clamp concentration

kashif · Sep 13, 2024 · f1e524a · f1e524a
1 parent 065757e
commit f1e524a
Showing 1 changed file with 6 additions and 0 deletions.
diff --git a/src/gluonts/torch/distributions/generalized_pareto.py b/src/gluonts/torch/distributions/generalized_pareto.py
@@ -187,6 +187,12 @@ def domain_map(
         concentration: torch.Tensor,
     ):  # type: ignore
         scale = F.softplus(scale)
+        # Clamp concentration to avoid numerical issues
+        concentration = torch.tanh(concentration)
+
+        # Adjust loc for negative concentration
+        neg_conc = concentration < 0
+        loc = torch.where(neg_conc, loc - scale / concentration, loc)
         return loc.squeeze(-1), scale.squeeze(-1), concentration.squeeze(-1)
 
     @property