From f1e524a75d809fee8e41b80a053a93fc89363bd4 Mon Sep 17 00:00:00 2001
From: Kashif Rasul <kashif.rasul@gmail.com>
Date: Fri, 13 Sep 2024 19:33:22 +0200
Subject: [PATCH] clamp concentration

---
 src/gluonts/torch/distributions/generalized_pareto.py | 6 ++++++
 1 file changed, 6 insertions(+)

diff --git a/src/gluonts/torch/distributions/generalized_pareto.py b/src/gluonts/torch/distributions/generalized_pareto.py
index 60ce3d626d..fec06548c1 100644
--- 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