Example: Sparse Gamma Deep Exponential FamilyΒΆ

View sparse_gamma_def.py on github

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

# This is an implementation of the sparse gamma deep exponential family model described in
# Ranganath, Rajesh, Tang, Linpeng, Charlin, Laurent, and Blei, David. Deep exponential families.
#
# To do inference we use one of the following guides:
# i)   a custom guide (i.e. a hand-designed variational family) or
# ii)  an 'auto' guide that is automatically constructed using pyro.infer.autoguide or
# iii) an 'easy' guide whose construction is facilitated using pyro.contrib.easyguide.
#
# The Olivetti faces dataset is originally from http://www.cl.cam.ac.uk/research/dtg/attarchive/facedatabase.html
#
# Compare to Christian Naesseth's implementation here:
# https://github.com/blei-lab/ars-reparameterization/tree/master/sparse%20gamma%20def

import argparse
import errno
import os

import numpy as np
import torch
import wget
from torch.nn.functional import softplus

import pyro
import pyro.optim as optim
from pyro.contrib.easyguide import EasyGuide
from pyro.contrib.examples.util import get_data_directory
from pyro.distributions import Gamma, Normal, Poisson
from pyro.infer import SVI, TraceMeanField_ELBO
from pyro.infer.autoguide import AutoDiagonalNormal, init_to_feasible

torch.set_default_tensor_type('torch.FloatTensor')
pyro.util.set_rng_seed(0)


# helper for initializing variational parameters
def rand_tensor(shape, mean, sigma):
    return mean * torch.ones(shape) + sigma * torch.randn(shape)


class SparseGammaDEF:
    def __init__(self):
        # define the sizes of the layers in the deep exponential family
        self.top_width = 100
        self.mid_width = 40
        self.bottom_width = 15
        self.image_size = 64 * 64
        # define hyperparameters that control the prior
        self.alpha_z = torch.tensor(0.1)
        self.beta_z = torch.tensor(0.1)
        self.alpha_w = torch.tensor(0.1)
        self.beta_w = torch.tensor(0.3)
        # define parameters used to initialize variational parameters
        self.alpha_init = 0.5
        self.mean_init = 0.0
        self.sigma_init = 0.1

    # define the model
    def model(self, x):
        x_size = x.size(0)

        # sample the global weights
        with pyro.plate("w_top_plate", self.top_width * self.mid_width):
            w_top = pyro.sample("w_top", Gamma(self.alpha_w, self.beta_w))
        with pyro.plate("w_mid_plate", self.mid_width * self.bottom_width):
            w_mid = pyro.sample("w_mid", Gamma(self.alpha_w, self.beta_w))
        with pyro.plate("w_bottom_plate", self.bottom_width * self.image_size):
            w_bottom = pyro.sample("w_bottom", Gamma(self.alpha_w, self.beta_w))

        # sample the local latent random variables
        # (the plate encodes the fact that the z's for different datapoints are conditionally independent)
        with pyro.plate("data", x_size):
            z_top = pyro.sample("z_top", Gamma(self.alpha_z, self.beta_z).expand([self.top_width]).to_event(1))
            # note that we need to use matmul (batch matrix multiplication) as well as appropriate reshaping
            # to make sure our code is fully vectorized
            w_top = w_top.reshape(self.top_width, self.mid_width) if w_top.dim() == 1 else \
                w_top.reshape(-1, self.top_width, self.mid_width)
            mean_mid = torch.matmul(z_top, w_top)
            z_mid = pyro.sample("z_mid", Gamma(self.alpha_z, self.beta_z / mean_mid).to_event(1))

            w_mid = w_mid.reshape(self.mid_width, self.bottom_width) if w_mid.dim() == 1 else \
                w_mid.reshape(-1, self.mid_width, self.bottom_width)
            mean_bottom = torch.matmul(z_mid, w_mid)
            z_bottom = pyro.sample("z_bottom", Gamma(self.alpha_z, self.beta_z / mean_bottom).to_event(1))

            w_bottom = w_bottom.reshape(self.bottom_width, self.image_size) if w_bottom.dim() == 1 else \
                w_bottom.reshape(-1, self.bottom_width, self.image_size)
            mean_obs = torch.matmul(z_bottom, w_bottom)

