def test_sym_rinverse(A, use_sym):
d = A.shape[-1]
assert_equal(rinverse(A, sym=use_sym), torch.inverse(A), prec=1e-8)
assert_equal(torch.mm(A, rinverse(A, sym=use_sym)),
torch.eye(d),
prec=1e-8)
batched_A = A.unsqueeze(0).unsqueeze(0).expand(5, 4, d, d)
expected_A = torch.inverse(A).unsqueeze(0).unsqueeze(0).expand(5, 4, d, d)
assert_equal(rinverse(batched_A, sym=use_sym), expected_A, prec=1e-8)
def newton_step_3d(loss, x, trust_radius=None):
"""
Performs a Newton update step to minimize loss on a batch of 3-dimensional
variables, optionally regularizing to constrain to a trust region.
See :func:`newton_step` for details.
:param torch.Tensor loss: A scalar function of ``x`` to be minimized.
:param torch.Tensor x: A dependent variable with rightmost size of 2.
:param float trust_radius: An optional trust region trust_radius. The
updated value ``mode`` of this function will be within
``trust_radius`` of the input ``x``.
:return: A pair ``(mode, cov)`` where ``mode`` is an updated tensor
of the same shape as the original value ``x``, and ``cov`` is an
esitmate of the covariance 3x3 matrix with
``cov.shape == x.shape[:-1] + (3,3)``.
:rtype: tuple
"""
if loss.shape != ():
raise ValueError(
"Expected loss to be a scalar, actual shape {}".format(loss.shape))
if x.dim() < 1 or x.shape[-1] != 3:
raise ValueError(
"Expected x to have rightmost size 3, actual shape {}".format(
x.shape))
# compute derivatives
g = grad(loss, [x], create_graph=True)[0]
H = torch.stack(
[
grad(g[..., 0].sum(), [x], create_graph=True)[0],
grad(g[..., 1].sum(), [x], create_graph=True)[0],
grad(g[..., 2].sum(), [x], create_graph=True)[0],
],
-1,
)
assert g.shape[-1:] == (3, )
assert H.shape[-2:] == (3, 3)
warn_if_nan(g, "g")
warn_if_nan(H, "H")
if trust_radius is not None:
# regularize to keep update within ball of given trust_radius
# calculate eigenvalues of symmetric matrix
min_eig, _, _ = eig_3d(H)
regularizer = (g.pow(2).sum(-1).sqrt() / trust_radius -
min_eig).clamp_(min=1e-8)
warn_if_nan(regularizer, "regularizer")
H = H + regularizer.unsqueeze(-1).unsqueeze(-1) * torch.eye(
3, dtype=H.dtype, device=H.device)
# compute newton update
Hinv = rinverse(H, sym=True)
warn_if_nan(Hinv, "Hinv")
# apply update
x_new = x.detach() - (Hinv * g.unsqueeze(-2)).sum(-1)
assert x_new.shape == x.shape, "{} {}".format(x_new.shape, x.shape)
return x_new, Hinv
def newton_step_2d(loss, x, trust_radius=None):
"""
Performs a Newton update step to minimize loss on a batch of 2-dimensional
variables, optionally regularizing to constrain to a trust region.
See :func:`newton_step` for details.
:param torch.Tensor loss: A scalar function of ``x`` to be minimized.
:param torch.Tensor x: A dependent variable with rightmost size of 2.
:param float trust_radius: An optional trust region trust_radius. The
updated value ``mode`` of this function will be within
``trust_radius`` of the input ``x``.
:return: A pair ``(mode, cov)`` where ``mode`` is an updated tensor
of the same shape as the original value ``x``, and ``cov`` is an
esitmate of the covariance 2x2 matrix with
``cov.shape == x.shape[:-1] + (2,2)``.
:rtype: tuple
"""
if loss.shape != ():
raise ValueError(
'Expected loss to be a scalar, actual shape {}'.format(loss.shape))
if x.dim() < 1 or x.shape[-1] != 2:
raise ValueError(
'Expected x to have rightmost size 2, actual shape {}'.format(
x.shape))
# compute derivatives
g = grad(loss, [x], create_graph=True)[0]
H = torch.stack([
grad(g[..., 0].sum(), [x], create_graph=True)[0],
grad(g[..., 1].sum(), [x], create_graph=True)[0]
], -1)
assert g.shape[-1:] == (2, )
assert H.shape[-2:] == (2, 2)
warn_if_nan(g, 'g')
warn_if_nan(H, 'H')
if trust_radius is not None:
# regularize to keep update within ball of given trust_radius
detH = H[..., 0, 0] * H[..., 1, 1] - H[..., 0, 1] * H[..., 1, 0]
mean_eig = (H[..., 0, 0] + H[..., 1, 1]) / 2
min_eig = mean_eig - (mean_eig**2 - detH).clamp(min=0).sqrt()
regularizer = (g.pow(2).sum(-1).sqrt() / trust_radius -
min_eig).clamp_(min=1e-8)
warn_if_nan(regularizer, 'regularizer')
H = H + regularizer.unsqueeze(-1).unsqueeze(-1) * torch.eye(
2, dtype=H.dtype, device=H.device)
# compute newton update
Hinv = rinverse(H, sym=True)
warn_if_nan(Hinv, 'Hinv')
# apply update
x_new = x.detach() - (Hinv * g.unsqueeze(-2)).sum(-1)
assert x_new.shape == x.shape
return x_new, Hinv
def linear_model_formula(self, y, design, target_labels):
tikhonov_diag = torch.diag(self.softplus(self.tikhonov_diag))
xtx = torch.matmul(design.transpose(-1, -2), design) + tikhonov_diag
xtxi = rinverse(xtx, sym=True)
mu = rmv(xtxi, rmv(design.transpose(-1, -2), y))
# Extract sub-indices
mu = tensor_to_dict(self.w_sizes, mu, subset=target_labels)
scale_tril = {l: rtril(self.scale_tril[l]) for l in target_labels}
return mu, scale_tril
def finalize(self, loss, target_labels):
"""
Compute the Hessian of the parameters wrt ``loss``
:param torch.Tensor loss: the output of evaluating a loss function such as
`pyro.infer.Trace_ELBO().differentiable_loss` on the model, guide and design.
:param list target_labels: list indicating the sample sites that are targets, i.e. for which information gain
should be measured.
"""
# set self.training = False
self.eval()
for l, mu_l in self.means.items():
if l not in target_labels:
continue
hess_l = self._hessian_diag(loss, mu_l, event_shape=(self.w_sizes[l],))
cov_l = rinverse(hess_l)
self.scale_trils[l] = cov_l.cholesky(upper=False)
