.0584118e-07),
+        ):
+            assert_almost_equal(
+                f_grad(test_a, test_b, test_z),
+                [expected_dda, expected_ddb],
+            )