Truncated Normal distribution in PyTorch. The module provides:

• TruncatedStandardNormal class - zero mean unit variance of the parent Normal distribution, parameterized by the cut-off range [a, b] (similar to scipy.stats.truncnorm);
• TruncatedNormal class - a wrapper with extra loc and scale parameters of the parent Normal distribution;
• Differentiability wrt parameters of the distribution;
• Batching support.

I just needed differentiation with respect to parameters of the distribution and found out that truncated normal distribution is not bundled in torch.distributions as of 1.6.0.

icdf is numerically unstable; as a consequence, so is rsample. This issue is also seen in torch.distributions.normal.Normal, so it is sort of normal (ba-dum-tss).

CUDA_VISIBLE_DEVICES=0 python -m tests.test

https://people.sc.fsu.edu/~jburkardt/presentations/truncated_normal.pdf