torchzero 0.3.9__py3-none-any.whl → 0.3.11__py3-none-any.whl

torchzero/modules/grad_approximation/rfdm.py

@@ -3,104 +3,274 @@ from typing import Any
 from functools import partial
 import torch
 
-from ...utils import TensorList, Distributions, NumberList, generic_eq
+from ...utils import TensorList, Distributions, NumberList
 from .grad_approximator import GradApproximator, GradTarget, _FD_Formula
 
-
-def _rforward2(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, v_0: float | None):
+def _rforward2(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, f_0: float | None):
     """p_fn is a function that returns the perturbation.
     It may return pre-generated one or generate one deterministically from a seed as in MeZO.
     Returned perturbation must be multiplied by `h`."""
-    if v_0 is None: v_0 = closure(False)
+    if f_0 is None: f_0 = closure(False)
     params += p_fn()
-    v_plus = closure(False)
+    f_1 = closure(False)
     params -= p_fn()
     h = h**2 # because perturbation already multiplied by h
-    return v_0, v_0, (v_plus - v_0) / h # (loss, loss_approx, grad)
+    return f_0, f_0, (f_1 - f_0) / h # (loss, loss_approx, grad)
 
-def _rbackward2(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, v_0: float | None):
-    if v_0 is None: v_0 = closure(False)
+def _rbackward2(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, f_0: float | None):
+    if f_0 is None: f_0 = closure(False)
     params -= p_fn()
-    v_minus = closure(False)
+    f_m1 = closure(False)
     params += p_fn()
     h = h**2 # because perturbation already multiplied by h
-    return v_0, v_0, (v_0 - v_minus) / h
+    return f_0, f_0, (f_0 - f_m1) / h
 
-def _rcentral2(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, v_0: Any):
+def _rcentral2(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, f_0: Any):
     params += p_fn()
-    v_plus = closure(False)
+    f_1 = closure(False)
 
     params -= p_fn() * 2
-    v_minus = closure(False)
+    f_m1 = closure(False)
 
     params += p_fn()
     h = h**2 # because perturbation already multiplied by h
-    return v_0, v_plus, (v_plus - v_minus) / (2 * h)
+    return f_0, f_1, (f_1 - f_m1) / (2 * h)
 
-def _rforward3(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, v_0: float | None):
-    if v_0 is None: v_0 = closure(False)
+def _rforward3(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, f_0: float | None):
+    if f_0 is None: f_0 = closure(False)
     params += p_fn()
-    v_plus1 = closure(False)
+    f_1 = closure(False)
 
     params += p_fn()
-    v_plus2 = closure(False)
+    f_2 = closure(False)
 
     params -= p_fn() * 2
     h = h**2 # because perturbation already multiplied by h
-    return v_0, v_0, (-3*v_0 + 4*v_plus1 - v_plus2) / (2 * h)
+    return f_0, f_0, (-3*f_0 + 4*f_1 - f_2) / (2 * h)
 
-def _rbackward3(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, v_0: float | None):
-    if v_0 is None: v_0 = closure(False)
+def _rbackward3(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, f_0: float | None):
+    if f_0 is None: f_0 = closure(False)
 
     params -= p_fn()
-    v_minus1 = closure(False)
+    f_m1 = closure(False)
 
     params -= p_fn()
-    v_minus2 = closure(False)
+    f_m2 = closure(False)
 
     params += p_fn() * 2
     h = h**2 # because perturbation already multiplied by h
-    return v_0, v_0, (v_minus2 - 4*v_minus1 + 3*v_0) / (2 * h)
+    return f_0, f_0, (f_m2 - 4*f_m1 + 3*f_0) / (2 * h)
 
