Deep Learning: Difference between revisions
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* [http://www.cs.umd.edu/class/fall2020/cmsc828W/ Course Website] | * [http://www.cs.umd.edu/class/fall2020/cmsc828W/ Course Website] | ||
* [https://www.youtube.com/user/soheilfeiz/videos Lecture Videos] | |||
==Basics== | ==Basics== | ||
A refresher of [[Machine Learning]] and Supervised Learning. | A refresher of [[Machine Learning]] and [[Supervised Learning]]. | ||
===Empirical risk minimization (ERM)=== | ===Empirical risk minimization (ERM)=== | ||
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\begin{aligned} | \begin{aligned} | ||
\frac{1}{2}\Vert \nabla f(w) \Vert^2 &= \frac{1}{2}\Vert (F(w)-y)^T \nabla F(w)\Vert^2\\ | \frac{1}{2}\Vert \nabla f(w) \Vert^2 &= \frac{1}{2}\Vert (F(w)-y)^T \nabla F(w)\Vert^2\\ | ||
&=\frac{1}{2}(F(w) | &=\frac{1}{2}(F(w)-y)^T \nabla F(w) \nabla F(w)^T (F(w)-y)\\ | ||
&\geq \frac{1}{2} \lambda_{\min}(K(w)) \Vert F(w)-y\Vert ^2\\ | &\geq \frac{1}{2} \lambda_{\min}(K(w)) \Vert F(w)-y\Vert ^2\\ | ||
&= \lambda_{\min}(K(w)) L(w)\\ | &= \lambda_{\min}(K(w)) L(w)\\ | ||
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===Linear Regression=== | ===Linear Regression=== | ||
Assume we have a dataset: | Assume we have a dataset:<br> | ||
<math>\{(x_i, y_i)\}_{i=1}^{n}</math> | <math>\{(x_i, y_i)\}_{i=1}^{n}</math> | ||
<math>y_i \in \mathbb{R}</math> | <math>y_i \in \mathbb{R}</math><br> | ||
<math>x_i \in \mathbb{R}^d</math> | <math>x_i \in \mathbb{R}^d</math><br> | ||
<math>f(w, x) = w^t x</math> | <math>f(w, x) = w^t x</math> | ||
<math>L(w) = \frac{1}{2} \sum_{i=1}^{n}(y_i - f(w, x_i))^2</math> | <math>L(w) = \frac{1}{2} \sum_{i=1}^{n}(y_i - f(w, x_i))^2</math><br> | ||
<math>\min_{W} L(w)</math> | <math>\min_{W} L(w)</math><br> | ||
GD: <math>w(t+1) = w(t) - \eta_{t} \nabla L(w_t)</math> where our gradient is: | GD: <math>w(t+1) = w(t) - \eta_{t} \nabla L(w_t)</math> where our gradient is:<br> | ||
<math>\sum_{i=1}^{n}(y_i - f(w, x_i)) \nabla_{w} f(w_t, x_i) = \sum_{i=1}^{n}(y_i - f(w, x_i)) x_i</math> | <math>\sum_{i=1}^{n}(y_i - f(w, x_i)) \nabla_{w} f(w_t, x_i) = \sum_{i=1}^{n}(y_i - f(w, x_i)) x_i</math> | ||
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</math> | </math> | ||
<math>f(w, x) = w^t \phi(x)</math> | <math>f(w, x) = w^t \phi(x)</math><br> | ||
Is this model linear in w? Yes! | Is this model linear in w? Yes!<br> | ||
Is this model linear in x? No! | Is this model linear in x? No!<br> | ||
<math>\min \frac{1}{2} \sum_{i=1}^{n} (y_i - w^t \phi(x_i))^2</math> | <math>\min \frac{1}{2} \sum_{i=1}^{n} (y_i - w^t \phi(x_i))^2</math><br> | ||
Apply GD or convex optimization. | Apply GD or convex optimization. | ||
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* <math>\phi</math> is fixed! | * <math>\phi</math> is fixed! | ||