            # observe the data using a poisson likelihood
            pyro.sample('obs', Poisson(mean_obs).to_event(1), obs=x)

    # define our custom guide a.k.a. variational distribution.
    # (note the guide is mean field gamma)
    def guide(self, x):
        x_size = x.size(0)

        # define a helper function to sample z's for a single layer
        def sample_zs(name, width):
            alpha_z_q = pyro.param("alpha_z_q_%s" % name,
                                   lambda: rand_tensor((x_size, width), self.alpha_init, self.sigma_init))
            mean_z_q = pyro.param("mean_z_q_%s" % name,
                                  lambda: rand_tensor((x_size, width), self.mean_init, self.sigma_init))
            alpha_z_q, mean_z_q = softplus(alpha_z_q), softplus(mean_z_q)
            pyro.sample("z_%s" % name, Gamma(alpha_z_q, alpha_z_q / mean_z_q).to_event(1))

        # define a helper function to sample w's for a single layer
        def sample_ws(name, width):
            alpha_w_q = pyro.param("alpha_w_q_%s" % name,
                                   lambda: rand_tensor((width), self.alpha_init, self.sigma_init))
            mean_w_q = pyro.param("mean_w_q_%s" % name,
                                  lambda: rand_tensor((width), self.mean_init, self.sigma_init))
            alpha_w_q, mean_w_q = softplus(alpha_w_q), softplus(mean_w_q)
            pyro.sample("w_%s" % name, Gamma(alpha_w_q, alpha_w_q / mean_w_q))

        # sample the global weights
        with pyro.plate("w_top_plate", self.top_width * self.mid_width):
            sample_ws("top", self.top_width * self.mid_width)
        with pyro.plate("w_mid_plate", self.mid_width * self.bottom_width):
            sample_ws("mid", self.mid_width * self.bottom_width)
        with pyro.plate("w_bottom_plate", self.bottom_width * self.image_size):
            sample_ws("bottom", self.bottom_width * self.image_size)

        # sample the local latent random variables
        with pyro.plate("data", x_size):
            sample_zs("top", self.top_width)
            sample_zs("mid", self.mid_width)
            sample_zs("bottom", self.bottom_width)


# define a helper function to clip parameters defining the custom guide.
# (this is to avoid regions of the gamma distributions with extremely small means)
def clip_params():
    for param, clip in zip(("alpha", "mean"), (-2.5, -4.5)):
        for layer in ["_q_top", "_q_mid", "_q_bottom"]:
            for wz in ["_w", "_z"]:
                pyro.param(param + wz + layer).data.clamp_(min=clip)


# Define a guide using the EasyGuide class.
# Unlike the 'auto' guide, this guide supports data subsampling.
# This is the best performing of the three guides.
#
# This guide is functionally similar to the auto guide, but performs
# somewhat better. The reason seems to be some combination of: i) the better
# numerical stability of the softplus; and ii) the custom initialization.
# Note however that for both the easy guide and auto guide KL divergences
# are not computed analytically in the ELBO because the ELBO thinks the
# mean-field condition is not satisfied, which leads to higher variance gradients.
class MyEasyGuide(EasyGuide):
    def guide(self, x):
        # group all the latent weights into one large latent variable
        global_group = self.group(match="w_.*")
        global_mean = pyro.param("w_mean",
                                 lambda: rand_tensor(global_group.event_shape, 0.5, 0.1))
        global_scale = softplus(pyro.param("w_scale",
                                lambda: rand_tensor(global_group.event_shape, 0.0, 0.1)))
        # use a mean field Normal distribution on all the ws
        global_group.sample("ws", Normal(global_mean, global_scale).to_event(1))

