See lecture notes for week 39. -For a good discussion on gradient methods, see Goodfellow et al section 4.3-4.5 and chapter 8. We will come back to the latter chapter in our discussion of Neural networks as well. +For a good discussion on gradient methods, see Goodfellow et al section 4.3-4.5 and chapter 8. We will come back to the latter chapter in our discussion of Neural networks as well.
-For project 1, chapter 5 of Goodfellow et al is a good read, in particular sections 5.1-5.55 and 5.7-5.11. +For Stochastic Gradient Descent, we recommend chapter 4 of Geron's text.
+ +For project 1, chapter 5 of Goodfellow et al is a good read, in particular sections 5.1-5.5 and 5.7-5.11.These sections summarize neatly what we have done till now and point to what is coming with respect to deep learning.
@@ -217,249 +219,6 @@ For a good discussion on gradient methods, see Goodfellow et al section 4.3-4.5 Overview Video, why do we care about gradient methods? -In project 1, when using Ridge and Lasso regression, we end up -searching for the optimal parameter \( \lambda \) which minimizes our -selected scores (MSE or \( R2 \) values for example). The brute force -approach, as discussed in the code here for Ridge regression, consists -in evaluating the MSE as function of different \( \lambda \) values. -Based on these calculations, one tries then to determine the value of the hyperparameter \( \lambda \) -which results in optimal scores (for example the smallest MSE or an \( R2=1 \)). -
- - -import numpy as np
-import pandas as pd
-import matplotlib.pyplot as plt
-from sklearn.model_selection import train_test_split
-from sklearn import linear_model
-
-def MSE(y_data,y_model):
- n = np.size(y_model)
- return np.sum((y_data-y_model)**2)/n
-# A seed just to ensure that the random numbers are the same for every run.
-# Useful for eventual debugging.
-np.random.seed(2021)
-
-n = 100
-x = np.random.rand(n)
-y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)
-
-Maxpolydegree = 5
-X = np.zeros((n,Maxpolydegree-1))
-
-for degree in range(1,Maxpolydegree): #No intercept column
- X[:,degree-1] = x**(degree)
-
-# We split the data in test and training data
-X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)
-
-# Decide which values of lambda to use
-nlambdas = 500
-MSERidgePredict = np.zeros(nlambdas)
-lambdas = np.logspace(-4, 2, nlambdas)
-for i in range(nlambdas):
- lmb = lambdas[i]
- RegRidge = linear_model.Ridge(lmb)
- RegRidge.fit(X_train,y_train)
- ypredictRidge = RegRidge.predict(X_test)
- MSERidgePredict[i] = MSE(y_test,ypredictRidge)
-
-# Now plot the results
-plt.figure()
-plt.plot(np.log10(lambdas), MSERidgePredict, 'g--', label = 'MSE SL Ridge Test')
-plt.xlabel('log10(lambda)')
-plt.ylabel('MSE')
-plt.legend()
-plt.show()
-
-Here we have performed a rather data greedy calculation as function of the regularization parameter \( \lambda \). There is no resampling here. The latter can easily be added by employing the function RidgeCV instead of just calling the Ridge function. For RidgeCV we need to pass the array of \( \lambda \) values. -By inspecting the figure we can in turn determine which is the optimal regularization parameter. -This becomes however less functional in the long run. -
-An alternative is to use the so-called grid search functionality -included with the library Scikit-Learn, as demonstrated for the same -example here. -
- - - -import numpy as np
-from sklearn.model_selection import train_test_split
-from sklearn.linear_model import Ridge
-from sklearn.model_selection import GridSearchCV
-
-def R2(y_data, y_model):
- return 1 - np.sum((y_data - y_model) ** 2) / np.sum((y_data - np.mean(y_data)) ** 2)
-
-def MSE(y_data,y_model):
- n = np.size(y_model)
- return np.sum((y_data-y_model)**2)/n
-
-# A seed just to ensure that the random numbers are the same for every run.
-# Useful for eventual debugging.
-np.random.seed(2021)
-
-n = 100
-x = np.random.rand(n)
-y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)
-
-Maxpolydegree = 5
-X = np.zeros((n,Maxpolydegree-1))
-
-for degree in range(1,Maxpolydegree): #No intercept column
- X[:,degree-1] = x**(degree)
-
-# We split the data in test and training data
-X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)
-
-# Decide which values of lambda to use
-nlambdas = 10
-lambdas = np.logspace(-4, 2, nlambdas)
-# create and fit a ridge regression model, testing each alpha
-model = Ridge()
-gridsearch = GridSearchCV(estimator=model, param_grid=dict(alpha=lambdas))
-gridsearch.fit(X_train, y_train)
-print(gridsearch)
-ypredictRidge = gridsearch.predict(X_test)
-# summarize the results of the grid search
-print(f"Best estimated lambda-value: {gridsearch.best_estimator_.alpha}")
-print(f"MSE score: {MSE(y_test,ypredictRidge)}")
-print(f"R2 score: {R2(y_test,ypredictRidge)}")
-
-By default the grid search function includes cross validation with -five folds. The Scikit-Learn -documentation -contains more information on how to set the different parameters. -
- -If we take out the random noise, running the above codes results in \( \lambda=0 \) yielding the best fit.
-An alternative to the above manual grid set up, is to use a random -search where the parameters are tuned from a random distribution -(uniform below) for a fixed number of iterations. A model is -constructed and evaluated for each combination of chosen parameters. -We repeat the previous example but now with a random search. Note -that values of \( \lambda \) are now limited to be within \( x\in -[0,1] \). This domain may not be the most relevant one for the specific -case under study. -
- - - -import numpy as np
-from sklearn.model_selection import train_test_split
-from sklearn.linear_model import Ridge
-from sklearn.model_selection import GridSearchCV
-from scipy.stats import uniform as randuniform
-from sklearn.model_selection import RandomizedSearchCV
-
-
-def R2(y_data, y_model):
- return 1 - np.sum((y_data - y_model) ** 2) / np.sum((y_data - np.mean(y_data)) ** 2)
-
-def MSE(y_data,y_model):
- n = np.size(y_model)
- return np.sum((y_data-y_model)**2)/n
-
-# A seed just to ensure that the random numbers are the same for every run.
-# Useful for eventual debugging.
-np.random.seed(2021)
-
-n = 100
-x = np.random.rand(n)
-y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)
-
-Maxpolydegree = 5
-X = np.zeros((n,Maxpolydegree-1))
-
-for degree in range(1,Maxpolydegree): #No intercept column
- X[:,degree-1] = x**(degree)
-
-# We split the data in test and training data
-X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)
-
-param_grid = {'alpha': randuniform()}
-# create and fit a ridge regression model, testing each alpha
-model = Ridge()
-gridsearch = RandomizedSearchCV(estimator=model, param_distributions=param_grid, n_iter=100)
-gridsearch.fit(X_train, y_train)
-print(gridsearch)
-ypredictRidge = gridsearch.predict(X_test)
-# summarize the results of the grid search
-print(f"Best estimated lambda-value: {gridsearch.best_estimator_.alpha}")
-print(f"MSE score: {MSE(y_test,ypredictRidge)}")
-print(f"R2 score: {R2(y_test,ypredictRidge)}")
-
-Write a code which implements gradient descent for a logistic regression example.
-In gradient descent we compute the cost function and its gradient for all data points we have.
+ +In large-scale applications such as the ILSVRC challenge, the +training data can have on order of millions of examples. Hence, it +seems wasteful to compute the full cost function over the entire +training set in order to perform only a single parameter update. A +very common approach to addressing this challenge is to compute the +gradient over batches of the training data. For example, in current +a typical batch could contain some thousand examples from +an entire training set of several millions. This batch is then used to +perform a parameter update. +
+In stochastic gradient descent, the extreme case is the case where we +have only one batch, that is we include the whole data set. +
+ +This process is called Stochastic Gradient +Descent (SGD) (or also sometimes on-line gradient descent). This is +relatively less common to see because in practice due to vectorized +code optimizations it can be computationally much more efficient to +evaluate the gradient for 100 examples, than the gradient for one +example 100 times. Even though SGD technically refers to using a +single example at a time to evaluate the gradient, you will hear +people use the term SGD even when referring to mini-batch gradient +descent (i.e. mentions of MGD for “Minibatch Gradient Descent”, or BGD +for “Batch gradient descent” are rare to see), where it is usually +assumed that mini-batches are used. The size of the mini-batch is a +hyperparameter but it is not very common to cross-validate or bootstrap it. It is +usually based on memory constraints (if any), or set to some value, +e.g. 32, 64 or 128. We use powers of 2 in practice because many +vectorized operation implementations work faster when their inputs are +sized in powers of 2. +
+ +In our notes with SGD we mean stochastic gradient descent with mini-batches.
+Stochastic gradient descent (SGD) and variants thereof address some of +the shortcomings of the Gradient descent method discussed above. +
+ +The underlying idea of SGD comes from the observation that the cost +function, which we want to minimize, can almost always be written as a +sum over \( n \) data points \( \{\mathbf{x}_i\}_{i=1}^n \), +
+
+$$
+C(\mathbf{\beta}) = \sum_{i=1}^n c_i(\mathbf{x}_i,
+\mathbf{\beta}).
+$$
+
+
This in turn means that the gradient can be +computed as a sum over \( i \)-gradients +
+
+$$
+\nabla_\beta C(\mathbf{\beta}) = \sum_i^n \nabla_\beta c_i(\mathbf{x}_i,
+\mathbf{\beta}).
+$$
+
+
+
Stochasticity/randomness is introduced by only taking the +gradient on a subset of the data called minibatches. If there are \( n \) +data points and the size of each minibatch is \( M \), there will be \( n/M \) +minibatches. We denote these minibatches by \( B_k \) where +\( k=1,\cdots,n/M \). +
+As an example, suppose we have \( 10 \) data points \( (\mathbf{x}_1,\cdots, \mathbf{x}_{10}) \) +and we choose to have \( M=5 \) minibathces, +then each minibatch contains two data points. In particular we have +\( B_1 = (\mathbf{x}_1,\mathbf{x}_2), \cdots, B_5 = +(\mathbf{x}_9,\mathbf{x}_{10}) \). Note that if you choose \( M=1 \) you +have only a single batch with all data points and on the other extreme, +you may choose \( M=n \) resulting in a minibatch for each datapoint, i.e +\( B_k = \mathbf{x}_k \). +
+ +The idea is now to approximate the gradient by replacing the sum over +all data points with a sum over the data points in one the minibatches +picked at random in each gradient descent step +
+
+$$
+\nabla_{\beta}
+C(\mathbf{\beta}) = \sum_{i=1}^n \nabla_\beta c_i(\mathbf{x}_i,
+\mathbf{\beta}) \rightarrow \sum_{i \in B_k}^n \nabla_\beta
+c_i(\mathbf{x}_i, \mathbf{\beta}).
+$$
+
+
Thus a gradient descent step now looks like
+
+$$
+\beta_{j+1} = \beta_j - \gamma_j \sum_{i \in B_k}^n \nabla_\beta c_i(\mathbf{x}_i,
+\mathbf{\beta})
+$$
+
+
+
where \( k \) is picked at random with equal +probability from \( [1,n/M] \). An iteration over the number of +minibathces (n/M) is commonly referred to as an epoch. Thus it is +typical to choose a number of epochs and for each epoch iterate over +the number of minibatches, as exemplified in the code below. +
+import numpy as np
+
+n = 100 #100 datapoints
+M = 5 #size of each mini-batche
+m = int(n/M) #number of minibatches
+n_epochs = 10 #number of epochs
+
+j = 0
+for epoch in range(1,n_epochs+1):
+ for i in range(m):
+ k = np.random.randint(m) #Pick the k-th minibatch at random
+ #Compute the gradient using the data in minibatch Bk
+ #Compute new suggestion for
+ j += 1
+
+Taking the gradient only on a subset of the data has two important +benefits. First, it introduces randomness which decreases the chance +that our opmization scheme gets stuck in a local minima. Second, if +the size of the minibatches are small relative to the number of +datapoints (\( M < n \)), the computation of the gradient is much +cheaper since we sum over the datapoints in the \( k-th \) minibatch and not +all \( n \) datapoints. +
+A natural question is when do we stop the search for a new minimum? +One possibility is to compute the full gradient after a given number +of epochs and check if the norm of the gradient is smaller than some +threshold and stop if true. However, the condition that the gradient +is zero is valid also for local minima, so this would only tell us +that we are close to a local/global minimum. However, we could also +evaluate the cost function at this point, store the result and +continue the search. If the test kicks in at a later stage we can +compare the values of the cost function and keep the \( \beta \) that +gave the lowest value. +
+Another approach is to let the step length \( \gamma_j \) depend on the +number of epochs in such a way that it becomes very small after a +reasonable time such that we do not move at all. +
+ +As an example, let \( e = 0,1,2,3,\cdots \) denote the current epoch and let \( t_0, t_1 > 0 \) be two fixed numbers. Furthermore, let \( t = e \cdot m + i \) where \( m \) is the number of minibatches and \( i=0,\cdots,m-1 \). Then the function
+$$\gamma_j(t; t_0, t_1) = \frac{t_0}{t+t_1} $$
+
goes to zero as the number of epochs gets large. I.e. we start with a step length \( \gamma_j (0; t_0, t_1) = t_0/t_1 \) which decays in time \( t \).
In this way we can fix the number of epochs, compute \( \beta \) and +evaluate the cost function at the end. Repeating the computation will +give a different result since the scheme is random by design. Then we +pick the final \( \beta \) that gives the lowest value of the cost +function. +
+ + + +import numpy as np
+
+def step_length(t,t0,t1):
+ return t0/(t+t1)
+
+n = 100 #100 datapoints
+M = 5 #size of each minibatch
+m = int(n/M) #number of minibatches
+n_epochs = 500 #number of epochs
+t0 = 1.0
+t1 = 10
+
+gamma_j = t0/t1
+j = 0
+for epoch in range(1,n_epochs+1):
+ for i in range(m):
+ k = np.random.randint(m) #Pick the k-th minibatch at random
+ #Compute the gradient using the data in minibatch Bk
+ #Compute new suggestion for beta
+ t = epoch*m+i
+ gamma_j = step_length(t,t0,t1)
+ j += 1
+
+print("gamma_j after %d epochs: %g" % (n_epochs,gamma_j))
+
+We note that we have defined several hyperparameters. These are now the number of epochs, the number of mini-batches and the parameters \( t_0 \) and \( t_1 \).
