Output is Nan when stacking multiple MAFs but normal when using only 1 MAF

[mtsatsev]

Hi, I am having troubles understanding why I am getting nan when stacking a bunch of conditional MAFs but I am not getting a nan with a single conditional MAF. I have the following dataset: A tuple of parameters x and signal data S.

x = [a,f,p] where a is in the range (0.2,1) coming from uniform distribution, f is in the range (0.1,0.25) coming from uniform distribution, and p is in the range (0,2pi) also coming from uniform distribution. The context (signal) is a function in time of a * sin(2*pi*f + p). The time steps are 24 so an example input would be [a,f,p], [s1....s24]

And the problem is solved with a single MAF, however, I need to be able to scale it up for harder problems and so I am testing having 3 MAFs and permuting the dimensions between them.

My NF is as follows

dims = 3
context_dim = 24
permute = tfp.bijectors.Permute(permutation=[1, 2, 0])

mafblock1 =tfb.MaskedAutoregressiveFlow(
    shift_and_log_scale_fn=tfb.AutoregressiveNetwork(
        params=2,
        event_shape=(dims),
        hidden_units=[128,128],
        conditional=True,
        conditional_event_shape=(context_dim,),
        activation='relu'
    ),name='maf1'
)

mafblock2 =tfb.MaskedAutoregressiveFlow(
    shift_and_log_scale_fn=tfb.AutoregressiveNetwork(
        params=2,
        event_shape=(dims,),
        hidden_units=[128,128],
        conditional=True,
        conditional_event_shape=(context_dim,),
        activation='relu'
    ),name='maf2'
)

mafblock3 =tfb.MaskedAutoregressiveFlow(
    shift_and_log_scale_fn=tfb.AutoregressiveNetwork(
        params=2,
        event_shape=(dims,),
        hidden_units=[128,128],
        conditional=True,
        conditional_event_shape=(context_dim,),
        activation='relu'
    ),name='maf3'
)

maf = tfb.Chain([mafblock1,permute,mafblock2,permute,mafblock3,permute])
prior = tfd.Sample(tfd.Normal(loc=0,scale=1),sample_shape=[dims])

NormalizingFlow = tfp.distributions.TransformedDistribution(
    distribution = prior,
    bijector     = maf,
    name = "NormalizingFlow"
)

I am optimizing with the following function

def train_density_estimation(distribution, optimizer, batch):
    S=batch[0]
    x = batch[1]
    with tf.GradientTape() as tape:
        tape.watch(distribution.trainable_variables)
        log_prob=distribution.log_prob(x,bijector_kwargs=make_bijector_kwargs(
        distribution.bijector,{'maf.': {'conditional_input': S},})
        )

        loss = -tf.reduce_mean(log_prob)  # negative log likelihood
        
    gradients = tape.gradient(loss, distribution.trainable_variables)
    optimizer.apply_gradients(zip(gradients, distribution.trainable_variables))

    return loss
train_epochs = 100 
train_loss = []

for epoch in range(train_epochs):
    epoch_loss = 0
    for (strains,params) in train_data:
        loss = train_density_estimation(NormalizingFlow,optimizer,(strains,params))
        epoch_loss += loss

    print("Train loss for that epoch is: {} ".format(epoch), epoch_loss/(train_num_samples/batch_size))
    train_loss.append((epoch_loss*batch_size)/train_num_samples)

Does someone see why this is happening?