def _initial_state(self, num_constraints):
# For an AdditiveExternalRegretOptimizer, the internal state is simply a
# tensor of Lagrange multipliers with shape (m,), where m is the number of
# constraints.
#
# FUTURE WORK: make the dtype a parameter.
return standard_ops.zeros((num_constraints, ), dtype=dtypes.float32)
def _initial_state(self, num_constraints): # For an AdditiveExternalRegretOptimizer, the internal state is simply a # tensor of Lagrange multipliers with shape (m,), where m is the number of # constraints. # # FUTURE WORK: make the dtype a parameter. return standard_ops.zeros((num_constraints,), dtype=dtypes.float32)
def _initial_state(self, num_constraints):
# For an AdditiveSwapRegretOptimizer, the internal state is a tensor of
# shape (m+1,m+1), where m is the number of constraints, representing a
# left-stochastic matrix.
dimension = num_constraints + 1
# Initialize by putting all weight on the objective, and none on the
# constraints.
return standard_ops.concat((standard_ops.ones(
(1, dimension)), standard_ops.zeros((dimension - 1, dimension))),
axis=0)
def _initial_state(self, num_constraints):
# For an AdditiveSwapRegretOptimizer, the internal state is a tensor of
# shape (m+1,m+1), where m is the number of constraints, representing a
# left-stochastic matrix.
dimension = num_constraints + 1
# Initialize by putting all weight on the objective, and none on the
# constraints.
return standard_ops.concat((standard_ops.ones(
(1, dimension)), standard_ops.zeros((dimension - 1, dimension))),
axis=0)
def _minimize_constrained(self,
minimization_problem,
global_step=None,
var_list=None,
gate_gradients=train_optimizer.Optimizer.GATE_OP,
aggregation_method=None,
colocate_gradients_with_ops=False,
name=None,
grad_loss=None):
"""Returns an `Operation` for minimizing the constrained problem.
The `optimizer` constructor parameter will be used to update the model
parameters, while the constraint/objective weight matrix (the analogue of
Lagrange multipliers) will be updated using `constrained_optimizer` (if
provided) or `optimizer` (if not). Whether the matrix updates are additive
or multiplicative depends on the derived class.
Args:
minimization_problem: ConstrainedMinimizationProblem, the problem to
optimize.
global_step: as in `tf.compat.v1.train.Optimizer`'s `minimize` method.
var_list: as in `tf.compat.v1.train.Optimizer`'s `minimize` method.
gate_gradients: as in `tf.compat.v1.train.Optimizer`'s `minimize` method.
aggregation_method: as in `tf.compat.v1.train.Optimizer`'s `minimize`
method.
colocate_gradients_with_ops: as in `tf.compat.v1.train.Optimizer`'s
`minimize` method.
name: as in `tf.compat.v1.train.Optimizer`'s `minimize` method.
grad_loss: as in `tf.compat.v1.train.Optimizer`'s `minimize` method.
Raises:
ValueError: If the minimization_problem tensors have different dtypes.
Returns:
`Operation`, the train_op.
"""
objective = minimization_problem.objective
constraints = minimization_problem.constraints
proxy_constraints = minimization_problem.proxy_constraints
if proxy_constraints is None:
proxy_constraints = constraints
# Make sure that the objective, constraints and proxy constraints all have
# the same dtype.
if (objective.dtype.base_dtype != constraints.dtype.base_dtype or
objective.dtype.base_dtype != proxy_constraints.dtype.base_dtype):
raise ValueError("objective, constraints and proxy_constraints must "
"have the same dtype")
# Flatten both constraints tensors to 1d.
num_constraints = minimization_problem.num_constraints
constraints = standard_ops.reshape(constraints, shape=(num_constraints,))
proxy_constraints = standard_ops.reshape(
proxy_constraints, shape=(num_constraints,))
