336 lines
9.6 KiB
Python
336 lines
9.6 KiB
Python
# from collections import namedtuple
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from functools import partial
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try:
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from plots import Plot, CleanPlot, CleanPlotUnity, SquareCenterPlot
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except ModuleNotFoundError: # matplotlib might not be installed
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pass
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# NOTE: these comments were written before autograd died, RIP.
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# i'll probably wind up using aesara, or JAX if i'm desperate,
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# so this kind of thing will have to be done differently.
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# TODO: define gradients by hand,
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# import both numpy and autograd.numpy,
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# use numpy for forward passes.
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# TODO: add gradient-checking stuff.
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# import autograd.numpy as np
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import numpy as np
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invphi = (np.sqrt(5) - 1) / 2 # 1/phi
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invphi2 = (3 - np.sqrt(5)) / 2 # 1/phi^2
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class rpartial(partial):
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"""`rpartial` functions similarly to `functools.partial`, but
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prepends additional arguments instead of appending them."""
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# https://stackoverflow.com/a/11831662
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def __call__(self, *args, **kwargs):
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kw = self.keywords.copy()
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kw.update(kwargs)
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return self.func(*(args + self.args), **kwargs)
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class Timer:
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def __init__(self, title="Untitled timer", *, verbose=True, cumulative=False):
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from time import time
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self.title = str(title)
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self.verbose = bool(verbose)
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self.cumulative = bool(cumulative)
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self.time = time
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self.reset()
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def reset(self):
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self.then = None
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self.now = None
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self.cum = 0.0
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def __enter__(self):
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self.then = self.time()
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def __exit__(self, exc_type, exc, exc_tb):
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self.now = self.time()
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if self.cumulative:
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self.cum += self.now - self.then
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if self.verbose:
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self.print()
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def print(self, f=None):
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from sys import stderr
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elapsed = self.cum if self.cumulative else self.now - self.then
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f = stderr if f is None else f
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print(f"{self.title:>30}: {elapsed:8.3f} seconds", file=stderr)
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class CumTimer(Timer):
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def __init__(self, title="Untitled cumulative timer"):
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super().__init__(title, verbose=False, cumulative=True)
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def div0(a, b):
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"""Return the element-wise division of array `a` by array `b`,
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whereby division by zero equals zero."""
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a = np.asanyarray(a)
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b = np.asanyarray(b)
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with np.errstate(divide="ignore", invalid="ignore"):
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c = np.true_divide(a, b)
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if np.ndim(c) == 0: # if np.isscalar(c):
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return c if np.isfinite(c) else c.dtype.type(0)
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c[~np.isfinite(c)] = 0 # -inf, inf, and NaN get set
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return c
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def invsqrt(a):
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"""Return the element-wise inverse square-root of the array `a`."""
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return np.reciprocal(np.sqrt(a))
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def sab(a, axis=None):
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"""Return the sum of absolute values of
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the array `a` along its axis `axis`."""
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return np.sum(np.abs(a), axis=axis)
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def ssq(a, axis=None):
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"""Return the halved sum-of-squares of
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the array `a` along its axis `axis`."""
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return 0.5 * np.sum(np.square(a), axis=axis)
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def rms(a, axis=None):
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"""Return the root-mean-square of
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the array `a` along its axis `axis`."""
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return np.sqrt(np.mean(np.square(a), axis=axis))
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def cossim(x, y):
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"""Return the cosine-similarity of
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the arrays `x` and `y`.
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(The exact behavior of non-vector arguments is undefined for now.)"""
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return np.dot(x, y) / (np.linalg.norm(x) * np.linalg.norm(y))
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class Regulator: # NOTE: should've been called Regularizer, whoops?
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# TODO: support linear constraints.
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def __init__(self, *args, r1=0.0, r2=0.0, r2s=0.0, rinf=0.0, ridges=None):
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# this way i don't have to worry about arbitrary ordering:
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assert len(args) == 0, "all arguments of Regulator must be given by keywords"
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self.r1 = float(r1) # L1 aka Lasso
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self.r2 = float(r2) # L2 aka Euclidian
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self.r2s = float(r2s) # L2-squared aka Ridge
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self.rinf = float(rinf) # L-infinity (L1-ball)
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# "ridges" are just Ridge penalties with a non-zero bias,
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# pulling the solution towards `point` by `coeff`.
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# this is used in optimizers such as in arxiv:1801.02982.
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# FIXME: but it isn't part of the proximal equation!
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self.ridges = []
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if ridges is not None:
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for coeff, point in ridges:
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self.push_ridge(coeff, point)
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def push_ridge(self, coeff, point):
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pair = (float(coeff), np.array(point, float, copy=False))
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self.ridges.append(pair)
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def copy(self):
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"""creates a shallow copy of the Regulator."""
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return Regulator(
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r1=self.r1, r2=self.r2, r2s=self.r2s, rinf=self.rinf, ridges=self.ridges
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)
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def regulate(self, x):
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# avoid using += here for autograd.