+# Importing various packages
+# Importing various packages
+from math import exp, sqrt
+from random import random, seed
+import numpy as np
+import matplotlib.pyplot as plt
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.inv(X.T @ X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+
+
+for iter in range(Niterations):
+ gradients = 2.0/n*X.T @ ((X @ theta)-y)
+ theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+n_epochs = 50
+M = 5 #size of each minibatch
+m = int(n/M) #number of minibatches
+t0, t1 = 5, 50
+def learning_schedule(t):
+ return t0/(t+t1)
+
+theta = np.random.randn(2,1)
+
+for epoch in range(n_epochs):
+# Can you figure out a better way of setting up the contributions to each batch?
+ for i in range(m):
+ random_index = M*np.random.randint(m)
+ xi = X[random_index:random_index+M]
+ yi = y[random_index:random_index+M]
+ gradients = (2.0/M)* xi.T @ ((xi @ theta)-yi)
+ eta = learning_schedule(epoch*m+i)
+ theta = theta - eta*gradients
+print("theta from own sdg")
+print(theta)
+
+
+
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+In the above code, we have use replacement in setting up the +mini-batches. The discussion +here may be +useful. More material will be added later. +
+The stochastic gradient descent (SGD) is almost always used with a +momentum or inertia term that serves as a memory of the direction we +are moving in parameter space. This is typically implemented as +follows +
+ +
+$$
+\begin{align}
+\mathbf{v}_{t}&=\gamma \mathbf{v}_{t-1}+\eta_{t}\nabla_\theta E(\boldsymbol{\theta}_t) \nonumber \\
+\boldsymbol{\theta}_{t+1}&= \boldsymbol{\theta}_t -\mathbf{v}_{t},
+\tag{2}
+\end{align}
+$$
+
+
+
where we have introduced a momentum parameter \( \gamma \), with +\( 0\le\gamma\le 1 \), and for brevity we dropped the explicit notation to +indicate the gradient is to be taken over a different mini-batch at +each step. We call this algorithm gradient descent with momentum +(GDM). From these equations, it is clear that \( \mathbf{v}_t \) is a +running average of recently encountered gradients and +\( (1-\gamma)^{-1} \) sets the characteristic time scale for the memory +used in the averaging procedure. Consistent with this, when +\( \gamma=0 \), this just reduces down to ordinary SGD as discussed +earlier. An equivalent way of writing the updates is +
+ +
+$$
+\Delta \boldsymbol{\theta}_{t+1} = \gamma \Delta \boldsymbol{\theta}_t -\ \eta_{t}\nabla_\theta E(\boldsymbol{\theta}_t),
+$$
+
+
+
where we have defined \( \Delta \boldsymbol{\theta}_{t}= \boldsymbol{\theta}_t-\boldsymbol{\theta}_{t-1} \).
+Let us try to get more intuition from these equations. It is helpful +to consider a simple physical analogy with a particle of mass \( m \) +moving in a viscous medium with drag coefficient \( \mu \) and potential +\( E(\mathbf{w}) \). If we denote the particle's position by \( \mathbf{w} \), +then its motion is described by +
+ +
+$$
+m {d^2 \mathbf{w} \over dt^2} + \mu {d \mathbf{w} \over dt }= -\nabla_w E(\mathbf{w}).
+$$
+
+
+
We can discretize this equation in the usual way to get
+ +
+$$
+m { \mathbf{w}_{t+\Delta t}-2 \mathbf{w}_{t} +\mathbf{w}_{t-\Delta t} \over (\Delta t)^2}+\mu {\mathbf{w}_{t+\Delta t}- \mathbf{w}_{t} \over \Delta t} = -\nabla_w E(\mathbf{w}).
+$$
+
+
+
Rearranging this equation, we can rewrite this as
+ +
+$$
+\Delta \mathbf{w}_{t +\Delta t}= - { (\Delta t)^2 \over m +\mu \Delta t} \nabla_w E(\mathbf{w})+ {m \over m +\mu \Delta t} \Delta \mathbf{w}_t.
+$$
+
+
Notice that this equation is identical to previous one if we identify +the position of the particle, \( \mathbf{w} \), with the parameters +\( \boldsymbol{\theta} \). This allows us to identify the momentum +parameter and learning rate with the mass of the particle and the +viscous drag as: +
+ +
+$$
+\gamma= {m \over m +\mu \Delta t }, \qquad \eta = {(\Delta t)^2 \over m +\mu \Delta t}.
+$$
+
+
+
Thus, as the name suggests, the momentum parameter is proportional to +the mass of the particle and effectively provides inertia. +Furthermore, in the large viscosity/small learning rate limit, our +memory time scales as \( (1-\gamma)^{-1} \approx m/(\mu \Delta t) \). +
+ +Why is momentum useful? SGD momentum helps the gradient descent +algorithm gain speed in directions with persistent but small gradients +even in the presence of stochasticity, while suppressing oscillations +in high-curvature directions. This becomes especially important in +situations where the landscape is shallow and flat in some directions +and narrow and steep in others. It has been argued that first-order +methods (with appropriate initial conditions) can perform comparable +to more expensive second order methods, especially in the context of +complex deep learning models. +
+ +These beneficial properties of momentum can sometimes become even more +pronounced by using a slight modification of the classical momentum +algorithm called Nesterov Accelerated Gradient (NAG). +
+ +In the NAG algorithm, rather than calculating the gradient at the +current parameters, \( \nabla_\theta E(\boldsymbol{\theta}_t) \), one +calculates the gradient at the expected value of the parameters given +our current momentum, \( \nabla_\theta E(\boldsymbol{\theta}_t +\gamma +\mathbf{v}_{t-1}) \). This yields the NAG update rule +
+ +
+$$
+\begin{align}
+\mathbf{v}_{t}&=\gamma \mathbf{v}_{t-1}+\eta_{t}\nabla_\theta E(\boldsymbol{\theta}_t +\gamma \mathbf{v}_{t-1}) \nonumber \\
+\boldsymbol{\theta}_{t+1}&= \boldsymbol{\theta}_t -\mathbf{v}_{t}.
+\tag{3}
+\end{align}
+$$
+
+
+
One of the major advantages of NAG is that it allows for the use of a larger learning rate than GDM for the same choice of \( \gamma \).
+In stochastic gradient descent, with and without momentum, we still +have to specify a schedule for tuning the learning rates \( \eta_t \) +as a function of time. As discussed in the context of Newton's +method, this presents a number of dilemmas. The learning rate is +limited by the steepest direction which can change depending on the +current position in the landscape. To circumvent this problem, ideally +our algorithm would keep track of curvature and take large steps in +shallow, flat directions and small steps in steep, narrow directions. +Second-order methods accomplish this by calculating or approximating +the Hessian and normalizing the learning rate by the +curvature. However, this is very computationally expensive for +extremely large models. Ideally, we would like to be able to +adaptively change the step size to match the landscape without paying +the steep computational price of calculating or approximating +Hessians. +
+ +Recently, a number of methods have been introduced that accomplish +this by tracking not only the gradient, but also the second moment of +the gradient. These methods include AdaGrad, AdaDelta, Root Mean Squared Propagation (RMS-Prop), and +ADAM. +
+In RMS prop, in addition to keeping a running average of the first +moment of the gradient, we also keep track of the second moment +denoted by \( \mathbf{s}_t=\mathbb{E}[\mathbf{g}_t^2] \). The update rule +for RMS prop is given by +
+ +
+$$
+\begin{align}
+\mathbf{g}_t &= \nabla_\theta E(\boldsymbol{\theta})
+\tag{4}\\
+\mathbf{s}_t &=\beta \mathbf{s}_{t-1} +(1-\beta)\mathbf{g}_t^2 \nonumber \\
+\boldsymbol{\theta}_{t+1}&=&\boldsymbol{\theta}_t - \eta_t { \mathbf{g}_t \over \sqrt{\mathbf{s}_t +\epsilon}}, \nonumber
+\end{align}
+$$
+
+
+
where \( \beta \) controls the averaging time of the second moment and is +typically taken to be about \( \beta=0.9 \), \( \eta_t \) is a learning rate +typically chosen to be \( 10^{-3} \), and \( \epsilon\sim 10^{-8} \) is a +small regularization constant to prevent divergences. Multiplication +and division by vectors is understood as an element-wise operation. It +is clear from this formula that the learning rate is reduced in +directions where the norm of the gradient is consistently large. This +greatly speeds up the convergence by allowing us to use a larger +learning rate for flat directions. +
+A related algorithm is the ADAM optimizer. In ADAM, we keep a running +average of both the first and second moment of the gradient and use +this information to adaptively change the learning rate for different +parameters. In addition to keeping a running average of the first and +second moments of the gradient +(i.e. \( \mathbf{m}_t=\mathbb{E}[\mathbf{g}_t] \) and +\( \mathbf{s}_t=\mathbb{E}[\mathbf{g}^2_t] \), respectively), ADAM +performs an additional bias correction to account for the fact that we +are estimating the first two moments of the gradient using a running +average (denoted by the hats in the update rule below). The update +rule for ADAM is given by (where multiplication and division are once +again understood to be element-wise operations below) +
+ +
+$$
+\begin{align}
+\mathbf{g}_t &= \nabla_\theta E(\boldsymbol{\theta})
+\tag{5}\\
+\mathbf{m}_t &= \beta_1 \mathbf{m}_{t-1} + (1-\beta_1) \mathbf{g}_t \nonumber \\
+\mathbf{s}_t &=\beta_2 \mathbf{s}_{t-1} +(1-\beta_2)\mathbf{g}_t^2 \nonumber \\
+\boldsymbol{\mathbf{m}}_t&={\mathbf{m}_t \over 1-\beta_1^t} \nonumber \\
+\boldsymbol{\mathbf{s}}_t &={\mathbf{s}_t \over1-\beta_2^t} \nonumber \\
+\boldsymbol{\theta}_{t+1}&=\boldsymbol{\theta}_t - \eta_t { \boldsymbol{\mathbf{m}}_t \over \sqrt{\boldsymbol{\mathbf{s}}_t} +\epsilon}, \nonumber \\
+\tag{6}
+\end{align}
+$$
+
+
+
where \( \beta_1 \) and \( \beta_2 \) set the memory lifetime of the first and +second moment and are typically taken to be \( 0.9 \) and \( 0.99 \) +respectively, and \( \eta \) and \( \epsilon \) are identical to RMSprop. +
+ +Like in RMSprop, the effective step size of a parameter depends on the +magnitude of its gradient squared. To understand this better, let us +rewrite this expression in terms of the variance +\( \boldsymbol{\sigma}_t^2 = \boldsymbol{\mathbf{s}}_t - +(\boldsymbol{\mathbf{m}}_t)^2 \). Consider a single parameter \( \theta_t \). The +update rule for this parameter is given by +
+ +
+$$
+\Delta \theta_{t+1}= -\eta_t { \boldsymbol{m}_t \over \sqrt{\sigma_t^2 + m_t^2 }+\epsilon}.
+$$
+
+
+
Geron's text, see chapter 11, has several interesting discussions.
+Automatic differentiation (AD), +also called algorithmic +differentiation or computational differentiation,is a set of +techniques to numerically evaluate the derivative of a function +specified by a computer program. AD exploits the fact that every +computer program, no matter how complicated, executes a sequence of +elementary arithmetic operations (addition, subtraction, +multiplication, division, etc.) and elementary functions (exp, log, +sin, cos, etc.). By applying the chain rule repeatedly to these +operations, derivatives of arbitrary order can be computed +automatically, accurately to working precision, and using at most a +small constant factor more arithmetic operations than the original +program. +
+ +Automatic differentiation is neither:
+ ++
Symbolic differentiation can lead to inefficient code and faces the +difficulty of converting a computer program into a single expression, +while numerical differentiation can introduce round-off errors in the +discretization process and cancellation +
+ +Python has tools for so-called automatic differentiation. +Consider the following example +
+
+$$
+f(x) = \sin\left(2\pi x + x^2\right)
+$$
+
+
+
which has the following derivative
+
+$$
+f'(x) = \cos\left(2\pi x + x^2\right)\left(2\pi + 2x\right)
+$$
+
+
+
Using autograd we have
+ + + +import autograd.numpy as np
+
+# To do elementwise differentiation:
+from autograd import elementwise_grad as egrad
+
+# To plot:
+import matplotlib.pyplot as plt
+
+
+def f(x):
+ return np.sin(2*np.pi*x + x**2)
+
+def f_grad_analytic(x):
+ return np.cos(2*np.pi*x + x**2)*(2*np.pi + 2*x)
+
+# Do the comparison:
+x = np.linspace(0,1,1000)
+
+f_grad = egrad(f)
+
+computed = f_grad(x)
+analytic = f_grad_analytic(x)
+
+plt.title('Derivative computed from Autograd compared with the analytical derivative')
+plt.plot(x,computed,label='autograd')
+plt.plot(x,analytic,label='analytic')
+
+plt.xlabel('x')
+plt.ylabel('y')
+plt.legend()
+
+plt.show()
+
+print("The max absolute difference is: %g"%(np.max(np.abs(computed - analytic))))
+
+Here we +experiment with what kind of functions Autograd is capable +of finding the gradient of. The following Python functions are just +meant to illustrate what Autograd can do, but please feel free to +experiment with other, possibly more complicated, functions as well. +
+ + + +import autograd.numpy as np
+from autograd import grad
+
+def f1(x):
+ return x**3 + 1
+
+f1_grad = grad(f1)
+
+# Remember to send in float as argument to the computed gradient from Autograd!
+a = 1.0
+
+# See the evaluated gradient at a using autograd:
+print("The gradient of f1 evaluated at a = %g using autograd is: %g"%(a,f1_grad(a)))
+
+# Compare with the analytical derivative, that is f1'(x) = 3*x**2
+grad_analytical = 3*a**2
+print("The gradient of f1 evaluated at a = %g by finding the analytic expression is: %g"%(a,grad_analytical))
+
+To differentiate with respect to two (or more) arguments of a Python +function, Autograd need to know at which variable the function if +being differentiated with respect to. +
+ + + +import autograd.numpy as np
+from autograd import grad
+def f2(x1,x2):
+ return 3*x1**3 + x2*(x1 - 5) + 1
+
+# By sending the argument 0, Autograd will compute the derivative w.r.t the first variable, in this case x1
+f2_grad_x1 = grad(f2,0)
+
+# ... and differentiate w.r.t x2 by sending 1 as an additional arugment to grad
+f2_grad_x2 = grad(f2,1)
+
+x1 = 1.0
+x2 = 3.0
+
+print("Evaluating at x1 = %g, x2 = %g"%(x1,x2))
+print("-"*30)
+
+# Compare with the analytical derivatives:
+
+# Derivative of f2 w.r.t x1 is: 9*x1**2 + x2:
+f2_grad_x1_analytical = 9*x1**2 + x2
+
+# Derivative of f2 w.r.t x2 is: x1 - 5:
+f2_grad_x2_analytical = x1 - 5
+
+# See the evaluated derivations:
+print("The derivative of f2 w.r.t x1: %g"%( f2_grad_x1(x1,x2) ))
+print("The analytical derivative of f2 w.r.t x1: %g"%( f2_grad_x1(x1,x2) ))
+
+print()
+
+print("The derivative of f2 w.r.t x2: %g"%( f2_grad_x2(x1,x2) ))
+print("The analytical derivative of f2 w.r.t x2: %g"%( f2_grad_x2(x1,x2) ))
+
+Note that the grad function will not produce the true gradient of the function. The true gradient of a function with two or more variables will produce a vector, where each element is the function differentiated w.r.t a variable.
