radam.py

import math
import torch
from torch import Tensor

from torch.optim.optimizer import Optimizer
from typing import List, Optional

__all__ = ['RAdam', 'radam']


def _use_grad_for_differentiable(func):
    def _use_grad(self, *args, **kwargs):
        prev_grad = torch.is_grad_enabled()
        try:
            torch.set_grad_enabled(self.defaults['differentiable'])
            ret = func(self, *args, **kwargs)
        finally:
            torch.set_grad_enabled(prev_grad)
        return ret
    return _use_grad


class RAdam(Optimizer):
    r"""Implements RAdam algorithm.
    .. math::
       \begin{aligned}
            &\rule{110mm}{0.4pt}                                                                 \\
            &\textbf{input}      : \gamma \text{ (lr)}, \: \beta_1, \beta_2
                \text{ (betas)}, \: \theta_0 \text{ (params)}, \:f(\theta) \text{ (objective)}, \:
                \lambda \text{ (weightdecay)},                                                   \\
            &\hspace{13mm} \epsilon \text{ (epsilon)}                                            \\
            &\textbf{initialize} :  m_0 \leftarrow 0 \text{ ( first moment)},
                v_0 \leftarrow 0 \text{ ( second moment)},                                       \\
            &\hspace{18mm} \rho_{\infty} \leftarrow 2/(1-\beta_2) -1                      \\[-1.ex]
            &\rule{110mm}{0.4pt}  \\
            &\textbf{for} \: t=1 \: \textbf{to} \: \ldots \: \textbf{do}                         \\
            &\hspace{6mm}g_t           \leftarrow   \nabla_{\theta} f_t (\theta_{t-1})           \\
            &\hspace{5mm} \textbf{if} \: \lambda \neq 0                                          \\
            &\hspace{10mm} g_t \leftarrow g_t + \lambda \theta_{t-1}                             \\
            &\hspace{6mm}m_t           \leftarrow   \beta_1 m_{t-1} + (1 - \beta_1) g_t          \\
            &\hspace{6mm}v_t           \leftarrow   \beta_2 v_{t-1} + (1-\beta_2) g^2_t          \\
            &\hspace{6mm}\widehat{m_t} \leftarrow   m_t/\big(1-\beta_1^t \big)                   \\
            &\hspace{6mm}\rho_t \leftarrow \rho_{\infty} -
                2 t \beta^t_2 /\big(1-\beta_2^t \big)                                    \\[0.1.ex]
            &\hspace{6mm}\textbf{if} \: \rho_t > 5                                               \\
            &\hspace{12mm} l_t \leftarrow \sqrt{ (1-\beta^t_2) / \big( v_t +\epsilon \big) }     \\
            &\hspace{12mm} r_t \leftarrow
      \sqrt{\frac{(\rho_t-4)(\rho_t-2)\rho_{\infty}}{(\rho_{\infty}-4)(\rho_{\infty}-2) \rho_t}} \\
            &\hspace{12mm}\theta_t \leftarrow \theta_{t-1} - \gamma \widehat{m_t} r_t l_t        \\
            &\hspace{6mm}\textbf{else}                                                           \\
            &\hspace{12mm}\theta_t \leftarrow \theta_{t-1} - \gamma \widehat{m_t}                \\
            &\rule{110mm}{0.4pt}                                                          \\[-1.ex]
            &\bf{return} \:  \theta_t                                                     \\[-1.ex]
            &\rule{110mm}{0.4pt}                                                          \\[-1.ex]
       \end{aligned}
    For further details regarding the algorithm we refer to `On the variance of the adaptive learning rate and beyond`_.
    Args:
        params (iterable): iterable of parameters to optimize or dicts defining
            parameter groups
        lr (float, optional): learning rate (default: 1e-3)
        betas (Tuple[float, float], optional): coefficients used for computing
            running averages of gradient and its square (default: (0.9, 0.999))
        eps (float, optional): term added to the denominator to improve
            numerical stability (default: 1e-8)
        weight_decay (float, optional): weight decay (L2 penalty) (default: 0)
        foreach (bool, optional): whether foreach implementation of optimizer
            is used (default: None)
    .. _On the variance of the adaptive learning rate and beyond:
        https://arxiv.org/abs/1908.03265
    """

