def project_onto_l1_ball(x: ep.Tensor, eps: ep.Tensor) -> ep.Tensor:
"""Computes Euclidean projection onto the L1 ball for a batch. [#Duchi08]_
Adapted from the pytorch version by Tony Duan:
https://gist.github.com/tonyduan/1329998205d88c566588e57e3e2c0c55
Args:
x: Batch of arbitrary-size tensors to project, possibly on GPU
eps: radius of l-1 ball to project onto
References:
..[#Duchi08] Efficient Projections onto the l1-Ball for Learning in High Dimensions
John Duchi, Shai Shalev-Shwartz, Yoram Singer, and Tushar Chandra.
International Conference on Machine Learning (ICML 2008)
"""
original_shape = x.shape
x = flatten(x)
mask = (ep.norms.l1(x, axis=1) <= eps).astype(x.dtype).expand_dims(1)
mu = ep.flip(ep.sort(ep.abs(x)), axis=-1).astype(x.dtype)
cumsum = ep.cumsum(mu, axis=-1)
arange = ep.arange(x, 1, x.shape[1] + 1).astype(x.dtype)
rho = (ep.max(
((mu * arange >
(cumsum - eps.expand_dims(1)))).astype(x.dtype) * arange,
axis=-1,
) - 1)
# samples already under norm will have to select
rho = ep.maximum(rho, 0)
theta = (cumsum[ep.arange(x, x.shape[0]),
rho.astype(ep.arange(x, 1).dtype)] - eps) / (rho + 1.0)
proj = (ep.abs(x) - theta.expand_dims(1)).clip(min_=0, max_=ep.inf)
x = mask * x + (1 - mask) * proj * ep.sign(x)
return x.reshape(original_shape)
def _gram_schmidt(self, v: ep.Tensor, ortho_with: ep.Tensor):
v_repeated = ep.concatenate([v.expand_dims(0)] * len(ortho_with), axis=0)
#inner product
gs_coeff = (ortho_with * v_repeated).flatten(1).sum(1)
proj = atleast_kd(gs_coeff, ortho_with.ndim) * ortho_with
v = v - proj.sum(0)
return v / ep.norms.l2(v)
def project_onto_l1_ball(x: ep.Tensor, eps: ep.Tensor):
"""
Compute Euclidean projection onto the L1 ball for a batch.
min ||x - u||_2 s.t. ||u||_1 <= eps
Inspired by the corresponding numpy version by Adrien Gaidon.
Adapted from the pytorch version by Tony Duan: https://gist.github.com/tonyduan/1329998205d88c566588e57e3e2c0c55
Parameters
----------
x: (batch_size, *) torch array
batch of arbitrary-size tensors to project, possibly on GPU
eps: float
radius of l-1 ball to project onto
Returns
-------
u: (batch_size, *) torch array
batch of projected tensors, reshaped to match the original
Notes
-----
The complexity of this algorithm is in O(dlogd) as it involves sorting x.
References
----------
[1] Efficient Projections onto the l1-Ball for Learning in High Dimensions
John Duchi, Shai Shalev-Shwartz, Yoram Singer, and Tushar Chandra.
International Conference on Machine Learning (ICML 2008)
"""
original_shape = x.shape
x = flatten(x)
mask = (ep.norms.l1(x, axis=1) < eps).astype(x.dtype).expand_dims(1)
mu = ep.flip(ep.sort(ep.abs(x)), axis=-1)
cumsum = ep.cumsum(mu, axis=-1)
arange = ep.arange(x, 1, x.shape[1] + 1)
rho = ep.max(
(mu * arange > (cumsum - eps.expand_dims(1))) * arange, axis=-1) - 1
theta = (cumsum[ep.arange(x, x.shape[0]), rho] - eps) / (rho + 1.0)
proj = (ep.abs(x) - theta.expand_dims(1)).clip(min_=0, max_=ep.inf)
x = mask * x + (1 - mask) * proj * ep.sign(x)
return x.reshape(original_shape)
def test_squeeze(t: Tensor, axis: Optional[AxisAxes]) -> Tensor:
t = t.expand_dims(axis=0).expand_dims(axis=1)
return ep.squeeze(t, axis=axis)