-def _rcentral4(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, v_0: float | None):
+def _rcentral4(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, f_0: float | None):
     params += p_fn()
-    v_plus1 = closure(False)
+    f_1 = closure(False)
 
     params += p_fn()
-    v_plus2 = closure(False)
+    f_2 = closure(False)
 
     params -= p_fn() * 3
-    v_minus1 = closure(False)
+    f_m1 = closure(False)
 
     params -= p_fn()
-    v_minus2 = closure(False)
+    f_m2 = closure(False)
+
+    params += p_fn() * 2
+    h = h**2 # because perturbation already multiplied by h
+    return f_0, f_1, (f_m2 - 8*f_m1 + 8*f_1 - f_2) / (12 * h)
+
+# some good ones
+# Pachalyl S. et al. Generalized simultaneous perturbation-based gradient search with reduced estimator bias //IEEE Transactions on Automatic Control. – 2025.
+# Three measurements GSPSA is _rforward3
+# Four measurements GSPSA
+def _rforward4(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, f_0: float | None):
+    if f_0 is None: f_0 = closure(False)
+    params += p_fn()
+    f_1 = closure(False)
+
+    params += p_fn()
+    f_2 = closure(False)
+
+    params += p_fn()
+    f_3 = closure(False)
+
+    params -= p_fn() * 3
+    h = h**2 # because perturbation already multiplied by h
+    return f_0, f_0, (2*f_3 - 9*f_2 + 18*f_1 - 11*f_0) / (6 * h)
+
+def _rforward5(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, f_0: float | None):
+    if f_0 is None: f_0 = closure(False)
+    params += p_fn()
+    f_1 = closure(False)
+
+    params += p_fn()
+    f_2 = closure(False)
+
+    params += p_fn()
+    f_3 = closure(False)
+
+    params += p_fn()
+    f_4 = closure(False)
+
+    params -= p_fn() * 4
+    h = h**2 # because perturbation already multiplied by h
+    return f_0, f_0, (-3*f_4 + 16*f_3 - 36*f_2 + 48*f_1 - 25*f_0) / (12 * h)
+
+# another central4
+def _bgspsa4(closure: Callable[..., float], params:TensorList, p_fn:Callable[[], TensorList], h, f_0: float | None):
+    params += p_fn()
+    f_1 = closure(False)
 
     params += p_fn() * 2
+    f_3 = closure(False)
+
+    params -= p_fn() * 4
+    f_m1 = closure(False)
+
+    params -= p_fn() * 2
+    f_m3 = closure(False)
+
+    params += p_fn() * 3
     h = h**2 # because perturbation already multiplied by h
-    return v_0, v_plus1, (v_minus2 - 8*v_minus1 + 8*v_plus1 - v_plus2) / (12 * h)
+    return f_0, f_1, (27*f_1 - f_m1 - f_3 + f_m3) / (48 * h)
+
 
 _RFD_FUNCS = {
+    "forward": _rforward2,
     "forward2": _rforward2,
+    "backward": _rbackward2,
     "backward2": _rbackward2,
+    "central": _rcentral2,
     "central2": _rcentral2,
+    "central3": _rcentral2,
     "forward3": _rforward3,
     "backward3": _rbackward3,
     "central4": _rcentral4,
+    "forward4": _rforward4,
+    "forward5": _rforward5,
+    "bspsa4": _bgspsa4,
 }
 
