1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
//! Various optimization algorithms.
use candle::{Result, Tensor, Var};

/// The interface optimizers should implement.
pub trait Optimizer: Sized {
    type Config: Sized;

    fn new(vars: Vec<Var>, config: Self::Config) -> Result<Self>;

    fn step(&mut self, grads: &candle::backprop::GradStore) -> Result<()>;

    fn learning_rate(&self) -> f64;

    fn set_learning_rate(&mut self, lr: f64);

    fn empty(config: Self::Config) -> Result<Self> {
        Self::new(vec![], config)
    }

    fn backward_step(&mut self, loss: &Tensor) -> Result<()> {
        let grads = loss.backward()?;
        self.step(&grads)
    }

    fn from_slice(vars: &[&Var], config: Self::Config) -> Result<Self> {
        let vars: Vec<_> = vars.iter().map(|&v| v.clone()).collect();
        Self::new(vars, config)
    }
}

/// Optimizer for Stochastic Gradient Descent.
///
/// Contrary to the PyTorch implementation of SGD, this version does not support momentum.
#[derive(Debug)]
pub struct SGD {
    vars: Vec<Var>,
    learning_rate: f64,
}

impl Optimizer for SGD {
    type Config = f64;

    fn new(vars: Vec<Var>, learning_rate: f64) -> Result<Self> {
        let vars = vars
            .into_iter()
            .filter(|var| var.dtype().is_float())
            .collect();
        Ok(Self {
            vars,
            learning_rate,
        })
    }

    fn learning_rate(&self) -> f64 {
        self.learning_rate
    }

    fn step(&mut self, grads: &candle::backprop::GradStore) -> Result<()> {
        for var in self.vars.iter() {
            if let Some(grad) = grads.get(var) {
                var.set(&var.sub(&(grad * self.learning_rate)?)?)?;
            }
        }
        Ok(())
    }

    fn set_learning_rate(&mut self, lr: f64) {
        self.learning_rate = lr
    }
}

impl SGD {
    pub fn into_inner(self) -> Vec<Var> {
        self.vars
    }

    pub fn push(&mut self, var: &Var) {
        self.vars.push(var.clone())
    }
}

#[derive(Clone, Debug)]
pub struct ParamsAdamW {
    pub lr: f64,
    pub beta1: f64,
    pub beta2: f64,
    pub eps: f64,
    pub weight_decay: f64,
}

impl Default for ParamsAdamW {
    fn default() -> Self {
        Self {
            lr: 0.001,
            beta1: 0.9,
            beta2: 0.999,
            eps: 1e-8,
            weight_decay: 0.01,
        }
    }
}

#[derive(Debug)]
struct VarAdamW {
    var: Var,
    first_moment: Var,
    second_moment: Var,
}

#[derive(Debug)]
pub struct AdamW {
    vars: Vec<VarAdamW>,
    step_t: usize,
    params: ParamsAdamW,
}

impl Optimizer for AdamW {
    type Config = ParamsAdamW;

    fn new(vars: Vec<Var>, params: ParamsAdamW) -> Result<Self> {
        let vars = vars
            .into_iter()
            .filter(|var| var.dtype().is_float())
            .map(|var| {
                let dtype = var.dtype();
                let shape = var.shape();
                let device = var.device();
                let first_moment = Var::zeros(shape, dtype, device)?;
                let second_moment = Var::zeros(shape, dtype, device)?;
                Ok(VarAdamW {
                    var,
                    first_moment,
                    second_moment,
                })
            })
            .collect::<Result<Vec<_>>>()?;
        Ok(Self {
            vars,
            params,
            step_t: 0,
        })
    }

    fn learning_rate(&self) -> f64 {
        self.params.lr
    }

    fn set_learning_rate(&mut self, lr: f64) {
        self.params.lr = lr
    }

    fn step(&mut self, grads: &candle::backprop::GradStore) -> Result<()> {
        self.step_t += 1;
        let lr = self.params.lr;
        let lambda = self.params.weight_decay;
        let lr_lambda = lr * lambda;
        let beta1 = self.params.beta1;
        let beta2 = self.params.beta2;
        let scale_m = 1f64 / (1f64 - beta1.powi(self.step_t as i32));
        let scale_v = 1f64 / (1f64 - beta2.powi(self.step_t as i32));
        for var in self.vars.iter() {
            let theta = &var.var;
            let m = &var.first_moment;
            let v = &var.second_moment;
            if let Some(g) = grads.get(theta) {
                // This involves locking 3 RWLocks per params, if the parameters are large this
                // should not be an issue but this may be problematic with models with lots of
                // small parameters.
                let next_m = ((m.as_tensor() * beta1)? + (g * (1.0 - beta1))?)?;
                let next_v = ((v.as_tensor() * beta2)? + (g.sqr()? * (1.0 - beta2))?)?;
                let m_hat = (&next_m * scale_m)?;
                let v_hat = (&next_v * scale_v)?;
                let next_theta = (theta.as_tensor() * (1f64 - lr_lambda))?;
                let adjusted_grad = (m_hat / (v_hat.sqrt()? + self.params.eps)?)?;
                let next_theta = (next_theta - (adjusted_grad * lr)?)?;
                m.set(&next_m)?;
                v.set(&next_v)?;
                theta.set(&next_theta)?;
            }
        }
        Ok(())
    }
}

impl AdamW {
    pub fn new_lr(vars: Vec<Var>, learning_rate: f64) -> Result<Self> {
        let params = ParamsAdamW {
            lr: learning_rate,
            ..ParamsAdamW::default()
        };
        Self::new(vars, params)
    }

    pub fn params(&self) -> &ParamsAdamW {
        &self.params
    }

    pub fn set_params(&mut self, params: ParamsAdamW) {
        self.params = params;
    }
}