sbi-dev / pyknos

conditional density estimation with neural networks

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Add MDN with support for parameter transformations

alvorithm opened this issue · comments

Building on Marcel's work, add an MDN (Mixture Density Network) implementation that can play well with e.g. SNPE-A proposal posterior corrections.

This is the wishlist

  • basic MDN that works and is useable from sbi (mixture of full-covariance Gaussians)
  • MDN becomes highly compositional - only last layer implemented (MDN layer), the rest is built e.g. using Sequential and possibly heuristics given data dimensions, etc.
  • MDN layer returns a MixtureSameFamily density (becoming part of PyTorch, PR)
  • (long term) MDN layer can self-configure given the particulars of the desired MixtureSameFamily
  • Building the whole MDN does not require specification of redundant information, much like Keras s sequential (or look at thinc for a more functional take).