Source code for jaxopt._src.proximal_gradient

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"""Implementation of proximal gradient descent in JAX."""

from functools import partial
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 import loop
from jaxopt._src.prox import prox_none
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
from jaxopt._src.tree_util import tree_vdot
from jaxopt._src.tree_util import tree_single_dtype


def fista_line_search(
  fun,
  prox_grad,
  jit,
  unroll,
  maxls,
  x,
  x_fun_val,
  x_fun_grad,
  stepsize,
  decrease_factor,
  hyperparams_prox,
  args,
  kwargs):
  # epsilon of current dtype for robust checking of
  # sufficient decrease condition
  eps = jnp.finfo(x_fun_val.dtype).eps

  def cond_fun(pair):
    next_x, stepsize = pair
    diff_x = tree_sub(next_x, x)
    sqdist = tree_l2_norm(diff_x, squared=True)
    # The expression below checks the sufficient decrease condition
    # f(next_x) < f(x) + dot(grad_f(x), diff_x) + (0.5/stepsize) ||diff_x||^2
    # where the terms have been reordered for numerical stability.
    fun_decrease = stepsize * (fun(next_x, *args, **kwargs) - x_fun_val)
    condition = stepsize * tree_vdot(diff_x, x_fun_grad) + 0.5 * sqdist
    return fun_decrease > condition + eps

  def body_fun(pair):
    stepsize = pair[1]
    next_stepsize = stepsize * decrease_factor
    next_x = prox_grad(x, x_fun_grad, next_stepsize, hyperparams_prox)
    return next_x, next_stepsize

  init_x = prox_grad(x, x_fun_grad, stepsize, hyperparams_prox)
  init_val = (init_x, stepsize)

  return loop.while_loop(cond_fun=cond_fun, body_fun=body_fun,
                         init_val=init_val, maxiter=maxls,
                         unroll=unroll, jit=jit)


class ProxGradState(NamedTuple):
  """Named tuple containing state information."""
  iter_num: int
  stepsize: float
  error: float
  aux: Optional[Any] = None
  velocity: Optional[Any] = None
  t: float = 1.0


