Source code for pyro.optim.clipped_adam

# Copyright (c) 2017-2019 Uber Technologies, Inc.
# SPDX-License-Identifier: Apache-2.0

import math
from typing import Any, Callable, Optional, Tuple

import torch
from torch.optim.optimizer import Optimizer

[docs]class ClippedAdam(Optimizer): """ :param params: iterable of parameters to optimize or dicts defining parameter groups :param lr: learning rate (default: 1e-3) :param Tuple betas: coefficients used for computing running averages of gradient and its square (default: (0.9, 0.999)) :param eps: term added to the denominator to improve numerical stability (default: 1e-8) :param weight_decay: weight decay (L2 penalty) (default: 0) :param clip_norm: magnitude of norm to which gradients are clipped (default: 10.0) :param lrd: rate at which learning rate decays (default: 1.0) Small modification to the Adam algorithm implemented in torch.optim.Adam to include gradient clipping and learning rate decay. Reference `A Method for Stochastic Optimization`, Diederik P. Kingma, Jimmy Ba """ def __init__( self, params, lr: float = 1e-3, betas: Tuple = (0.9, 0.999), eps: float = 1e-8, weight_decay=0, clip_norm: float = 10.0, lrd: float = 1.0, ): defaults = dict( lr=lr, betas=betas, eps=eps, weight_decay=weight_decay, clip_norm=clip_norm, lrd=lrd, ) super().__init__(params, defaults)
[docs] def step(self, closure: Optional[Callable] = None) -> Optional[Any]: """ :param closure: An optional closure that reevaluates the model and returns the loss. Performs a single optimization step. """ loss = None if closure is not None: loss = closure() for group in self.param_groups: group["lr"] *= group["lrd"] for p in group["params"]: if p.grad is None: continue grad = grad.clamp_(-group["clip_norm"], group["clip_norm"]) 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(grad) # Exponential moving average of squared gradient values state["exp_avg_sq"] = torch.zeros_like(grad) exp_avg, exp_avg_sq = state["exp_avg"], state["exp_avg_sq"] beta1, beta2 = group["betas"] state["step"] += 1 if group["weight_decay"] != 0: grad = grad.add(, alpha=group["weight_decay"]) # Decay the first and second moment running average coefficient exp_avg.mul_(beta1).add_(grad, alpha=1 - beta1) exp_avg_sq.mul_(beta2).addcmul_(grad, grad, value=1 - beta2) denom = exp_avg_sq.sqrt().add_(group["eps"]) bias_correction1 = 1 - beta1 ** state["step"] bias_correction2 = 1 - beta2 ** state["step"] step_size = group["lr"] * math.sqrt(bias_correction2) / bias_correction1, denom, value=-step_size) return loss