# Copyright (c) 2022 PaddlePaddle Authors. All Rights Reserved. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from collections import defaultdict from functools import reduce import paddle from paddle.optimizer import Optimizer from .line_search_dygraph import _strong_wolfe class LBFGS(Optimizer): r""" The L-BFGS is a quasi-Newton method for solving an unconstrained optimization problem over a differentiable function. Closely related is the Newton method for minimization. Consider the iterate update formula: .. math:: x_{k+1} = x_{k} + H_k \nabla{f_k} If :math:`H_k` is the inverse Hessian of :math:`f` at :math:`x_k`, then it's the Newton method. If :math:`H_k` is symmetric and positive definite, used as an approximation of the inverse Hessian, then it's a quasi-Newton. In practice, the approximated Hessians are obtained by only using the gradients, over either whole or part of the search history, the former is BFGS, the latter is L-BFGS. Reference: Jorge Nocedal, Stephen J. Wright, Numerical Optimization, Second Edition, 2006. pp179: Algorithm 7.5 (L-BFGS). Args: lr (float, optional): learning rate .The default value is 1. max_iter (int, optional): maximal number of iterations per optimization step. The default value is 20. max_eval (int, optional): maximal number of function evaluations per optimization step. The default value is max_iter * 1.25. tolerance_grad (float, optional): termination tolerance on first order optimality The default value is 1e-5. tolerance_change (float, optional): termination tolerance on function value/parameter changes. The default value is 1e-9. history_size (int, optional): update history size. The default value is 100. line_search_fn (string, optional): either 'strong_wolfe' or None. The default value is strong_wolfe. parameters (list|tuple, optional): List/Tuple of ``Tensor`` names to update to minimize ``loss``. \ This parameter is required in dygraph mode. The default value is None. weight_decay (float|WeightDecayRegularizer, optional): The strategy of regularization. \ It canbe a float value as coeff of L2 regularization or \ :ref:`api_fluid_regularizer_L1Decay`, :ref:`api_fluid_regularizer_L2Decay`. If a parameter has set regularizer using :ref:`api_fluid_ParamAttr` already, \ the regularization setting here in optimizer will be ignored for this parameter. \ Otherwise, the regularization setting here in optimizer will take effect. \ Default None, meaning there is no regularization. grad_clip (GradientClipBase, optional): Gradient cliping strategy, it's an instance of \ some derived class of ``GradientClipBase`` . There are three cliping strategies \ ( :ref:`api_fluid_clip_GradientClipByGlobalNorm` , :ref:`api_fluid_clip_GradientClipByNorm` , \ :ref:`api_fluid_clip_GradientClipByValue` ). Default None, meaning there is no gradient clipping. name (str, optional): Normally there is no need for user to set this property. For more information, please refer to :ref:`api_guide_Name`. The default value is None. Return: loss (Tensor): the final loss of closure. Examples: .. code-block:: python import paddle import numpy as np from paddle.incubate.optimizer import LBFGS paddle.disable_static() np.random.seed(0) np_w = np.random.rand(1).astype(np.float32) np_x = np.random.rand(1).astype(np.float32) inputs = [np.random.rand(1).astype(np.float32) for i in range(10)] # y = 2x targets = [2 * x for x in inputs] class Net(paddle.nn.Layer): def __init__(self): super(Net, self).__init__() w = paddle.to_tensor(np_w) self.w = paddle.create_parameter(shape=w.shape, dtype=w.dtype, default_initializer=paddle.nn.initializer.Assign(w)) def forward(self, x): return self.w * x net = Net() opt = LBFGS(lr=1, max_iter=1, max_eval=None, tolerance_grad=1e-07, tolerance_change=1e-09, history_size=100, line_search_fn='strong_wolfe', parameters=net.parameters()) def train_step(inputs, targets): def closure(): outputs = net(inputs) loss = paddle.nn.functional.mse_loss(outputs, targets) print('loss: ', loss.item()) opt.clear_grad() loss.backward() return loss opt.step(closure) for input, target in zip(inputs, targets): input = paddle.to_tensor(input) target = paddle.to_tensor(target) train_step(input, target) """ def __init__( self, lr=1.0, max_iter=20, max_eval=None, tolerance_grad=1e-7, tolerance_change=1e-9, history_size=100, line_search_fn=None, parameters=None, weight_decay=None, grad_clip=None, name=None, ): if max_eval is None: max_eval = max_iter * 5 // 4 self.lr = lr self.max_iter = max_iter self.max_eval = max_eval self.tolerance_grad = tolerance_grad self.tolerance_change = tolerance_change self.history_size = history_size self.line_search_fn = line_search_fn if isinstance(parameters, paddle.Tensor): raise TypeError( "parameters argument given to the optimizer should be " "an iterable of Tensors or dicts, but got " + type(parameters) ) self.state = defaultdict(dict) super().