* <math>D = O(d^k)</math> | * <math>D = O(d^k)</math> | ||
** For ImageNet, d is approx <math>10^5</math> so <math>D=O(10^15)</math> | ** For ImageNet, <math display="inline">d</math> is approx <math display="inline">10^5</math> so <math display="inline">D=O(10^{15})</math> | ||
;Kernel Trick: | ;Kernel Trick: | ||
We may have a closed form solution for <math>\langle \phi(x_i), \phi(x_j) \rangle</math>. | We may have a closed form solution for <math>\langle \phi(x_i), \phi(x_j) \rangle</math>.<br> | ||
This is called the kernel function <math>K(x_i, x_j)</math> or kernel matrix <math>K \in \mathbb{R}^{n \times n}</math>. | This is called the kernel function <math>K(x_i, x_j)</math> or kernel matrix <math>K \in \mathbb{R}^{n \times n}</math>.<br> | ||
K is a PSD matrix. | <math display="inline">K</math> is a PSD matrix. | ||
Idea: In many cases without "explicit" comp of <math>\phi(x_i)</math>, we can compute <math>K(x_i, x_j)</math>. | Idea: In many cases without "explicit" comp of <math>\phi(x_i)</math>, we can compute <math>K(x_i, x_j)</math>. | ||
;Polynomial Kernels | ;Polynomial Kernels | ||
<math>K(x_i, x_j) = (x + x_i^t x_j)^k</math> with <math>\phi(x_i) \in \mathbb{R}^D</math> | <math>K(x_i, x_j) = (x + x_i^t x_j)^k</math> with <math>\phi(x_i) \in \mathbb{R}^D</math><br> | ||
Here <math>D=O(d^k)</math> but <math>K(x_i, x_j)</math> is <math>O(d)</math>. | Here <math>D=O(d^k)</math> but <math>K(x_i, x_j)</math> is <math>O(d)</math>. | ||
Many classical techniques can be ''kernelized'': | Many classical techniques can be ''kernelized'': | ||
SVM to Kernel SVM | * SVM to Kernel SVM | ||
Ridge regression to Kernel ridge regression | * Ridge regression to Kernel ridge regression | ||
PCA to Kernel PCA | * PCA to Kernel PCA | ||
===Neural Networks=== | ===Neural Networks=== | ||
Consider a two-layer neural network. | Consider a two-layer neural network.<br> | ||
We can write the output as: | We can write the output as:<br> | ||
<math>y = f(w, x) = \frac{1}{\sqrt{m}} \sum_{i=1}^{m} b_i \sigma(a_i^t x)</math> | <math>y = f(w, x) = \frac{1}{\sqrt{m}} \sum_{i=1}^{m} b_i \sigma(a_i^t x)</math><br> | ||
We use quadratic loss: <math>L(w) = \frac{1}{2} \sum_{i=1}^{n} (f(w, x_i) - y_i)^2</math> | We use quadratic loss: <math>L(w) = \frac{1}{2} \sum_{i=1}^{n} (f(w, x_i) - y_i)^2</math><br> | ||
GD: <math>w(t+1) = w(t) - \eta_{t} \sum_{i=1}^{n} (f(w, x_i) - y_i) \nabla_w f(w_t, x_i)</math> | GD: <math>w(t+1) = w(t) - \eta_{t} \sum_{i=1}^{n} (f(w, x_i) - y_i) \nabla_w f(w_t, x_i)</math> | ||
Init N(0,1) | # Init N(0,1) | ||
Our weights update along a trajectory: w(0), w(1), ... | # Our weights update along a trajectory: w(0), w(1), ... | ||
Each <math>w</math> is a weight matrix. | # Each <math>w</math> is a weight matrix. | ||
