Source code for torch.optim.lbfgs
# mypy: allow-untyped-defs
from typing import Optional
import torch
from .optimizer import Optimizer, ParamsT
__all__ = ["LBFGS"]
def _cubic_interpolate(x1, f1, g1, x2, f2, g2, bounds=None):
# ported from https://github.com/torch/optim/blob/master/polyinterp.lua
# Compute bounds of interpolation area
if bounds is not None:
xmin_bound, xmax_bound = bounds
else:
xmin_bound, xmax_bound = (x1, x2) if x1 <= x2 else (x2, x1)
# Code for most common case: cubic interpolation of 2 points
# w/ function and derivative values for both
# Solution in this case (where x2 is the farthest point):
# d1 = g1 + g2 - 3*(f1-f2)/(x1-x2);
# d2 = sqrt(d1^2 - g1*g2);
# min_pos = x2 - (x2 - x1)*((g2 + d2 - d1)/(g2 - g1 + 2*d2));
# t_new = min(max(min_pos,xmin_bound),xmax_bound);
d1 = g1 + g2 - 3 * (f1 - f2) / (x1 - x2)
d2_square = d1**2 - g1 * g2
if d2_square >= 0:
d2 = d2_square.sqrt()
if x1 <= x2:
min_pos = x2 - (x2 - x1) * ((g2 + d2 - d1) / (g2 - g1 + 2 * d2))
else:
min_pos = x1 - (x1 - x2) * ((g1 + d2 - d1) / (g1 - g2 + 2 * d2))
return min(max(min_pos, xmin_bound), xmax_bound)
else:
return (xmin_bound + xmax_bound) / 2.0
def _strong_wolfe(
obj_func, x, t, d, f, g, gtd, c1=1e-4, c2=0.9, tolerance_change=1e-9, max_ls=25
):
# ported from https://github.com/torch/optim/blob/master/lswolfe.lua
d_norm = d.abs().max()
g = g.clone(memory_format=torch.contiguous_format)
# evaluate objective and gradient using initial step
f_new, g_new = obj_func(x, t, d)
ls_func_evals = 1
gtd_new = g_new.dot(d)
# bracket an interval containing a point satisfying the Wolfe criteria
t_prev, f_prev, g_prev, gtd_prev = 0, f, g, gtd
done = False
ls_iter = 0
while ls_iter < max_ls:
# check conditions
if f_new > (f + c1 * t * gtd) or (ls_iter > 1 and f_new >= f_prev):
bracket = [t_prev, t]
bracket_f = [f_prev, f_new]
bracket_g = [g_prev, g_new.clone(memory_format=torch.contiguous_format)]
bracket_gtd = [gtd_prev, gtd_new]
break
if abs(gtd_new) <= -c2 * gtd:
bracket = [t]
bracket_f = [f_new]
bracket_g = [g_new]
done = True
break
if gtd_new >= 0:
bracket = [t_prev, t]
bracket_f = [f_prev, f_new]
bracket_g = [g_prev, g_new.clone(memory_format=torch.contiguous_format)]
bracket_gtd = [gtd_prev, gtd_new]
break
# interpolate
min_step = t + 0.01 * (t - t_prev)
max_step = t * 10
tmp = t
t = _cubic_interpolate(
t_prev, f_prev, gtd_prev, t, f_new, gtd_new, bounds=(min_step, max_step)
)
# next step
t_prev = tmp
f_prev = f_new
g_prev = g_new.clone(memory_format=torch.contiguous_format)
gtd_prev = gtd_new
f_new, g_new = obj_func(x, t, d)
ls_func_evals += 1
gtd_new = g_new.dot(d)