+import autograd.numpy as np
+from autograd import grad
+def f3(x): # Assumes x is an array of length 5 or higher
+ return 2*x[0] + 3*x[1] + 5*x[2] + 7*x[3] + 11*x[4]**2
+
+f3_grad = grad(f3)
+
+x = np.linspace(0,4,5)
+
+# Print the computed gradient:
+print("The computed gradient of f3 is: ", f3_grad(x))
+
+# The analytical gradient is: (2, 3, 5, 7, 22*x[4])
+f3_grad_analytical = np.array([2, 3, 5, 7, 22*x[4]])
+
+# Print the analytical gradient:
+print("The analytical gradient of f3 is: ", f3_grad_analytical)
+
+Note that in this case, when sending an array as input argument, the +output from Autograd is another array. This is the true gradient of +the function, as opposed to the function in the previous example. By +using arrays to represent the variables, the output from Autograd +might be easier to work with, as the output is closer to what one +could expect form a gradient-evaluting function. +
+import autograd.numpy as np
+from autograd import grad
+def f4(x):
+ return np.sqrt(1+x**2) + np.exp(x) + np.sin(2*np.pi*x)
+
+f4_grad = grad(f4)
+
+x = 2.7
+
+# Print the computed derivative:
+print("The computed derivative of f4 at x = %g is: %g"%(x,f4_grad(x)))
+
+# The analytical derivative is: x/sqrt(1 + x**2) + exp(x) + cos(2*pi*x)*2*pi
+f4_grad_analytical = x/np.sqrt(1 + x**2) + np.exp(x) + np.cos(2*np.pi*x)*2*np.pi
+
+# Print the analytical gradient:
+print("The analytical gradient of f4 at x = %g is: %g"%(x,f4_grad_analytical))
+
+import autograd.numpy as np
+from autograd import grad
+def f5(x):
+ if x >= 0:
+ return x**2
+ else:
+ return -3*x + 1
+
+f5_grad = grad(f5)
+
+x = 2.7
+
+# Print the computed derivative:
+print("The computed derivative of f5 at x = %g is: %g"%(x,f5_grad(x)))
+
+import autograd.numpy as np
+from autograd import grad
+def f6_for(x):
+ val = 0
+ for i in range(10):
+ val = val + x**i
+ return val
+
+def f6_while(x):
+ val = 0
+ i = 0
+ while i < 10:
+ val = val + x**i
+ i = i + 1
+ return val
+
+f6_for_grad = grad(f6_for)
+f6_while_grad = grad(f6_while)
+
+x = 0.5
+
+# Print the computed derivaties of f6_for and f6_while
+print("The computed derivative of f6_for at x = %g is: %g"%(x,f6_for_grad(x)))
+print("The computed derivative of f6_while at x = %g is: %g"%(x,f6_while_grad(x)))
+
+import autograd.numpy as np
+from autograd import grad
+# Both of the functions are implementation of the sum: sum(x**i) for i = 0, ..., 9
+# The analytical derivative is: sum(i*x**(i-1))
+f6_grad_analytical = 0
+for i in range(10):
+ f6_grad_analytical += i*x**(i-1)
+
+print("The analytical derivative of f6 at x = %g is: %g"%(x,f6_grad_analytical))
+
+import autograd.numpy as np
+from autograd import grad
+
+def f7(n): # Assume that n is an integer
+ if n == 1 or n == 0:
+ return 1
+ else:
+ return n*f7(n-1)
+
+f7_grad = grad(f7)
+
+n = 2.0
+
+print("The computed derivative of f7 at n = %d is: %g"%(n,f7_grad(n)))
+
+# The function f7 is an implementation of the factorial of n.
+# By using the product rule, one can find that the derivative is:
+
+f7_grad_analytical = 0
+for i in range(int(n)-1):
+ tmp = 1
+ for k in range(int(n)-1):
+ if k != i:
+ tmp *= (n - k)
+ f7_grad_analytical += tmp
+
+print("The analytical derivative of f7 at n = %d is: %g"%(n,f7_grad_analytical))
+
+Note that if n is equal to zero or one, Autograd will give an error message. This message appears when the output is independent on input.
+Autograd supports many features. However, there are some functions that is not supported (yet) by Autograd.
+ +Assigning a value to the variable being differentiated with respect to
+ + +import autograd.numpy as np
+from autograd import grad
+def f8(x): # Assume x is an array
+ x[2] = 3
+ return x*2
+
+f8_grad = grad(f8)
+
+x = 8.4
+
+print("The derivative of f8 is:",f8_grad(x))
+
+Here, Autograd tells us that an 'ArrayBox' does not support item assignment. The item assignment is done when the program tries to assign x[2] to the value 3. However, Autograd has implemented the computation of the derivative such that this assignment is not possible.
+import autograd.numpy as np
+from autograd import grad
+def f9(a): # Assume a is an array with 2 elements
+ b = np.array([1.0,2.0])
+ return a.dot(b)
+
+f9_grad = grad(f9)
+
+x = np.array([1.0,0.0])
+
+print("The derivative of f9 is:",f9_grad(x))
+
+Here we are told that the 'dot' function does not belong to Autograd's +version of a Numpy array. To overcome this, an alternative syntax +which also computed the dot product can be used: +
+ + + +import autograd.numpy as np
+from autograd import grad
+def f9_alternative(x): # Assume a is an array with 2 elements
+ b = np.array([1.0,2.0])
+ return np.dot(x,b) # The same as x_1*b_1 + x_2*b_2
+
+f9_alternative_grad = grad(f9_alternative)
+
+x = np.array([3.0,0.0])
+
+print("The gradient of f9 is:",f9_alternative_grad(x))
+
+# The analytical gradient of the dot product of vectors x and b with two elements (x_1,x_2) and (b_1, b_2) respectively
+# w.r.t x is (b_1, b_2).
+
+The documentation recommends to avoid inplace operations such as
+ + +a += b
+a -= b
+a*= b
+a /=b
+
+We conclude the part on optmization by showing how we can make codes +for linear regression and logistic regression using autograd. The +first example shows results with ordinary leats squares. +
+ + + +# Using Autograd to calculate gradients for OLS
+from random import random, seed
+import numpy as np
+import autograd.numpy as np
+import matplotlib.pyplot as plt
+from autograd import grad
+
+def CostOLS(beta):
+ return (1.0/n)*np.sum((y-X @ beta)**2)
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.pinv(XT_X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+# define the gradient
+training_gradient = grad(CostOLS)
+
+for iter in range(Niterations):
+ gradients = training_gradient(theta)
+ theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+In this code we include the stochastic gradient descent approach discussed above. Note here that we specify which argument we are taking the derivative with respect to when using autograd.
+ + + +# Using Autograd to calculate gradients using SGD
+# OLS example
+from random import random, seed
+import numpy as np
+import autograd.numpy as np
+import matplotlib.pyplot as plt
+from autograd import grad
+
+# Note change from previous example
+def CostOLS(y,X,theta):
+ return np.sum((y-X @ theta)**2)
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.pinv(XT_X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+
+# Note that we request the derivative wrt third argument (theta, 2 here)
+training_gradient = grad(CostOLS,2)
+
+for iter in range(Niterations):
+ gradients = (1.0/n)*training_gradient(y, X, theta)
+ theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+n_epochs = 50
+M = 5 #size of each minibatch
+m = int(n/M) #number of minibatches
+t0, t1 = 5, 50
+def learning_schedule(t):
+ return t0/(t+t1)
+
+theta = np.random.randn(2,1)
+
+for epoch in range(n_epochs):
+# Can you figure out a better way of setting up the contributions to each batch?
+ for i in range(m):
+ random_index = M*np.random.randint(m)
+ xi = X[random_index:random_index+M]
+ yi = y[random_index:random_index+M]
+ gradients = (1.0/M)*training_gradient(yi, xi, theta)
+ eta = learning_schedule(epoch*m+i)
+ theta = theta - eta*gradients
+print("theta from own sdg")
+print(theta)
+
+import autograd.numpy as np
+from autograd import grad
+
+def sigmoid(x):
+ return 0.5 * (np.tanh(x / 2.) + 1)
+
+def logistic_predictions(weights, inputs):
+ # Outputs probability of a label being true according to logistic model.
+ return sigmoid(np.dot(inputs, weights))
+
+def training_loss(weights):
+ # Training loss is the negative log-likelihood of the training labels.
+ preds = logistic_predictions(weights, inputs)
+ label_probabilities = preds * targets + (1 - preds) * (1 - targets)
+ return -np.sum(np.log(label_probabilities))
+
+# Build a toy dataset.
+inputs = np.array([[0.52, 1.12, 0.77],
+ [0.88, -1.08, 0.15],
+ [0.52, 0.06, -1.30],
+ [0.74, -2.49, 1.39]])
+targets = np.array([True, True, False, True])
+
+# Define a function that returns gradients of training loss using Autograd.
+training_gradient_fun = grad(training_loss)
+
+# Optimize weights using gradient descent.
+weights = np.array([0.0, 0.0, 0.0])
+print("Initial loss:", training_loss(weights))
+for i in range(100):
+ weights -= training_gradient_fun(weights) * 0.01
+
+print("Trained loss:", training_loss(weights))
+
+See lecture notes for week 39. -For a good discussion on gradient methods, see Goodfellow et al section 4.3-4.5 and chapter 8. We will come back to the latter chapter in our discussion of Neural networks as well. +For a good discussion on gradient methods, see Goodfellow et al section 4.3-4.5 and chapter 8. We will come back to the latter chapter in our discussion of Neural networks as well.
-For project 1, chapter 5 of Goodfellow et al is a good read, in particular sections 5.1-5.55 and 5.7-5.11. +For Stochastic Gradient Descent, we recommend chapter 4 of Geron's text.
+ +For project 1, chapter 5 of Goodfellow et al is a good read, in particular sections 5.1-5.5 and 5.7-5.11.These sections summarize neatly what we have done till now and point to what is coming with respect to deep learning.
In project 1, when using Ridge and Lasso regression, we end up -searching for the optimal parameter \( \lambda \) which minimizes our -selected scores (MSE or \( R2 \) values for example). The brute force -approach, as discussed in the code here for Ridge regression, consists -in evaluating the MSE as function of different \( \lambda \) values. -Based on these calculations, one tries then to determine the value of the hyperparameter \( \lambda \) -which results in optimal scores (for example the smallest MSE or an \( R2=1 \)). -
- - -import numpy as np
-import pandas as pd
-import matplotlib.pyplot as plt
-from sklearn.model_selection import train_test_split
-from sklearn import linear_model
-
-def MSE(y_data,y_model):
- n = np.size(y_model)
- return np.sum((y_data-y_model)**2)/n
-# A seed just to ensure that the random numbers are the same for every run.
-# Useful for eventual debugging.
-np.random.seed(2021)
-
-n = 100
-x = np.random.rand(n)
-y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)
-
-Maxpolydegree = 5
-X = np.zeros((n,Maxpolydegree-1))
-
-for degree in range(1,Maxpolydegree): #No intercept column
- X[:,degree-1] = x**(degree)
-
-# We split the data in test and training data
-X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)
-
-# Decide which values of lambda to use
-nlambdas = 500
-MSERidgePredict = np.zeros(nlambdas)
-lambdas = np.logspace(-4, 2, nlambdas)
-for i in range(nlambdas):
- lmb = lambdas[i]
- RegRidge = linear_model.Ridge(lmb)
- RegRidge.fit(X_train,y_train)
- ypredictRidge = RegRidge.predict(X_test)
- MSERidgePredict[i] = MSE(y_test,ypredictRidge)
-
-# Now plot the results
-plt.figure()
-plt.plot(np.log10(lambdas), MSERidgePredict, 'g--', label = 'MSE SL Ridge Test')
-plt.xlabel('log10(lambda)')
-plt.ylabel('MSE')
-plt.legend()
-plt.show()
-
-Here we have performed a rather data greedy calculation as function of the regularization parameter \( \lambda \). There is no resampling here. The latter can easily be added by employing the function RidgeCV instead of just calling the Ridge function. For RidgeCV we need to pass the array of \( \lambda \) values. -By inspecting the figure we can in turn determine which is the optimal regularization parameter. -This becomes however less functional in the long run. -
- -An alternative is to use the so-called grid search functionality -included with the library Scikit-Learn, as demonstrated for the same -example here. -
- - - -import numpy as np
-from sklearn.model_selection import train_test_split
-from sklearn.linear_model import Ridge
-from sklearn.model_selection import GridSearchCV
-
-def R2(y_data, y_model):
- return 1 - np.sum((y_data - y_model) ** 2) / np.sum((y_data - np.mean(y_data)) ** 2)
-
-def MSE(y_data,y_model):
- n = np.size(y_model)
- return np.sum((y_data-y_model)**2)/n
-
-# A seed just to ensure that the random numbers are the same for every run.
-# Useful for eventual debugging.
-np.random.seed(2021)
-
-n = 100
-x = np.random.rand(n)
-y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)
-
-Maxpolydegree = 5
-X = np.zeros((n,Maxpolydegree-1))
-
-for degree in range(1,Maxpolydegree): #No intercept column
- X[:,degree-1] = x**(degree)
-
-# We split the data in test and training data
-X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)
-
-# Decide which values of lambda to use
-nlambdas = 10
-lambdas = np.logspace(-4, 2, nlambdas)
-# create and fit a ridge regression model, testing each alpha
-model = Ridge()
-gridsearch = GridSearchCV(estimator=model, param_grid=dict(alpha=lambdas))
-gridsearch.fit(X_train, y_train)
-print(gridsearch)
-ypredictRidge = gridsearch.predict(X_test)
-# summarize the results of the grid search
-print(f"Best estimated lambda-value: {gridsearch.best_estimator_.alpha}")
-print(f"MSE score: {MSE(y_test,ypredictRidge)}")
-print(f"R2 score: {R2(y_test,ypredictRidge)}")
-
-By default the grid search function includes cross validation with -five folds. The Scikit-Learn -documentation -contains more information on how to set the different parameters. -
- -If we take out the random noise, running the above codes results in \( \lambda=0 \) yielding the best fit.