Empirical Observation: When the width of the network <math>m</math> is large, the trajectory of the gradient descent is ''almost'' static. | Empirical Observation: When the width of the network <math>m</math> is large, the trajectory of the gradient descent is ''almost'' static. | ||
This is called ''lazy'' training. | This is called ''lazy'' training. | ||
* Not always the case! Especially for small <math>m</math>. | * Not always the case! Especially for small <math>m</math>. | ||
Since the change in the model weights are not large, we can write the first-order taylor approximation: | Since the change in the model weights are not large, we can write the first-order taylor approximation:<br> | ||
<math>f(w, x) \approx f(w_0, x) + \nabla_{w} f(w_0, x)^t (w - w_x) + ...</math> | <math>f(w, x) \approx f(w_0, x) + \nabla_{w} f(w_0, x)^t (w - w_x) + ...</math><br> | ||
This model is linear in <math>w</math>. | This model is linear in <math>w</math>.<br> | ||
<math>\phi(x) = \nabla_{w} f(w_0, x)</math> | <math>\phi(x) = \nabla_{w} f(w_0, x)</math><br> | ||
The kernel <math>K = \langle \phi(x_i), \phi(x_j) \rangle</math> is called the ''Neural Tangent Kernel'' (NTK). | The kernel <math>K = \langle \phi(x_i), \phi(x_j) \rangle</math> is called the ''Neural Tangent Kernel'' (NTK). | ||
Go back to our 2-layer NN: | These features will not change during the optimization process because we use <math display="inline">w_0</math> | ||
<math>f_m(w, x) = \frac{1}{\sqrt{m}} \sum b_i \sigma(a_i^t x)</math> | |||
<math>\nabla_{a_i} f_m(w, x) = \frac{1}{\sqrt{m}} b_i \sigma'(a_i^t x) x</math> | Go back to our 2-layer NN:<br> | ||
<math>f_m(w, x) = \frac{1}{\sqrt{m}} \sum b_i \sigma(a_i^t x)</math><br> | |||
<math>\nabla_{a_i} f_m(w, x) = \frac{1}{\sqrt{m}} b_i \sigma'(a_i^t x) x</math><br> | |||
<math>\nabla_{b_i} f_m(w, x) = \frac{1}{\sqrt{m}} \sigma(a_i^t x)</math> | <math>\nabla_{b_i} f_m(w, x) = \frac{1}{\sqrt{m}} \sigma(a_i^t x)</math> | ||
<math>K_{m}(x, x') = K_{m}^{(a)}(x, x') + K_{m}^{(b)}(x, x')</math> | <math>K_{m}(x, x') = K_{m}^{(a)}(x, x') + K_{m}^{(b)}(x, x')</math><br> | ||
<math>K_{m}^{(a)}(x, x') = \frac{1}{m} \sum_{i=1}^{m} b_i^2 \sigma'(a_i^tx) \sigma'(a_i^tx) (x x')</math> | <math>K_{m}^{(a)}(x, x') = \frac{1}{m} \sum_{i=1}^{m} b_i^2 \sigma'(a_i^tx) \sigma'(a_i^tx) (x x')</math><br> | ||
<math>K_{m}^{(b)}(x, x') = \frac{1}{m} \sum_{i=1}^{m} \sigma(a_i^t x) \sigma(a_i^t x')</math> | <math>K_{m}^{(b)}(x, x') = \frac{1}{m} \sum_{i=1}^{m} \sigma(a_i^t x) \sigma(a_i^t x')</math> | ||
* <math>a_i</math> and <math>b_i</math> are independent samples at initialization. | * <math>a_i</math> and <math>b_i</math> are independent samples at initialization. | ||
Based on law of large numbers, as m goes to infinity, | Based on law of large numbers, as m goes to infinity,<br> | ||
