tensorflow / tensorflow/probability
monte_carlo.expectation with samples from multiple multidimensional random variables
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@jvdillon is already working on this.
Since Nov 14, 2019.
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Description
Is there a way to implement a tfp.monte_carlo.expectation passing N samples for multiple random variables with different dimensions?
E.g.
tfp.monte_carlo.expectation( f=lambda s: ...,
samples = samples,
...)
where samples are comprised from two tensors with shapes (N, 2) and (N,2,2) ? Is that possible by defining samples as a list of N tuples of tensors constructed on slices of the two tensors along their first dimension?
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