ls_iter += 1
# reached max number of iterations?
if ls_iter == max_ls:
bracket = [0, t]
bracket_f = [f, f_new]
bracket_g = [g, g_new]
# zoom phase: we now have a point satisfying the criteria, or
# a bracket around it. We refine the bracket until we find the
# exact point satisfying the criteria
insuf_progress = False
# find high and low points in bracket
low_pos, high_pos = (0, 1) if bracket_f[0] <= bracket_f[-1] else (1, 0) # type: ignore[possibly-undefined]
while not done and ls_iter < max_ls:
# line-search bracket is so small
if abs(bracket[1] - bracket[0]) * d_norm < tolerance_change: # type: ignore[possibly-undefined]
break
# compute new trial value
t = _cubic_interpolate(
bracket[0],
bracket_f[0],
bracket_gtd[0], # type: ignore[possibly-undefined]
bracket[1],
bracket_f[1],
bracket_gtd[1],
)
# test that we are making sufficient progress:
# in case `t` is so close to boundary, we mark that we are making
# insufficient progress, and if
# + we have made insufficient progress in the last step, or
# + `t` is at one of the boundary,
# we will move `t` to a position which is `0.1 * len(bracket)`
# away from the nearest boundary point.
eps = 0.1 * (max(bracket) - min(bracket))
if min(max(bracket) - t, t - min(bracket)) < eps:
# interpolation close to boundary
if insuf_progress or t >= max(bracket) or t <= min(bracket):
# evaluate at 0.1 away from boundary
if abs(t - max(bracket)) < abs(t - min(bracket)):
t = max(bracket) - eps
else:
t = min(bracket) + eps
insuf_progress = False
else:
insuf_progress = True
else:
insuf_progress = False
# Evaluate new point
f_new, g_new = obj_func(x, t, d)
ls_func_evals += 1
gtd_new = g_new.dot(d)
ls_iter += 1
if f_new > (f + c1 * t * gtd) or f_new >= bracket_f[low_pos]:
# Armijo condition not satisfied or not lower than lowest point
bracket[high_pos] = t
bracket_f[high_pos] = f_new
bracket_g[high_pos] = g_new.clone(memory_format=torch.contiguous_format) # type: ignore[possibly-undefined]
bracket_gtd[high_pos] = gtd_new
low_pos, high_pos = (0, 1) if bracket_f[0] <= bracket_f[1] else (1, 0)
else:
if abs(gtd_new) <= -c2 * gtd:
# Wolfe conditions satisfied
done = True
elif gtd_new * (bracket[high_pos] - bracket[low_pos]) >= 0:
# old high becomes new low
bracket[high_pos] = bracket[low_pos]
bracket_f[high_pos] = bracket_f[low_pos]
bracket_g[high_pos] = bracket_g[low_pos] # type: ignore[possibly-undefined]
bracket_gtd[high_pos] = bracket_gtd[low_pos]
# new point becomes new low
bracket[low_pos] = t
bracket_f[low_pos] = f_new
bracket_g[low_pos] = g_new.clone(memory_format=torch.contiguous_format) # type: ignore[possibly-undefined]
bracket_gtd[low_pos] = gtd_new
# return stuff
t = bracket[low_pos] # type: ignore[possibly-undefined]
f_new = bracket_f[low_pos]
g_new = bracket_g[low_pos] # type: ignore[possibly-undefined]
return f_new, g_new, t, ls_func_evals
[docs]class LBFGS(Optimizer):
"""Implements L-BFGS algorithm.
Heavily inspired by `minFunc
<https://www.cs.ubc.ca/~schmidtm/Software/minFunc.html>`_.
.. warning::
This optimizer doesn't support per-parameter options and parameter
groups (there can be only one).
.. warning::
Right now all parameters have to be on a single device. This will be
improved in the future.
.. note::
This is a very memory intensive optimizer (it requires additional
``param_bytes * (history_size + 1)`` bytes). If it doesn't fit in memory
try reducing the history size, or use a different algorithm.