<math>K_{m}^{(a)}(x, x') \to K^{(a)}(x, x') = E \left[ b^2 \sigma'(a^t x) \sigma'(a^t x') (x x') \right]</math> | <math>K_{m}^{(a)}(x, x') \to K^{(a)}(x, x') = E \left[ b^2 \sigma'(a^t x) \sigma'(a^t x') (x x') \right]</math><br> | ||
<math>K_{m}^{(b)}(x, x') \to K^{(b)}(x, x') = E \left[ \sigma(a^t x) \sigma(a^t x') \right]</math> | <math>K_{m}^{(b)}(x, x') \to K^{(b)}(x, x') = E \left[ \sigma(a^t x) \sigma(a^t x') \right]</math> | ||
<math>K^{(a)}(x, x') = \frac{(x x') E[b^2]}{2 \pi} (\pi - \theta(x, x))</math> | <math>K^{(a)}(x, x') = \frac{(x x') E[b^2]}{2 \pi} (\pi - \theta(x, x))</math><br> | ||
<math>K^{(b)}(x, x') = \frac{\Vert x \Vert \Vert x' \Vert E[\Vert a \Vert^2]}{2 \pi d} ((\pi - \theta(x, x')) \cos(\theta) + \sin \theta)</math> | <math>K^{(b)}(x, x') = \frac{\Vert x \Vert \Vert x' \Vert E[\Vert a \Vert^2]}{2 \pi d} ((\pi - \theta(x, x')) \cos(\theta) + \sin \theta)</math> | ||
;Q: When is this taylor approximation good? | ;Q: When is this taylor approximation good?<br> | ||
If the Hessian has bounded eigenvalues. (Hessian Control) | If the Hessian has bounded eigenvalues. (Hessian Control) | ||
;Analyze GD: | ;Analyze GD: | ||
<math>\eta \to 0</math> Gradient-flow | <math>\eta \to 0</math> Gradient-flow<br> | ||
<math>w(t+1) = w(t) - \eta \nabla_{w} L(w(t)) \implies \frac{w(t+1) - w(t)}{\eta} = - \nabla_{w} L(w(t))</math> | <math>w(t+1) = w(t) - \eta \nabla_{w} L(w(t)) \implies \frac{w(t+1) - w(t)}{\eta} = - \nabla_{w} L(w(t))</math><br> | ||
<math>\to \frac{dw(t)}{dt} = -\nabla_{w} L(w(t))</math> | <math>\to \frac{dw(t)}{dt} = -\nabla_{w} L(w(t))</math> | ||
<math>\frac{dw(t)}{dt} = -\nabla_{w} \hat{y}(w) (\hat{y}(w) - y)</math> | <math>\frac{dw(t)}{dt} = -\nabla_{w} \hat{y}(w) (\hat{y}(w) - y)</math><br> | ||
<math> | <math> | ||
\begin{aligned} | \begin{aligned} | ||
| Line 615: | Line 618: | ||
</math> | </math> | ||
If we let <math>u = \hat{y} - y</math>, then <math>\frac{du}{dt} \approx -K(w_i) u</math>. | If we let <math>u = \hat{y} - y</math>, then <math>\frac{du}{dt} \approx -K(w_i) u</math>.<br> | ||
This ODE implies <math>u(t) = u(0)\exp(-K(w_i)t)</math>. | This ODE implies <math>u(t) = u(0)\exp(-K(w_i)t)</math>.<br> | ||
In the over-parameterized case, <math>K(w_0) > 0 </math> (positive definite). | In the over-parameterized case, <math>K(w_0) > 0 </math> (positive definite). | ||
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==Min-max Optimization== | ==Min-max Optimization== | ||
Beginning of Lecture 14 (Oct. 15, 2020) | Beginning of Lecture 14 (Oct. 15, 2020) | ||
<math> | |||
\DeclareMathOperator{\Tr}{Tr} | |||
\DeclareMathOperator{\VCdim}{VCdim} | |||
\DeclareMathOperator{\sign}{sign} | |||
\DeclareMathOperator{\rank}{rank} | |||
\DeclareMathOperator{\argmin}{argmin} | |||
\DeclareMathOperator{\argmax}{argmax} | |||
</math> | |||
;Problem | |||
<math>\min_{x \in X} \max_{y \in Y} f(x,y)</math>. | |||
* This is a zero-sum game. | |||