    def __init__(self, params, lr=1e-3, betas=(0.9, 0.999), eps=1e-8,
                 weight_decay=0, *, foreach: Optional[bool] = None,
                 differentiable: bool = False):
        if not 0.0 <= lr:
            raise ValueError("Invalid learning rate: {}".format(lr))
        if not 0.0 <= eps:
            raise ValueError("Invalid epsilon value: {}".format(eps))
        if not 0.0 <= betas[0] < 1.0:
            raise ValueError("Invalid beta parameter at index 0: {}".format(betas[0]))
        if not 0.0 <= betas[1] < 1.0:
            raise ValueError("Invalid beta parameter at index 1: {}".format(betas[1]))
        if not 0.0 <= weight_decay:
            raise ValueError("Invalid weight_decay value: {}".format(weight_decay))
        defaults = dict(lr=lr, betas=betas, eps=eps, weight_decay=weight_decay,
                        foreach=foreach, differentiable=differentiable)
        super(RAdam, self).__init__(params, defaults)

    def __setstate__(self, state):
        super().__setstate__(state)
        for group in self.param_groups:
            group.setdefault('foreach', None)
            group.setdefault('differentiable', False)
        state_values = list(self.state.values())
        step_is_tensor = (len(state_values) != 0) and torch.is_tensor(state_values[0]['step'])
        if not step_is_tensor:
            for s in state_values:
                s['step'] = torch.tensor(float(s['step']))

    @_use_grad_for_differentiable
    def step(self, closure=None):
        """Performs a single optimization step.
        Args:
            closure (Callable, optional): A closure that reevaluates the model
                and returns the loss.
        """
        loss = None
        if closure is not None:
            with torch.enable_grad():
                loss = closure()

        for group in self.param_groups:
            params_with_grad = []
            grads = []
            exp_avgs = []
            exp_avg_sqs = []
            state_steps = []
            beta1, beta2 = group['betas']

            for p in group['params']:
                if p.grad is not None:
                    params_with_grad.append(p)
                    if p.grad.is_sparse:
                        raise RuntimeError('RAdam does not support sparse gradients')
                    grads.append(p.grad)

                    state = self.state[p]
                    # Lazy state initialization
                    if len(state) == 0:
                        state['step'] = torch.tensor(0.)
                        # Exponential moving average of gradient values
                        state['exp_avg'] = torch.zeros_like(p, memory_format=torch.preserve_format)
                        # Exponential moving average of squared gradient values
                        state['exp_avg_sq'] = torch.zeros_like(p, memory_format=torch.preserve_format)

                    exp_avgs.append(state['exp_avg'])
                    exp_avg_sqs.append(state['exp_avg_sq'])
                    state_steps.append(state['step'])

            radam(params_with_grad,
                  grads,
                  exp_avgs,
                  exp_avg_sqs,
                  state_steps,
                  beta1=beta1,
                  beta2=beta2,
                  lr=group['lr'],
                  weight_decay=group['weight_decay'],
                  eps=group['eps'],
                  foreach=group['foreach'],
                  differentiable=group['differentiable'])

        return loss


def radam(params: List[Tensor],
          grads: List[Tensor],
          exp_avgs: List[Tensor],
          exp_avg_sqs: List[Tensor],
          state_steps: List[Tensor],
          # kwonly args with defaults are not supported by functions compiled with torchscript issue #70627
          # setting this as kwarg for now as functional API is compiled by torch/distributed/optim
          foreach: bool = None,
          differentiable: bool = False,
          *,
          beta1: float,
          beta2: float,
          lr: float,
          weight_decay: float,
          eps: float):
    r"""Functional API that performs RAdam algorithm computation.
    See :class:`~torch.optim.RAdam` for details.
    """

    if not all(isinstance(t, torch.Tensor) for t in state_steps):
        raise RuntimeError("API has changed, `state_steps` argument must contain a list of singleton tensors")

    if foreach is None:
        # Placeholder for more complex foreach logic to be added when value is not set
        foreach = False

    if foreach and torch.jit.is_scripting():
        raise RuntimeError('torch.jit.script not supported with foreach optimizers')

    if foreach and not torch.jit.is_scripting():
        func = _multi_tensor_radam
    else:
        func = _single_tensor_radam

    func(params,
         grads,
         exp_avgs,
         exp_avg_sqs,
         state_steps,
         beta1=beta1,
         beta2=beta2,
         lr=lr,
         weight_decay=weight_decay,
         eps=eps,
         differentiable=differentiable)


def _single_tensor_radam(params: List[Tensor],
                         grads: List[Tensor],
                         exp_avgs: List[Tensor],
                         exp_avg_sqs: List[Tensor],
                         state_steps: List[Tensor],
                         *,
                         beta1: float,
                         beta2: float,
                         lr: float,
                         weight_decay: float,
                         eps: float,
                         differentiable: bool):

    for i, param in enumerate(params):
        grad = grads[i]
        exp_avg = exp_avgs[i]
        exp_avg_sq = exp_avg_sqs[i]
        step_t = state_steps[i]
        # update step
        step_t += 1
        step = step_t.item()

        bias_correction1 = 1 - beta1 ** step
        bias_correction2 = 1 - beta2 ** step

        if weight_decay != 0:
            grad = grad.add(param, alpha=weight_decay)