Args:
params (iterable): iterable of parameters to optimize. Parameters must be real.
lr (float): learning rate (default: 1)
max_iter (int): maximal number of iterations per optimization step
(default: 20)
max_eval (int): maximal number of function evaluations per optimization
step (default: max_iter * 1.25).
tolerance_grad (float): termination tolerance on first order optimality
(default: 1e-7).
tolerance_change (float): termination tolerance on function
value/parameter changes (default: 1e-9).
history_size (int): update history size (default: 100).
line_search_fn (str): either 'strong_wolfe' or None (default: None).
"""
def __init__(
self,
params: ParamsT,
lr: float = 1,
max_iter: int = 20,
max_eval: Optional[int] = None,
tolerance_grad: float = 1e-7,
tolerance_change: float = 1e-9,
history_size: int = 100,
line_search_fn: Optional[str] = None,
):
if max_eval is None:
max_eval = max_iter * 5 // 4
defaults = dict(
lr=lr,
max_iter=max_iter,
max_eval=max_eval,
tolerance_grad=tolerance_grad,
tolerance_change=tolerance_change,
history_size=history_size,
line_search_fn=line_search_fn,
)
super().__init__(params, defaults)
if len(self.param_groups) != 1:
raise ValueError(
"LBFGS doesn't support per-parameter options " "(parameter groups)"
)
self._params = self.param_groups[0]["params"]
self._numel_cache = None
def _numel(self):
if self._numel_cache is None:
self._numel_cache = sum(
2 * p.numel() if torch.is_complex(p) else p.numel()
for p in self._params
)
return self._numel_cache
def _gather_flat_grad(self):
views = []
for p in self._params:
if p.grad is None:
view = p.new(p.numel()).zero_()
elif p.grad.is_sparse:
view = p.grad.to_dense().view(-1)
else:
view = p.grad.view(-1)
if torch.is_complex(view):
view = torch.view_as_real(view).view(-1)
views.append(view)
return torch.cat(views, 0)
def _add_grad(self, step_size, update):
offset = 0
for p in self._params:
if torch.is_complex(p):
p = torch.view_as_real(p)
numel = p.numel()
# view as to avoid deprecated pointwise semantics
p.add_(update[offset : offset + numel].view_as(p), alpha=step_size)
offset += numel
assert offset == self._numel()
def _clone_param(self):
return [p.clone(memory_format=torch.contiguous_format) for p in self._params]
def _set_param(self, params_data):
for p, pdata in zip(self._params, params_data):
p.copy_(pdata)
def _directional_evaluate(self, closure, x, t, d):
self._add_grad(t, d)
loss = float(closure())
flat_grad = self._gather_flat_grad()
self._set_param(x)
return loss, flat_grad
[docs] @torch.no_grad()
def step(self, closure):
"""Perform a single optimization step.
Args:
closure (Callable): A closure that reevaluates the model
and returns the loss.
"""
assert len(self.param_groups) == 1
# Make sure the closure is always called with grad enabled
closure = torch.enable_grad()(closure)
group = self.param_groups[0]
lr = group["lr"]
max_iter = group["max_iter"]
max_eval = group["max_eval"]
tolerance_grad = group["tolerance_grad"]
tolerance_change = group["tolerance_change"]
line_search_fn = group["line_search_fn"]
history_size = group["history_size"]
# NOTE: LBFGS has only global state, but we register it as state for
# the first param, because this helps with casting in load_state_dict
state = self.state[self._params[0]]
state.setdefault("func_evals", 0)
state.setdefault("n_iter", 0)
# evaluate initial f(x) and df/dx
orig_loss = closure()
loss = float(orig_loss)
current_evals = 1
state["func_evals"] += 1
flat_grad = self._gather_flat_grad()
opt_cond = flat_grad.abs().max() <= tolerance_grad
# optimal condition
if opt_cond:
return orig_loss
# tensors cached in state (for tracing)
d = state.get("d")
t = state.get("t")
old_dirs = state.get("old_dirs")
