Source code for zfit.minimizers.tf_external_optimizer

#  Copyright (c) 2019 zfit
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# See the License for the specific language governing permissions and
# limitations under the License.
# ==============================================================================
"""TensorFlow interface for third-party optimizers."""

import numpy as np

from tensorflow.python.framework import ops
from tensorflow.python.ops import array_ops
from tensorflow.python.ops import gradients
from tensorflow.python.ops import variables
from tensorflow.python.platform import tf_logging as logging

__all__ = ['ExternalOptimizerInterface', 'ScipyOptimizerInterface']

[docs]class ExternalOptimizerInterface: # COPYRIGHT: remove explicit `object` inheritance (py3+ only) """Base class for interfaces with external optimization algorithms. Subclass this and implement `_minimize` in order to wrap a new optimization algorithm. `ExternalOptimizerInterface` should not be instantiated directly; instead use e.g. `ScipyOptimizerInterface`. """ def __init__(self, loss, var_list=None, equalities=None, inequalities=None, var_to_bounds=None, **optimizer_kwargs): """Initialize a new interface instance. Args: loss: A scalar `Tensor` to be minimized. var_list: Optional `list` of `Variable` objects to update to minimize `loss`. Defaults to the list of variables collected in the graph under the key `GraphKeys.TRAINABLE_VARIABLES`. equalities: Optional `list` of equality constraint scalar `Tensor`s to be held equal to zero. inequalities: Optional `list` of inequality constraint scalar `Tensor`s to be held nonnegative. var_to_bounds: Optional `dict` where each key is an optimization `Variable` and each corresponding value is a length-2 tuple of `(low, high)` bounds. Although enforcing this kind of simple constraint could be accomplished with the `inequalities` arg, not all optimization algorithms support general inequality constraints, e.g. L-BFGS-B. Both `low` and `high` can either be numbers or anything convertible to a NumPy array that can be broadcast to the shape of `var` (using `np.broadcast_to`). To indicate that there is no bound, use `None` (or `+/- np.infty`). For example, if `var` is a 2x3 matrix, then any of the following corresponding `bounds` could be supplied: * `(0, np.infty)`: Each element of `var` held positive. * `(-np.infty, [1, 2])`: First column less than 1, second column less than 2. * `(-np.infty, [[1], [2], [3]])`: First row less than 1, second row less than 2, etc. * `(-np.infty, [[1, 2, 3], [4, 5, 6]])`: Entry `var[0, 0]` less than 1, `var[0, 1]` less than 2, etc. **optimizer_kwargs: Other subclass-specific keyword arguments. """ self._loss = loss self._equalities = equalities or [] self._inequalities = inequalities or [] if var_list is None: self._vars = variables.trainable_variables() else: self._vars = list(var_list) packed_bounds = None if var_to_bounds is not None: left_packed_bounds = [] right_packed_bounds = [] for var in self._vars: shape = var.get_shape().as_list() bounds = (-np.infty, np.infty) if var in var_to_bounds: bounds = var_to_bounds[var] left_packed_bounds.extend(list(np.broadcast_to(bounds[0], shape).flat)) right_packed_bounds.extend(list(np.broadcast_to(bounds[1], shape).flat)) packed_bounds = list(zip(left_packed_bounds, right_packed_bounds)) self._packed_bounds = packed_bounds self._update_placeholders = [ array_ops.placeholder(var.dtype) for var in self._vars ] self._var_updates = [ var.assign(array_ops.reshape(placeholder, _get_shape_tuple(var))) for var, placeholder in zip(self._vars, self._update_placeholders) ] loss_grads = _compute_gradients(loss, self._vars) equalities_grads = [ _compute_gradients(equality, self._vars) for equality in self._equalities ] inequalities_grads = [ _compute_gradients(inequality, self._vars) for inequality in self._inequalities ] self.optimizer_kwargs = optimizer_kwargs self._packed_var = self._pack(self._vars) self._packed_loss_grad = self._pack(loss_grads) self._packed_equality_grads = [ self._pack(equality_grads) for equality_grads in equalities_grads ] self._packed_inequality_grads = [ self._pack(inequality_grads) for inequality_grads in inequalities_grads ] dims = [_prod(_get_shape_tuple(var)) for var in self._vars] accumulated_dims = list(_accumulate(dims)) self._packing_slices = [ slice(start, end) for start, end in zip(accumulated_dims[:-1], accumulated_dims[1:]) ]
