Initial import: grid-bot — grid trading bot for BTC-USDT on Cifra Markets

2026-09-24 13:22:23 +07:00
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+# mypy: allow-untyped-defs
+
+import torch
+from torch import Tensor
+from torch.distributions.distribution import Distribution
+
+
+__all__ = ["ExponentialFamily"]
+
+
+class ExponentialFamily(Distribution):
+    r"""
+    ExponentialFamily is the abstract base class for probability distributions belonging to an
+    exponential family, whose probability mass/density function has the form is defined below
+
+    .. math::
+
+        p_{F}(x; \theta) = \exp(\langle t(x), \theta\rangle - F(\theta) + k(x))
+
+    where :math:`\theta` denotes the natural parameters, :math:`t(x)` denotes the sufficient statistic,
+    :math:`F(\theta)` is the log normalizer function for a given family and :math:`k(x)` is the carrier
+    measure.
+
+    Note:
+        This class is an intermediary between the `Distribution` class and distributions which belong
+        to an exponential family mainly to check the correctness of the `.entropy()` and analytic KL
+        divergence methods. We use this class to compute the entropy and KL divergence using the AD
+        framework and Bregman divergences (courtesy of: Frank Nielsen and Richard Nock, Entropies and
+        Cross-entropies of Exponential Families).
+    """
+
+    @property
+    def _natural_params(self) -> tuple[Tensor, ...]:
+        """
+        Abstract method for natural parameters. Returns a tuple of Tensors based
+        on the distribution
+        """
+        raise NotImplementedError
+
+    def _log_normalizer(self, *natural_params):
+        """
+        Abstract method for log normalizer function. Returns a log normalizer based on
+        the distribution and input
+        """
+        raise NotImplementedError
+
+    @property
+    def _mean_carrier_measure(self) -> float:
+        """
+        Abstract method for expected carrier measure, which is required for computing
+        entropy.
+        """
+        raise NotImplementedError
+
+    def entropy(self):
+        """
+        Method to compute the entropy using Bregman divergence of the log normalizer.
+        """
+        result: Tensor | float = -self._mean_carrier_measure
+        nparams = [p.detach().requires_grad_() for p in self._natural_params]
+        lg_normal = self._log_normalizer(*nparams)
+        gradients = torch.autograd.grad(lg_normal.sum(), nparams, create_graph=True)
+        result += lg_normal
+        for np, g in zip(nparams, gradients):
+            result -= (np * g).reshape(self._batch_shape + (-1,)).sum(-1)
+        return result