__init__( learning_rate=1.0, parameters=parameters, weight_decay=weight_decay, grad_clip=grad_clip, name=name, ) if not isinstance(self._parameter_list[0], dict): self._params = self._parameter_list else: for idx, param_group in enumerate(self._param_groups): self._params = param_group['params'] self._numel_cache = None def state_dict(self): r"""Returns the state of the optimizer as a :class:`dict`. Return: state, a dict holding current optimization state. Its content differs between optimizer classes. """ packed_state = {} for k, v in self.state.items(): packed_state.update({k: v}) return {'state': packed_state} def _numel(self): # compute the number of all parameters if self._numel_cache is None: self._numel_cache = reduce( lambda total, p: total + p.numel(), self._params, 0 ) return self._numel_cache # flatten grad of all parameters def _gather_flat_grad(self): views = [] for p in self._params: if p.grad is None: view = paddle.zeros_like(p).reshape([-1]) else: view = p.grad.reshape([-1]) views.append(view) return paddle.concat(views, axis=0) # compute xk = xk + alpha * direction def _add_grad(self, alpha, direction): offset = 0 for p in self._params: numel = p.numel().item() p = paddle.assign( p.add( direction[offset : offset + numel].reshape(p.shape) * alpha ), p, ) offset += numel assert offset == self._numel() def _clone_param(self): return [p.clone() for p in self._params] def _set_param(self, params_data): for p, pdata in zip(self._params, params_data): paddle.assign(pdata, p) def _directional_evaluate(self, closure, x, alpha, d): self._add_grad(alpha, d) loss = float(closure()) flat_grad = self._gather_flat_grad() self._set_param(x) return loss, flat_grad def step(self, closure): """Performs a single optimization step. Args: closure (callable): A closure that reevaluates the model and returns the loss. """ with paddle.no_grad(): # Make sure the closure is always called with grad enabled closure = paddle.set_grad_enabled(True)(closure) lr = self.lr max_iter = self.max_iter max_eval = self.max_eval tolerance_grad = self.tolerance_grad tolerance_change = self.tolerance_change line_search_fn = self.line_search_fn history_size = self.history_size state = self.state state.setdefault('func_evals', 0) state.setdefault('n_iter', 0) # evaluate initial f(x) and df/dx orig_loss = closure() loss = float(orig_loss) current_evals = 1 state['func_evals'] += 1 flat_grad = self._gather_flat_grad() opt_cond = flat_grad.abs().max() <= tolerance_grad # optimal condition if opt_cond: return orig_loss # tensors cached in state (for tracing) d = state.get('d') alpha = state.get('alpha') old_yk = state.get('old_yk') old_sk = state.get('old_sk') ro = state.get('ro') H_diag = state.get('H_diag') prev_flat_grad = state.get('prev_flat_grad') prev_loss = state.get('prev_loss') n_iter = 0 # optimize for a max of max_iter iterations while n_iter < max_iter: # keep track of nb of iterations n_iter += 1 state['n_iter'] += 1 ############################################################ # compute gradient descent direction ############################################################ if state['n_iter'] == 1: d = flat_grad.neg() old_yk = [] old_sk = [] ro = [] H_diag = paddle.to_tensor(1.0, dtype=orig_loss.dtype) else: # do lbfgs update (update memory) y = flat_grad.subtract(prev_flat_grad) s = d.multiply(paddle.to_tensor(alpha, dtype=d.dtype)) ys = y.dot(s) if ys > 1e-10: # updating memory if len(old_yk) == history_size: # shift history by one (limited-memory) old_yk.pop(0) old_sk.pop(0) ro.pop(0) # store new direction/step old_yk.append(y) old_sk.append(s) ro.append(1.0 / ys) # update scale of initial Hessian approximation H_diag = ys / y.dot(y) # (y*y) # compute the approximate (L-BFGS) inverse Hessian # multiplied by the gradient num_old = len(old_yk) if 'al' not in state: state['al'] = [None] * history_size al = state['al'] # iteration in L-BFGS loop collapsed to use just one buffer q = flat_grad.neg() for i in range(num_old - 1, -1, -1): al[i] = old_sk[i].dot(q) * ro[i] paddle.assign(q.add(old_yk[i] * (-al[i])), q) # multiply by initial Hessian # r/d is the final direction d = r = paddle.multiply(q, H_diag) for i in range(num_old): be_i = old_yk[i].dot(r) * ro[i] paddle.assign(r.add(old_sk[i] * (al[i] - be_i)), r) if prev_flat_grad is None: prev_flat_grad = flat_grad.clone() else: paddle.assign(flat_grad, prev_flat_grad) prev_loss = loss ############################################################ # compute step length ############################################################ # reset initial guess for step size if state['n_iter'] == 1: alpha = min(1.0, 1.0 / flat_grad.abs().sum()) * lr else: alpha = lr # directional derivative gtd = flat_grad.dot(d) # directional derivative is below tolerance if gtd > -tolerance_change: break # optional line search: user function ls_func_evals = 0 if line_search_fn is not None: # perform line search, using user function if line_search_fn != "strong_wolfe": raise RuntimeError("only 'strong_wolfe' is supported") else: x_init = self._clone_param() def obj_func(x, alpha, d): return self._directional_evaluate( closure, x, alpha, d ) loss, flat_grad, alpha, ls_func_evals = _strong_wolfe( obj_func, x_init, alpha, d, loss, flat_grad, gtd ) self._add_grad(alpha, d) opt_cond = flat_grad.abs().max() <= tolerance_grad else: # no line search, simply move with fixed-step self._add_grad(alpha, d) if n_iter != max_iter: with paddle.set_grad_enabled(True): loss = float(closure()) flat_grad = self._gather_flat_grad() opt_cond = flat_grad.abs().max() <= tolerance_grad ls_func_evals = 1 # update func eval current_evals += ls_func_evals state['func_evals'] += ls_func_evals # optimal condition if opt_cond: break # lack of progress if (d * alpha).abs().max() <= tolerance_change: break if abs(loss - prev_loss) < tolerance_change: break # check conditions if current_evals >= max_eval: break if n_iter == max_iter: break state['d'] = d state['alpha'] = alpha state['old_yk'] = old_yk state['old_sk'] = old_sk state['ro'] = ro state['H_diag'] = H_diag state['prev_flat_grad'] = prev_flat_grad state['prev_loss'] = prev_loss return orig_loss