 
 class RandomizedFDM(GradApproximator):
+    """Gradient approximation via a randomized finite-difference method.
+
+    .. note::
+        This module is a gradient approximator. It modifies the closure to evaluate the estimated gradients,
+        and further closure-based modules will use the modified closure. All modules after this will use estimated gradients.
+
+    Args:
+        h (float, optional): finite difference step size of jvp_method is set to `forward` or `central`. Defaults to 1e-3.
+        n_samples (int, optional): number of random gradient samples. Defaults to 1.
+        formula (_FD_Formula, optional): finite difference formula. Defaults to 'central2'.
+        distribution (Distributions, optional): distribution. Defaults to "rademacher".
+            If this is set to a value higher than zero, instead of using directional derivatives in a new random direction on each step, the direction changes gradually with momentum based on this value. This may make it possible to use methods with memory. Defaults to 0.
+        beta (float, optional): optinal momentum for generated perturbations. Defaults to 1e-3.
+        pre_generate (bool, optional):
+            whether to pre-generate gradient samples before each step. If samples are not pre-generated, whenever a method performs multiple closure evaluations, the gradient will be evaluated in different directions each time. Defaults to True.
+        seed (int | None | torch.Generator, optional): Seed for random generator. Defaults to None.
+        target (GradTarget, optional): what to set on var. Defaults to "closure".
+
+    Examples:
+        #### Simultaneous perturbation stochastic approximation (SPSA) method
+
+        SPSA is randomized finite differnce with rademacher distribution and central formula.
+
+        .. code-block:: python
+
+            spsa = tz.Modular(
+                model.parameters(),
+                tz.m.RandomizedFDM(formula="central", distribution="rademacher"),
+                tz.m.LR(1e-2)
+            )
+
+        #### Random-direction stochastic approximation (RDSA) method
+
+        RDSA is randomized finite differnce with usually gaussian distribution and central formula.
+
+        .. code-block:: python
+
+            rdsa = tz.Modular(
+                model.parameters(),
+                tz.m.RandomizedFDM(formula="central", distribution="gaussian"),
+                tz.m.LR(1e-2)
+            )
+
+        #### RandomizedFDM with momentum
+
+        Momentum might help by reducing the variance of the estimated gradients.
+
+        .. code-block:: python
+
+            momentum_spsa = tz.Modular(
+                model.parameters(),
+                tz.m.RandomizedFDM(),
+                tz.m.HeavyBall(0.9),
+                tz.m.LR(1e-3)
+            )
+
+        #### Gaussian smoothing method
+
+        GS uses many gaussian samples with possibly a larger finite difference step size.
+
+        .. code-block:: python
+
+            gs = tz.Modular(
+                model.parameters(),
+                tz.m.RandomizedFDM(n_samples=100, distribution="gaussian", formula="forward2", h=1e-1),
+                tz.m.NewtonCG(hvp_method="forward"),
+                tz.m.Backtracking()
+            )
+
+        #### SPSA-NewtonCG
+
+        NewtonCG with hessian-vector product estimated via gradient difference
+        calls closure multiple times per step. If each closure call estimates gradients
+        with different perturbations, NewtonCG is unable to produce useful directions.
+
+        By setting pre_generate to True, perturbations are generated once before each step,
+        and each closure call estimates gradients using the same pre-generated perturbations.
+        This way closure-based algorithms are able to use gradients estimated in a consistent way.
+
+        .. code-block:: python
+
+            opt = tz.Modular(
+                model.parameters(),
+                tz.m.RandomizedFDM(n_samples=10),
+                tz.m.NewtonCG(hvp_method="forward", pre_generate=True),
+                tz.m.Backtracking()
+            )
+
+        #### SPSA-BFGS
+
+        L-BFGS uses a memory of past parameter and gradient differences. If past gradients
+        were estimated with different perturbations, L-BFGS directions will be useless.
+
+        To alleviate this momentum can be added to random perturbations to make sure they only
+        change by a little bit, and the history stays relevant. The momentum is determined by the :code:`beta` parameter.
+        The disadvantage is that the subspace the algorithm is able to explore changes slowly.
+
+        Additionally we will reset BFGS memory every 100 steps to remove influence from old gradient estimates.
+
+        .. code-block:: python
+
+            opt = tz.Modular(
+                model.parameters(),
+                tz.m.RandomizedFDM(n_samples=10, pre_generate=True, beta=0.99),
+                tz.m.BFGS(reset_interval=100),
+                tz.m.Backtracking()
+            )
+    """
     PRE_MULTIPLY_BY_H = True
     def __init__(
         self,
         h: float = 1e-3,
         n_samples: int = 1,
-        formula: _FD_Formula = "central2",
+        formula: _FD_Formula = "central",
         distribution: Distributions = "rademacher",
         beta: float = 0,
         pre_generate = True,
-        target: GradTarget = "closure",
         seed: int | None | torch.Generator = None,
+        target: GradTarget = "closure",
     ):
         defaults = dict(h=h, formula=formula, n_samples=n_samples, distribution=distribution, beta=beta, pre_generate=pre_generate, seed=seed)
         super().__init__(defaults, target=target)
@@ -118,16 +288,16 @@ class RandomizedFDM(GradApproximator):
             else: self.global_state['generator'] = None
         return self.global_state['generator']
 
