hsvgbkhgbv / thermostat-assisted-continuously-tempered-hamiltonian-monte-carlo-for-bayesian-learning

Thermostat-assisted continuously-tempered Hamiltonian Monte Carlo for Bayesian learning

Thermostat-assisted continuously-tempered Hamiltonian Monte Carlo for Bayesian learning (TACTHMC)

This project implements the algorithm of TACTHMC and demonstrates the experiments compared with SGHMC, SGNHT, ADAM and SGD WITH MOMENTUM.

The paper of TACTHMC is shown as: http://papers.nips.cc/paper/8266-thermostat-assisted-continuously-tempered-hamiltonian-monte-carlo-for-bayesian-learning.

All of algorithms are implemented in Python 3.6, with Pytorch 0.4.0 and Torchvision 0.2.1, so please install the relevant dependencies before running the codes or invoking the functions.

The suggested solution is to install Anaconda Python 3.6 version: https://www.anaconda.com/download/.

Then install the latest version of Pytorch and Torchvision by the command shown as below

pip install torch torchvision

Now, all of dependencies are ready and you can start running the codes.

EXPERIMENTS

We have done three experiments based on MLP, CNN and RNN. All of tasks are classifications.

The task of MLP is on EMNIST. The task of CNN is on CIFAR-10. The task of RNN is on Fashion-MNIST.

In experiments, we assign random labels to 0%, 20% and 30% of each batch of training data respectively so as to constitute a noisy training environment.

MLP

• architecture: 784->linear->ReLU->100->linear->ReLU->47
• dataset: EMNIST-BALANCED
• train_data_size: 112800
• test_data_size: 18800
• categories: 47
• batch_size: 128

CNN

• architecture: 32x32->Conv2D(kernel=3x3x3x16, padding=1x1, stride= 1x1) ->ReLU ->MaxPooling2D(kernel=2x2, stride=2x2) ->Conv2D(kernel=3x3x16x16, padding=1x1, stride=1x1) ->ReLU ->MaxPooling2D(kernel=2x2, stride=2x2) ->Flatten ->linear ->ReLU ->100 ->linear ->ReLU ->10
• dataset: CIFAR-10
• train_data_size: 60000
• test_data_size: 10000
• categories: 10
• batch_size: 64

RNN

• architecture: 28->LSTMCell(input=28, output=128) x 28 times ->the output of the last time step ->ReLU ->linear ->ReLU ->64 ->linear ->ReLU ->10
• dataset: Fashion-MNIST
• train_data_size: 60000
• test_data_size: 10000
• categories: 10
• batch_size: 64

Evaluation Methods

For the conventional optimization algorithms such as Adam and SGD, we use the point estimate to evaluate the performance.

$$ \theta_{MAP} = arg \max_{\theta} \log P(D_{train}, \theta) $$

$$ eval = P(D_{test}| \theta_{MAP}) $$

For the sampling algorithms such as SGHMC, SGNHT and TACTHMC, we use the fully bayesian to evaluate the performance.

$$ P(\theta | D_{train}) = \frac{P(D_{train}, \theta)}{P(D_{train})} $$

$$ eval = \int_{\theta} P(D_{test}| \theta) P(\theta | D_{train}) \ d\theta $$

Experimental Results

MLP on EMNIST

% permuted labels	0%	20%	30%
Adam	83.39%	80.27%	80.63%
SGD	83.95%	82.64%	81.70%
SGHMC	84.53%	82.62%	81.56%
SGNHT	84.48%	82.63%	81.60%
TACTHMC	84.85%	82.95%	81.77%

CNN on CIFAR-10

% permuted labels	0%	20%	30%
Adam	69.53%	72.39%	71.05%
SGD	64.25%	65.09%	67.70%
SGHMC	76.44%	73.87%	71.79%
SGNHT	76.60%	73.86%	71.37%
TACTHMC	78.93%	74.88%	73.22%

RNN on Fashion-MNIST

% permuted labels	0%	20%	30%
Adam	88.84%	88.35%	88.25%
SGD	88.66%	88.91%	88.34%
SGHMC	90.25%	88.98%	88.49%
SGNHT	90.18%	89.10%	88.58%
TACTHMC	90.84%	89.61%	89.01%

Run Preliminary Experiments

Our Method (TACTHMC)

python cnn_tacthmc.py --permutation 0.2 --c-theta 0.1
python mlp_tacthmc.py --permutation 0.2 --c-theta 0.05
python rnn_tacthmc.py --permutation 0.2 --c-theta 0.15

Baseline

SGD with Momentum

python cnn_sgd.py --permutation 0.2
python mlp_sgd.py --permutation 0.2
python rnn_sgd.py --permutation 0.2

Adam

python cnn_adam.py --permutation 0.2
python mlp_adam.py --permutation 0.2
python rnn_adam.py --permutation 0.2

SGHMC

python cnn_sghmc.py --permutation 0.2 --c-theta 0.1
python mlp_sghmc.py --permutation 0.2 --c-theta 0.1
python rnn_sghmc.py --permutation 0.2 --c-theta 0.1

SGNHT

python cnn_sgnht.py --permutation 0.2 --c-theta 0.1
python mlp_sgnht.py --permutation 0.2 --c-theta 0.1
python rnn_sgnht.py --permutation 0.2 --c-theta 0.1

In these experiments, we implement SGNHT and SGHMC, as well as invoke SGD and Adam from Pytorch directly.

