rmsprop.py 12 KB

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  1. import torch
  2. from torch import Tensor
  3. from .optimizer import Optimizer
  4. from typing import List, Optional
  5. class RMSprop(Optimizer):
  6. r"""Implements RMSprop algorithm.
  7. .. math::
  8. \begin{aligned}
  9. &\rule{110mm}{0.4pt} \\
  10. &\textbf{input} : \alpha \text{ (alpha)},\: \gamma \text{ (lr)},
  11. \: \theta_0 \text{ (params)}, \: f(\theta) \text{ (objective)} \\
  12. &\hspace{13mm} \lambda \text{ (weight decay)},\: \mu \text{ (momentum)},\: centered\\
  13. &\textbf{initialize} : v_0 \leftarrow 0 \text{ (square average)}, \:
  14. \textbf{b}_0 \leftarrow 0 \text{ (buffer)}, \: g^{ave}_0 \leftarrow 0 \\[-1.ex]
  15. &\rule{110mm}{0.4pt} \\
  16. &\textbf{for} \: t=1 \: \textbf{to} \: \ldots \: \textbf{do} \\
  17. &\hspace{5mm}g_t \leftarrow \nabla_{\theta} f_t (\theta_{t-1}) \\
  18. &\hspace{5mm}if \: \lambda \neq 0 \\
  19. &\hspace{10mm} g_t \leftarrow g_t + \lambda \theta_{t-1} \\
  20. &\hspace{5mm}v_t \leftarrow \alpha v_{t-1} + (1 - \alpha) g^2_t
  21. \hspace{8mm} \\
  22. &\hspace{5mm} \tilde{v_t} \leftarrow v_t \\
  23. &\hspace{5mm}if \: centered \\
  24. &\hspace{10mm} g^{ave}_t \leftarrow g^{ave}_{t-1} \alpha + (1-\alpha) g_t \\
  25. &\hspace{10mm} \tilde{v_t} \leftarrow \tilde{v_t} - \big(g^{ave}_{t} \big)^2 \\
  26. &\hspace{5mm}if \: \mu > 0 \\
  27. &\hspace{10mm} \textbf{b}_t\leftarrow \mu \textbf{b}_{t-1} +
  28. g_t/ \big(\sqrt{\tilde{v_t}} + \epsilon \big) \\
  29. &\hspace{10mm} \theta_t \leftarrow \theta_{t-1} - \gamma \textbf{b}_t \\
  30. &\hspace{5mm} else \\
  31. &\hspace{10mm}\theta_t \leftarrow \theta_{t-1} -
  32. \gamma g_t/ \big(\sqrt{\tilde{v_t}} + \epsilon \big) \hspace{3mm} \\
  33. &\rule{110mm}{0.4pt} \\[-1.ex]
  34. &\bf{return} \: \theta_t \\[-1.ex]
  35. &\rule{110mm}{0.4pt} \\[-1.ex]
  36. \end{aligned}
  37. For further details regarding the algorithm we refer to
  38. `lecture notes <https://www.cs.toronto.edu/~tijmen/csc321/slides/lecture_slides_lec6.pdf>`_ by G. Hinton.
  39. and centered version `Generating Sequences
  40. With Recurrent Neural Networks <https://arxiv.org/pdf/1308.0850v5.pdf>`_.
  41. The implementation here takes the square root of the gradient average before
  42. adding epsilon (note that TensorFlow interchanges these two operations). The effective
  43. learning rate is thus :math:`\gamma/(\sqrt{v} + \epsilon)` where :math:`\gamma`
  44. is the scheduled learning rate and :math:`v` is the weighted moving average
  45. of the squared gradient.