-    def pre_step(self, vars):
-        h, beta = self.get_settings('h', 'beta', params=vars.params)
-        settings = self.settings[vars.params[0]]
+    def pre_step(self, var):
+        h, beta = self.get_settings(var.params, 'h', 'beta')
+        settings = self.settings[var.params[0]]
         n_samples = settings['n_samples']
         distribution = settings['distribution']
         pre_generate = settings['pre_generate']
 
         if pre_generate:
-            params = TensorList(vars.params)
-            generator = self._get_generator(settings['seed'], vars.params)
+            params = TensorList(var.params)
+            generator = self._get_generator(settings['seed'], var.params)
             perturbations = [params.sample_like(distribution=distribution, generator=generator) for _ in range(n_samples)]
 
             if self.PRE_MULTIPLY_BY_H:
@@ -152,11 +322,12 @@ class RandomizedFDM(GradApproximator):
                 torch._foreach_lerp_(cur_flat, new_flat, betas)
 
     @torch.no_grad
-    def approximate(self, closure, params, loss, vars):
+    def approximate(self, closure, params, loss):
         params = TensorList(params)
+        orig_params = params.clone() # store to avoid small changes due to float imprecision
         loss_approx = None
 
-        h = self.get_settings('h', params=vars.params, cls=NumberList)
+        h = NumberList(self.settings[p]['h'] for p in params)
         settings = self.settings[params[0]]
         n_samples = settings['n_samples']
         fd_fn = _RFD_FUNCS[settings['formula']]
@@ -171,17 +342,64 @@ class RandomizedFDM(GradApproximator):
             if prt[0] is None: prt = params.sample_like(distribution=distribution, generator=generator).mul_(h)
             else: prt = TensorList(prt)
 
-            loss, loss_approx, d = fd_fn(closure=closure, params=params, p_fn=lambda: prt, h=h, v_0=loss)
+            loss, loss_approx, d = fd_fn(closure=closure, params=params, p_fn=lambda: prt, h=h, f_0=loss)
             if grad is None: grad = prt * d
             else: grad += prt * d
 
+        params.set_(orig_params)
         assert grad is not None
         if n_samples > 1: grad.div_(n_samples)
         return grad, loss, loss_approx
 
-SPSA = RandomizedFDM
+class SPSA(RandomizedFDM):
+    """
+    Gradient approximation via Simultaneous perturbation stochastic approximation (SPSA) method.
+
+    .. note::
+        This module is a gradient approximator. It modifies the closure to evaluate the estimated gradients,
+        and further closure-based modules will use the modified closure. All modules after this will use estimated gradients.
+
+
+    Args:
+        h (float, optional): finite difference step size of jvp_method is set to `forward` or `central`. Defaults to 1e-3.
+        n_samples (int, optional): number of random gradient samples. Defaults to 1.
+        formula (_FD_Formula, optional): finite difference formula. Defaults to 'central2'.
+        distribution (Distributions, optional): distribution. Defaults to "rademacher".
+        beta (float, optional):
+            If this is set to a value higher than zero, instead of using directional derivatives in a new random direction on each step, the direction changes gradually with momentum based on this value. This may make it possible to use methods with memory. Defaults to 0.
+        pre_generate (bool, optional):
+            whether to pre-generate gradient samples before each step. If samples are not pre-generated, whenever a method performs multiple closure evaluations, the gradient will be evaluated in different directions each time. Defaults to True.
+        seed (int | None | torch.Generator, optional): Seed for random generator. Defaults to None.
+        target (GradTarget, optional): what to set on var. Defaults to "closure".
+
+    References:
+        Chen, Y. (2021). Theoretical study and comparison of SPSA and RDSA algorithms. arXiv preprint arXiv:2107.12771. https://arxiv.org/abs/2107.12771
+    """
 
