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Optimisers

Consider a simple linear regression. We create some dummy data, calculate a loss, and backpropagate to calculate gradients for the parameters W and b.

using Flux

W = rand(2, 5)
b = rand(2)

predict(x) = (W * x) .+ b
loss(x, y) = sum((predict(x) .- y).^2)

x, y = rand(5), rand(2) # Dummy data
l = loss(x, y) # ~ 3

θ = Params([W, b])
grads = gradient(() -> loss(x, y), θ)

We want to update each parameter, using the gradient, in order to improve (reduce) the loss. Here's one way to do that:

using Flux.Optimise: update!

η = 0.1 # Learning Rate
for p in (W, b)
  update!(p, -η * grads[p])
end

Running this will alter the parameters W and b and our loss should go down. Flux provides a more general way to do optimiser updates like this.

opt = Descent(0.1) # Gradient descent with learning rate 0.1

for p in (W, b)
  update!(opt, p, grads[p])
end

An optimiser update! accepts a parameter and a gradient, and updates the parameter according to the chosen rule. We can also pass opt to our training loop, which will update all parameters of the model in a loop. However, we can now easily replace Descent with a more advanced optimiser such as ADAM.

Optimiser Reference

All optimisers return an object that, when passed to train!, will update the parameters passed to it.

Flux.Optimise.update!
Descent
Momentum
Nesterov
RMSProp
ADAM
AdaMax
ADAGrad
ADADelta
AMSGrad
NADAM
ADAMW

Optimiser Interface

Flux's optimsers are built around a struct that holds all the optimiser parameters along with a definition of how to apply the update rule associated with it. We do this via the apply! function which takes the optimiser as the first argument followed by the parameter and its corresponding gradient.

In this manner Flux also allows one to create custom optimisers to be used seamlessly. Let's work this with a simple example.

mutable struct Momentum
  eta
  rho
  velocity
end

Momentum(eta::Real, rho::Real) = Momentum(eta, rho, IdDict())

The Momentum type will act as our optimiser in this case. Notice that we have added all the parameters as fields, along with the velocity which we will use as our state dictionary. Each parameter in our models will get an entry in there. We can now define the rule applied when this optimiser is invoked.

function apply!(o::Momentum, x, Δ)
  η, ρ = o.eta, o.rho
  v = get!(o.velocity, x, zero(x))::typeof(x)
  @. v = ρ * v - η * Δ
  @. Δ = -v
end

This is the basic definition of a Momentum update rule given by:

v = ρ * v - η * Δ
w = w - v

The apply! defines the update rules for an optimiser opt, given the parameters and gradients. It returns the updated gradients. Here, every parameter x is retrieved from the running state v and subsequently updates the state of the optimiser.

Flux internally calls on this function via the update! function. It shares the API with apply! but ensures that multiple parameters are handled gracefully.

Composing Optimisers

Flux defines a special kind of optimiser called simply as Optimiser which takes in a arbitrary optimisers as input. Its behaviour is similar to the usual optimisers, but differs in that it acts by calling the optimisers listed in it sequentially. Each optimiser produces a modified gradient that will be fed into the next, and the resultant update will be applied to the parameter as usual. A classic use case is where adding decays is desirable. Flux defines some basic decays including ExpDecay, InvDecay etc.

opt = Optimiser(ExpDecay(0.001, 0.1, 1000, 1e-4), Descent())

Here we apply exponential decay to the Descent optimser. The defaults of ExpDecay say that its learning rate will be decayed every 1000 steps. It is then applied like any optimser.

w = randn(10, 10)
w1 = randn(10,10)
ps = Params([w, w1])

loss(x) = Flux.mse(w * x, w1 * x)

loss(rand(10)) # around 9

for t = 1:10^5
  θ = Params([w, w1])
  θ̄ = gradient(() -> loss(rand(10)), θ)
  Flux.Optimise.update!(opt, θ, θ̄)
end

loss(rand(10)) # around 0.9

In this manner it is possible to compose optimisers for some added flexibility.

Decays

Similar to optimisers, Flux also defines some simple decays that can be used in conjunction with other optimisers, or standalone.

ExpDecay
InvDecay
WeightDecay

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