  46. Args:
  47. params (iterable): iterable of parameters to optimize or dicts defining
  48. parameter groups
  49. lr (float, optional): learning rate (default: 1e-2)
  50. momentum (float, optional): momentum factor (default: 0)
  51. alpha (float, optional): smoothing constant (default: 0.99)
  52. eps (float, optional): term added to the denominator to improve
  53. numerical stability (default: 1e-8)
  54. centered (bool, optional) : if ``True``, compute the centered RMSProp,
  55. the gradient is normalized by an estimation of its variance
  56. weight_decay (float, optional): weight decay (L2 penalty) (default: 0)
  57. foreach (bool, optional): whether foreach implementation of optimizer
  58. is used (default: None)
  59. """
  60. def __init__(self, params, lr=1e-2, alpha=0.99, eps=1e-8, weight_decay=0, momentum=0,
  61. centered=False, foreach: Optional[bool] = None):
  62. if not 0.0 <= lr:
  63. raise ValueError("Invalid learning rate: {}".format(lr))
  64. if not 0.0 <= eps:
  65. raise ValueError("Invalid epsilon value: {}".format(eps))
  66. if not 0.0 <= momentum:
  67. raise ValueError("Invalid momentum value: {}".format(momentum))
  68. if not 0.0 <= weight_decay:
  69. raise ValueError("Invalid weight_decay value: {}".format(weight_decay))
  70. if not 0.0 <= alpha:
  71. raise ValueError("Invalid alpha value: {}".format(alpha))
  72. defaults = dict(lr=lr, momentum=momentum, alpha=alpha, eps=eps, centered=centered,
  73. weight_decay=weight_decay, foreach=foreach)
  74. super(RMSprop, self).__init__(params, defaults)
  75. def __setstate__(self, state):
  76. super().__setstate__(state)
  77. for group in self.param_groups:
  78. group.setdefault('momentum', 0)
  79. group.setdefault('centered', False)
  80. group.setdefault('foreach', None)
  81. @torch.no_grad()
  82. def step(self, closure=None):
  83. """Performs a single optimization step.
  84. Args:
  85. closure (callable, optional): A closure that reevaluates the model
  86. and returns the loss.
  87. """
  88. loss = None
  89. if closure is not None:
  90. with torch.enable_grad():
  91. loss = closure()
  92. for group in self.param_groups:
  93. params_with_grad = []
  94. grads = []
  95. square_avgs = []
  96. grad_avgs = []
  97. momentum_buffer_list = []
  98. for p in group['params']:
  99. if p.grad is None:
  100. continue
  101. params_with_grad.append(p)
  102. if p.grad.is_sparse:
  103. raise RuntimeError('RMSprop does not support sparse gradients')
  104. grads.append(p.grad)
  105. state = self.state[p]
  106. # State initialization
  107. if len(state) == 0:
  108. state['step'] = 0
  109. state['square_avg'] = torch.zeros_like(p, memory_format=torch.preserve_format)
  110. if group['momentum'] > 0:
  111. state['momentum_buffer'] = torch.zeros_like(p, memory_format=torch.preserve_format)
  112. if group['centered']:
  113. state['grad_avg'] = torch.zeros_like(p, memory_format=torch.preserve_format)
  114. square_avgs.append(state['square_avg'])
  115. if group['momentum'] > 0:
  116. momentum_buffer_list.append(state['momentum_buffer'])
  117. if group['centered']:
  118. grad_avgs.append(state['grad_avg'])
  119. state['step'] += 1
  120. rmsprop(params_with_grad,
  121. grads,
  122. square_avgs,
  123. grad_avgs,
  124. momentum_buffer_list,
  125. lr=group['lr'],
  126. alpha=group['alpha'],
  127. eps=group['eps'],
  128. weight_decay=group['weight_decay'],
  129. momentum=group['momentum'],
  130. centered=group['centered'],
  131. foreach=group['foreach'])
  132. return loss
  133. def rmsprop(params: List[Tensor],
  134. grads: List[Tensor],
  135. square_avgs: List[Tensor],
  136. grad_avgs: List[Tensor],
  137. momentum_buffer_list: List[Tensor],
  138. # kwonly args with defaults are not supported by functions compiled with torchscript issue #70627
  139. # setting this as kwarg for now as functional API is compiled by torch/distributed/optim
  140. foreach: bool = None,
  141. *,
  142. lr: float,
  143. alpha: float,
  144. eps: float,
  145. weight_decay: float,
  146. momentum: float,
  147. centered: bool):
  148. r"""Functional API that performs rmsprop algorithm computation.