# We use a lambda to initialize the state so that, if this function call is
# inside the scope of a tf.control_dependencies() block, the dependencies
# will not be applied to the initializer.
state = standard_ops.Variable(
lambda: self._initial_state(num_constraints),
trainable=False,
name="swap_regret_optimizer_state")
zero_and_constraints = standard_ops.concat((standard_ops.zeros(
(1,), dtype=constraints.dtype), constraints),
axis=0)
objective_and_proxy_constraints = standard_ops.concat(
(standard_ops.expand_dims(objective, 0), proxy_constraints), axis=0)
distribution = self._distribution(state)
loss = standard_ops.tensordot(
standard_ops.cast(distribution, objective_and_proxy_constraints.dtype),
objective_and_proxy_constraints, 1)
matrix_gradient = standard_ops.matmul(
standard_ops.expand_dims(
standard_ops.cast(zero_and_constraints, distribution.dtype), 1),
standard_ops.expand_dims(distribution, 0))
update_ops = []
if self.constraint_optimizer is None:
# If we don't have a separate constraint_optimizer, then we use
# self._optimizer for both the update of the model parameters, and that of
# the internal state.
grads_and_vars = self.optimizer.compute_gradients(
loss,
var_list=var_list,
gate_gradients=gate_gradients,
aggregation_method=aggregation_method,
colocate_gradients_with_ops=colocate_gradients_with_ops,
grad_loss=grad_loss)
grads_and_vars.append(
self._constraint_grad_and_var(state, matrix_gradient))
update_ops.append(
self.optimizer.apply_gradients(grads_and_vars, name="update"))
else:
# If we have a separate constraint_optimizer, then we use self._optimizer
# for the update of the model parameters, and self._constraint_optimizer
# for that of the internal state.
grads_and_vars = self.optimizer.compute_gradients(
loss,
var_list=var_list,
gate_gradients=gate_gradients,
aggregation_method=aggregation_method,
colocate_gradients_with_ops=colocate_gradients_with_ops,
grad_loss=grad_loss)
matrix_grads_and_vars = [
self._constraint_grad_and_var(state, matrix_gradient)
]
gradients = [
gradient for gradient, _ in grads_and_vars + matrix_grads_and_vars
if gradient is not None
]
with ops.control_dependencies(gradients):
update_ops.append(
self.optimizer.apply_gradients(grads_and_vars, name="update"))
update_ops.append(
self.constraint_optimizer.apply_gradients(
matrix_grads_and_vars, name="optimizer_state_update"))
with ops.control_dependencies(update_ops):
if global_step is None:
# If we don't have a global step, just project, and we're done.
return self._projection_op(state, name=name)
else:
# If we have a global step, then we need to increment it in addition to
# projecting.
projection_op = self._projection_op(state, name="project")
with ops.colocate_with(global_step):
global_step_op = state_ops.assign_add(
global_step, 1, name="global_step_increment")
return control_flow_ops.group(projection_op, global_step_op, name=name)
def _minimize_constrained(self,
minimization_problem,
global_step=None,
var_list=None,
gate_gradients=train_optimizer.Optimizer.GATE_OP,
aggregation_method=None,
colocate_gradients_with_ops=False,
name=None,
grad_loss=None):
"""Returns an `Operation` for minimizing the constrained problem.
The `optimizer` constructor parameter will be used to update the model
parameters, while the constraint/objective weight matrix (the analogue of
Lagrange multipliers) will be updated using `constrained_optimizer` (if
provided) or `optimizer` (if not). Whether the matrix updates are additive
or multiplicative depends on the derived class.
Args:
minimization_problem: ConstrainedMinimizationProblem, the problem to
optimize.
global_step: as in `tf.train.Optimizer`'s `minimize` method.
var_list: as in `tf.train.Optimizer`'s `minimize` method.
gate_gradients: as in `tf.train.Optimizer`'s `minimize` method.
aggregation_method: as in `tf.train.Optimizer`'s `minimize` method.
colocate_gradients_with_ops: as in `tf.train.Optimizer`'s `minimize`
method.
name: as in `tf.train.Optimizer`'s `minimize` method.
grad_loss: as in `tf.train.Optimizer`'s `minimize` method.