The reference for SGHMC is: https://arxiv.org/pdf/1402.4102.pdf

The reference for SGNHT is: http://people.ee.duke.edu/~lcarin/sgnht-4.pdf

The reference for SGD is: http://leon.bottou.org/publications/pdf/compstat-2010.pdf

The reference for Adam is: https://arxiv.org/pdf/1412.6980.pdf

Some Advanced Settings

-h, --help                                                 # show this help message and exit
--train-batch-size TRAIN_BATCH_SIZE                        # set up the training batch size (int)
--test-batch-size TEST_BATCH_SIZE                          # set up the test batch size (please set the size of the whole test data) (int)
--num-burn-in NUM_BURN_IN                                  # set up the number of iterations of burn-in (int)
--num-epochs NUM_EPOCHS                                    # set up the total number of epochs for training (int)
--evaluation-interval EVALUATION_INTERVAL                  # set up the interval of evaluation (int)
--eta-theta ETA_THETA                                      # set up the learning rate of parameters, which should be divided by the size of the whole training dataset (float)
--eta-xi ETA_XI                                            # set up the learning rate of the tempering variable which is similar to that of parameters (float)
--c-theta C_THETA                                          # set up the noise level of parameters (float)
--c-xi C_XI                                                # set up the noise level of the tempering variable (float)
--gamma-theta GAMMA_THETA                                  # set up the value of the thermal initia of parameters (float)
--gamma-xi GAMMA_XI                                        # set up the value of the thermal initia of the tempering variable (float)
--prior-precision PRIOR_PRECISION                          # set up the penalty parameter of L2-Regularizer or the precision of a Gaussian prior from the view of bayesian stats (float)
--permutation PERMUTATION                                  # set up the percentage of random assignments on labels (float)
--enable-cuda                                              # use cuda if available (action=true)
--device-num DEVICE_NUM                                    # select an appropriate GPU for usage (int)
--tempering-model-type TEMPERING_MODEL_TYPE                # set up the model type for the tempering variable (1 for Metadynamics/2 for ABF) (int)
--load-tempering-model                                     # set up whether necessarily load pre-trained tempering model (action=true)
--save-tempering-model                                     # set up whether it is necessary to save the tempering model (bool)
--tempering-model-path TEMPERING_MODEL_PATH                # set up the path for saving or loading the tempering model (str)

Here the tempering model is to handle the unexpected noise for the tempering variable occuring during the dynamics.

Invoke API of TACTHMC

Formal Procedures

1. Initialize an instance of the object TACTHMC such as

sampler = TACTHMC(self, model, N, eta_theta0, eta_xi0, c_theta0, c_xi0, gamma_theta0, gamma_xi0, enable_cuda, standard_area=0.1, gaussian_decay=1e-3, version='accurate', temper_model='Metadynamics')

model means the model instance constructed by Pytorch, which should be an instance inherited from nn.Module

N means the size of training dataset, which should be an int

eta_theta0 means the learning rate of parameters divided by N, which should be a float

eta_xi0 means the learning rate of the tempering variable divided by N, which should be a float

c_theta0 means the noise level of parameters, which should be a float

c_xi0 means the noise level of the tempering variable, which should be a float

gamma_theta0 means the noise level of parameters, which should be a float

gamma_xi0 means the thermal initia of the tempering variable, which should be a float

enable_cuda means whether GPU is available, which should be a boolean

standard_interval means the half range of the interval that the effective system temperature is at unity, which should be a float

gaussian_decay means the decayed height of the stacked Gaussian (which is only feasible when temper_model='Metadynamics'), which should be a float

version means how to assign thermostats to parameters, which can be selected from either 'accurate' or 'approximate'

temper_model means which model is selected as the tempering variable model, which can be selectd between 'Metadynamics' and 'ABF'

2. Initialize an estimator such as

estimator = FullyBayesian((len(test_loader.dataset), num_labels), model, test_loader, cuda_availability)

test_loader means the data loader, which should be an instance of torch.utils.data.DataLoader

num_labels means the number of labels of dataset, which should be an int

cuda_availability means the FLAG to identify whether to use GPU, which should be a boolean

3. Initialize the momenta of parameters such as

sampler.resample_momenta()

4. Evaluate with training data and get loss

loss can be the output from any loss function in Pytorch

5. Update the parameters and the tempering variable such as

sampler.update(loss)

6. Periodically resample the momenta of parameters and evaluate with test data such as

sampler.resample_momenta()
if abs(sampler.model.xi.item()) <= 0.85*sampler.standard_interval and nIter >= num_burn_in:
    acc = estimator.evaluation()

nIter means the current iteration number, which should be an int

num_burn_in means the iterations of waiting for convergence of the algorithm, which shoud be an int

7. Go back to step 4

Some Useful Utilities

sampler.get_z_theta()                               # get the norm of thermostats of parameters
sampler.get_z_xi()                                  # get the norm of thermostats of the tempering variable
sampler.get_fU()                                    # get the current force of potential w.r.t the tempering variable
sampler.temper_model.loader(filename, enable_cuda)  # load the pre-trained tempering model
sampler.temper_model.saver(nIter, path)             # save the current tempering model
sampler.temper_model.estimate_force(xi)             # estimate the force caused by the unexpected noise of the current tempering variable xi
sampler.temper_model.update(xi)                     # update the tempering model for the current xi when the model is Metadynamics
sampler.temper_model.update(xi, fcurr)              # update the tempering model for the current xi by the current force fcurr when the model is ABF
sampler.temper_model.offset()                       # offset the stacked Gaussian when the model is Metadynamics

thermostat-assisted-continuously-tempered-hamiltonian-monte-carlo-for-bayesian-learning's Issues

Missing epsilon on SGHMC?

Hi,
Thanks to the authors for the nice read.
I have a question for these lines which indicate that you are doing theta_t = theta_t + v_t while the correct definition in SGHMC is theta_t = theta_t + eta_t * v_t (ignoring the Mass as it seems here its assumed to be unity).
I have not used Pytorch so maybe I'm missunderstanding something?