        # Decay the first and second moment running average coefficient
        exp_avg.mul_(beta1).add_(grad, alpha=1 - beta1)
        exp_avg_sq.mul_(beta2).addcmul_(grad, grad, value=1 - beta2)

        # correcting bias for the first moving moment
        bias_corrected_exp_avg = exp_avg / bias_correction1

        # maximum length of the approximated SMA
        rho_inf = 2 / (1 - beta2) - 1
        # compute the length of the approximated SMA
        rho_t = rho_inf - 2 * step * (beta2 ** step) / bias_correction2

        if rho_t > 5.:
            # Compute the variance rectification term and update parameters accordingly
            rect = math.sqrt((rho_t - 4) * (rho_t - 2) * rho_inf / ((rho_inf - 4) * (rho_inf - 2) * rho_t))
            exp_avg_sq_sqrt = exp_avg_sq.sqrt()
            if differentiable:
                exp_avg_sq_sqrt = exp_avg_sq_sqrt.add(eps)
            else:
                exp_avg_sq_sqrt = exp_avg_sq_sqrt.add_(eps)
            adaptive_lr = math.sqrt(bias_correction2) / exp_avg_sq_sqrt
            param.add_(bias_corrected_exp_avg * lr * adaptive_lr * rect, alpha=-1.0)
        else:
            param.add_(bias_corrected_exp_avg * lr, alpha=-1.0)


def _multi_tensor_radam(params: List[Tensor],
                        grads: List[Tensor],
                        exp_avgs: List[Tensor],
                        exp_avg_sqs: List[Tensor],
                        state_steps: List[Tensor],
                        *,
                        beta1: float,
                        beta2: float,
                        lr: float,
                        weight_decay: float,
                        eps: float,
                        differentiable: bool):

    if len(params) == 0:
        return

    assert not differentiable, "_foreach ops don't support autograd"

    # Update steps
    torch._foreach_add_(state_steps, 1)

    # maximum length of the approximated SMA
    rho_inf = 2 / (1 - beta2) - 1
    # compute the length of the approximated SMA
    rho_t_list = [rho_inf - 2 * step.item() * (beta2 ** step.item()) / (1 - beta2 ** step.item()) for step in state_steps]

    bias_correction1 = [1 - beta1 ** step.item() for step in state_steps]
    bias_correction2 = [1 - beta2 ** step.item() for step in state_steps]
    if weight_decay != 0:
        torch._foreach_add_(grads, params, alpha=weight_decay)

    # Decay the first and second moment running average coefficient
    torch._foreach_mul_(exp_avgs, beta1)
    torch._foreach_add_(exp_avgs, grads, alpha=1 - beta1)

    torch._foreach_mul_(exp_avg_sqs, beta2)
    torch._foreach_addcmul_(exp_avg_sqs, grads, grads, 1 - beta2)

    rect = [math.sqrt((rho_t - 4) * (rho_t - 2) * rho_inf / ((rho_inf - 4) * (rho_inf - 2) * rho_t))
            if rho_t > 5 else 0 for rho_t in rho_t_list]
    unrectified = [0 if rect > 0 else 1. for rect in rect]

    exp_avg_sq_sqrt = torch._foreach_sqrt(exp_avg_sqs)
    bias_correction_sqrt = [math.sqrt(bc) for bc in bias_correction2]
    denom = torch._foreach_div(exp_avg_sq_sqrt, bias_correction_sqrt)
    step_size = [(lr * rect / bc) * -1 for rect, bc in zip(rect, bias_correction1)]
    torch._foreach_addcdiv_(params, exp_avgs, denom, step_size)

    denom = [torch.ones_like(exp_av, memory_format=torch.preserve_format) for exp_av in exp_avgs]
    step_size = [(lr * rect / bc) * -1 for rect, bc in zip(unrectified, bias_correction1)]
    torch._foreach_addcdiv_(params, exp_avgs, denom, step_size)