 class RDSA(RandomizedFDM):
+    """
+    Gradient approximation via Random-direction stochastic approximation (RDSA) method.
+
+    .. note::
+        This module is a gradient approximator. It modifies the closure to evaluate the estimated gradients,
+        and further closure-based modules will use the modified closure. All modules after this will use estimated gradients.
+
+    Args:
+        h (float, optional): finite difference step size of jvp_method is set to `forward` or `central`. Defaults to 1e-3.
+        n_samples (int, optional): number of random gradient samples. Defaults to 1.
+        formula (_FD_Formula, optional): finite difference formula. Defaults to 'central2'.
+        distribution (Distributions, optional): distribution. Defaults to "gaussian".
+        beta (float, optional):
+            If this is set to a value higher than zero, instead of using directional derivatives in a new random direction on each step, the direction changes gradually with momentum based on this value. This may make it possible to use methods with memory. Defaults to 0.
+        pre_generate (bool, optional):
+            whether to pre-generate gradient samples before each step. If samples are not pre-generated, whenever a method performs multiple closure evaluations, the gradient will be evaluated in different directions each time. Defaults to True.
+        seed (int | None | torch.Generator, optional): Seed for random generator. Defaults to None.
+        target (GradTarget, optional): what to set on var. Defaults to "closure".
+
+    References:
+        Chen, Y. (2021). Theoretical study and comparison of SPSA and RDSA algorithms. arXiv preprint arXiv:2107.12771. https://arxiv.org/abs/2107.12771
+
+    """
     def __init__(
         self,
         h: float = 1e-3,
@@ -196,11 +414,34 @@ class RDSA(RandomizedFDM):
         super().__init__(h=h, n_samples=n_samples,formula=formula,distribution=distribution,beta=beta,pre_generate=pre_generate,target=target,seed=seed)
 
 class GaussianSmoothing(RandomizedFDM):
+    """
+    Gradient approximation via Gaussian smoothing method.
+
+    .. note::
+        This module is a gradient approximator. It modifies the closure to evaluate the estimated gradients,
+        and further closure-based modules will use the modified closure. All modules after this will use estimated gradients.
+
+    Args:
+        h (float, optional): finite difference step size of jvp_method is set to `forward` or `central`. Defaults to 1e-2.
+        n_samples (int, optional): number of random gradient samples. Defaults to 100.
+        formula (_FD_Formula, optional): finite difference formula. Defaults to 'forward2'.
+        distribution (Distributions, optional): distribution. Defaults to "gaussian".
+        beta (float, optional):
+            If this is set to a value higher than zero, instead of using directional derivatives in a new random direction on each step, the direction changes gradually with momentum based on this value. This may make it possible to use methods with memory. Defaults to 0.
+        pre_generate (bool, optional):
+            whether to pre-generate gradient samples before each step. If samples are not pre-generated, whenever a method performs multiple closure evaluations, the gradient will be evaluated in different directions each time. Defaults to True.
+        seed (int | None | torch.Generator, optional): Seed for random generator. Defaults to None.
+        target (GradTarget, optional): what to set on var. Defaults to "closure".
+
+
+    References:
+        Yurii Nesterov, Vladimir Spokoiny. (2015). Random Gradient-Free Minimization of Convex Functions. https://gwern.net/doc/math/2015-nesterov.pdf
+    """
     def __init__(
         self,
         h: float = 1e-2,
         n_samples: int = 100,
-        formula: _FD_Formula = "central2",
+        formula: _FD_Formula = "forward2",
         distribution: Distributions = "gaussian",
         beta: float = 0,
         pre_generate = True,
@@ -210,8 +451,27 @@ class GaussianSmoothing(RandomizedFDM):
         super().__init__(h=h, n_samples=n_samples,formula=formula,distribution=distribution,beta=beta,pre_generate=pre_generate,target=target,seed=seed)
 
