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Home/ Questions/Q 3619
Alex Hales
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Alex HalesTeacher
Asked: June 2, 20222022-06-02T20:53:48+00:00 2022-06-02T20:53:48+00:00

python – How to sample from a defined probability region of a Multi-Variate Normal Distribution using PyTorch?

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Is there a straightforward way to sample from a multivariate normal distribution in PyTorch and only keep the samples that are in a defined low-probability region (e.g. P(x) < 5 %)?

Concrete example:
I have a batch of representation tensors as an output of a ResNet with a size of (batch_size, feature_size).

I can then generate the mean vector prototype with size = (1, feature_size) of those representations, and the corresponding empirical cov matrix with size = (feature_size, feature_size). From my understanding I can use PyTorchs distributions package to sample from the multivariate normal distribution, defined by prototype and cov like so:

from torch.distributions.multivariate_normal import MultivariateNormal
import torch.nn as nn

dist = MultivariateNormal(prototype, covariance_matrix = cov)
samples = dist.sample(torch.Size([10000]))

I’d like to know how to determine the probability region that a sample belongs to, i.e., I only want to keep samples with low probability. I am aware that there is dist.log_prob(value). However, I’m having a hard time gaining an intuition from that. The outputs don’t seem to make a lot of sense, as they are in the hundreds or thousands. Any idea what I’m missing here?

Thanks for your help.

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