Source code for jaxopt._src.gauss_newton

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"""Gauss-Newton algorithm in JAX."""

from typing import Any
from typing import Callable
from typing import NamedTuple
from typing import Optional

from dataclasses import dataclass

import jax
import jax.numpy as jnp

from jaxopt._src import base
from jaxopt._src import linear_solve
from jaxopt.tree_util import tree_l2_norm, tree_sub


class GaussNewtonState(NamedTuple):
  """Named tuple containing state information."""
  iter_num: int
  residual: Any
  delta: Any
  error: float
  gradient: Any
  aux: Optional[Any] = None


[docs]@dataclass(eq=False) class GaussNewton(base.IterativeSolver): """Gauss-Newton nonlinear least-squares solver. Given the residual function ``f(x): R^n -> R^m``, where ``f(x) = residual_fun(x, *args, **kwargs)``, ``GaussNewton`` finds a local minimum of the cost function ``argmin_x 0.5 * sum(f(x) ** 2)``. Attributes: residual_fun: a smooth function of the form ``residual_fun(x, *args, **kwargs)``. maxiter: maximum number of iterations. tol: tolerance. implicit_diff: whether to enable implicit diff or autodiff of unrolled iterations. implicit_diff_solve: the linear system solver to use. verbose: whether to print error on every iteration or not. Warning: verbose=True will automatically disable jit. jit: whether to JIT-compile the bisection loop (default: "auto"). unroll: whether to unroll the bisection loop (default: "auto"). """ residual_fun: Callable maxiter: int = 30 tol: float = 1e-5 verbose: bool = False implicit_diff: bool = True implicit_diff_solve: Optional[Callable] = None has_aux: bool = False jit: base.AutoOrBoolean = "auto" unroll: base.AutoOrBoolean = "auto"
[docs] def init_state(self, init_params: Any, *args, **kwargs) -> GaussNewtonState: """Initialize the solver state. Args: init_params: pytree containing the initial parameters. *args: additional positional arguments to be passed to ``residual_fun``. **kwargs: additional keyword arguments to be passed to ``residual_fun``. Returns: state """ # Compute actual values of state variables at init_param residual, aux = self._fun_with_aux(init_params, *args, **kwargs) matvec = lambda v: self._jtj_op(init_params, v, *args, **kwargs) gradient = self._jt_op(init_params, residual, *args, **kwargs) return GaussNewtonState(iter_num=jnp.asarray(0), error=jnp.asarray(jnp.inf), residual=residual, delta=init_params, gradient=gradient, aux=aux)
[docs] def update(self, params, state: NamedTuple, *args, **kwargs) -> base.OptStep: """Performs one iteration of the least-squares solver. Args: params: pytree containing the parameters. state: named tuple containing the solver state. Returns: (params, state) """ residual, aux = self._fun_with_aux(params, *args, **kwargs) matvec = lambda v: self._jtj_op(params, v, *args, **kwargs) gradient = self._jt_op(params, residual, *args, **kwargs) delta_params = linear_solve.solve_cg(matvec, gradient) params = tree_sub(params, delta_params) state = GaussNewtonState(iter_num=state.iter_num + 1, error=tree_l2_norm(delta_params), residual=residual, delta=delta_params, gradient=gradient, aux=aux) return base.OptStep(params=params, state=state)
def __post_init__(self): if self.has_aux: self._fun = lambda *a, **kw: self.residual_fun(*a, **kw)[0] self._fun_with_aux = self.fun else: self._fun = self.residual_fun self._fun_with_aux = lambda *a, **kw: (self.residual_fun(*a, **kw), None) # We need this definition in the base solver run function def optimality_fun(params, *args, **kwargs): residual = self._fun(params, *args, **kwargs) return self._jt_op(params, residual, *args, **kwargs) self.optimality_fun = optimality_fun def _jtj_op(self, params, vec, *args, **kwargs): """Product with J.T J""" fun_with_args = lambda p: self._fun(p, *args, **kwargs) return jax.vjp(fun_with_args, params)[1]( jax.jvp(fun_with_args, (params,), (vec,))[1])[0] def _jt_op(self, params, residual, *args, **kwargs): """Product with J.T""" fun_with_args = lambda p: self._fun(p, *args, **kwargs) return jax.vjp(fun_with_args, params)[1](residual)[0]