[docs] def minimize(self, feed_dict=None, fetches=None, step_callback=None, loss_callback=None, **run_kwargs): """Minimize a scalar `Tensor`. Variables subject to optimization are updated in-place at the end of optimization. Note that this method does *not* just return a minimization `Op`, unlike `Optimizer.minimize()`; instead it actually performs minimization by executing commands to control a `Session`. Args: session: A `Session` instance. feed_dict: A feed dict to be passed to calls to ``. fetches: A list of `Tensor`s to fetch and supply to `loss_callback` as positional arguments. step_callback: A function to be called at each optimization step; arguments are the current values of all optimization variables flattened into a single vector. loss_callback: A function to be called every time the loss and gradients are computed, with evaluated fetches supplied as positional arguments. **run_kwargs: kwargs to pass to ``. """ feed_dict = feed_dict or {} fetches = fetches or [] loss_callback = loss_callback or (lambda *fetches: None) step_callback = step_callback or (lambda *xk: None) # Construct loss function and associated gradient. loss_grad_func = self._make_eval_func([self._loss, self._packed_loss_grad], session, feed_dict, fetches, loss_callback) # Construct equality constraint functions and associated gradients. equality_funcs = self._make_eval_funcs(self._equalities, session, feed_dict, fetches) equality_grad_funcs = self._make_eval_funcs(self._packed_equality_grads, session, feed_dict, fetches) # Construct inequality constraint functions and associated gradients. inequality_funcs = self._make_eval_funcs(self._inequalities, session, feed_dict, fetches) inequality_grad_funcs = self._make_eval_funcs(self._packed_inequality_grads, session, feed_dict, fetches) # Get initial value from TF session. initial_packed_var_val = # Perform minimization. result = self._minimize( initial_val=initial_packed_var_val, loss_grad_func=loss_grad_func, equality_funcs=equality_funcs, equality_grad_funcs=equality_grad_funcs, inequality_funcs=inequality_funcs, inequality_grad_funcs=inequality_grad_funcs, packed_bounds=self._packed_bounds, step_callback=step_callback, optimizer_kwargs=self.optimizer_kwargs) packed_var_val = result['x'] # LICENSE: get result (above) and extract 'x' here to keep the result var_vals = [ packed_var_val[packing_slice] for packing_slice in self._packing_slices ] # LICENSE: changed lines below on updating the parameters # Set optimization variables to their new values. for param, val in zip(self._vars, var_vals): param.load(value=val[0], **run_kwargs) # LICENSE: return fit result from scipy return result
def _minimize(self, initial_val, loss_grad_func, equality_funcs, equality_grad_funcs, inequality_funcs, inequality_grad_funcs, packed_bounds, step_callback, optimizer_kwargs): """Wrapper for a particular optimization algorithm implementation. It would be appropriate for a subclass implementation of this method to raise `NotImplementedError` if unsupported arguments are passed: e.g. if an algorithm does not support constraints but `len(equality_funcs) > 0`. Args: initial_val: A NumPy vector of initial values. loss_grad_func: A function accepting a NumPy packed variable vector and returning two outputs, a loss value and the gradient of that loss with respect to the packed variable vector. equality_funcs: A list of functions each of which specifies a scalar quantity that an optimizer should hold exactly zero. equality_grad_funcs: A list of gradients of equality_funcs. inequality_funcs: A list of functions each of which specifies a scalar quantity that an optimizer should hold >= 0. inequality_grad_funcs: A list of gradients of inequality_funcs. packed_bounds: A list of bounds for each index, or `None`. step_callback: A callback function to execute at each optimization step, supplied with the current value of the packed variable vector. optimizer_kwargs: Other key-value arguments available to the optimizer. Returns: The optimal variable vector as a NumPy vector. """ raise NotImplementedError( 'To use ExternalOptimizerInterface, subclass from it and implement ' 'the _minimize() method.') @classmethod def _pack(cls, tensors): """Pack a list of `Tensor`s into a single, flattened, rank-1 `Tensor`.""" if not tensors: return None elif len(tensors) == 1: return array_ops.reshape(tensors[0], [-1]) else: flattened = [array_ops.reshape(tensor, [-1]) for tensor in tensors] return array_ops.concat(flattened, 0) def _make_eval_func(self, tensors, session, feed_dict, fetches, callback=None): """Construct a function that evaluates a `Tensor` or list of `Tensor`s.""" if not isinstance(tensors, list): tensors = [tensors] num_tensors = len(tensors) def eval_func(x): """Function to evaluate a `Tensor`.""" augmented_feed_dict = { var: x[packing_slice].reshape(_get_shape_tuple(var)) for var, packing_slice in zip(self._vars, self._packing_slices) } augmented_feed_dict.update(feed_dict) # LICENSE: added loop below, as feed_dict cannot (anymore) replace `Variables` value for param, value in augmented_feed_dict.items(): param.load(value=value) augmented_fetches = tensors + fetches augmented_fetch_vals = augmented_fetches, feed_dict=feed_dict) # LICENSE: changed to feed_dict only, not augmented_feed_dict if callable(callback): callback(*augmented_fetch_vals[num_tensors:]) return augmented_fetch_vals[:num_tensors] return eval_func def _make_eval_funcs(self, tensors, session, feed_dict, fetches, callback=None): return [ self._make_eval_func(tensor, session, feed_dict, fetches, callback) for tensor in tensors ]