- -An alternative to the above manual grid set up, is to use a random -search where the parameters are tuned from a random distribution -(uniform below) for a fixed number of iterations. A model is -constructed and evaluated for each combination of chosen parameters. -We repeat the previous example but now with a random search. Note -that values of \( \lambda \) are now limited to be within \( x\in -[0,1] \). This domain may not be the most relevant one for the specific -case under study. -
- - - -import numpy as np
-from sklearn.model_selection import train_test_split
-from sklearn.linear_model import Ridge
-from sklearn.model_selection import GridSearchCV
-from scipy.stats import uniform as randuniform
-from sklearn.model_selection import RandomizedSearchCV
-
-
-def R2(y_data, y_model):
- return 1 - np.sum((y_data - y_model) ** 2) / np.sum((y_data - np.mean(y_data)) ** 2)
-
-def MSE(y_data,y_model):
- n = np.size(y_model)
- return np.sum((y_data-y_model)**2)/n
-
-# A seed just to ensure that the random numbers are the same for every run.
-# Useful for eventual debugging.
-np.random.seed(2021)
-
-n = 100
-x = np.random.rand(n)
-y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)
-
-Maxpolydegree = 5
-X = np.zeros((n,Maxpolydegree-1))
-
-for degree in range(1,Maxpolydegree): #No intercept column
- X[:,degree-1] = x**(degree)
-
-# We split the data in test and training data
-X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)
-
-param_grid = {'alpha': randuniform()}
-# create and fit a ridge regression model, testing each alpha
-model = Ridge()
-gridsearch = RandomizedSearchCV(estimator=model, param_distributions=param_grid, n_iter=100)
-gridsearch.fit(X_train, y_train)
-print(gridsearch)
-ypredictRidge = gridsearch.predict(X_test)
-# summarize the results of the grid search
-print(f"Best estimated lambda-value: {gridsearch.best_estimator_.alpha}")
-print(f"MSE score: {MSE(y_test,ypredictRidge)}")
-print(f"R2 score: {R2(y_test,ypredictRidge)}")
-
-Write a code which implements gradient descent for a logistic regression example.
- -In gradient descent we compute the cost function and its gradient for all data points we have.
+ +In large-scale applications such as the ILSVRC challenge, the +training data can have on order of millions of examples. Hence, it +seems wasteful to compute the full cost function over the entire +training set in order to perform only a single parameter update. A +very common approach to addressing this challenge is to compute the +gradient over batches of the training data. For example, in current +a typical batch could contain some thousand examples from +an entire training set of several millions. This batch is then used to +perform a parameter update. +
+ +In stochastic gradient descent, the extreme case is the case where we +have only one batch, that is we include the whole data set. +
+ +This process is called Stochastic Gradient +Descent (SGD) (or also sometimes on-line gradient descent). This is +relatively less common to see because in practice due to vectorized +code optimizations it can be computationally much more efficient to +evaluate the gradient for 100 examples, than the gradient for one +example 100 times. Even though SGD technically refers to using a +single example at a time to evaluate the gradient, you will hear +people use the term SGD even when referring to mini-batch gradient +descent (i.e. mentions of MGD for “Minibatch Gradient Descent”, or BGD +for “Batch gradient descent” are rare to see), where it is usually +assumed that mini-batches are used. The size of the mini-batch is a +hyperparameter but it is not very common to cross-validate or bootstrap it. It is +usually based on memory constraints (if any), or set to some value, +e.g. 32, 64 or 128. We use powers of 2 in practice because many +vectorized operation implementations work faster when their inputs are +sized in powers of 2. +
+ +In our notes with SGD we mean stochastic gradient descent with mini-batches.
+ +Stochastic gradient descent (SGD) and variants thereof address some of +the shortcomings of the Gradient descent method discussed above. +
+ +The underlying idea of SGD comes from the observation that the cost +function, which we want to minimize, can almost always be written as a +sum over \( n \) data points \( \{\mathbf{x}_i\}_{i=1}^n \), +
+$$ +C(\mathbf{\beta}) = \sum_{i=1}^n c_i(\mathbf{x}_i, +\mathbf{\beta}). +$$ + + +This in turn means that the gradient can be +computed as a sum over \( i \)-gradients +
+$$ +\nabla_\beta C(\mathbf{\beta}) = \sum_i^n \nabla_\beta c_i(\mathbf{x}_i, +\mathbf{\beta}). +$$ + +Stochasticity/randomness is introduced by only taking the +gradient on a subset of the data called minibatches. If there are \( n \) +data points and the size of each minibatch is \( M \), there will be \( n/M \) +minibatches. We denote these minibatches by \( B_k \) where +\( k=1,\cdots,n/M \). +
+ +As an example, suppose we have \( 10 \) data points \( (\mathbf{x}_1,\cdots, \mathbf{x}_{10}) \) +and we choose to have \( M=5 \) minibathces, +then each minibatch contains two data points. In particular we have +\( B_1 = (\mathbf{x}_1,\mathbf{x}_2), \cdots, B_5 = +(\mathbf{x}_9,\mathbf{x}_{10}) \). Note that if you choose \( M=1 \) you +have only a single batch with all data points and on the other extreme, +you may choose \( M=n \) resulting in a minibatch for each datapoint, i.e +\( B_k = \mathbf{x}_k \). +
+ +The idea is now to approximate the gradient by replacing the sum over +all data points with a sum over the data points in one the minibatches +picked at random in each gradient descent step +
+$$ +\nabla_{\beta} +C(\mathbf{\beta}) = \sum_{i=1}^n \nabla_\beta c_i(\mathbf{x}_i, +\mathbf{\beta}) \rightarrow \sum_{i \in B_k}^n \nabla_\beta +c_i(\mathbf{x}_i, \mathbf{\beta}). +$$ + + +Thus a gradient descent step now looks like
+$$ +\beta_{j+1} = \beta_j - \gamma_j \sum_{i \in B_k}^n \nabla_\beta c_i(\mathbf{x}_i, +\mathbf{\beta}) +$$ + +where \( k \) is picked at random with equal +probability from \( [1,n/M] \). An iteration over the number of +minibathces (n/M) is commonly referred to as an epoch. Thus it is +typical to choose a number of epochs and for each epoch iterate over +the number of minibatches, as exemplified in the code below. +
+ +import numpy as np
+
+n = 100 #100 datapoints
+M = 5 #size of each mini-batche
+m = int(n/M) #number of minibatches
+n_epochs = 10 #number of epochs
+
+j = 0
+for epoch in range(1,n_epochs+1):
+ for i in range(m):
+ k = np.random.randint(m) #Pick the k-th minibatch at random
+ #Compute the gradient using the data in minibatch Bk
+ #Compute new suggestion for
+ j += 1
+
+Taking the gradient only on a subset of the data has two important +benefits. First, it introduces randomness which decreases the chance +that our opmization scheme gets stuck in a local minima. Second, if +the size of the minibatches are small relative to the number of +datapoints (\( M < n \)), the computation of the gradient is much +cheaper since we sum over the datapoints in the \( k-th \) minibatch and not +all \( n \) datapoints. +
+ +A natural question is when do we stop the search for a new minimum? +One possibility is to compute the full gradient after a given number +of epochs and check if the norm of the gradient is smaller than some +threshold and stop if true. However, the condition that the gradient +is zero is valid also for local minima, so this would only tell us +that we are close to a local/global minimum. However, we could also +evaluate the cost function at this point, store the result and +continue the search. If the test kicks in at a later stage we can +compare the values of the cost function and keep the \( \beta \) that +gave the lowest value. +
+ +Another approach is to let the step length \( \gamma_j \) depend on the +number of epochs in such a way that it becomes very small after a +reasonable time such that we do not move at all. +
+ +As an example, let \( e = 0,1,2,3,\cdots \) denote the current epoch and let \( t_0, t_1 > 0 \) be two fixed numbers. Furthermore, let \( t = e \cdot m + i \) where \( m \) is the number of minibatches and \( i=0,\cdots,m-1 \). Then the function $$\gamma_j(t; t_0, t_1) = \frac{t_0}{t+t_1} $$ goes to zero as the number of epochs gets large. I.e. we start with a step length \( \gamma_j (0; t_0, t_1) = t_0/t_1 \) which decays in time \( t \).
+ +In this way we can fix the number of epochs, compute \( \beta \) and +evaluate the cost function at the end. Repeating the computation will +give a different result since the scheme is random by design. Then we +pick the final \( \beta \) that gives the lowest value of the cost +function. +
+ + + +import numpy as np
+
+def step_length(t,t0,t1):
+ return t0/(t+t1)
+
+n = 100 #100 datapoints
+M = 5 #size of each minibatch
+m = int(n/M) #number of minibatches
+n_epochs = 500 #number of epochs
+t0 = 1.0
+t1 = 10
+
+gamma_j = t0/t1
+j = 0
+for epoch in range(1,n_epochs+1):
+ for i in range(m):
+ k = np.random.randint(m) #Pick the k-th minibatch at random
+ #Compute the gradient using the data in minibatch Bk
+ #Compute new suggestion for beta
+ t = epoch*m+i
+ gamma_j = step_length(t,t0,t1)
+ j += 1
+
+print("gamma_j after %d epochs: %g" % (n_epochs,gamma_j))
+
+We note that we have defined several hyperparameters. These are now the number of epochs, the number of mini-batches and the parameters \( t_0 \) and \( t_1 \).
+ +# Importing various packages
+# Importing various packages
+from math import exp, sqrt
+from random import random, seed
+import numpy as np
+import matplotlib.pyplot as plt
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.inv(X.T @ X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+
+
+for iter in range(Niterations):
+ gradients = 2.0/n*X.T @ ((X @ theta)-y)
+ theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+n_epochs = 50
+M = 5 #size of each minibatch
+m = int(n/M) #number of minibatches
+t0, t1 = 5, 50
+def learning_schedule(t):
+ return t0/(t+t1)
+
+theta = np.random.randn(2,1)
+
+for epoch in range(n_epochs):
+# Can you figure out a better way of setting up the contributions to each batch?
+ for i in range(m):
+ random_index = M*np.random.randint(m)
+ xi = X[random_index:random_index+M]
+ yi = y[random_index:random_index+M]
+ gradients = (2.0/M)* xi.T @ ((xi @ theta)-yi)
+ eta = learning_schedule(epoch*m+i)
+ theta = theta - eta*gradients
+print("theta from own sdg")
+print(theta)
+
+
+
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+In the above code, we have use replacement in setting up the +mini-batches. The discussion +here may be +useful. More material will be added later. +
+ +The stochastic gradient descent (SGD) is almost always used with a +momentum or inertia term that serves as a memory of the direction we +are moving in parameter space. This is typically implemented as +follows +
+ +$$ +\begin{align} +\mathbf{v}_{t}&=\gamma \mathbf{v}_{t-1}+\eta_{t}\nabla_\theta E(\boldsymbol{\theta}_t) \nonumber \\ +\boldsymbol{\theta}_{t+1}&= \boldsymbol{\theta}_t -\mathbf{v}_{t}, +\label{_auto1} +\end{align} +$$ + +where we have introduced a momentum parameter \( \gamma \), with +\( 0\le\gamma\le 1 \), and for brevity we dropped the explicit notation to +indicate the gradient is to be taken over a different mini-batch at +each step. We call this algorithm gradient descent with momentum +(GDM). From these equations, it is clear that \( \mathbf{v}_t \) is a +running average of recently encountered gradients and +\( (1-\gamma)^{-1} \) sets the characteristic time scale for the memory +used in the averaging procedure. Consistent with this, when +\( \gamma=0 \), this just reduces down to ordinary SGD as discussed +earlier. An equivalent way of writing the updates is +
+ +$$ +\Delta \boldsymbol{\theta}_{t+1} = \gamma \Delta \boldsymbol{\theta}_t -\ \eta_{t}\nabla_\theta E(\boldsymbol{\theta}_t), +$$ + +where we have defined \( \Delta \boldsymbol{\theta}_{t}= \boldsymbol{\theta}_t-\boldsymbol{\theta}_{t-1} \).
+ +Let us try to get more intuition from these equations. It is helpful +to consider a simple physical analogy with a particle of mass \( m \) +moving in a viscous medium with drag coefficient \( \mu \) and potential +\( E(\mathbf{w}) \). If we denote the particle's position by \( \mathbf{w} \), +then its motion is described by +
+ +$$ +m {d^2 \mathbf{w} \over dt^2} + \mu {d \mathbf{w} \over dt }= -\nabla_w E(\mathbf{w}). +$$ + +We can discretize this equation in the usual way to get
+ +$$ +m { \mathbf{w}_{t+\Delta t}-2 \mathbf{w}_{t} +\mathbf{w}_{t-\Delta t} \over (\Delta t)^2}+\mu {\mathbf{w}_{t+\Delta t}- \mathbf{w}_{t} \over \Delta t} = -\nabla_w E(\mathbf{w}). +$$ + +Rearranging this equation, we can rewrite this as
+ +$$ +\Delta \mathbf{w}_{t +\Delta t}= - { (\Delta t)^2 \over m +\mu \Delta t} \nabla_w E(\mathbf{w})+ {m \over m +\mu \Delta t} \Delta \mathbf{w}_t. +$$ + + +Notice that this equation is identical to previous one if we identify +the position of the particle, \( \mathbf{w} \), with the parameters +\( \boldsymbol{\theta} \). This allows us to identify the momentum +parameter and learning rate with the mass of the particle and the +viscous drag as: +
+ +$$ +\gamma= {m \over m +\mu \Delta t }, \qquad \eta = {(\Delta t)^2 \over m +\mu \Delta t}. +$$ + +Thus, as the name suggests, the momentum parameter is proportional to +the mass of the particle and effectively provides inertia. +Furthermore, in the large viscosity/small learning rate limit, our +memory time scales as \( (1-\gamma)^{-1} \approx m/(\mu \Delta t) \). +
+ +Why is momentum useful? SGD momentum helps the gradient descent +algorithm gain speed in directions with persistent but small gradients +even in the presence of stochasticity, while suppressing oscillations +in high-curvature directions. This becomes especially important in +situations where the landscape is shallow and flat in some directions +and narrow and steep in others. It has been argued that first-order +methods (with appropriate initial conditions) can perform comparable +to more expensive second order methods, especially in the context of +complex deep learning models. +
+ +These beneficial properties of momentum can sometimes become even more +pronounced by using a slight modification of the classical momentum +algorithm called Nesterov Accelerated Gradient (NAG). +
+ +In the NAG algorithm, rather than calculating the gradient at the +current parameters, \( \nabla_\theta E(\boldsymbol{\theta}_t) \), one +calculates the gradient at the expected value of the parameters given +our current momentum, \( \nabla_\theta E(\boldsymbol{\theta}_t +\gamma +\mathbf{v}_{t-1}) \). This yields the NAG update rule +
+ +$$ +\begin{align} +\mathbf{v}_{t}&=\gamma \mathbf{v}_{t-1}+\eta_{t}\nabla_\theta E(\boldsymbol{\theta}_t +\gamma \mathbf{v}_{t-1}) \nonumber \\ +\boldsymbol{\theta}_{t+1}&= \boldsymbol{\theta}_t -\mathbf{v}_{t}. +\label{_auto2} +\end{align} +$$ + +One of the major advantages of NAG is that it allows for the use of a larger learning rate than GDM for the same choice of \( \gamma \).