  149. See :class:`~torch.optim.RMSProp` for details.
  150. """
  151. if foreach is None:
  152. # Placeholder for more complex foreach logic to be added when value is not set
  153. foreach = False
  154. if foreach and torch.jit.is_scripting():
  155. raise RuntimeError('torch.jit.script not supported with foreach optimizers')
  156. if foreach and not torch.jit.is_scripting():
  157. func = _multi_tensor_rmsprop
  158. else:
  159. func = _single_tensor_rmsprop
  160. func(params,
  161. grads,
  162. square_avgs,
  163. grad_avgs,
  164. momentum_buffer_list,
  165. lr=lr,
  166. alpha=alpha,
  167. eps=eps,
  168. weight_decay=weight_decay,
  169. momentum=momentum,
  170. centered=centered)
  171. def _single_tensor_rmsprop(params: List[Tensor],
  172. grads: List[Tensor],
  173. square_avgs: List[Tensor],
  174. grad_avgs: List[Tensor],
  175. momentum_buffer_list: List[Tensor],
  176. *,
  177. lr: float,
  178. alpha: float,
  179. eps: float,
  180. weight_decay: float,
  181. momentum: float,
  182. centered: bool):
  183. for i, param in enumerate(params):
  184. grad = grads[i]
  185. square_avg = square_avgs[i]
  186. if weight_decay != 0:
  187. grad = grad.add(param, alpha=weight_decay)
  188. square_avg.mul_(alpha).addcmul_(grad, grad, value=1 - alpha)
  189. if centered:
  190. grad_avg = grad_avgs[i]
  191. grad_avg.mul_(alpha).add_(grad, alpha=1 - alpha)
  192. avg = square_avg.addcmul(grad_avg, grad_avg, value=-1).sqrt_().add_(eps)
  193. else:
  194. avg = square_avg.sqrt().add_(eps)
  195. if momentum > 0:
  196. buf = momentum_buffer_list[i]
  197. buf.mul_(momentum).addcdiv_(grad, avg)
  198. param.add_(buf, alpha=-lr)
  199. else:
  200. param.addcdiv_(grad, avg, value=-lr)
  201. def _multi_tensor_rmsprop(params: List[Tensor],
  202. grads: List[Tensor],
  203. square_avgs: List[Tensor],
  204. grad_avgs: List[Tensor],
  205. momentum_buffer_list: List[Tensor],
  206. *,
  207. lr: float,
  208. alpha: float,
  209. eps: float,
  210. weight_decay: float,
  211. momentum: float,
  212. centered: bool):
  213. if len(params) == 0:
  214. return
  215. if weight_decay != 0:
  216. torch._foreach_add_(grads, params, alpha=weight_decay)
  217. torch._foreach_mul_(square_avgs, alpha)
  218. torch._foreach_addcmul_(square_avgs, grads, grads, value=1 - alpha)
  219. if centered:
  220. torch._foreach_mul_(grad_avgs, alpha)
  221. torch._foreach_add_(grad_avgs, grads, alpha=1 - alpha)
  222. avg = torch._foreach_addcmul(square_avgs, grad_avgs, grad_avgs, value=-1)
  223. torch._foreach_sqrt_(avg)
  224. torch._foreach_add_(avg, eps)
  225. else:
  226. avg = torch._foreach_sqrt(square_avgs)
  227. torch._foreach_add_(avg, eps)
  228. if momentum > 0:
  229. torch._foreach_mul_(momentum_buffer_list, momentum)
  230. torch._foreach_addcdiv_(momentum_buffer_list, grads, avg)
  231. torch._foreach_add_(params, momentum_buffer_list, alpha=-lr)
  232. else:
  233. torch._foreach_addcdiv_(params, grads, avg, value=-lr)