Merge pull request #73 from normal-computing/add-cg-fvp

Add support for conjugate gradient solver through callable matrix-vector products

posteriors/__init__.py

@@ -10,6 +10,7 @@
 from posteriors.utils import hvp
 from posteriors.utils import fvp
 from posteriors.utils import empirical_fisher
+from posteriors.utils import cg
 from posteriors.utils import diag_normal_log_prob
 from posteriors.utils import diag_normal_sample
 from posteriors.utils import tree_size

posteriors/utils.py

@@ -1,12 +1,14 @@
 from typing import Callable, Any, Tuple, Sequence
+import operator
 from functools import partial
 import contextlib
 import torch
 from torch.func import grad, jvp, vjp, functional_call, jacrev
 from torch.distributions import Normal
-from optree import tree_map, tree_map_, tree_reduce, tree_flatten
+from optree import tree_map, tree_map_, tree_reduce, tree_flatten, tree_leaves
 from optree.integration.torch import tree_ravel
 
+
 from posteriors.types import TensorTree, ForwardFn, Tensor
 
 
@@ -228,6 +230,136 @@ def fisher(*args, **kwargs):
     return fisher
 
 
+def _vdot_real_part(x: Tensor, y: Tensor) -> float:
+    """Vector dot-product guaranteed to have a real valued result despite
+    possibly complex input. Thus neglects the real-imaginary cross-terms.
+
+    Args:
+        x: First tensor in the dot product.
+        y: Second tensor in the dot product.
+
+    Returns:
+        The result vector dot-product, a real float
+    """
+    # all our uses of vdot() in CG are for computing an operator of the form
+    #  z^H M z
+    #  where M is positive definite and Hermitian, so the result is
+    # real valued:
+    # https://en.wikipedia.org/wiki/Definiteness_of_a_matrix#Definitions_for_complex_matrices
+    real_part = torch.vdot(x.real.flatten(), y.real.flatten())
+    if torch.is_complex(x) or torch.is_complex(y):
+        imag_part = torch.vdot(x.imag.flatten(), y.imag.flatten())
+        return real_part + imag_part
+    return real_part
+
+
+def _vdot_real_tree(x, y) -> TensorTree:
+    return sum(tree_leaves(tree_map(_vdot_real_part, x, y)))
+
+
+def _mul(scalar, tree) -> TensorTree:
+    return tree_map(partial(operator.mul, scalar), tree)
+
+
+_add = partial(tree_map, operator.add)
+_sub = partial(tree_map, operator.sub)
+
+
+def _identity(x):
+    return x
+
+
+def cg(
+    A: Callable,
+    b: TensorTree,
+    x0: TensorTree = None,
+    *,
+    maxiter: int = None,
+    damping: float = 0.0,
+    tol: float = 1e-5,
+    atol: float = 0.0,
+    M: Callable = _identity,
+) -> Tuple[TensorTree, Any]:
+    """Use Conjugate Gradient iteration to solve ``Ax = b``.
+    ``A`` is supplied as a function instead of a matrix.
+
+    Adapted from [`jax.scipy.sparse.linalg.cg`](https://jax.readthedocs.io/en/latest/_autosummary/jax.scipy.sparse.linalg.cg.html).
+
+    Args:
+        A:  Callable that calculates the linear map (matrix-vector
+            product) ``Ax`` when called like ``A(x)``. ``A`` must represent
+            a hermitian, positive definite matrix, and must return array(s) with the
+            same structure and shape as its argument.
+        b:  Right hand side of the linear system representing a single vector.
+        x0: Starting guess for the solution. Must have the same structure as ``b``.
+        maxiter: Maximum number of iterations.  Iteration will stop after maxiter
+            steps even if the specified tolerance has not been achieved.
+        damping: damping term for the mvp function. Acts as regularization.
+        tol: Tolerance for convergence.
+        atol: Tolerance for convergence. ``norm(residual) <= max(tol*norm(b), atol)``.
+            The behaviour will differ from SciPy unless you explicitly pass
+            ``atol`` to SciPy's ``cg``.
+        M: Preconditioner for A.
+            See [the preconditioned CG method.](https://en.wikipedia.org/wiki/Conjugate_gradient_method#The_preconditioned_conjugate_gradient_method)
+
+    Returns:
+        x : The converged solution. Has the same structure as ``b``.
+        info : Placeholder for convergence information.
+    """
+    if x0 is None:
+        x0 = tree_map(torch.zeros_like, b)
+
+    if maxiter is None:
+        maxiter = 10 * tree_size(b)  # copied from scipy
+
+    tol *= torch.tensor([1.0])
+    atol *= torch.tensor([1.0])
+
+    # tolerance handling uses the "non-legacy" behavior of scipy.sparse.linalg.cg
+    bs = _vdot_real_tree(b, b)
+    atol2 = torch.maximum(torch.square(tol) * bs, torch.square(atol))
+
+    def A_damped(p):
+        return _add(A(p), _mul(damping, p))
+
+    def cond_fun(value):
+        _, r, gamma, _, k = value
+        rs = gamma.real if M is _identity else _vdot_real_tree(r, r)
+        return (rs > atol2) & (k < maxiter)
+
+    def body_fun(value):
+        x, r, gamma, p, k = value
+        Ap = A_damped(p)
+        alpha = gamma / _vdot_real_tree(p, Ap)
+        x_ = _add(x, _mul(alpha, p))
+        r_ = _sub(r, _mul(alpha, Ap))
+        z_ = M(r_)
+        gamma_ = _vdot_real_tree(r_, z_)
+        beta_ = gamma_ / gamma
+        p_ = _add(z_, _mul(beta_, p))
+        return x_, r_, gamma_, p_, k + 1
+
+    r0 = _sub(b, A_damped(x0))
+    p0 = z0 = r0
+    gamma0 = _vdot_real_tree(r0, z0)
+    initial_value = (x0, r0, gamma0, p0, 0)
+
+    value = initial_value
+
+    while cond_fun(value):
+        value = body_fun(value)
+
+    x_final, r, gamma, _, k = value
+    # compute the final error and whether it has converged.
+    rs = gamma if M is _identity else _vdot_real_tree(r, r)
+    converged = rs <= atol2
+
+    # additional info output structure
+    info = {"error": rs, "converged": converged, "niter": k}
+
+    return x_final, info
+
+
 def diag_normal_log_prob(
     x: TensorTree,
     mean: float | TensorTree = 0.0,