old_stps = state.get("old_stps")
ro = state.get("ro")
H_diag = state.get("H_diag")
prev_flat_grad = state.get("prev_flat_grad")
prev_loss = state.get("prev_loss")
n_iter = 0
# optimize for a max of max_iter iterations
while n_iter < max_iter:
# keep track of nb of iterations
n_iter += 1
state["n_iter"] += 1
############################################################
# compute gradient descent direction
############################################################
if state["n_iter"] == 1:
d = flat_grad.neg()
old_dirs = []
old_stps = []
ro = []
H_diag = 1
else:
# do lbfgs update (update memory)
y = flat_grad.sub(prev_flat_grad)
s = d.mul(t)
ys = y.dot(s) # y*s
if ys > 1e-10:
# updating memory
if len(old_dirs) == history_size:
# shift history by one (limited-memory)
old_dirs.pop(0)
old_stps.pop(0)
ro.pop(0)
# store new direction/step
old_dirs.append(y)
old_stps.append(s)
ro.append(1.0 / ys)
# update scale of initial Hessian approximation
H_diag = ys / y.dot(y) # (y*y)
# compute the approximate (L-BFGS) inverse Hessian
# multiplied by the gradient
num_old = len(old_dirs)
if "al" not in state:
state["al"] = [None] * history_size
al = state["al"]
# iteration in L-BFGS loop collapsed to use just one buffer
q = flat_grad.neg()
for i in range(num_old - 1, -1, -1):
al[i] = old_stps[i].dot(q) * ro[i]
q.add_(old_dirs[i], alpha=-al[i])
# multiply by initial Hessian
# r/d is the final direction
d = r = torch.mul(q, H_diag)
for i in range(num_old):
be_i = old_dirs[i].dot(r) * ro[i]
r.add_(old_stps[i], alpha=al[i] - be_i)
if prev_flat_grad is None:
prev_flat_grad = flat_grad.clone(memory_format=torch.contiguous_format)
else:
prev_flat_grad.copy_(flat_grad)
prev_loss = loss
############################################################
# compute step length
############################################################
# reset initial guess for step size
if state["n_iter"] == 1:
t = min(1.0, 1.0 / flat_grad.abs().sum()) * lr
else:
t = lr
# directional derivative
gtd = flat_grad.dot(d) # g * d
# directional derivative is below tolerance
if gtd > -tolerance_change:
break
# optional line search: user function
ls_func_evals = 0
if line_search_fn is not None:
# perform line search, using user function
if line_search_fn != "strong_wolfe":
raise RuntimeError("only 'strong_wolfe' is supported")
else:
x_init = self._clone_param()
def obj_func(x, t, d):
return self._directional_evaluate(closure, x, t, d)
loss, flat_grad, t, ls_func_evals = _strong_wolfe(
obj_func, x_init, t, d, loss, flat_grad, gtd
)
self._add_grad(t, d)
opt_cond = flat_grad.abs().max() <= tolerance_grad
else:
# no line search, simply move with fixed-step
self._add_grad(t, d)
if n_iter != max_iter:
# re-evaluate function only if not in last iteration
# the reason we do this: in a stochastic setting,
# no use to re-evaluate that function here
with torch.enable_grad():
loss = float(closure())
flat_grad = self._gather_flat_grad()
opt_cond = flat_grad.abs().max() <= tolerance_grad
ls_func_evals = 1
# update func eval
current_evals += ls_func_evals
state["func_evals"] += ls_func_evals
############################################################
# check conditions
############################################################
if n_iter == max_iter:
break
if current_evals >= max_eval:
break
# optimal condition
if opt_cond:
break
# lack of progress
if d.mul(t).abs().max() <= tolerance_change:
break
if abs(loss - prev_loss) < tolerance_change:
break
state["d"] = d
state["t"] = t
state["old_dirs"] = old_dirs
state["old_stps"] = old_stps
state["ro"] = ro
state["H_diag"] = H_diag
state["prev_flat_grad"] = prev_flat_grad
state["prev_loss"] = prev_loss
return orig_loss