+ +In stochastic gradient descent, with and without momentum, we still +have to specify a schedule for tuning the learning rates \( \eta_t \) +as a function of time. As discussed in the context of Newton's +method, this presents a number of dilemmas. The learning rate is +limited by the steepest direction which can change depending on the +current position in the landscape. To circumvent this problem, ideally +our algorithm would keep track of curvature and take large steps in +shallow, flat directions and small steps in steep, narrow directions. +Second-order methods accomplish this by calculating or approximating +the Hessian and normalizing the learning rate by the +curvature. However, this is very computationally expensive for +extremely large models. Ideally, we would like to be able to +adaptively change the step size to match the landscape without paying +the steep computational price of calculating or approximating +Hessians. +
+ +Recently, a number of methods have been introduced that accomplish +this by tracking not only the gradient, but also the second moment of +the gradient. These methods include AdaGrad, AdaDelta, Root Mean Squared Propagation (RMS-Prop), and +ADAM. +
+ +In RMS prop, in addition to keeping a running average of the first +moment of the gradient, we also keep track of the second moment +denoted by \( \mathbf{s}_t=\mathbb{E}[\mathbf{g}_t^2] \). The update rule +for RMS prop is given by +
+ +$$ +\begin{align} +\mathbf{g}_t &= \nabla_\theta E(\boldsymbol{\theta}) +\label{_auto3}\\ +\mathbf{s}_t &=\beta \mathbf{s}_{t-1} +(1-\beta)\mathbf{g}_t^2 \nonumber \\ +\boldsymbol{\theta}_{t+1}&=&\boldsymbol{\theta}_t - \eta_t { \mathbf{g}_t \over \sqrt{\mathbf{s}_t +\epsilon}}, \nonumber +\end{align} +$$ + +where \( \beta \) controls the averaging time of the second moment and is +typically taken to be about \( \beta=0.9 \), \( \eta_t \) is a learning rate +typically chosen to be \( 10^{-3} \), and \( \epsilon\sim 10^{-8} \) is a +small regularization constant to prevent divergences. Multiplication +and division by vectors is understood as an element-wise operation. It +is clear from this formula that the learning rate is reduced in +directions where the norm of the gradient is consistently large. This +greatly speeds up the convergence by allowing us to use a larger +learning rate for flat directions. +
+ +A related algorithm is the ADAM optimizer. In ADAM, we keep a running +average of both the first and second moment of the gradient and use +this information to adaptively change the learning rate for different +parameters. In addition to keeping a running average of the first and +second moments of the gradient +(i.e. \( \mathbf{m}_t=\mathbb{E}[\mathbf{g}_t] \) and +\( \mathbf{s}_t=\mathbb{E}[\mathbf{g}^2_t] \), respectively), ADAM +performs an additional bias correction to account for the fact that we +are estimating the first two moments of the gradient using a running +average (denoted by the hats in the update rule below). The update +rule for ADAM is given by (where multiplication and division are once +again understood to be element-wise operations below) +
+ +$$ +\begin{align} +\mathbf{g}_t &= \nabla_\theta E(\boldsymbol{\theta}) +\label{_auto4}\\ +\mathbf{m}_t &= \beta_1 \mathbf{m}_{t-1} + (1-\beta_1) \mathbf{g}_t \nonumber \\ +\mathbf{s}_t &=\beta_2 \mathbf{s}_{t-1} +(1-\beta_2)\mathbf{g}_t^2 \nonumber \\ +\boldsymbol{\mathbf{m}}_t&={\mathbf{m}_t \over 1-\beta_1^t} \nonumber \\ +\boldsymbol{\mathbf{s}}_t &={\mathbf{s}_t \over1-\beta_2^t} \nonumber \\ +\boldsymbol{\theta}_{t+1}&=\boldsymbol{\theta}_t - \eta_t { \boldsymbol{\mathbf{m}}_t \over \sqrt{\boldsymbol{\mathbf{s}}_t} +\epsilon}, \nonumber \\ +\label{_auto5} +\end{align} +$$ + +where \( \beta_1 \) and \( \beta_2 \) set the memory lifetime of the first and +second moment and are typically taken to be \( 0.9 \) and \( 0.99 \) +respectively, and \( \eta \) and \( \epsilon \) are identical to RMSprop. +
+ +Like in RMSprop, the effective step size of a parameter depends on the +magnitude of its gradient squared. To understand this better, let us +rewrite this expression in terms of the variance +\( \boldsymbol{\sigma}_t^2 = \boldsymbol{\mathbf{s}}_t - +(\boldsymbol{\mathbf{m}}_t)^2 \). Consider a single parameter \( \theta_t \). The +update rule for this parameter is given by +
+ +$$ +\Delta \theta_{t+1}= -\eta_t { \boldsymbol{m}_t \over \sqrt{\sigma_t^2 + m_t^2 }+\epsilon}. +$$ + + +Geron's text, see chapter 11, has several interesting discussions.
+ +Automatic differentiation (AD), +also called algorithmic +differentiation or computational differentiation,is a set of +techniques to numerically evaluate the derivative of a function +specified by a computer program. AD exploits the fact that every +computer program, no matter how complicated, executes a sequence of +elementary arithmetic operations (addition, subtraction, +multiplication, division, etc.) and elementary functions (exp, log, +sin, cos, etc.). By applying the chain rule repeatedly to these +operations, derivatives of arbitrary order can be computed +automatically, accurately to working precision, and using at most a +small constant factor more arithmetic operations than the original +program. +
+ +Automatic differentiation is neither:
+ +Symbolic differentiation can lead to inefficient code and faces the +difficulty of converting a computer program into a single expression, +while numerical differentiation can introduce round-off errors in the +discretization process and cancellation +
+ +Python has tools for so-called automatic differentiation. +Consider the following example +
+$$ +f(x) = \sin\left(2\pi x + x^2\right) +$$ + +which has the following derivative
+$$ +f'(x) = \cos\left(2\pi x + x^2\right)\left(2\pi + 2x\right) +$$ + +Using autograd we have
+ + + +import autograd.numpy as np
+
+# To do elementwise differentiation:
+from autograd import elementwise_grad as egrad
+
+# To plot:
+import matplotlib.pyplot as plt
+
+
+def f(x):
+ return np.sin(2*np.pi*x + x**2)
+
+def f_grad_analytic(x):
+ return np.cos(2*np.pi*x + x**2)*(2*np.pi + 2*x)
+
+# Do the comparison:
+x = np.linspace(0,1,1000)
+
+f_grad = egrad(f)
+
+computed = f_grad(x)
+analytic = f_grad_analytic(x)
+
+plt.title('Derivative computed from Autograd compared with the analytical derivative')
+plt.plot(x,computed,label='autograd')
+plt.plot(x,analytic,label='analytic')
+
+plt.xlabel('x')
+plt.ylabel('y')
+plt.legend()
+
+plt.show()
+
+print("The max absolute difference is: %g"%(np.max(np.abs(computed - analytic))))
+
+Here we +experiment with what kind of functions Autograd is capable +of finding the gradient of. The following Python functions are just +meant to illustrate what Autograd can do, but please feel free to +experiment with other, possibly more complicated, functions as well. +
+ + + +import autograd.numpy as np
+from autograd import grad
+
+def f1(x):
+ return x**3 + 1
+
+f1_grad = grad(f1)
+
+# Remember to send in float as argument to the computed gradient from Autograd!
+a = 1.0
+
+# See the evaluated gradient at a using autograd:
+print("The gradient of f1 evaluated at a = %g using autograd is: %g"%(a,f1_grad(a)))
+
+# Compare with the analytical derivative, that is f1'(x) = 3*x**2
+grad_analytical = 3*a**2
+print("The gradient of f1 evaluated at a = %g by finding the analytic expression is: %g"%(a,grad_analytical))
+
+To differentiate with respect to two (or more) arguments of a Python +function, Autograd need to know at which variable the function if +being differentiated with respect to. +
+ + + +import autograd.numpy as np
+from autograd import grad
+def f2(x1,x2):
+ return 3*x1**3 + x2*(x1 - 5) + 1
+
+# By sending the argument 0, Autograd will compute the derivative w.r.t the first variable, in this case x1
+f2_grad_x1 = grad(f2,0)
+
+# ... and differentiate w.r.t x2 by sending 1 as an additional arugment to grad
+f2_grad_x2 = grad(f2,1)
+
+x1 = 1.0
+x2 = 3.0
+
+print("Evaluating at x1 = %g, x2 = %g"%(x1,x2))
+print("-"*30)
+
+# Compare with the analytical derivatives:
+
+# Derivative of f2 w.r.t x1 is: 9*x1**2 + x2:
+f2_grad_x1_analytical = 9*x1**2 + x2
+
+# Derivative of f2 w.r.t x2 is: x1 - 5:
+f2_grad_x2_analytical = x1 - 5
+
+# See the evaluated derivations:
+print("The derivative of f2 w.r.t x1: %g"%( f2_grad_x1(x1,x2) ))
+print("The analytical derivative of f2 w.r.t x1: %g"%( f2_grad_x1(x1,x2) ))
+
+print()
+
+print("The derivative of f2 w.r.t x2: %g"%( f2_grad_x2(x1,x2) ))
+print("The analytical derivative of f2 w.r.t x2: %g"%( f2_grad_x2(x1,x2) ))
+
+Note that the grad function will not produce the true gradient of the function. The true gradient of a function with two or more variables will produce a vector, where each element is the function differentiated w.r.t a variable.
+ +import autograd.numpy as np
+from autograd import grad
+def f3(x): # Assumes x is an array of length 5 or higher
+ return 2*x[0] + 3*x[1] + 5*x[2] + 7*x[3] + 11*x[4]**2
+
+f3_grad = grad(f3)
+
+x = np.linspace(0,4,5)
+
+# Print the computed gradient:
+print("The computed gradient of f3 is: ", f3_grad(x))
+
+# The analytical gradient is: (2, 3, 5, 7, 22*x[4])
+f3_grad_analytical = np.array([2, 3, 5, 7, 22*x[4]])
+
+# Print the analytical gradient:
+print("The analytical gradient of f3 is: ", f3_grad_analytical)
+
+Note that in this case, when sending an array as input argument, the +output from Autograd is another array. This is the true gradient of +the function, as opposed to the function in the previous example. By +using arrays to represent the variables, the output from Autograd +might be easier to work with, as the output is closer to what one +could expect form a gradient-evaluting function. +
+ + +import autograd.numpy as np
+from autograd import grad
+def f4(x):
+ return np.sqrt(1+x**2) + np.exp(x) + np.sin(2*np.pi*x)
+
+f4_grad = grad(f4)
+
+x = 2.7
+
+# Print the computed derivative:
+print("The computed derivative of f4 at x = %g is: %g"%(x,f4_grad(x)))
+
+# The analytical derivative is: x/sqrt(1 + x**2) + exp(x) + cos(2*pi*x)*2*pi
+f4_grad_analytical = x/np.sqrt(1 + x**2) + np.exp(x) + np.cos(2*np.pi*x)*2*np.pi
+
+# Print the analytical gradient:
+print("The analytical gradient of f4 at x = %g is: %g"%(x,f4_grad_analytical))
+
+import autograd.numpy as np
+from autograd import grad
+def f5(x):
+ if x >= 0:
+ return x**2
+ else:
+ return -3*x + 1
+
+f5_grad = grad(f5)
+
+x = 2.7
+
+# Print the computed derivative:
+print("The computed derivative of f5 at x = %g is: %g"%(x,f5_grad(x)))
+
+import autograd.numpy as np
+from autograd import grad
+def f6_for(x):
+ val = 0
+ for i in range(10):
+ val = val + x**i
+ return val
+
+def f6_while(x):
+ val = 0
+ i = 0
+ while i < 10:
+ val = val + x**i
+ i = i + 1
+ return val
+
+f6_for_grad = grad(f6_for)
+f6_while_grad = grad(f6_while)
+
+x = 0.5
+
+# Print the computed derivaties of f6_for and f6_while
+print("The computed derivative of f6_for at x = %g is: %g"%(x,f6_for_grad(x)))
+print("The computed derivative of f6_while at x = %g is: %g"%(x,f6_while_grad(x)))
+
+import autograd.numpy as np
+from autograd import grad
+# Both of the functions are implementation of the sum: sum(x**i) for i = 0, ..., 9
+# The analytical derivative is: sum(i*x**(i-1))
+f6_grad_analytical = 0
+for i in range(10):
+ f6_grad_analytical += i*x**(i-1)
+
+print("The analytical derivative of f6 at x = %g is: %g"%(x,f6_grad_analytical))
+
+import autograd.numpy as np
+from autograd import grad
+
+def f7(n): # Assume that n is an integer
+ if n == 1 or n == 0:
+ return 1
+ else:
+ return n*f7(n-1)
+
+f7_grad = grad(f7)
+
+n = 2.0
+
+print("The computed derivative of f7 at n = %d is: %g"%(n,f7_grad(n)))
+
+# The function f7 is an implementation of the factorial of n.
+# By using the product rule, one can find that the derivative is:
+
+f7_grad_analytical = 0
+for i in range(int(n)-1):
+ tmp = 1
+ for k in range(int(n)-1):
+ if k != i:
+ tmp *= (n - k)
+ f7_grad_analytical += tmp
+
+print("The analytical derivative of f7 at n = %d is: %g"%(n,f7_grad_analytical))
+
+Note that if n is equal to zero or one, Autograd will give an error message. This message appears when the output is independent on input.
+ +Autograd supports many features. However, there are some functions that is not supported (yet) by Autograd.
+ +Assigning a value to the variable being differentiated with respect to
+ + +import autograd.numpy as np
+from autograd import grad
+def f8(x): # Assume x is an array
+ x[2] = 3
+ return x*2
+
+f8_grad = grad(f8)
+
+x = 8.4
+
+print("The derivative of f8 is:",f8_grad(x))
+
+Here, Autograd tells us that an 'ArrayBox' does not support item assignment. The item assignment is done when the program tries to assign x[2] to the value 3. However, Autograd has implemented the computation of the derivative such that this assignment is not possible.