tests/test_utils.py

@@ -10,6 +10,7 @@
     hvp,
     fvp,
     empirical_fisher,
+    cg,
     diag_normal_log_prob,
     diag_normal_sample,
     tree_size,
@@ -260,6 +261,60 @@ def f_aux(params, batch):
     assert torch.allclose(fvp_result, fisher_fvp, rtol=1e-5)
 
 
+def test_cg():
+    # simple function with tensor parameters
+    def func(x):
+        return torch.stack([(x**5).sum(), (x**3).sum()])
+
+    def partial_fvp(v):
+        return fvp(func, (x,), (v,), normalize=False)[1]
+
+    x = torch.arange(1.0, 6.0)
+    v = torch.ones_like(x)
+
+    jac = torch.func.jacrev(func)(x)
+    fisher = jac.T @ jac
+    damping = 100
+
+    sol = torch.linalg.solve(fisher + damping * torch.eye(fisher.shape[0]), v)
+    sol_cg, _ = cg(partial_fvp, v, x0=None, damping=damping, maxiter=10000, tol=1e-10)
+    assert torch.allclose(sol, sol_cg, rtol=1e-3)
+
+    # simple complex number example
+    A = torch.tensor([[0, -1j], [1j, 0]])
+
+    def mvp(x):
+        return A @ x
+
+    b = torch.randn(2, dtype=torch.cfloat)
+
+    sol = torch.linalg.solve(A, b)
+    sol_cg, _ = cg(mvp, b, x0=None, tol=1e-10)
+
+    assert torch.allclose(sol, sol_cg, rtol=1e-1)
+
+    # function with parameters as a TensorTree
+    model = TestModel()
+
+    func_model = model_to_function(model)
+    f_per_sample = torch.vmap(func_model, in_dims=(None, 0))
+
+    xs = torch.randn(100, 10)
+
+    def partial_fvp(v):
+        return fvp(lambda p: func_model(p, xs), (params,), (v,), normalize=False)[1]
+
+    params = dict(model.named_parameters())
+    fisher = empirical_fisher(lambda p: f_per_sample(p, xs), normalize=False)(params)
+    damping = 0
+
+    v, _ = tree_ravel(params)
+    sol = torch.linalg.solve(fisher + damping * torch.eye(fisher.shape[0]), v)
+    sol_cg, _ = cg(partial_fvp, params, x0=None, damping=damping, tol=1e-10)
+
+    assert torch.allclose(sol, tree_ravel(sol_cg)[0], rtol=1e-3)
+
+
 def test_diag_normal_log_prob():
     # Test tree mean and tree sd
     mean = {"a": torch.tensor([1.0, 2.0]), "b": torch.tensor([3.0, 4.0])}