Can you put constraints on latent variables in Numpyro

numpyro
1

Hi there,

I am familiar with the rationale that latent variables cannot be constrained in Pyro, partly due to difficulties this causes with SVI.

I was wondering if this was the case for Numpyro, also. Effectively I have two latent variables, and I know with absolute certainty that one is always greater than the other.

Thanks for the help.

2

It depends on the underlying distributions. If they have real supports, you can use improper distribution with OrderedVector support (then add unnormailzed factors of log probs of the values), like

xy = sample("xy", dist.ImproperUniform(...))
numpyro.factor("x_log_prob", dx.log_prob(xy[0]))
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