diffGrad_v2.py

# Fixes a bug in original diffGrad code
import math
import torch
from torch.optim.optimizer import Optimizer
import numpy as np
import torch.nn as nn
#import torch.optim as Optimizer

class diffgrad(Optimizer):
    r"""Implements diffGrad algorithm. It is modified from the pytorch implementation of Adam.
    It has been proposed in `diffGrad: An Optimization Method for Convolutional Neural Networks`_.
    Arguments:
        params (iterable): iterable of parameters to optimize or dicts defining
            parameter groups
        lr (float, optional): learning rate (default: 1e-3)
        betas (Tuple[float, float], optional): coefficients used for computing
            running averages of gradient and its square (default: (0.9, 0.999))
        eps (float, optional): term added to the denominator to improve
            numerical stability (default: 1e-8)
        weight_decay (float, optional): weight decay (L2 penalty) (default: 0)
        amsgrad (boolean, optional): whether to use the AMSGrad variant of this
            algorithm from the paper `On the Convergence of Adam and Beyond`_
            (default: False)
    .. _diffGrad: An Optimization Method for Convolutional Neural Networks:
        https://arxiv.org/abs/1909.11015
    .. _Adam\: A Method for Stochastic Optimization:
        https://arxiv.org/abs/1412.6980
    .. _On the Convergence of Adam and Beyond:
        https://openreview.net/forum?id=ryQu7f-RZ
    """

    def __init__(self, params, lr=1e-3, betas=(0.9, 0.999), eps=1e-8, weight_decay=0):
        if not 0.0 <= lr:
            raise ValueError("Invalid learning rate: {}".format(lr))
        if not 0.0 <= eps:
            raise ValueError("Invalid epsilon value: {}".format(eps))
        if not 0.0 <= betas[0] < 1.0:
            raise ValueError("Invalid beta parameter at index 0: {}".format(betas[0]))
        if not 0.0 <= betas[1] < 1.0:
            raise ValueError("Invalid beta parameter at index 1: {}".format(betas[1]))
        defaults = dict(lr=lr, betas=betas, eps=eps, weight_decay=weight_decay)
        super(diffgrad, self).__init__(params, defaults)

    def __setstate__(self, state):
        super(diffgrad, self).__setstate__(state)

    def step(self, closure=None):
        """Performs a single optimization step.
        Arguments:
            closure (callable, optional): A closure that reevaluates the model
                and returns the loss.
        """
        loss = None
        if closure is not None:
            loss = closure()

        for group in self.param_groups:
            for p in group['params']:
                if p.grad is None:
                    continue
                grad = p.grad.data
                if grad.is_sparse:
                    raise RuntimeError('diffGrad does not support sparse gradients, please consider SparseAdam instead')

                state = self.state[p]

                # State initialization
                if len(state) == 0:
                    state['step'] = 0
                    # Exponential moving average of gradient values
                    state['exp_avg'] = torch.zeros_like(p.data)
                    # Exponential moving average of squared gradient values
                    state['exp_avg_sq'] = torch.zeros_like(p.data)
                    # Previous gradient
                    state['previous_grad'] = torch.zeros_like(p.data)

                exp_avg, exp_avg_sq, previous_grad = state['exp_avg'], state['exp_avg_sq'], state['previous_grad']
                beta1, beta2 = group['betas']

                state['step'] += 1

                if group['weight_decay'] != 0:
                    grad.add_(group['weight_decay'], p.data)

                # Decay the first and second moment running average coefficient
                exp_avg.mul_(beta1).add_(1 - beta1, grad)
                exp_avg_sq.mul_(beta2).addcmul_(1 - beta2, grad, grad)
                denom = exp_avg_sq.sqrt().add_(group['eps'])

                bias_correction1 = 1 - beta1 ** state['step']
                bias_correction2 = 1 - beta2 ** state['step']

                # compute diffgrad coefficient (dfc)
                diff = abs(previous_grad - grad)
                dfc = 1. / (1. + torch.exp(-diff))
                #state['previous_grad'] = grad %used in paper but has the bug that previous grad is overwritten with grad and diff becomes always zero. Fixed in the next line.
                state['previous_grad'] = grad.clone()
				
				# update momentum with dfc
                exp_avg1 = exp_avg * dfc

                step_size = group['lr'] * math.sqrt(bias_correction2) / bias_correction1

                p.data.addcdiv_(-step_size, exp_avg1, denom)

        return loss