[GitHub] asmushetzel edited a comment on issue #12932: Probability Distributions Support

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asmushetzel edited a comment on issue #12932: Probability Distributions Support
URL: https://github.com/apache/incubator-mxnet/issues/12932#issuecomment-435115632
 
 
   We have also the need for this as part of our project. I have a local version for computing PDF and LOG_PDF including forward/backward pass (aka gradients for all parameters and samples) for the following distributions: uniform/normal/exponential/gamma/poisson/neg-binomial/Dirichlet. All coded as C++ operators and working on CPU and GPU. But it would take some more effort to make it clean enough to commit them. Have to see when I find the time. Naturally we could extend this for supporting CDF etc. 
   Regarding more complex distributions like Multivariate-Gaussians, all necessary basic functionality exists already as part of the linalg-namespace in MXNet. I have plugged it together in python with a couple of lines. In addition build quite a bit around this that allows building more complex stuff (Gaussian Mixtures etc). 
   We are using all that stuff in a specific project and will likely not have the amount of time in near future to polish this all on our own up to the point where we can back contribute. But if other interesting parties are willing to join the effort, we can collaborate. 

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