+ +import autograd.numpy as np
+from autograd import grad
+def f9(a): # Assume a is an array with 2 elements
+ b = np.array([1.0,2.0])
+ return a.dot(b)
+
+f9_grad = grad(f9)
+
+x = np.array([1.0,0.0])
+
+print("The derivative of f9 is:",f9_grad(x))
+
+Here we are told that the 'dot' function does not belong to Autograd's +version of a Numpy array. To overcome this, an alternative syntax +which also computed the dot product can be used: +
+ + + +import autograd.numpy as np
+from autograd import grad
+def f9_alternative(x): # Assume a is an array with 2 elements
+ b = np.array([1.0,2.0])
+ return np.dot(x,b) # The same as x_1*b_1 + x_2*b_2
+
+f9_alternative_grad = grad(f9_alternative)
+
+x = np.array([3.0,0.0])
+
+print("The gradient of f9 is:",f9_alternative_grad(x))
+
+# The analytical gradient of the dot product of vectors x and b with two elements (x_1,x_2) and (b_1, b_2) respectively
+# w.r.t x is (b_1, b_2).
+
+The documentation recommends to avoid inplace operations such as
+ + +a += b
+a -= b
+a*= b
+a /=b
+
+We conclude the part on optmization by showing how we can make codes +for linear regression and logistic regression using autograd. The +first example shows results with ordinary leats squares. +
+ + + +# Using Autograd to calculate gradients for OLS
+from random import random, seed
+import numpy as np
+import autograd.numpy as np
+import matplotlib.pyplot as plt
+from autograd import grad
+
+def CostOLS(beta):
+ return (1.0/n)*np.sum((y-X @ beta)**2)
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.pinv(XT_X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+# define the gradient
+training_gradient = grad(CostOLS)
+
+for iter in range(Niterations):
+ gradients = training_gradient(theta)
+ theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+In this code we include the stochastic gradient descent approach discussed above. Note here that we specify which argument we are taking the derivative with respect to when using autograd.
+ + + +# Using Autograd to calculate gradients using SGD
+# OLS example
+from random import random, seed
+import numpy as np
+import autograd.numpy as np
+import matplotlib.pyplot as plt
+from autograd import grad
+
+# Note change from previous example
+def CostOLS(y,X,theta):
+ return np.sum((y-X @ theta)**2)
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.pinv(XT_X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+
+# Note that we request the derivative wrt third argument (theta, 2 here)
+training_gradient = grad(CostOLS,2)
+
+for iter in range(Niterations):
+ gradients = (1.0/n)*training_gradient(y, X, theta)
+ theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+n_epochs = 50
+M = 5 #size of each minibatch
+m = int(n/M) #number of minibatches
+t0, t1 = 5, 50
+def learning_schedule(t):
+ return t0/(t+t1)
+
+theta = np.random.randn(2,1)
+
+for epoch in range(n_epochs):
+# Can you figure out a better way of setting up the contributions to each batch?
+ for i in range(m):
+ random_index = M*np.random.randint(m)
+ xi = X[random_index:random_index+M]
+ yi = y[random_index:random_index+M]
+ gradients = (1.0/M)*training_gradient(yi, xi, theta)
+ eta = learning_schedule(epoch*m+i)
+ theta = theta - eta*gradients
+print("theta from own sdg")
+print(theta)
+
+import autograd.numpy as np
+from autograd import grad
+
+def sigmoid(x):
+ return 0.5 * (np.tanh(x / 2.) + 1)
+
+def logistic_predictions(weights, inputs):
+ # Outputs probability of a label being true according to logistic model.
+ return sigmoid(np.dot(inputs, weights))
+
+def training_loss(weights):
+ # Training loss is the negative log-likelihood of the training labels.
+ preds = logistic_predictions(weights, inputs)
+ label_probabilities = preds * targets + (1 - preds) * (1 - targets)
+ return -np.sum(np.log(label_probabilities))
+
+# Build a toy dataset.
+inputs = np.array([[0.52, 1.12, 0.77],
+ [0.88, -1.08, 0.15],
+ [0.52, 0.06, -1.30],
+ [0.74, -2.49, 1.39]])
+targets = np.array([True, True, False, True])
+
+# Define a function that returns gradients of training loss using Autograd.
+training_gradient_fun = grad(training_loss)
+
+# Optimize weights using gradient descent.
+weights = np.array([0.0, 0.0, 0.0])
+print("Initial loss:", training_loss(weights))
+for i in range(100):
+ weights -= training_gradient_fun(weights) * 0.01
+
+print("Trained loss:", training_loss(weights))
+
+See lecture notes for week 39. -For a good discussion on gradient methods, see Goodfellow et al section 4.3-4.5 and chapter 8. We will come back to the latter chapter in our discussion of Neural networks as well. +For a good discussion on gradient methods, see Goodfellow et al section 4.3-4.5 and chapter 8. We will come back to the latter chapter in our discussion of Neural networks as well.
-For project 1, chapter 5 of Goodfellow et al is a good read, in particular sections 5.1-5.55 and 5.7-5.11. +For Stochastic Gradient Descent, we recommend chapter 4 of Geron's text.
+ +For project 1, chapter 5 of Goodfellow et al is a good read, in particular sections 5.1-5.5 and 5.7-5.11.These sections summarize neatly what we have done till now and point to what is coming with respect to deep learning.
In project 1, when using Ridge and Lasso regression, we end up -searching for the optimal parameter \( \lambda \) which minimizes our -selected scores (MSE or \( R2 \) values for example). The brute force -approach, as discussed in the code here for Ridge regression, consists -in evaluating the MSE as function of different \( \lambda \) values. -Based on these calculations, one tries then to determine the value of the hyperparameter \( \lambda \) -which results in optimal scores (for example the smallest MSE or an \( R2=1 \)). -
- - -import numpy as np
-import pandas as pd
-import matplotlib.pyplot as plt
-from sklearn.model_selection import train_test_split
-from sklearn import linear_model
-
-def MSE(y_data,y_model):
- n = np.size(y_model)
- return np.sum((y_data-y_model)**2)/n
-# A seed just to ensure that the random numbers are the same for every run.
-# Useful for eventual debugging.
-np.random.seed(2021)
-
-n = 100
-x = np.random.rand(n)
-y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)
-
-Maxpolydegree = 5
-X = np.zeros((n,Maxpolydegree-1))
-
-for degree in range(1,Maxpolydegree): #No intercept column
- X[:,degree-1] = x**(degree)
-
-# We split the data in test and training data
-X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)
-
-# Decide which values of lambda to use
-nlambdas = 500
-MSERidgePredict = np.zeros(nlambdas)
-lambdas = np.logspace(-4, 2, nlambdas)
-for i in range(nlambdas):
- lmb = lambdas[i]
- RegRidge = linear_model.Ridge(lmb)
- RegRidge.fit(X_train,y_train)
- ypredictRidge = RegRidge.predict(X_test)
- MSERidgePredict[i] = MSE(y_test,ypredictRidge)
-
-# Now plot the results
-plt.figure()
-plt.plot(np.log10(lambdas), MSERidgePredict, 'g--', label = 'MSE SL Ridge Test')
-plt.xlabel('log10(lambda)')
-plt.ylabel('MSE')
-plt.legend()
-plt.show()
-
-Here we have performed a rather data greedy calculation as function of the regularization parameter \( \lambda \). There is no resampling here. The latter can easily be added by employing the function RidgeCV instead of just calling the Ridge function. For RidgeCV we need to pass the array of \( \lambda \) values. -By inspecting the figure we can in turn determine which is the optimal regularization parameter. -This becomes however less functional in the long run. -
- -An alternative is to use the so-called grid search functionality -included with the library Scikit-Learn, as demonstrated for the same -example here. -
- - - -import numpy as np
-from sklearn.model_selection import train_test_split
-from sklearn.linear_model import Ridge
-from sklearn.model_selection import GridSearchCV
-
-def R2(y_data, y_model):
- return 1 - np.sum((y_data - y_model) ** 2) / np.sum((y_data - np.mean(y_data)) ** 2)
-
-def MSE(y_data,y_model):
- n = np.size(y_model)
- return np.sum((y_data-y_model)**2)/n
-
-# A seed just to ensure that the random numbers are the same for every run.
-# Useful for eventual debugging.
-np.random.seed(2021)
-
-n = 100
-x = np.random.rand(n)
-y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)
-
-Maxpolydegree = 5
-X = np.zeros((n,Maxpolydegree-1))
-
-for degree in range(1,Maxpolydegree): #No intercept column
- X[:,degree-1] = x**(degree)
-
-# We split the data in test and training data
-X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)
-
-# Decide which values of lambda to use
-nlambdas = 10
-lambdas = np.logspace(-4, 2, nlambdas)
-# create and fit a ridge regression model, testing each alpha
-model = Ridge()
-gridsearch = GridSearchCV(estimator=model, param_grid=dict(alpha=lambdas))
-gridsearch.fit(X_train, y_train)
-print(gridsearch)
-ypredictRidge = gridsearch.predict(X_test)
-# summarize the results of the grid search
-print(f"Best estimated lambda-value: {gridsearch.best_estimator_.alpha}")
-print(f"MSE score: {MSE(y_test,ypredictRidge)}")
-print(f"R2 score: {R2(y_test,ypredictRidge)}")
-
-By default the grid search function includes cross validation with -five folds. The Scikit-Learn -documentation -contains more information on how to set the different parameters. -
- -If we take out the random noise, running the above codes results in \( \lambda=0 \) yielding the best fit.
- -An alternative to the above manual grid set up, is to use a random -search where the parameters are tuned from a random distribution -(uniform below) for a fixed number of iterations. A model is -constructed and evaluated for each combination of chosen parameters. -We repeat the previous example but now with a random search. Note -that values of \( \lambda \) are now limited to be within \( x\in -[0,1] \). This domain may not be the most relevant one for the specific -case under study. -
- - - -import numpy as np
-from sklearn.model_selection import train_test_split
-from sklearn.linear_model import Ridge
-from sklearn.model_selection import GridSearchCV
-from scipy.stats import uniform as randuniform
-from sklearn.model_selection import RandomizedSearchCV
-
-
-def R2(y_data, y_model):
- return 1 - np.sum((y_data - y_model) ** 2) / np.sum((y_data - np.mean(y_data)) ** 2)
-
-def MSE(y_data,y_model):
- n = np.size(y_model)
- return np.sum((y_data-y_model)**2)/n
-
-# A seed just to ensure that the random numbers are the same for every run.
-# Useful for eventual debugging.
-np.random.seed(2021)
-
-n = 100
-x = np.random.rand(n)
-y = np.exp(-x**2) + 1.5 * np.exp(-(x-2)**2)+ np.random.randn(n)
-
-Maxpolydegree = 5
-X = np.zeros((n,Maxpolydegree-1))
-
-for degree in range(1,Maxpolydegree): #No intercept column
- X[:,degree-1] = x**(degree)
-
-# We split the data in test and training data
-X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2)
-
-param_grid = {'alpha': randuniform()}
-# create and fit a ridge regression model, testing each alpha
-model = Ridge()
-gridsearch = RandomizedSearchCV(estimator=model, param_distributions=param_grid, n_iter=100)
-gridsearch.fit(X_train, y_train)
-print(gridsearch)
-ypredictRidge = gridsearch.predict(X_test)
-# summarize the results of the grid search
-print(f"Best estimated lambda-value: {gridsearch.best_estimator_.alpha}")
-print(f"MSE score: {MSE(y_test,ypredictRidge)}")
-print(f"R2 score: {R2(y_test,ypredictRidge)}")
-
-Write a code which implements gradient descent for a logistic regression example.
- -In gradient descent we compute the cost function and its gradient for all data points we have.
+ +In large-scale applications such as the ILSVRC challenge, the +training data can have on order of millions of examples. Hence, it +seems wasteful to compute the full cost function over the entire +training set in order to perform only a single parameter update. A +very common approach to addressing this challenge is to compute the +gradient over batches of the training data. For example, in current +a typical batch could contain some thousand examples from +an entire training set of several millions. This batch is then used to +perform a parameter update. +
+ +In stochastic gradient descent, the extreme case is the case where we +have only one batch, that is we include the whole data set. +
+ +This process is called Stochastic Gradient +Descent (SGD) (or also sometimes on-line gradient descent). This is +relatively less common to see because in practice due to vectorized +code optimizations it can be computationally much more efficient to +evaluate the gradient for 100 examples, than the gradient for one +example 100 times. Even though SGD technically refers to using a +single example at a time to evaluate the gradient, you will hear +people use the term SGD even when referring to mini-batch gradient +descent (i.e. mentions of MGD for “Minibatch Gradient Descent”, or BGD +for “Batch gradient descent” are rare to see), where it is usually +assumed that mini-batches are used. The size of the mini-batch is a +hyperparameter but it is not very common to cross-validate or bootstrap it. It is +usually based on memory constraints (if any), or set to some value, +e.g. 32, 64 or 128. We use powers of 2 in practice because many +vectorized operation implementations work faster when their inputs are +sized in powers of 2. +
+ +In our notes with SGD we mean stochastic gradient descent with mini-batches.