[docs]@dataclass(eq=False) class ProximalGradient(base.IterativeSolver): """Proximal gradient solver. This solver minimizes:: objective(params, hyperparams_prox, *args, **kwargs) = fun(params, *args, **kwargs) + non_smooth(params, hyperparams_prox) Attributes: fun: a smooth function of the form ``fun(x, *args, **kwargs)``. prox: proximity operator associated with the function ``non_smooth``. It should be of the form ``prox(params, hyperparams_prox, scale=1.0)``. See ``jaxopt.prox`` for examples. value_and_grad: whether ``fun`` just returns the value (False) or both the value and gradient (True). has_aux: whether ``fun`` outputs auxiliary data or not. If ``has_aux`` is False, ``fun`` is expected to be scalar-valued. If ``has_aux`` is True, then we have one of the following two cases. If ``value_and_grad`` is False, the output should be ``value, aux = fun(...)``. If ``value_and_grad == True``, the output should be ``(value, aux), grad = fun(...)``. At each iteration of the algorithm, the auxiliary outputs are stored in ``state.aux``. stepsize: a stepsize to use (if <= 0, use backtracking line search), or a callable specifying the **positive** stepsize to use at each iteration. maxiter: maximum number of proximal gradient descent iterations. maxls: maximum number of iterations to use in the line search. tol: tolerance to use. acceleration: whether to use acceleration (also known as FISTA) or not. decrease_factor: factor by which to reduce the stepsize during line search. verbose: whether to print error on every iteration or not. Warning: 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. jit: whether to JIT-compile the optimization loop (default: "auto"). unroll: whether to unroll the optimization loop (default: "auto"). References: Beck, Amir, and Marc Teboulle. "A fast iterative shrinkage-thresholding algorithm for linear inverse problems." SIAM imaging sciences (2009) Nesterov, Yu. "Gradient methods for minimizing composite functions." Mathematical Programming (2013). """ fun: Callable prox: Callable = prox_none value_and_grad: bool = False has_aux: bool = False stepsize: Union[float, Callable] = 0.0 maxiter: int = 500 maxls: int = 15 tol: float = 1e-3 acceleration: bool = True decrease_factor: float = 0.5 verbose: int = 0 implicit_diff: bool = True implicit_diff_solve: Optional[Callable] = None jit: base.AutoOrBoolean = "auto" unroll: base.AutoOrBoolean = "auto"
[docs] def init_state(self, init_params: Any, hyperparams_prox: Any, *args, **kwargs) -> ProxGradState: """Initialize the solver state. Args: init_params: pytree containing the initial parameters. hyperparams_prox: pytree containing hyperparameters of prox. *args: additional positional arguments to be passed to ``fun``. **kwargs: additional keyword arguments to be passed to ``fun``. Returns: state """ del hyperparams_prox # Not used. if self.has_aux: _, aux = self.fun(init_params, *args, **kwargs) else: aux = None dtype = tree_single_dtype(init_params) if self.acceleration: state = ProxGradState(iter_num=jnp.asarray(0), velocity=init_params, t=jnp.asarray(1.0), stepsize=jnp.asarray(1.0, dtype=dtype), error=jnp.asarray(jnp.inf, dtype=dtype), aux=aux) else: state = ProxGradState(iter_num=jnp.asarray(0), stepsize=jnp.asarray(1.0, dtype=dtype), error=jnp.asarray(jnp.inf, dtype=dtype), aux=aux) return state
def _error(self, diff_x, stepsize): diff_norm = tree_l2_norm(diff_x) return diff_norm / stepsize def _prox_grad(self, x, x_fun_grad, stepsize, hyperparams_prox): update = tree_add_scalar_mul(x, -stepsize, x_fun_grad) return self.prox(update, hyperparams_prox, stepsize) def _iter(self, iter_num, x, x_fun_val, x_fun_grad, stepsize, hyperparams_prox, args, kwargs): if not isinstance(self.stepsize, Callable) and self.stepsize <= 0: # with line search next_x, next_stepsize = self._fista_line_search(self.maxls, x, x_fun_val, x_fun_grad, stepsize, self.decrease_factor, hyperparams_prox, args, kwargs) # If step size becomes too small, we restart it to 1.0. # Otherwise, we attempt to increase it. next_stepsize = jnp.where(next_stepsize <= 1e-6, 1.0, next_stepsize / self.decrease_factor) return next_x, next_stepsize else: # without line search if isinstance(self.stepsize, Callable): next_stepsize = self.stepsize(iter_num) else: next_stepsize = self.stepsize next_x = self._prox_grad(x, x_fun_grad, next_stepsize, hyperparams_prox) return next_x, next_stepsize def _update(self, x, state, hyperparams_prox, args, kwargs): dtype = tree_single_dtype(x) iter_num = state.iter_num stepsize = state.stepsize (x_fun_val, aux), x_fun_grad = self._value_and_grad_with_aux(x, *args, **kwargs) next_x, next_stepsize = self._iter(iter_num, x, x_fun_val, x_fun_grad, stepsize, hyperparams_prox, args, kwargs) error = self._error(tree_sub(next_x, x), next_stepsize) next_state = ProxGradState(iter_num=iter_num + 1, stepsize=jnp.asarray(next_stepsize, dtype=dtype), error=jnp.asarray(error, dtype=dtype), aux=aux) return base.OptStep(params=next_x, state=next_state) def _update_accel(self, x, state, hyperparams_prox, args, kwargs): dtype = tree_single_dtype(x) iter_num = state.iter_num y = state.velocity t = state.t stepsize = state.stepsize (y_fun_val, aux), y_fun_grad = self._value_and_grad_with_aux(y, *args, **kwargs) next_x, next_stepsize = self._iter(iter_num, y, y_fun_val, y_fun_grad, stepsize, hyperparams_prox, args, kwargs) next_t = 0.5 * (1 + jnp.sqrt(1 + 4 * t ** 2)) diff_x = tree_sub(next_x, x) next_y = tree_add_scalar_mul(next_x, (t - 1) / next_t, diff_x) next_error = self._error(diff_x, next_stepsize) next_state = ProxGradState(iter_num=iter_num + 1, velocity=next_y, t=next_t, stepsize=jnp.asarray(next_stepsize, dtype=dtype), error=jnp.asarray(next_error, dtype=dtype), aux=aux) return base.OptStep(params=next_x, state=next_state)
[docs] def update(self, params: Any, state: NamedTuple, hyperparams_prox: Any, *args, **kwargs) -> base.OptStep: """Performs one iteration of proximal gradient. Args: params: pytree containing the parameters. state: named tuple containing the solver state. hyperparams_prox: pytree containing hyperparameters of prox. *args: additional positional arguments to be passed to ``fun``. **kwargs: additional keyword arguments to be passed to ``fun``. Returns: (params, state) """ f = self._update_accel if self.acceleration else self._update return f(params, state, hyperparams_prox, args, kwargs)
def _fixed_point_fun(self, sol, hyperparams_prox, args, kwargs): step = tree_sub(sol, self._grad_fun(sol, *args, **kwargs)) return self.prox(step, hyperparams_prox, 1.0)
[docs] def optimality_fun(self, sol, hyperparams_prox, *args, **kwargs): """Optimality function mapping compatible with ``@custom_root``.""" fp = self._fixed_point_fun(sol, hyperparams_prox, args, kwargs) return tree_sub(fp, sol)
def _value_and_grad_fun(self, params, *args, **kwargs): (value, aux), grad = self._value_and_grad_with_aux(params, *args, **kwargs) return value, grad def _grad_fun(self, params, *args, **kwargs): return self._value_and_grad_fun(params, *args, **kwargs)[1] def _grad_with_aux(self, params, *args, **kwargs): (value, aux), grad = self._value_and_grad_with_aux(params, *args, **kwargs) return grad, aux def __post_init__(self): fun_with_aux, _, self._value_and_grad_with_aux = \ base._make_funs_with_aux(fun=self.fun, value_and_grad=self.value_and_grad, has_aux=self.has_aux) fun_without_aux = lambda *a, **kw: fun_with_aux(*a, **kw)[0] # 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_prox", kind=inspect.Parameter.POSITIONAL_OR_KEYWORD) parameters.insert(1, new_param) self.reference_signature = inspect.Signature(parameters) jit, unroll = self._get_loop_options() fista_ls_with_fun= partial(fista_line_search, fun_without_aux, self._prox_grad, jit, unroll) if jit: jitted_fista_ls_with_fun = jax.jit(fista_ls_with_fun, static_argnums=(0,)) self._fista_line_search = jitted_fista_ls_with_fun else: self._fista_line_search = fista_ls_with_fun