This is a Python implementation of a Probabilistic Line Searches for Stochastic Optimization (NIPS paper, extended version) plus a TensorFlow interface that allows you to use the line search to train your TensorFlow model. Please note: this is a development version with multiple experimental changes compared to the original paper!

The probabilistic line search is an algorithm for the optimization of a stochastic objective function F. Being at point x and having fixed a search direction d, it maintains a Gaussian process model for the one-dimensional function f(t) = F(x + td). This function and its derivative are evaluated at (possibly multiple) step sizes t, updating the GP after each observation. This is repeated until a probabilistic belief over a quality criterion of the step size, implied by the GP, exceeds a certain threshold.

No installation is required, just clone this git repositiory to your machine.

Requirements:

• tensorflow (0.12.0 is known to work)
• numpy (1.11.2 is known to work)
• scipy (0.13.3 is known to work)
• Some of the demo scripts require additional packages, like sys, os, matplotlib et cetera.

The built-in TensorFlow optimizers are used roughly like this

var_list = ...
losses = ... # A vector of losses, one for each example in the batch

loss = tf.mean(losses)
opt = tf.train.GradientDescentOptimizer(learning_rate)
sgd_step = opt.minimize(loss)
sess = tf.Session()
sess.run(tf.initialize_all_variables())

for i in range(num_steps):
  ...
  sess.run(sgd_step, feed_dict_if_applicable)

Usage is slightly different for the probabilistic line search optimizer, but its only five additional lines of code:

from probls.tensorflow_interface.interface_sgd import ProbLSOptimizerSGDInterface
from probls.line_search import ProbLSOptimizer

var_list = ...
losses = ... # A vector of losses, one for each example in the batch

opt_interface = ProbLSOptimizerSGDInterface()
opt_interface.minimize(losses, var_list) # Note that we pass losses, not an aggregate mean loss
sess = tf.Session()
sess.run(tf.initialize_all_variables())
opt_interface.register_session(sess)
opt_ls = ProbLSOptimizer(opt_interface)
opt_ls.prepare(feed_dict_if_applicable)

for i in range(num_steps):
  ...
  opt_ls.proceed(feed_dict_if_applicable)

The effects of these individual commands will become clear in the next section. See the examples/ folder for working demo scripts.

This implementation consists of two major components:

• A line search class (ProbLSOptimizer). It performs the line search, i.e. it gathers observations, updates the GP model, decides where to evaluate next, et cetera. The ProbLSOptimizer takes as argument a func object that is the "interface" to the objective function. It assumes that this interface has certain methods for evaluating at new points or accepting the current one; see below.
• The TensorFlow interface ProbLSOptimizerSGDInterface. This can be used as the func argument for a ProbLSOptimizer and provides the necessary interface to use the line search to train your TensorFlow model.

The ProbLSOptimizer class is implemented in probls.line_search. It excepts a func argument which acts as the interface to the objective function. It is assumend that func has three methods:

• f, df, fvar, dfvar = func.adv_eval(dt, *args) to proceed along the current search direction by an increment dt, returning function value f, projected gradient df and variance estimates for both (fvar, dfvar).
• f, df, fvar, dfvar = func.accept() to accept the current step size, returning function value, projected gradients and an estimate of the variance of these two quantities (df and dfvar with respect to the new search direction).
• f, df, fvar, dfvar = func.prepare(*args) to prepare the interface returning an initial observation.

*args are additional positional arguments, e.g.. an optional feed_dict in the case the TensorFlow interface; see below. The line search algorithm "communicates" with the objective function exclusively via these three methods.

Other than func, ProbLSOptimizer has no required arguments, most notably, no learning rate! The remaining arguments are design parameters of the line search algorithm. See the docstring of ProbLSOptimizer a description of these parameters.

opt_ls has two methods that are of interest for the end-user.

• opt_ls.prepare(*pass_to_func_args) has to be called once to initialize the line search.
• opt_ls.proceed(*pass_to_func_args) proceeds one step in the line search (i.e. one function evaluation). We call this method for however many steps we want to train the model. This is where the actual line search happens, so check out its code (and that of the subroutines it calls) to get an idea of what is going on!

The Gaussian process functionality needed in the line search is outsourced to probls.gaussian_process. It implements one-dimensional Gaussian process regression with an integrated Wiener process kernel that uses observations of both the function value and the derivative. For details, see the docstring of the ProbLSGaussianProcess class.

The TensorFlow interface ProbLSOptimizerSGDInterface is implemented in probls.tensorflow_interface.interface_sgd. It inherits from tf.train.Optimizer and implements the necessary functionality to serve as the func argument of the ProbLSOptimizer, providing the desired interface to the objective function defined by your TensorFlow model. Its minimize(losses, var_list) method adds to sets of operations to the TensorFlow graph:

• adv_eval_op Advance along the current search direction, compute the loss, the gradients and variances of both. Gradient and its variance are stored in slot variables. Return the loss f, projected gradient df, variance of the loss fvar, and variance of the projected gradient dfvar
• accept_op: Accept the current point. Set its gradient as the new search direction. Returns f, df fvar and dfvar, where df and dfvar are now with respect to this new search direction.

In order for the ProbLSOptimizerSGDInterface object to work as a self-contained interface that can perform function/gradient evaluations, you have to pass it a TensorFlow session via its register_session(sess) method. After that, the interface is ready to go and provides the three aforementioned methods adv_eval(dt, optional_feed_dict), accept() and prepare(optional_feed_dict).

A crucial part of the line search are within-batch estimates of the variance of the function value and the gradient, see equations (17) and (18) in the paper. The variance of the objective is easily computed given the individual loss values for the examples in the batch. That is why we pass the vector of losses, instead of a mean loss. Computing the gradient variance is a little tricky; a detailed explanation can be found in this note. For the implementation, see probls.tensorflow_interface.gradient_moment.