+ +Stochastic gradient descent (SGD) and variants thereof address some of +the shortcomings of the Gradient descent method discussed above. +
+ +The underlying idea of SGD comes from the observation that the cost +function, which we want to minimize, can almost always be written as a +sum over \( n \) data points \( \{\mathbf{x}_i\}_{i=1}^n \), +
+$$ +C(\mathbf{\beta}) = \sum_{i=1}^n c_i(\mathbf{x}_i, +\mathbf{\beta}). +$$ + + +This in turn means that the gradient can be +computed as a sum over \( i \)-gradients +
+$$ +\nabla_\beta C(\mathbf{\beta}) = \sum_i^n \nabla_\beta c_i(\mathbf{x}_i, +\mathbf{\beta}). +$$ + +Stochasticity/randomness is introduced by only taking the +gradient on a subset of the data called minibatches. If there are \( n \) +data points and the size of each minibatch is \( M \), there will be \( n/M \) +minibatches. We denote these minibatches by \( B_k \) where +\( k=1,\cdots,n/M \). +
+ +As an example, suppose we have \( 10 \) data points \( (\mathbf{x}_1,\cdots, \mathbf{x}_{10}) \) +and we choose to have \( M=5 \) minibathces, +then each minibatch contains two data points. In particular we have +\( B_1 = (\mathbf{x}_1,\mathbf{x}_2), \cdots, B_5 = +(\mathbf{x}_9,\mathbf{x}_{10}) \). Note that if you choose \( M=1 \) you +have only a single batch with all data points and on the other extreme, +you may choose \( M=n \) resulting in a minibatch for each datapoint, i.e +\( B_k = \mathbf{x}_k \). +
+ +The idea is now to approximate the gradient by replacing the sum over +all data points with a sum over the data points in one the minibatches +picked at random in each gradient descent step +
+$$ +\nabla_{\beta} +C(\mathbf{\beta}) = \sum_{i=1}^n \nabla_\beta c_i(\mathbf{x}_i, +\mathbf{\beta}) \rightarrow \sum_{i \in B_k}^n \nabla_\beta +c_i(\mathbf{x}_i, \mathbf{\beta}). +$$ + + +Thus a gradient descent step now looks like
+$$ +\beta_{j+1} = \beta_j - \gamma_j \sum_{i \in B_k}^n \nabla_\beta c_i(\mathbf{x}_i, +\mathbf{\beta}) +$$ + +where \( k \) is picked at random with equal +probability from \( [1,n/M] \). An iteration over the number of +minibathces (n/M) is commonly referred to as an epoch. Thus it is +typical to choose a number of epochs and for each epoch iterate over +the number of minibatches, as exemplified in the code below. +
+ +import numpy as np
+
+n = 100 #100 datapoints
+M = 5 #size of each mini-batche
+m = int(n/M) #number of minibatches
+n_epochs = 10 #number of epochs
+
+j = 0
+for epoch in range(1,n_epochs+1):
+ for i in range(m):
+ k = np.random.randint(m) #Pick the k-th minibatch at random
+ #Compute the gradient using the data in minibatch Bk
+ #Compute new suggestion for
+ j += 1
+
+Taking the gradient only on a subset of the data has two important +benefits. First, it introduces randomness which decreases the chance +that our opmization scheme gets stuck in a local minima. Second, if +the size of the minibatches are small relative to the number of +datapoints (\( M < n \)), the computation of the gradient is much +cheaper since we sum over the datapoints in the \( k-th \) minibatch and not +all \( n \) datapoints. +
+ +A natural question is when do we stop the search for a new minimum? +One possibility is to compute the full gradient after a given number +of epochs and check if the norm of the gradient is smaller than some +threshold and stop if true. However, the condition that the gradient +is zero is valid also for local minima, so this would only tell us +that we are close to a local/global minimum. However, we could also +evaluate the cost function at this point, store the result and +continue the search. If the test kicks in at a later stage we can +compare the values of the cost function and keep the \( \beta \) that +gave the lowest value. +
+ +Another approach is to let the step length \( \gamma_j \) depend on the +number of epochs in such a way that it becomes very small after a +reasonable time such that we do not move at all. +
+ +As an example, let \( e = 0,1,2,3,\cdots \) denote the current epoch and let \( t_0, t_1 > 0 \) be two fixed numbers. Furthermore, let \( t = e \cdot m + i \) where \( m \) is the number of minibatches and \( i=0,\cdots,m-1 \). Then the function $$\gamma_j(t; t_0, t_1) = \frac{t_0}{t+t_1} $$ goes to zero as the number of epochs gets large. I.e. we start with a step length \( \gamma_j (0; t_0, t_1) = t_0/t_1 \) which decays in time \( t \).
+ +In this way we can fix the number of epochs, compute \( \beta \) and +evaluate the cost function at the end. Repeating the computation will +give a different result since the scheme is random by design. Then we +pick the final \( \beta \) that gives the lowest value of the cost +function. +
+ + + +import numpy as np
+
+def step_length(t,t0,t1):
+ return t0/(t+t1)
+
+n = 100 #100 datapoints
+M = 5 #size of each minibatch
+m = int(n/M) #number of minibatches
+n_epochs = 500 #number of epochs
+t0 = 1.0
+t1 = 10
+
+gamma_j = t0/t1
+j = 0
+for epoch in range(1,n_epochs+1):
+ for i in range(m):
+ k = np.random.randint(m) #Pick the k-th minibatch at random
+ #Compute the gradient using the data in minibatch Bk
+ #Compute new suggestion for beta
+ t = epoch*m+i
+ gamma_j = step_length(t,t0,t1)
+ j += 1
+
+print("gamma_j after %d epochs: %g" % (n_epochs,gamma_j))
+
+We note that we have defined several hyperparameters. These are now the number of epochs, the number of mini-batches and the parameters \( t_0 \) and \( t_1 \).
+ +# Importing various packages
+# Importing various packages
+from math import exp, sqrt
+from random import random, seed
+import numpy as np
+import matplotlib.pyplot as plt
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.inv(X.T @ X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+
+
+for iter in range(Niterations):
+ gradients = 2.0/n*X.T @ ((X @ theta)-y)
+ theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+n_epochs = 50
+M = 5 #size of each minibatch
+m = int(n/M) #number of minibatches
+t0, t1 = 5, 50
+def learning_schedule(t):
+ return t0/(t+t1)
+
+theta = np.random.randn(2,1)
+
+for epoch in range(n_epochs):
+# Can you figure out a better way of setting up the contributions to each batch?
+ for i in range(m):
+ random_index = M*np.random.randint(m)
+ xi = X[random_index:random_index+M]
+ yi = y[random_index:random_index+M]
+ gradients = (2.0/M)* xi.T @ ((xi @ theta)-yi)
+ eta = learning_schedule(epoch*m+i)
+ theta = theta - eta*gradients
+print("theta from own sdg")
+print(theta)
+
+
+
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+In the above code, we have use replacement in setting up the +mini-batches. The discussion +here may be +useful. More material will be added later. +
+ +The stochastic gradient descent (SGD) is almost always used with a +momentum or inertia term that serves as a memory of the direction we +are moving in parameter space. This is typically implemented as +follows +
+ +$$ +\begin{align} +\mathbf{v}_{t}&=\gamma \mathbf{v}_{t-1}+\eta_{t}\nabla_\theta E(\boldsymbol{\theta}_t) \nonumber \\ +\boldsymbol{\theta}_{t+1}&= \boldsymbol{\theta}_t -\mathbf{v}_{t}, +\label{_auto1} +\end{align} +$$ + +where we have introduced a momentum parameter \( \gamma \), with +\( 0\le\gamma\le 1 \), and for brevity we dropped the explicit notation to +indicate the gradient is to be taken over a different mini-batch at +each step. We call this algorithm gradient descent with momentum +(GDM). From these equations, it is clear that \( \mathbf{v}_t \) is a +running average of recently encountered gradients and +\( (1-\gamma)^{-1} \) sets the characteristic time scale for the memory +used in the averaging procedure. Consistent with this, when +\( \gamma=0 \), this just reduces down to ordinary SGD as discussed +earlier. An equivalent way of writing the updates is +
+ +$$ +\Delta \boldsymbol{\theta}_{t+1} = \gamma \Delta \boldsymbol{\theta}_t -\ \eta_{t}\nabla_\theta E(\boldsymbol{\theta}_t), +$$ + +where we have defined \( \Delta \boldsymbol{\theta}_{t}= \boldsymbol{\theta}_t-\boldsymbol{\theta}_{t-1} \).
+ +Let us try to get more intuition from these equations. It is helpful +to consider a simple physical analogy with a particle of mass \( m \) +moving in a viscous medium with drag coefficient \( \mu \) and potential +\( E(\mathbf{w}) \). If we denote the particle's position by \( \mathbf{w} \), +then its motion is described by +
+ +$$ +m {d^2 \mathbf{w} \over dt^2} + \mu {d \mathbf{w} \over dt }= -\nabla_w E(\mathbf{w}). +$$ + +We can discretize this equation in the usual way to get
+ +$$ +m { \mathbf{w}_{t+\Delta t}-2 \mathbf{w}_{t} +\mathbf{w}_{t-\Delta t} \over (\Delta t)^2}+\mu {\mathbf{w}_{t+\Delta t}- \mathbf{w}_{t} \over \Delta t} = -\nabla_w E(\mathbf{w}). +$$ + +Rearranging this equation, we can rewrite this as
+ +$$ +\Delta \mathbf{w}_{t +\Delta t}= - { (\Delta t)^2 \over m +\mu \Delta t} \nabla_w E(\mathbf{w})+ {m \over m +\mu \Delta t} \Delta \mathbf{w}_t. +$$ + + +Notice that this equation is identical to previous one if we identify +the position of the particle, \( \mathbf{w} \), with the parameters +\( \boldsymbol{\theta} \). This allows us to identify the momentum +parameter and learning rate with the mass of the particle and the +viscous drag as: +
+ +$$ +\gamma= {m \over m +\mu \Delta t }, \qquad \eta = {(\Delta t)^2 \over m +\mu \Delta t}. +$$ + +Thus, as the name suggests, the momentum parameter is proportional to +the mass of the particle and effectively provides inertia. +Furthermore, in the large viscosity/small learning rate limit, our +memory time scales as \( (1-\gamma)^{-1} \approx m/(\mu \Delta t) \). +
+ +Why is momentum useful? SGD momentum helps the gradient descent +algorithm gain speed in directions with persistent but small gradients +even in the presence of stochasticity, while suppressing oscillations +in high-curvature directions. This becomes especially important in +situations where the landscape is shallow and flat in some directions +and narrow and steep in others. It has been argued that first-order +methods (with appropriate initial conditions) can perform comparable +to more expensive second order methods, especially in the context of +complex deep learning models. +
+ +These beneficial properties of momentum can sometimes become even more +pronounced by using a slight modification of the classical momentum +algorithm called Nesterov Accelerated Gradient (NAG). +
+ +In the NAG algorithm, rather than calculating the gradient at the +current parameters, \( \nabla_\theta E(\boldsymbol{\theta}_t) \), one +calculates the gradient at the expected value of the parameters given +our current momentum, \( \nabla_\theta E(\boldsymbol{\theta}_t +\gamma +\mathbf{v}_{t-1}) \). This yields the NAG update rule +
+ +$$ +\begin{align} +\mathbf{v}_{t}&=\gamma \mathbf{v}_{t-1}+\eta_{t}\nabla_\theta E(\boldsymbol{\theta}_t +\gamma \mathbf{v}_{t-1}) \nonumber \\ +\boldsymbol{\theta}_{t+1}&= \boldsymbol{\theta}_t -\mathbf{v}_{t}. +\label{_auto2} +\end{align} +$$ + +One of the major advantages of NAG is that it allows for the use of a larger learning rate than GDM for the same choice of \( \gamma \).
+ +In stochastic gradient descent, with and without momentum, we still +have to specify a schedule for tuning the learning rates \( \eta_t \) +as a function of time. As discussed in the context of Newton's +method, this presents a number of dilemmas. The learning rate is +limited by the steepest direction which can change depending on the +current position in the landscape. To circumvent this problem, ideally +our algorithm would keep track of curvature and take large steps in +shallow, flat directions and small steps in steep, narrow directions. +Second-order methods accomplish this by calculating or approximating +the Hessian and normalizing the learning rate by the +curvature. However, this is very computationally expensive for +extremely large models. Ideally, we would like to be able to +adaptively change the step size to match the landscape without paying +the steep computational price of calculating or approximating +Hessians. +
+ +Recently, a number of methods have been introduced that accomplish +this by tracking not only the gradient, but also the second moment of +the gradient. These methods include AdaGrad, AdaDelta, Root Mean Squared Propagation (RMS-Prop), and +ADAM. +
+ +In RMS prop, in addition to keeping a running average of the first +moment of the gradient, we also keep track of the second moment +denoted by \( \mathbf{s}_t=\mathbb{E}[\mathbf{g}_t^2] \). The update rule +for RMS prop is given by +
+ +$$ +\begin{align} +\mathbf{g}_t &= \nabla_\theta E(\boldsymbol{\theta}) +\label{_auto3}\\ +\mathbf{s}_t &=\beta \mathbf{s}_{t-1} +(1-\beta)\mathbf{g}_t^2 \nonumber \\ +\boldsymbol{\theta}_{t+1}&=&\boldsymbol{\theta}_t - \eta_t { \mathbf{g}_t \over \sqrt{\mathbf{s}_t +\epsilon}}, \nonumber +\end{align} +$$ + +where \( \beta \) controls the averaging time of the second moment and is +typically taken to be about \( \beta=0.9 \), \( \eta_t \) is a learning rate +typically chosen to be \( 10^{-3} \), and \( \epsilon\sim 10^{-8} \) is a +small regularization constant to prevent divergences. Multiplication +and division by vectors is understood as an element-wise operation. It +is clear from this formula that the learning rate is reduced in +directions where the norm of the gradient is consistently large. This +greatly speeds up the convergence by allowing us to use a larger +learning rate for flat directions. +
+ +A related algorithm is the ADAM optimizer. In ADAM, we keep a running +average of both the first and second moment of the gradient and use +this information to adaptively change the learning rate for different +parameters. In addition to keeping a running average of the first and +second moments of the gradient +(i.e. \( \mathbf{m}_t=\mathbb{E}[\mathbf{g}_t] \) and +\( \mathbf{s}_t=\mathbb{E}[\mathbf{g}^2_t] \), respectively), ADAM +performs an additional bias correction to account for the fact that we +are estimating the first two moments of the gradient using a running +average (denoted by the hats in the update rule below). The update +rule for ADAM is given by (where multiplication and division are once +again understood to be element-wise operations below) +
+ +$$ +\begin{align} +\mathbf{g}_t &= \nabla_\theta E(\boldsymbol{\theta}) +\label{_auto4}\\ +\mathbf{m}_t &= \beta_1 \mathbf{m}_{t-1} + (1-\beta_1) \mathbf{g}_t \nonumber \\ +\mathbf{s}_t &=\beta_2 \mathbf{s}_{t-1} +(1-\beta_2)\mathbf{g}_t^2 \nonumber \\ +\boldsymbol{\mathbf{m}}_t&={\mathbf{m}_t \over 1-\beta_1^t} \nonumber \\ +\boldsymbol{\mathbf{s}}_t &={\mathbf{s}_t \over1-\beta_2^t} \nonumber \\ +\boldsymbol{\theta}_{t+1}&=\boldsymbol{\theta}_t - \eta_t { \boldsymbol{\mathbf{m}}_t \over \sqrt{\boldsymbol{\mathbf{s}}_t} +\epsilon}, \nonumber \\ +\label{_auto5} +\end{align} +$$ + +where \( \beta_1 \) and \( \beta_2 \) set the memory lifetime of the first and +second moment and are typically taken to be \( 0.9 \) and \( 0.99 \) +respectively, and \( \eta \) and \( \epsilon \) are identical to RMSprop. +
+ +Like in RMSprop, the effective step size of a parameter depends on the +magnitude of its gradient squared. To understand this better, let us +rewrite this expression in terms of the variance +\( \boldsymbol{\sigma}_t^2 = \boldsymbol{\mathbf{s}}_t - +(\boldsymbol{\mathbf{m}}_t)^2 \). Consider a single parameter \( \theta_t \). The +update rule for this parameter is given by +
+ +$$ +\Delta \theta_{t+1}= -\eta_t { \boldsymbol{m}_t \over \sqrt{\sigma_t^2 + m_t^2 }+\epsilon}. +$$ + + +Geron's text, see chapter 11, has several interesting discussions.
