changes in SGD

GPy/inference/SGD.py

@@ -18,7 +18,7 @@ class opt_SGD(Optimizer):
 
     """
 
-    def __init__(self, start, iterations = 10, learning_rate = 1e-4, momentum = 0.9, model = None, messages = False, batch_size = 1, self_paced = False, center = True, iteration_file = None, **kwargs):
+    def __init__(self, start, iterations = 10, learning_rate = 1e-4, momentum = 0.9, model = None, messages = False, batch_size = 1, self_paced = False, center = True, iteration_file = None, learning_rate_adaptation=None, **kwargs):
         self.opt_name = "Stochastic Gradient Descent"
 
         self.model = model
@@ -33,6 +33,13 @@ class opt_SGD(Optimizer):
         self.center = center
         self.param_traces = [('noise',[])]
         self.iteration_file = iteration_file
+        self.learning_rate_adaptation = learning_rate_adaptation
+        if self.learning_rate_adaptation != None:
+            if self.learning_rate_adaptation == 'annealing':
+                self.learning_rate_0 = self.learning_rate
+            else:
+                self.learning_rate_0 = self.learning_rate.mean()
+
         # if len([p for p in self.model.kern.parts if p.name == 'bias']) == 1:
         #     self.param_traces.append(('bias',[]))
         # if len([p for p in self.model.kern.parts if p.name == 'linear']) == 1:
@@ -204,6 +211,7 @@ class opt_SGD(Optimizer):
 
         ci = self.shift_constraints(j)
         f, fp = f_fp(self.x_opt[j])
+
         step[j] = self.momentum * step[j] + self.learning_rate[j] * fp
         self.x_opt[j] -= step[j]
         self.restore_constraints(ci)
@@ -216,9 +224,32 @@ class opt_SGD(Optimizer):
 
         return f, step, self.model.N
 
+    def adapt_learning_rate(self, t):
+        if self.learning_rate_adaptation == 'adagrad':
+            if t > 5:
+                g = np.array(self.grads)
+                l2_g = np.sqrt(np.square(g).sum(0))
+                self.learning_rate = 0.001/l2_g
+            else:
+                self.learning_rate = np.zeros_like(self.learning_rate)
+        elif self.learning_rate_adaptation == 'annealing':
+            self.learning_rate = self.learning_rate_0/(1+float(t+1)/2)
+        elif self.learning_rate_adaptation == 'semi_pesky':
+            if t == 0:
+                self.hbar_t = 0.0
+                self.tau_t = 1000.0
+                self.gbar_t = 0.0
+            g_t = self.model.grads
+            self.gbar_t = (1-1/self.tau_t)*self.gbar_t + 1/self.tau_t * g_t
+            self.hbar_t = (1-1/self.tau_t)*self.hbar_t + 1/self.tau_t * np.dot(g_t.T, g_t)
+            self.learning_rate = np.dot(self.gbar_t.T, self.gbar_t) / self.hbar_t
+            self.tau_t = self.tau_t*(1-self.learning_rate) + 1
+            print self.learning_rate
+            self.learning_rate *= np.ones_like(self.x_opt)
+
     def opt(self, f_fp=None, f=None, fp=None):
         self.x_opt = self.model._get_params_transformed()
-        self.model.grads = np.zeros_like(self.x_opt)
+        self.grads = []
 
         X, Y = self.model.X.copy(), self.model.likelihood.Y.copy()
 
@@ -235,6 +266,7 @@ class opt_SGD(Optimizer):
 
         step = np.zeros_like(num_params)
         for it in range(self.iterations):
+            self.model.grads = np.zeros_like(self.x_opt) # TODO this is ugly
 
             if it == 0 or self.self_paced is False:
                 features = np.random.permutation(Y.shape[1])
@@ -272,16 +304,17 @@ class opt_SGD(Optimizer):
                     sys.stdout.write(status)
                     sys.stdout.flush()
                     self.param_traces['noise'].append(noise)
-                NLL.append(f)
 
-                self.fopt_trace.append(f)
+                NLL.append(f)
+                self.fopt_trace.append(NLL[-1])
                 # fig = plt.figure('traces')
                 # plt.clf()
                 # plt.plot(self.param_traces['noise'])
 
                 # for k in self.param_traces.keys():
                 #     self.param_traces[k].append(self.model.get(k)[0])
-
+            self.grads.append(self.model.grads.tolist())
+            self.adapt_learning_rate(it)
             # should really be a sum(), but earlier samples in the iteration will have a very crappy ll
             self.f_opt = np.mean(NLL)
             self.model.N = N
@@ -293,7 +326,7 @@ class opt_SGD(Optimizer):
             sigma = self.model.likelihood._variance
             self.model.likelihood._variance = None # invalidate cache
             self.model.likelihood._set_params(sigma)
-            
+
             self.trace.append(self.f_opt)
             if self.iteration_file is not None:
                 f = open(self.iteration_file + "iteration%d.pickle" % it, 'w')
@@ -303,6 +336,6 @@ class opt_SGD(Optimizer):
 
             if self.messages != 0:
                 sys.stdout.write('\r' + ' '*len(status)*2 + '  \r')
-                status = "SGD Iteration: {0: 3d}/{1: 3d}  f: {2: 2.3f}\n".format(it+1, self.iterations, self.f_opt)
+                status = "SGD Iteration: {0: 3d}/{1: 3d}  f: {2: 2.3f}   max eta: {3: 1.5f}\n".format(it+1, self.iterations, self.f_opt, self.learning_rate.max())
                 sys.stdout.write(status)
                 sys.stdout.flush()