tensorflow_probability/python/sts/internal/util.py
def pad_batch_dimension_for_multiple_chains(
    observed_time_series, model, chain_batch_shape):
  """"Expand the observed time series with extra batch dimension(s)."""
  # Running with multiple chains introduces an extra batch dimension. In
  # general we also need to pad the observed time series with a matching batch
  # dimension.
  #
  # For example, suppose our model has batch shape [3, 4] and
  # the observed time series has shape `concat([[5], [3, 4], [100])`,
  # corresponding to `sample_shape`, `batch_shape`, and `num_timesteps`
  # respectively. The model will produce distributions with batch shape
  # `concat([chain_batch_shape, [3, 4]])`, so we pad `observed_time_series` to
  # have matching shape `[5, 1, 3, 4, 100]`, where the added `1` dimension
  # between the sample and batch shapes will broadcast to `chain_batch_shape`.

  [  # Extract mask and guarantee `event_ndims=2`.
      observed_time_series,
      is_missing
  ] = canonicalize_observed_time_series_with_mask(observed_time_series)

  event_ndims = 2  # event_shape = [num_timesteps, observation_size=1]

  model_batch_ndims = (
      model.batch_shape.ndims if model.batch_shape.ndims is not None else
      tf.shape(input=model.batch_shape_tensor())[0])

  # Compute ndims from chain_batch_shape.
  chain_batch_shape = tf.convert_to_tensor(
      value=chain_batch_shape, name='chain_batch_shape', dtype=tf.int32)
  if not chain_batch_shape.shape.is_fully_defined():
    raise ValueError('Batch shape must have static rank. (given: {})'.format(
        chain_batch_shape))
  if chain_batch_shape.shape.ndims == 0:  # expand int `k` to `[k]`.
    chain_batch_shape = chain_batch_shape[tf.newaxis]
  chain_batch_ndims = tf.compat.dimension_value(chain_batch_shape.shape[0])

  def do_padding(observed_time_series_tensor):
    current_sample_shape = tf.shape(
        input=observed_time_series_tensor)[:-(model_batch_ndims + event_ndims)]
    current_batch_and_event_shape = tf.shape(
        input=observed_time_series_tensor)[-(model_batch_ndims + event_ndims):]
    return tf.reshape(
        tensor=observed_time_series_tensor,
        shape=tf.concat([
            current_sample_shape,
            tf.ones([chain_batch_ndims], dtype=tf.int32),
            current_batch_and_event_shape], axis=0))

  # Padding is only needed if the observed time series has sample shape.
  observed_time_series = prefer_static.cond(
      (dist_util.prefer_static_rank(observed_time_series) >
       model_batch_ndims + event_ndims),
      lambda: do_padding(observed_time_series),
      lambda: observed_time_series)

  if is_missing is not None:
    is_missing = prefer_static.cond(
        (dist_util.prefer_static_rank(is_missing) >
         model_batch_ndims + event_ndims),
        lambda: do_padding(is_missing),
        lambda: is_missing)
    return missing_values_util.MaskedTimeSeries(observed_time_series,
                                                is_missing=is_missing)

  return observed_time_series
def pad_batch_dimension_for_multiple_chains(
    observed_time_series, model, chain_batch_shape):
  """"Expand the observed time series with extra batch dimension(s)."""
  # Running with multiple chains introduces an extra batch dimension. In
  # general we also need to pad the observed time series with a matching batch
  # dimension.
  #
  # For example, suppose our model has batch shape [3, 4] and
  # the observed time series has shape `concat([[5], [3, 4], [100])`,
  # corresponding to `sample_shape`, `batch_shape`, and `num_timesteps`
  # respectively. The model will produce distributions with batch shape
  # `concat([chain_batch_shape, [3, 4]])`, so we pad `observed_time_series` to
  # have matching shape `[5, 1, 3, 4, 100]`, where the added `1` dimension
  # between the sample and batch shapes will broadcast to `chain_batch_shape`.

  [  # Extract mask and guarantee `event_ndims=2`.
      observed_time_series,
      is_missing
  ] = canonicalize_observed_time_series_with_mask(observed_time_series)

  event_ndims = 2  # event_shape = [num_timesteps, observation_size=1]

  model_batch_ndims = (
      model.batch_shape.ndims if model.batch_shape.ndims is not None else
      tf.shape(input=model.batch_shape_tensor())[0])

  # Compute ndims from chain_batch_shape.
  chain_batch_shape = tf.convert_to_tensor(
      value=chain_batch_shape, name='chain_batch_shape', dtype=tf.int32)
  if not chain_batch_shape.shape.is_fully_defined():
    raise ValueError('Batch shape must have static rank. (given: {})'.format(
        chain_batch_shape))
  if chain_batch_shape.shape.ndims == 0:  # expand int `k` to `[k]`.
    chain_batch_shape = chain_batch_shape[tf.newaxis]
  chain_batch_ndims = tf.compat.dimension_value(chain_batch_shape.shape[0])

  def do_padding(observed_time_series_tensor):
    current_sample_shape = tf.shape(
        input=observed_time_series_tensor)[:-(model_batch_ndims + event_ndims)]
    current_batch_and_event_shape = tf.shape(
        input=observed_time_series_tensor)[-(model_batch_ndims + event_ndims):]
    return tf.reshape(
        tensor=observed_time_series_tensor,
        shape=tf.concat([
            current_sample_shape,
            tf.ones([chain_batch_ndims], dtype=tf.int32),
            current_batch_and_event_shape], axis=0))

  # Padding is only needed if the observed time series has sample shape.
  observed_time_series = prefer_static.cond(
      (dist_util.prefer_static_rank(observed_time_series) >
       model_batch_ndims + event_ndims),
      lambda: do_padding(observed_time_series),
      lambda: observed_time_series)

  if is_missing is not None:
    is_missing = prefer_static.cond(
        (dist_util.prefer_static_rank(is_missing) >
         model_batch_ndims + event_ndims),
        lambda: do_padding(is_missing),
        lambda: is_missing)
    return missing_values_util.MaskedTimeSeries(observed_time_series,
                                                is_missing=is_missing)

  return observed_time_series
Expand the observed time series with extra batch dimension(s).