[pytorch] Add strong Wolfe line search for lbfgs #8824
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fehiepsi
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apaszke,
colesbury,
ezyang,
gchanan,
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zdevito
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| # store new direction/step | ||
| old_dirs.append(y) | ||
| old_stps.append(s) | ||
| ro.append(1. / ys) |
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| # directional derivative is below tolerance | ||
| if gtd > -tolerance_change: | ||
| break |
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| if d.mul(t).abs_().sum() <= tolerance_change: | ||
| # lack of progress | ||
| if d.mul(t).abs().max() <= tolerance_change: |
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| flat_grad = self._gather_flat_grad() | ||
| abs_grad_sum = flat_grad.abs().sum() | ||
| opt_cond = flat_grad.abs().max() <= tolerance_grad |
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| min_pos = x1 - (x1 - x2) * ((g1 + d2 - d1) / (g1 - g2 + 2 * d2)) | ||
| return min(max(min_pos, xmin_bound), xmax_bound) | ||
| else: | ||
| return (xmin_bound + xmax_bound) / 2. |
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test/test_optim.py
Outdated
| lambda params: optim.LBFGS(params, lr=5e-2, max_iter=5), | ||
| wrap_old_fn(old_optim.lbfgs, learningRate=5e-2, maxIter=5) | ||
| lambda params: optim.LBFGS(params, lr=1, max_iter=5), | ||
| wrap_old_fn(old_optim.lbfgs, learningRate=1, maxIter=5) |
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I'll review this soon. |
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cc: @ssnl |
jeffreyksmithjr
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Thanks for reviewing @vincentqb ! |
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Thanks for the references! This PR looks good to me :)
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@vincentqb is landing this pull request. If you are a Facebook employee, you can view this diff on Phabricator.
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@vincentqb merged this pull request in ad73ea2. |
This has been copied from pytorch/pytorch#8824 PyTorch 1.2.0 has already merged this pull-request and we will incorporate it from the official repository in our code in near future.
8 participants
This pull request adds a line search for lbfgs. "strong Wolfe" is the default line search method in minFunc and it is also recommended in the Numerical Optimization book.
The implementation is based on four sources:
The 'lua' version is based on an old version of
minFunc, which has been updated in 2012. I made a couple of small changes based on the updated version. Due to that, the test of comparing with.luaversion is not consistent (that's is the reason I changed a learning rate in the test).Differential Revision: D15740107