torch_truncnorm

Truncated Normal distribution in PyTorch. The module provides:

• TruncatedStandardNormal class - zero mean unit variance of the parent Normal distribution, parameterized by the
  cut-off range [a, b] (similar to scipy.stats.truncnorm);
• TruncatedNormal class - a wrapper with extra loc and scale parameters of the parent Normal distribution;
• Differentiability wrt parameters of the distribution;
• Batching support.

Why

I just needed differentiation with respect to parameters of the distribution and found out that truncated normal
distribution is not bundled in torch.distributions as of 1.6.0.

Known issues

icdf is numerically unstable; as a consequence, so is rsample. This issue is also seen in
torch.distributions.normal.Normal, so it is sort of normal (ba-dum-tss).

Tests

CUDA_VISIBLE_DEVICES=0 python -m tests.test

Links

https://people.sc.fsu.edu/~jburkardt/presentations/truncated_normal.pdf