Source code for jaxopt._src.mirror_descent

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"""Implementation of mirror descent in JAX."""

import inspect

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

from dataclasses import dataclass

import jax
import jax.numpy as jnp

from jaxopt._src import base
from jaxopt._src.tree_util import tree_add_scalar_mul
from jaxopt._src.tree_util import tree_l2_norm
from jaxopt._src.tree_util import tree_sub


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

  num_fun_eval: int = 0
  num_grad_eval: int = 0
  num_proj_eval: int = 0


[docs]@dataclass(eq=False) class MirrorDescent(base.IterativeSolver): """Mirror descent solver. This solver minimizes: argmin_x fun(x, *args, **kwargs), where fun is smooth with convex domain. The stopping criterion is: ||x - projection_grad(x, g, 1.0, hyperparams_proj)||_2 <= tol, where ``g = grad(fun)(x, *args, **kwargs)``. Attributes: fun: a smooth function of the form ``fun(x, *args, **kwargs)``. projection_grad: a function of the form ``projection_grad(x, g, stepsize, hyperparams_proj)`` representing the mirror descent update for iterate x and gradient g. Optionally, it can be instantiated from a projection and mapping function (mirror map) using the method `make_projection_grad`. stepsize: a stepsize to use, or a callable specifying the stepsize to use at each iteration. maxiter: maximum number of mirror descent iterations. tol: tolerance to use. verbose: whether to print error on every iteration or not. verbose=True will automatically disable jit. implicit_diff: whether to enable implicit diff or autodiff of unrolled iterations. implicit_diff_solve: the linear system solver to use. has_aux: whether function fun outputs one (False) or more values (True). When True it will be assumed by default that fun(...)[0] is the objective. jit: whether to JIT-compile the optimization loop (default: "auto"). unroll: whether to unroll the optimization loop (default: "auto"). References: Nemirovskij, Arkadij Semenovič, and David Borisovich Yudin. "Problem complexity and method efficiency in optimization." J. Wiley @ Sons, New York(1983). """ fun: Callable projection_grad: Optional[Callable] stepsize: Union[float, Callable] maxiter: int = 500 tol: float = 1e-2 verbose: int = 0 implicit_diff: bool = True implicit_diff_solve: Optional[Callable] = None has_aux: bool = False jit: base.AutoOrBoolean = "auto" unroll: base.AutoOrBoolean = "auto"
[docs] @staticmethod def make_projection_grad(projection: Callable, mapping_fun: Callable) -> Callable: """Instantiates `projection_grad` argument from projection and mirror map. Args: projection: projection operator of the form ``projection(x, hyperparams_proj)``, typically ``argmin_z D_{gen_fun}(z, mapping_fun^{-1}(y))``. mapping_fun: the mirror map, typically of the form ``mapping_fun = grad(gen_fun)``, where `gen_fun` is the generating function of the Bregman divergence. Returns: A function `projection_grad(x, g, stepsize, hyperparams_proj)` representing the mirror descent update for iterate x and gradient g. """ def projection_grad(x, x_fun_grad, stepsize, hyperparams_proj): update = tree_add_scalar_mul(mapping_fun(x), -stepsize, x_fun_grad) return projection(update, hyperparams_proj) return projection_grad
[docs] def init_state(self, init_params: Any, hyperparams_proj: Any, *args, **kwargs) -> base.OptStep: """Initialize the solver state. Args: init_params: pytree containing the initial parameters. Returns: state """ del hyperparams_proj # Not used. if self.has_aux: _, aux = self.fun(init_params, *args, **kwargs) num_fun_eval = jnp.array(1, base.NUM_EVAL_DTYPE) else: aux = None num_fun_eval = jnp.array(0, base.NUM_EVAL_DTYPE) return MirrorDescentState(iter_num=jnp.asarray(0), error=jnp.asarray(jnp.inf), aux=aux, num_fun_eval=num_fun_eval, num_grad_eval=jnp.array(0, base.NUM_EVAL_DTYPE), num_proj_eval=jnp.array(0, base.NUM_EVAL_DTYPE))
def _error(self, x, next_x, stepsize): diff_x = tree_sub(next_x, x) diff_norm = tree_l2_norm(diff_x) return diff_norm / stepsize def _stepsize(self, iter_num): if isinstance(self.stepsize, Callable): return self.stepsize(iter_num) return self.stepsize def _update(self, x, state, hyperparams_proj, args, kwargs): iter_num = state.iter_num stepsize = self._stepsize(iter_num) x_fun_grad, aux = self._grad_with_aux(x, *args, **kwargs) next_x = self.projection_grad(x, x_fun_grad, stepsize, hyperparams_proj) error = self._error(x, next_x, stepsize) next_state = MirrorDescentState( iter_num=iter_num + 1, error=error, aux=aux, num_fun_eval=state.num_fun_eval + 1, num_grad_eval=state.num_grad_eval + 1, num_proj_eval=state.num_proj_eval + 1,) return base.OptStep(params=next_x, state=next_state)
[docs] def update(self, params: Any, state: NamedTuple, hyperparams_proj: Any, *args, **kwargs) -> base.OptStep: """Performs one iteration of mirror descent. Args: params: pytree containing the parameters. state: named tuple containing the solver state. hyperparams_proj: pytree containing hyperparameters of projection. *args: additional positional arguments to be passed to ``fun``. **kwargs: additional keyword arguments to be passed to ``fun``. Returns: (params, state) """ return self._update(params, state, hyperparams_proj, args, kwargs)
[docs] def run(self, init_params: Any, hyperparams_proj: Optional[Any] = None, *args, **kwargs) -> base.OptStep: return super().run(init_params, hyperparams_proj, *args, **kwargs)
def _fixed_point_fun(self, sol, hyperparams_proj, args, kwargs): sol_fun_grad, _ = self._grad_with_aux(sol, *args, **kwargs) return self.projection_grad(sol, sol_fun_grad, 1.0, hyperparams_proj)
[docs] def optimality_fun(self, sol, hyperparams_proj, *args, **kwargs): """Optimality function mapping compatible with ``@custom_root``.""" fp = self._fixed_point_fun(sol, hyperparams_proj, args, kwargs) return tree_sub(fp, sol)
def __post_init__(self): if self.has_aux: fun_with_aux = self.fun else: fun_with_aux = lambda *a, **kw: (self.fun(*a, **kw), None) self._grad_with_aux = jax.grad(fun_with_aux, has_aux=True) # Sets up reference signature. fun = getattr(self.fun, "subfun", self.fun) signature = inspect.signature(fun) parameters = list(signature.parameters.values()) new_param = inspect.Parameter(name="hyperparams_proj", kind=inspect.Parameter.POSITIONAL_OR_KEYWORD) parameters.insert(1, new_param) self.reference_signature = inspect.Signature(parameters)