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y = 0
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if self.r1 > 0:
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y = y + self.r1 * np.sum(np.abs(x))
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if self.r2 > 0 or self.r2s > 0:
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sum_of_squares = np.sum(np.square(x))
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if self.r2 > 0:
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y = y + self.r2 * np.sqrt(sum_of_squares)
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if self.rinf > 0:
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y = y + self.rinf * np.max(np.abs(x))
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if self.r2s > 0:
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y = y + self.r2s * 0.5 * sum_of_squares
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for coeff, point in self.ridges:
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y = y + coeff * ssq(x - point)
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return y
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def solve(self, x, g, rate=1.0): # solves the proximal
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if rate > 0:
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y = x - rate * g
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else:
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assert rate == 0, rate
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return x
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for coeff, point in self.ridges:
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y += rate * coeff * point
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if self.r1 > 0:
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y = np.maximum(np.abs(y) - self.r1 * rate, 0) * np.sign(y)
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if self.r2 > 0:
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y = np.maximum(1 - rate * self.r2 / np.linalg.norm(y), 0) * y
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if self.rinf > 0:
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y = np.maximum(1 - rate * self.rinf / np.max(np.abs(y)), 0) * y
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denominator = 1
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if self.r2s > 0:
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denominator += rate * self.r2s
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for coeff, point in self.ridges:
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denominator += rate * coeff
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return y / denominator
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class RandomIndices:
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def __init__(self, n: int):
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self.reset(n)
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def reset(self, n=None):
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if n is not None:
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assert n >= 1, n
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self.n = n
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self.indices = np.arange(n)
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self.i = 0
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np.random.shuffle(self.indices)
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def draw(self, n):
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return zip(range(n), self)
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def __next__(self):
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ret = self.indices[self.i]
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self.i += 1
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if self.i == self.n:
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self.i = 0
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self.reset()
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return ret
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def __iter__(self):
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return self
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def estimate_condition(f, g, x, scale=1.0, iters=100):
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"""Estimate the convexity and L-smoothness of the function `f`.
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`g` should return the gradient of `f`.
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Noise is centered around `x` with scale `scale`."""
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# i.e. the condition of the hessian.
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norm2 = lambda a: np.linalg.norm(a.ravel())
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convexity, smoothness = np.inf, 0
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fx, gx = f(x), g(x)
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for i in range(iters):
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y = x + np.random.normal(0, scale, size=x.shape)
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fy, gy = f(y), g(y)
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if 0:
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# f(y) >= f(x) + g(x) @ (y - x) + σ * ssq(x - y)
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σ = (fy - fx - np.dot(gx, (y - x))) / ssq(y - x)
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if σ < convexity:
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convexity = σ
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# norm2(g(x) - g(y)) <= L * norm2(x - y)
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L = norm2(gx - gy) / norm2(y - x)
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# NOTE: i think the sqrt in norm2 can be pulled out like:
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# np.sqrt(np.sum(np.square(gx - gy)) / np.sum(np.square(x - y)))
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if L > smoothness:
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smoothness = L
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else:
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# (gx - gy) @ (x - y) >= σ * norm2(x - y)**2
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blah = (gx - gy) @ (x - y) / np.sum(np.square(x - y))
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if blah < convexity:
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convexity = blah
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# f(y) >= f(x) + dot(g(x), y - x) + σ/2 * sum(square(x - y))
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# TODO: is this still correct? it's a different definition...
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if blah > smoothness:
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smoothness = blah
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return convexity, smoothness
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def minimum_enclosing_ball(xa, xb, ra, rb):
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"""Given the *squared* radii `ra` and `rb` of balls
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centered at `xa` and `xb` respectively,
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return the center and squared radius of a ball
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encompassing their (possibly negative) intersection."""
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xa, xb = np.asfarray(xa), np.asfarray(xb)
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delnorm2 = np.sum(np.square(xa - xb))
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if delnorm2 >= abs(ra - rb):
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xc = ((xa + xb) - (ra - rb) / delnorm2) / 2
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rc = np.square(delnorm2 + rb - ra) / delnorm2 / 4
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return xc, rc
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elif delnorm2 < ra - rb:
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return xb, rb
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else:
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return xa, ra
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def gss(f, a, b, tol=1e-5): # golden section search
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"""Given a function `f` with a single local minimum in
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the interval [`a`, `b`], return a subset interval
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[`c`, `d`] that contains the minimum with `d - c <= tol`."""
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# via https://en.wikipedia.org/wiki/Golden-section_search
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a, b = min(a, b), max(a, b)
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h = b - a
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if h <= tol:
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return (a, b)
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# required steps to achieve tolerance:
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n = int(np.ceil(np.log(tol / h) / np.log(invphi)))
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c = a + invphi2 * h
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d = a + invphi * h
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y_c = f(c)
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y_d = f(d)
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for k in range(n - 1):
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if y_c < y_d:
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b, d, y_d = d, c, y_c
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h = invphi * h
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c = a + invphi2 * h
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y_c = f(c)
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else:
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a, c, y_c = c, d, y_d
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h = invphi * h
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d = a + invphi * h
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y_d = f(d)
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if y_c < y_d:
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return (a, d)
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else:
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return (c, b)
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def gssm(f, a, b, tol=1e-5): # golden section search (scalar result)
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return np.mean(gss(f, a, b, tol=tol))
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__all__ = """
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Plot
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CleanPlot
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CleanPlotUnity
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SquareCenterPlot
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RandomIndices
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Regulator
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partial
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rpartial
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invsqrt
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sab
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ssq
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rms
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cossim
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estimate_condition
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minimum_enclosing_ball
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gss
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""".split()
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