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Commits on Jan 7, 2022

• Enable most of STS (everything except fitting) in JAX.

  Show description for 9c959a0
  

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• Fix invalid default value for trajectory_shape when sts_model.joint_distribution is called without an observed_time_series.

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• Link to STS blog post from module docs.

  Show description for f46a9ba
  

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• Add JAX/stateless versions of VI surrogate posteriors.

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• Add fit_surrogate_posterior_stateless with support for custom gradient estimators.

  Show description for 598e2bc
  

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• Implement ASVI for JAX (and stateless TF) using trainable_state_util utils.

  Show description for 83c5f9a
  

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• Add ImportanceResample as an experimental meta-distribution.

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• Add gradient_estimator argument to monte_carlo_variational_loss, and support doubly-reparameterized / sticking-the-landing gradients.

  Show description for 0f121b2
  

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Commits on Jan 6, 2022

• Expose VI losses and monte carlo expectations in the JAX backend.

  Show description for 7cf5569
  

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Commits on Jan 5, 2022

• Refactor ASVI to use explicit user-provided lists of substitution and surrogate rules.

  Show description for f348507
  

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• Add ARIMA StructuralTimeSeries component.

  Show description for 9b23df1
  

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• Port trainable linear operators to use the new trainable state utils.

  Show description for eb3c30f
  

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• Track exogenous variables in DeferredModule.

  Show description for 4d49b07
  

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Commits on Jan 4, 2022

• Support expand_composites=False in backend nest utils.

  Show description for de9e7af
  

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• Add level_drift parameter to ARMA state space model.

  Show description for 79e4d2a
  

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Commits on Dec 29, 2021

• Port make_trainable to use new state utilities, and add a stateless version w/ JAX support.

  Show description for 9b67e5a
  

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Commits on Dec 28, 2021

• Set maximum_iterations in trace_scan while loop.

  Show description for df30a39
  

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• Add internal utilities to manage state using coroutines.

  Show description for e4248fc
  

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Commits on Dec 22, 2021

• Support namedtuple parameters in _minimize_stateless.

  Show description for d956437
  

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Commits on Dec 9, 2021

• Add use_markov_chain option to Lorenz system model.

  Show description for 6fc709f
  

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• Speed up stochastic volatility model/test with use_markov_chain option.

  Show description for 8e598f7
  

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Commits on Dec 2, 2021

• Add tfp.math.minimize_stateless as a purely-functional analogue of tfp.math.minimize.

  Show description for e895795
  

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Commits on Nov 30, 2021

• Always return Kalman filter results as a FilterResults namedtuple.

  Show description for f5541be
  

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Commits on Nov 15, 2021

• Fix NaNs when running the spike-and-slab sampler under XLA.

  Show description for 76eaa7e
  

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Commits on Nov 12, 2021

• Simplify DeferredModule interface by combining base_class and args_fn into build_fn.

  Show description for 2ad13b1
  

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Commits on Nov 11, 2021

• Centralize generic loop utilities under internal/loop_util.

  Show description for 6e8ef0e
  

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Commits on Nov 10, 2021

• Support sparse regression with spike-and-slab priors in the STS Gibbs sampler.

  Show description for 8944243
  

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Commits on Nov 9, 2021

• Merge JointDistribution mixins (vmap and sample-path) into the base class.

  Show description for ed5f42e
  

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• Add a spike and slab sampler for sparse regression models.

  Show description for 7fa7441
  

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Commits on Oct 20, 2021

• Implement covariance for TransformedDistributions with affine bijectors.

  Show description for 15fa519
  

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Commits on Oct 19, 2021

• Add generic support for slicing non-Tensor parameters, and remove special-case implementations.

  Show description for caa7e08
  

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Commits on Oct 18, 2021

• Fix spurious bijector failures when validate_event_size=True.

  Show description for e2ddad5
  

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• Pass rank-deficient args through to a rank-polymorphic fn, rather than erroring.

  Show description for 9567324
  

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Commits on Oct 14, 2021

• Fix batch broadcasting for TransformedDistributions with Split bijectors.

  Show description for afc7ccf
  

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Commits on Oct 13, 2021

• Support broadcasting (non-identical) batch shapes in MixtureSameFamily.

  Show description for cc17866
  

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