Raises:
ValueError: If the minimization_problem tensors have different dtypes.
Returns:
`Operation`, the train_op.
"""
objective = minimization_problem.objective
constraints = minimization_problem.constraints
proxy_constraints = minimization_problem.proxy_constraints
if proxy_constraints is None:
proxy_constraints = constraints
# Make sure that the objective, constraints and proxy constraints all have
# the same dtype.
if (objective.dtype.base_dtype != constraints.dtype.base_dtype or
objective.dtype.base_dtype != proxy_constraints.dtype.base_dtype):
raise ValueError("objective, constraints and proxy_constraints must "
"have the same dtype")
# Flatten both constraints tensors to 1d.
num_constraints = minimization_problem.num_constraints
constraints = standard_ops.reshape(constraints, shape=(num_constraints,))
proxy_constraints = standard_ops.reshape(
proxy_constraints, shape=(num_constraints,))
# We use a lambda to initialize the state so that, if this function call is
# inside the scope of a tf.control_dependencies() block, the dependencies
# will not be applied to the initializer.
state = standard_ops.Variable(
lambda: self._initial_state(num_constraints),
trainable=False,
name="swap_regret_optimizer_state")
zero_and_constraints = standard_ops.concat(
(standard_ops.zeros((1,), dtype=constraints.dtype), constraints),
axis=0)
objective_and_proxy_constraints = standard_ops.concat(
(standard_ops.expand_dims(objective, 0), proxy_constraints), axis=0)
distribution = self._distribution(state)
loss = standard_ops.tensordot(
standard_ops.cast(distribution, objective_and_proxy_constraints.dtype),
objective_and_proxy_constraints, 1)
matrix_gradient = standard_ops.matmul(
standard_ops.expand_dims(
standard_ops.cast(zero_and_constraints, distribution.dtype), 1),
standard_ops.expand_dims(distribution, 0))
update_ops = []
if self.constraint_optimizer is None:
# If we don't have a separate constraint_optimizer, then we use
# self._optimizer for both the update of the model parameters, and that of
# the internal state.
grads_and_vars = self.optimizer.compute_gradients(
loss,
var_list=var_list,
gate_gradients=gate_gradients,
aggregation_method=aggregation_method,
colocate_gradients_with_ops=colocate_gradients_with_ops,
grad_loss=grad_loss)
grads_and_vars.append(
self._constraint_grad_and_var(state, matrix_gradient))
update_ops.append(
self.optimizer.apply_gradients(grads_and_vars, name="update"))
else:
# If we have a separate constraint_optimizer, then we use self._optimizer
# for the update of the model parameters, and self._constraint_optimizer
# for that of the internal state.
grads_and_vars = self.optimizer.compute_gradients(
loss,
var_list=var_list,
gate_gradients=gate_gradients,
aggregation_method=aggregation_method,
colocate_gradients_with_ops=colocate_gradients_with_ops,
grad_loss=grad_loss)
matrix_grads_and_vars = [
self._constraint_grad_and_var(state, matrix_gradient)
]
gradients = [
gradient for gradient, _ in grads_and_vars + matrix_grads_and_vars
if gradient is not None
]
with ops.control_dependencies(gradients):
update_ops.append(
self.optimizer.apply_gradients(grads_and_vars, name="update"))
update_ops.append(
self.constraint_optimizer.apply_gradients(
matrix_grads_and_vars, name="optimizer_state_update"))
with ops.control_dependencies(update_ops):
if global_step is None:
# If we don't have a global step, just project, and we're done.
return self._projection_op(state, name=name)
else:
# If we have a global step, then we need to increment it in addition to
# projecting.
projection_op = self._projection_op(state, name="project")
with ops.colocate_with(global_step):
global_step_op = state_ops.assign_add(
global_step, 1, name="global_step_increment")
return control_flow_ops.group(projection_op, global_step_op, name=name)