        # group all the latent zs into one large latent variable
        local_group = self.group(match="z_.*")
        x_shape = x.shape[:1] + local_group.event_shape

        with self.plate("data", x.size(0)):
            local_mean = pyro.param("z_mean",
                                    lambda: rand_tensor(x_shape, 0.5, 0.1))
            local_scale = softplus(pyro.param("z_scale",
                                   lambda: rand_tensor(x_shape, 0.0, 0.1)))
            # use a mean field Normal distribution on all the zs
            local_group.sample("zs", Normal(local_mean, local_scale).to_event(1))


def main(args):
    # load data
    print('loading training data...')
    dataset_directory = get_data_directory(__file__)
    dataset_path = os.path.join(dataset_directory, 'faces_training.csv')
    if not os.path.exists(dataset_path):
        try:
            os.makedirs(dataset_directory)
        except OSError as e:
            if e.errno != errno.EEXIST:
                raise
            pass
        wget.download('https://d2hg8soec8ck9v.cloudfront.net/datasets/faces_training.csv', dataset_path)
    data = torch.tensor(np.loadtxt(dataset_path, delimiter=',')).float()

    sparse_gamma_def = SparseGammaDEF()

    # Due to the special logic in the custom guide (e.g. parameter clipping), the custom guide
    # seems to be more amenable to higher learning rates.
    # Nevertheless, the easy guide performs the best (presumably because of numerical instabilities
    # related to the gamma distribution in the custom guide).
    learning_rate = 0.2 if args.guide in ['auto', 'easy'] else 4.5
    momentum = 0.05 if args.guide in ['auto', 'easy'] else 0.1
    opt = optim.AdagradRMSProp({"eta": learning_rate, "t": momentum})

    # use one of our three different guide types
    if args.guide == 'auto':
        guide = AutoDiagonalNormal(sparse_gamma_def.model, init_loc_fn=init_to_feasible)
    elif args.guide == 'easy':
        guide = MyEasyGuide(sparse_gamma_def.model)
    else:
        guide = sparse_gamma_def.guide

    # this is the svi object we use during training; we use TraceMeanField_ELBO to
    # get analytic KL divergences
    svi = SVI(sparse_gamma_def.model, guide, opt, loss=TraceMeanField_ELBO())

    # we use svi_eval during evaluation; since we took care to write down our model in
    # a fully vectorized way, this computation can be done efficiently with large tensor ops
    svi_eval = SVI(sparse_gamma_def.model, guide, opt,
                   loss=TraceMeanField_ELBO(num_particles=args.eval_particles, vectorize_particles=True))

    print('\nbeginning training with %s guide...' % args.guide)

    # the training loop
    for k in range(args.num_epochs):
        loss = svi.step(data)
        # for the custom guide we clip parameters after each gradient step
        if args.guide == 'custom':
            clip_params()

        if k % args.eval_frequency == 0 and k > 0 or k == args.num_epochs - 1:
            loss = svi_eval.evaluate_loss(data)
            print("[epoch %04d] training elbo: %.4g" % (k, -loss))


if __name__ == '__main__':
    assert pyro.__version__.startswith('1.6.0')
    # parse command line arguments
    parser = argparse.ArgumentParser(description="parse args")
    parser.add_argument('-n', '--num-epochs', default=1500, type=int, help='number of training epochs')
    parser.add_argument('-ef', '--eval-frequency', default=25, type=int,
                        help='how often to evaluate elbo (number of epochs)')
    parser.add_argument('-ep', '--eval-particles', default=20, type=int,
                        help='number of samples/particles to use during evaluation')
    parser.add_argument('--guide', default='custom', type=str,
                        help='use a custom, auto, or easy guide')
    args = parser.parse_args()
    assert args.guide in ['custom', 'auto', 'easy']
    main(args)