[docs]class ScipyOptimizerInterface(ExternalOptimizerInterface): """Wrapper allowing `scipy.optimize.minimize` to operate a `tf.compat.v1.Session`. Example: ```python vector = tf.Variable([7., 7.], 'vector') # Make vector norm as small as possible. loss = tf.reduce_sum(tf.square(vector)) optimizer = ScipyOptimizerInterface(loss, options={'maxiter': 100}) with tf.compat.v1.Session() as session: optimizer.minimize(session) # The value of vector should now be [0., 0.]. ``` Example with simple bound constraints: ```python vector = tf.Variable([7., 7.], 'vector') # Make vector norm as small as possible. loss = tf.reduce_sum(tf.square(vector)) optimizer = ScipyOptimizerInterface( loss, var_to_bounds={vector: ([1, 2], np.infty)}) with tf.compat.v1.Session() as session: optimizer.minimize(session) # The value of vector should now be [1., 2.]. ``` Example with more complicated constraints: ```python vector = tf.Variable([7., 7.], 'vector') # Make vector norm as small as possible. loss = tf.reduce_sum(tf.square(vector)) # Ensure the vector's y component is = 1. equalities = [vector[1] - 1.] # Ensure the vector's x component is >= 1. inequalities = [vector[0] - 1.] # Our default SciPy optimization algorithm, L-BFGS-B, does not support # general constraints. Thus we use SLSQP instead. optimizer = ScipyOptimizerInterface( loss, equalities=equalities, inequalities=inequalities, method='SLSQP') with tf.compat.v1.Session() as session: optimizer.minimize(session) # The value of vector should now be [1., 1.]. ``` """ _DEFAULT_METHOD = 'L-BFGS-B' def _minimize(self, initial_val, loss_grad_func, equality_funcs, equality_grad_funcs, inequality_funcs, inequality_grad_funcs, packed_bounds, step_callback, optimizer_kwargs): def loss_grad_func_wrapper(x): # SciPy's L-BFGS-B Fortran implementation requires gradients as doubles. loss, gradient = loss_grad_func(x) return loss, gradient.astype('float64') optimizer_kwargs = dict(optimizer_kwargs.items()) method = optimizer_kwargs.pop('method', self._DEFAULT_METHOD) constraints = [] for func, grad_func in zip(equality_funcs, equality_grad_funcs): constraints.append({'type': 'eq', 'fun': func, 'jac': grad_func}) for func, grad_func in zip(inequality_funcs, inequality_grad_funcs): constraints.append({'type': 'ineq', 'fun': func, 'jac': grad_func}) minimize_args = [loss_grad_func_wrapper, initial_val] minimize_kwargs = { 'jac': True, 'callback': step_callback, 'method': method, 'constraints': constraints, 'bounds': packed_bounds, } for kwarg in minimize_kwargs: if kwarg in optimizer_kwargs: if kwarg == 'bounds': # Special handling for 'bounds' kwarg since ability to specify bounds # was added after this module was already publicly released. raise ValueError( 'Bounds must be set using the var_to_bounds argument') raise ValueError( 'Optimizer keyword arg \'{}\' is set ' 'automatically and cannot be injected manually'.format(kwarg)) minimize_kwargs.update(optimizer_kwargs) import scipy.optimize # pylint: disable=g-import-not-at-top result = scipy.optimize.minimize(*minimize_args, **minimize_kwargs) message_lines = [ 'Optimization terminated with:', ' Message: %s', ' Objective function value: %f', ] message_args = [result.message,] if hasattr(result, 'nit'): # Some optimization methods might not provide information such as nit and # nfev in the return. Logs only available information. message_lines.append(' Number of iterations: %d') message_args.append(result.nit) if hasattr(result, 'nfev'): message_lines.append(' Number of functions evaluations: %d') message_args.append(result.nfev)'\n'.join(message_lines), *message_args) return result
def _accumulate(list_): total = 0 yield total for x in list_: total += x yield total def _get_shape_tuple(tensor): return tuple(dim.value for dim in tensor.get_shape()) def _prod(array): prod = 1 for value in array: prod *= value return prod def _compute_gradients(tensor, var_list): grads = gradients.gradients(tensor, var_list) # tf.gradients sometimes returns `None` when it should return 0. return [ grad if grad is not None else array_ops.zeros_like(var) for var, grad in zip(var_list, grads) ]