 class MeZO(GradApproximator):
+    """Gradient approximation via memory-efficient zeroth order optimizer (MeZO) - https://arxiv.org/abs/2305.17333.
+
+    .. note::
+        This module is a gradient approximator. It modifies the closure to evaluate the estimated gradients,
+        and further closure-based modules will use the modified closure. All modules after this will use estimated gradients.
+
+    Args:
+        h (float, optional): finite difference step size of jvp_method is set to `forward` or `central`. Defaults to 1e-3.
+        n_samples (int, optional): number of random gradient samples. Defaults to 1.
+        formula (_FD_Formula, optional): finite difference formula. Defaults to 'central2'.
+        distribution (Distributions, optional): distribution. Defaults to "rademacher".
+            If this is set to a value higher than zero, instead of using directional derivatives in a new random direction on each step, the direction changes gradually with momentum based on this value. This may make it possible to use methods with memory. Defaults to 0.
+        target (GradTarget, optional): what to set on var. Defaults to "closure".
+
+    References:
+        Malladi, S., Gao, T., Nichani, E., Damian, A., Lee, J. D., Chen, D., & Arora, S. (2023). Fine-tuning language models with just forward passes. Advances in Neural Information Processing Systems, 36, 53038-53075. https://arxiv.org/abs/2305.17333
+    """
+
     def __init__(self, h: float=1e-3, n_samples: int = 1, formula: _FD_Formula = 'central2',
                  distribution: Distributions = 'rademacher', target: GradTarget = 'closure'):
+
         defaults = dict(h=h, formula=formula, n_samples=n_samples, distribution=distribution)
         super().__init__(defaults, target=target)
 
@@ -220,29 +480,29 @@ class MeZO(GradApproximator):
             distribution=distribution, generator=torch.Generator(params[0].device).manual_seed(seed)
         ).mul_(h)
 
-    def pre_step(self, vars):
-        h = self.get_settings('h', params=vars.params)
-        settings = self.settings[vars.params[0]]
+    def pre_step(self, var):
+        h = NumberList(self.settings[p]['h'] for p in var.params)
+        settings = self.settings[var.params[0]]
         n_samples = settings['n_samples']
         distribution = settings['distribution']
 
-        step = vars.current_step
+        step = var.current_step
 
         # create functions that generate a deterministic perturbation from seed based on current step
         prt_fns = []
         for i in range(n_samples):
 
-            prt_fn = partial(self._seeded_perturbation, params=vars.params, distribution=distribution, seed=1_000_000*step + i, h=h)
+            prt_fn = partial(self._seeded_perturbation, params=var.params, distribution=distribution, seed=1_000_000*step + i, h=h)
             prt_fns.append(prt_fn)
 
         self.global_state['prt_fns'] = prt_fns
 
     @torch.no_grad
-    def approximate(self, closure, params, loss, vars):
+    def approximate(self, closure, params, loss):
         params = TensorList(params)
         loss_approx = None
 
-        h = self.get_settings('h', params=vars.params, cls=NumberList)
+        h = NumberList(self.settings[p]['h'] for p in params)
         settings = self.settings[params[0]]
         n_samples = settings['n_samples']
         fd_fn = _RFD_FUNCS[settings['formula']]
@@ -250,7 +510,7 @@ class MeZO(GradApproximator):
 
         grad = None
         for i in range(n_samples):
-            loss, loss_approx, d = fd_fn(closure=closure, params=params, p_fn=prt_fns[i], h=h, v_0=loss)
+            loss, loss_approx, d = fd_fn(closure=closure, params=params, p_fn=prt_fns[i], h=h, f_0=loss)
             if grad is None: grad = prt_fns[i]().mul_(d)
             else: grad += prt_fns[i]().mul_(d)
 

torchzero/modules/higher_order/__init__.py

@@ -0,0 +1 @@
+from .higher_order_newton import HigherOrderNewton