+ +Automatic differentiation (AD), +also called algorithmic +differentiation or computational differentiation,is a set of +techniques to numerically evaluate the derivative of a function +specified by a computer program. AD exploits the fact that every +computer program, no matter how complicated, executes a sequence of +elementary arithmetic operations (addition, subtraction, +multiplication, division, etc.) and elementary functions (exp, log, +sin, cos, etc.). By applying the chain rule repeatedly to these +operations, derivatives of arbitrary order can be computed +automatically, accurately to working precision, and using at most a +small constant factor more arithmetic operations than the original +program. +
+ +Automatic differentiation is neither:
+ +Symbolic differentiation can lead to inefficient code and faces the +difficulty of converting a computer program into a single expression, +while numerical differentiation can introduce round-off errors in the +discretization process and cancellation +
+ +Python has tools for so-called automatic differentiation. +Consider the following example +
+$$ +f(x) = \sin\left(2\pi x + x^2\right) +$$ + +which has the following derivative
+$$ +f'(x) = \cos\left(2\pi x + x^2\right)\left(2\pi + 2x\right) +$$ + +Using autograd we have
+ + + +import autograd.numpy as np
+
+# To do elementwise differentiation:
+from autograd import elementwise_grad as egrad
+
+# To plot:
+import matplotlib.pyplot as plt
+
+
+def f(x):
+ return np.sin(2*np.pi*x + x**2)
+
+def f_grad_analytic(x):
+ return np.cos(2*np.pi*x + x**2)*(2*np.pi + 2*x)
+
+# Do the comparison:
+x = np.linspace(0,1,1000)
+
+f_grad = egrad(f)
+
+computed = f_grad(x)
+analytic = f_grad_analytic(x)
+
+plt.title('Derivative computed from Autograd compared with the analytical derivative')
+plt.plot(x,computed,label='autograd')
+plt.plot(x,analytic,label='analytic')
+
+plt.xlabel('x')
+plt.ylabel('y')
+plt.legend()
+
+plt.show()
+
+print("The max absolute difference is: %g"%(np.max(np.abs(computed - analytic))))
+
+Here we +experiment with what kind of functions Autograd is capable +of finding the gradient of. The following Python functions are just +meant to illustrate what Autograd can do, but please feel free to +experiment with other, possibly more complicated, functions as well. +
+ + + +import autograd.numpy as np
+from autograd import grad
+
+def f1(x):
+ return x**3 + 1
+
+f1_grad = grad(f1)
+
+# Remember to send in float as argument to the computed gradient from Autograd!
+a = 1.0
+
+# See the evaluated gradient at a using autograd:
+print("The gradient of f1 evaluated at a = %g using autograd is: %g"%(a,f1_grad(a)))
+
+# Compare with the analytical derivative, that is f1'(x) = 3*x**2
+grad_analytical = 3*a**2
+print("The gradient of f1 evaluated at a = %g by finding the analytic expression is: %g"%(a,grad_analytical))
+
+To differentiate with respect to two (or more) arguments of a Python +function, Autograd need to know at which variable the function if +being differentiated with respect to. +
+ + + +import autograd.numpy as np
+from autograd import grad
+def f2(x1,x2):
+ return 3*x1**3 + x2*(x1 - 5) + 1
+
+# By sending the argument 0, Autograd will compute the derivative w.r.t the first variable, in this case x1
+f2_grad_x1 = grad(f2,0)
+
+# ... and differentiate w.r.t x2 by sending 1 as an additional arugment to grad
+f2_grad_x2 = grad(f2,1)
+
+x1 = 1.0
+x2 = 3.0
+
+print("Evaluating at x1 = %g, x2 = %g"%(x1,x2))
+print("-"*30)
+
+# Compare with the analytical derivatives:
+
+# Derivative of f2 w.r.t x1 is: 9*x1**2 + x2:
+f2_grad_x1_analytical = 9*x1**2 + x2
+
+# Derivative of f2 w.r.t x2 is: x1 - 5:
+f2_grad_x2_analytical = x1 - 5
+
+# See the evaluated derivations:
+print("The derivative of f2 w.r.t x1: %g"%( f2_grad_x1(x1,x2) ))
+print("The analytical derivative of f2 w.r.t x1: %g"%( f2_grad_x1(x1,x2) ))
+
+print()
+
+print("The derivative of f2 w.r.t x2: %g"%( f2_grad_x2(x1,x2) ))
+print("The analytical derivative of f2 w.r.t x2: %g"%( f2_grad_x2(x1,x2) ))
+
+Note that the grad function will not produce the true gradient of the function. The true gradient of a function with two or more variables will produce a vector, where each element is the function differentiated w.r.t a variable.
+ +import autograd.numpy as np
+from autograd import grad
+def f3(x): # Assumes x is an array of length 5 or higher
+ return 2*x[0] + 3*x[1] + 5*x[2] + 7*x[3] + 11*x[4]**2
+
+f3_grad = grad(f3)
+
+x = np.linspace(0,4,5)
+
+# Print the computed gradient:
+print("The computed gradient of f3 is: ", f3_grad(x))
+
+# The analytical gradient is: (2, 3, 5, 7, 22*x[4])
+f3_grad_analytical = np.array([2, 3, 5, 7, 22*x[4]])
+
+# Print the analytical gradient:
+print("The analytical gradient of f3 is: ", f3_grad_analytical)
+
+Note that in this case, when sending an array as input argument, the +output from Autograd is another array. This is the true gradient of +the function, as opposed to the function in the previous example. By +using arrays to represent the variables, the output from Autograd +might be easier to work with, as the output is closer to what one +could expect form a gradient-evaluting function. +
+ + +import autograd.numpy as np
+from autograd import grad
+def f4(x):
+ return np.sqrt(1+x**2) + np.exp(x) + np.sin(2*np.pi*x)
+
+f4_grad = grad(f4)
+
+x = 2.7
+
+# Print the computed derivative:
+print("The computed derivative of f4 at x = %g is: %g"%(x,f4_grad(x)))
+
+# The analytical derivative is: x/sqrt(1 + x**2) + exp(x) + cos(2*pi*x)*2*pi
+f4_grad_analytical = x/np.sqrt(1 + x**2) + np.exp(x) + np.cos(2*np.pi*x)*2*np.pi
+
+# Print the analytical gradient:
+print("The analytical gradient of f4 at x = %g is: %g"%(x,f4_grad_analytical))
+
+import autograd.numpy as np
+from autograd import grad
+def f5(x):
+ if x >= 0:
+ return x**2
+ else:
+ return -3*x + 1
+
+f5_grad = grad(f5)
+
+x = 2.7
+
+# Print the computed derivative:
+print("The computed derivative of f5 at x = %g is: %g"%(x,f5_grad(x)))
+
+import autograd.numpy as np
+from autograd import grad
+def f6_for(x):
+ val = 0
+ for i in range(10):
+ val = val + x**i
+ return val
+
+def f6_while(x):
+ val = 0
+ i = 0
+ while i < 10:
+ val = val + x**i
+ i = i + 1
+ return val
+
+f6_for_grad = grad(f6_for)
+f6_while_grad = grad(f6_while)
+
+x = 0.5
+
+# Print the computed derivaties of f6_for and f6_while
+print("The computed derivative of f6_for at x = %g is: %g"%(x,f6_for_grad(x)))
+print("The computed derivative of f6_while at x = %g is: %g"%(x,f6_while_grad(x)))
+
+import autograd.numpy as np
+from autograd import grad
+# Both of the functions are implementation of the sum: sum(x**i) for i = 0, ..., 9
+# The analytical derivative is: sum(i*x**(i-1))
+f6_grad_analytical = 0
+for i in range(10):
+ f6_grad_analytical += i*x**(i-1)
+
+print("The analytical derivative of f6 at x = %g is: %g"%(x,f6_grad_analytical))
+
+import autograd.numpy as np
+from autograd import grad
+
+def f7(n): # Assume that n is an integer
+ if n == 1 or n == 0:
+ return 1
+ else:
+ return n*f7(n-1)
+
+f7_grad = grad(f7)
+
+n = 2.0
+
+print("The computed derivative of f7 at n = %d is: %g"%(n,f7_grad(n)))
+
+# The function f7 is an implementation of the factorial of n.
+# By using the product rule, one can find that the derivative is:
+
+f7_grad_analytical = 0
+for i in range(int(n)-1):
+ tmp = 1
+ for k in range(int(n)-1):
+ if k != i:
+ tmp *= (n - k)
+ f7_grad_analytical += tmp
+
+print("The analytical derivative of f7 at n = %d is: %g"%(n,f7_grad_analytical))
+
+Note that if n is equal to zero or one, Autograd will give an error message. This message appears when the output is independent on input.
+ +Autograd supports many features. However, there are some functions that is not supported (yet) by Autograd.
+ +Assigning a value to the variable being differentiated with respect to
+ + +import autograd.numpy as np
+from autograd import grad
+def f8(x): # Assume x is an array
+ x[2] = 3
+ return x*2
+
+f8_grad = grad(f8)
+
+x = 8.4
+
+print("The derivative of f8 is:",f8_grad(x))
+
+Here, Autograd tells us that an 'ArrayBox' does not support item assignment. The item assignment is done when the program tries to assign x[2] to the value 3. However, Autograd has implemented the computation of the derivative such that this assignment is not possible.
+ +import autograd.numpy as np
+from autograd import grad
+def f9(a): # Assume a is an array with 2 elements
+ b = np.array([1.0,2.0])
+ return a.dot(b)
+
+f9_grad = grad(f9)
+
+x = np.array([1.0,0.0])
+
+print("The derivative of f9 is:",f9_grad(x))
+
+Here we are told that the 'dot' function does not belong to Autograd's +version of a Numpy array. To overcome this, an alternative syntax +which also computed the dot product can be used: +
+ + + +import autograd.numpy as np
+from autograd import grad
+def f9_alternative(x): # Assume a is an array with 2 elements
+ b = np.array([1.0,2.0])
+ return np.dot(x,b) # The same as x_1*b_1 + x_2*b_2
+
+f9_alternative_grad = grad(f9_alternative)
+
+x = np.array([3.0,0.0])
+
+print("The gradient of f9 is:",f9_alternative_grad(x))
+
+# The analytical gradient of the dot product of vectors x and b with two elements (x_1,x_2) and (b_1, b_2) respectively
+# w.r.t x is (b_1, b_2).
+
+The documentation recommends to avoid inplace operations such as
+ + +a += b
+a -= b
+a*= b
+a /=b
+
+We conclude the part on optmization by showing how we can make codes +for linear regression and logistic regression using autograd. The +first example shows results with ordinary leats squares. +
+ + + +# Using Autograd to calculate gradients for OLS
+from random import random, seed
+import numpy as np
+import autograd.numpy as np
+import matplotlib.pyplot as plt
+from autograd import grad
+
+def CostOLS(beta):
+ return (1.0/n)*np.sum((y-X @ beta)**2)
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.pinv(XT_X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+# define the gradient
+training_gradient = grad(CostOLS)
+
+for iter in range(Niterations):
+ gradients = training_gradient(theta)
+ theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+In this code we include the stochastic gradient descent approach discussed above. Note here that we specify which argument we are taking the derivative with respect to when using autograd.
+ + + +# Using Autograd to calculate gradients using SGD
+# OLS example
+from random import random, seed
+import numpy as np
+import autograd.numpy as np
+import matplotlib.pyplot as plt
+from autograd import grad
+
+# Note change from previous example
+def CostOLS(y,X,theta):
+ return np.sum((y-X @ theta)**2)
+
+n = 100
+x = 2*np.random.rand(n,1)
+y = 4+3*x+np.random.randn(n,1)
+
+X = np.c_[np.ones((n,1)), x]
+XT_X = X.T @ X
+theta_linreg = np.linalg.pinv(XT_X) @ (X.T @ y)
+print("Own inversion")
+print(theta_linreg)
+# Hessian matrix
+H = (2.0/n)* XT_X
+EigValues, EigVectors = np.linalg.eig(H)
+print(f"Eigenvalues of Hessian Matrix:{EigValues}")
+
+theta = np.random.randn(2,1)
+eta = 1.0/np.max(EigValues)
+Niterations = 1000
+
+# Note that we request the derivative wrt third argument (theta, 2 here)
+training_gradient = grad(CostOLS,2)
+
+for iter in range(Niterations):
+ gradients = (1.0/n)*training_gradient(y, X, theta)
+ theta -= eta*gradients
+print("theta from own gd")
+print(theta)
+
+xnew = np.array([[0],[2]])
+Xnew = np.c_[np.ones((2,1)), xnew]
+ypredict = Xnew.dot(theta)
+ypredict2 = Xnew.dot(theta_linreg)
+
+plt.plot(xnew, ypredict, "r-")
+plt.plot(xnew, ypredict2, "b-")
+plt.plot(x, y ,'ro')
+plt.axis([0,2.0,0, 15.0])
+plt.xlabel(r'$x$')
+plt.ylabel(r'$y$')
+plt.title(r'Random numbers ')
+plt.show()
+
+n_epochs = 50
+M = 5 #size of each minibatch
+m = int(n/M) #number of minibatches
+t0, t1 = 5, 50
+def learning_schedule(t):
+ return t0/(t+t1)
+
+theta = np.random.randn(2,1)
+
+for epoch in range(n_epochs):
+# Can you figure out a better way of setting up the contributions to each batch?
+ for i in range(m):
+ random_index = M*np.random.randint(m)
+ xi = X[random_index:random_index+M]
+ yi = y[random_index:random_index+M]
+ gradients = (1.0/M)*training_gradient(yi, xi, theta)
+ eta = learning_schedule(epoch*m+i)
+ theta = theta - eta*gradients
+print("theta from own sdg")
+print(theta)
+
+import autograd.numpy as np
+from autograd import grad
+
+def sigmoid(x):
+ return 0.5 * (np.tanh(x / 2.) + 1)
+
+def logistic_predictions(weights, inputs):
+ # Outputs probability of a label being true according to logistic model.
+ return sigmoid(np.dot(inputs, weights))
+
+def training_loss(weights):
+ # Training loss is the negative log-likelihood of the training labels.
+ preds = logistic_predictions(weights, inputs)
+ label_probabilities = preds * targets + (1 - preds) * (1 - targets)
+ return -np.sum(np.log(label_probabilities))
+
+# Build a toy dataset.
+inputs = np.array([[0.52, 1.12, 0.77],
+ [0.88, -1.08, 0.15],
+ [0.52, 0.06, -1.30],
+ [0.74, -2.49, 1.39]])
+targets = np.array([True, True, False, True])
+
+# Define a function that returns gradients of training loss using Autograd.
+training_gradient_fun = grad(training_loss)
+
+# Optimize weights using gradient descent.
+weights = np.array([0.0, 0.0, 0.0])
+print("Initial loss:", training_loss(weights))
+for i in range(100):
+ weights -= training_gradient_fun(weights) * 0.01
+
+print("Trained loss:", training_loss(weights))
+
+