* Assume <math>f</math> is smooth and differentiable. | |||
;Goal | |||
Find <math>(x^*, y^*)</math> which is a global solution, saddle point, or equilibrium | |||
* <math>y^* \in \argmax f(x^*,y)</math> | |||
* <math>x^* \in \argmin f(x, y^*)</math> | |||
We know: | |||
<math>f(x^*,y) \leq f(x^*, y^*) \leq f(x, y^*)</math> | |||
===Simultaneous Gradient Descent (GDA)=== | |||
<math> | |||
\begin{cases} | |||
x_{t+1} = x_t - \eta \nabla_{x} f(x_t, y_t)\\ | |||
y_{t+1} = y_t + \eta \nabla_{y} f(x_t, y_t) | |||
\end{cases} | |||
</math> | |||
;Notes | |||
* <math>x, y \in \mathbb{R}^d</math> | |||
* In the constrained case, we need to project back onto <math>S</math>. | |||
Define <math>\theta = [x, y]</math>. | |||
Then we can write the above update equation as <math>\theta_{t+1} = \theta_{t} + \eta \overrightarrow{g}(\theta_t)</math> where | |||
<math>\overrightarrow{g}(\theta_t) = | |||
\begin{bmatrix} | |||
- \nabla_x f(x_t, y_t)\\ | |||
\nabla_y f(x_t, y_t) | |||
\end{bmatrix} | |||
</math> | |||
Or in other words, <math>\theta_{t+1} = F(\theta_t)</math>. | |||
We want <math>F</math> to lead to <math>\theta^*</math> until <math>\theta^* = F(\theta^*)</math>. | |||
Here, <math>\theta^*</math> is a fixed point of <math>F</math>. | |||
{{hidden | Example | | |||
Consider <math>\min_x \max_y f(x,y)</math> with <math>f(x,y) = xy</math>. | |||
his has a global saddle point at <math>(0,0)</math>. | |||
Our update rule is: | |||
<math> | |||
\begin{pmatrix} | |||
x_{t+1} \\ y_{t+1} | |||
\end{pmatrix} | |||
= | |||
\begin{pmatrix} | |||
1 & -\eta\\ | |||
\eta & 1 | |||
\end{pmatrix} | |||
\begin{pmatrix} | |||
x_t \\ y_t | |||
\end{pmatrix} | |||
</math> | |||
Does this converge? | |||
We can check the magnitudes: | |||
<math> | |||
\begin{cases} | |||
\Vert x_{t+1} \Vert^2 = \Vert x_t \Vert^2 + \eta^2 \Vert y_t \Vert^2 - 2 \eta x_t y_t\\ | |||
\Vert y_{t+1} \Vert^2 = \Vert y_t \Vert^2 + \eta^2 \Vert x_t \Vert^2 + 2 \eta x_y y_t | |||
\end{cases} | |||
</math> | |||
<math> | |||
\Vert x_{t+1} \Vert^2 + \Vert y_{t+1} \Vert^2 = (1 + \eta^2) (\Vert x_t \Vert^2 + \Vert y_t \Vert^2) | |||
</math> | |||
Thus, each update gets further and further from the origin. | |||
}} | |||
===Convex-concave min-max=== | |||
The min-max theorem by [Von Neumann (1928)]. | |||
* Suppose <math>X,Y</math> be compact/convex. | |||
* Suppose <math>f</math> is continuous and convex-concave. | |||
Then: | |||
* <math>\min_{x \in X} \max_{y \in Y} f(x,y) = \max_{y \in Y} \min_{x \in X} f(x,y)</math> | |||
* min-max optimal point is unique if f is strictly convex-concave otherwise a convex-set of solutions exists. | |||
;Notes | |||
* If <math>f</math> is non-convex concave, it doesn't hold. | |||
* bilinear core: <math>f(x,y) = x^t A y + b^t x + c^t y</math> | |||
[Von Neumann-Dantzig 1947] show that there is a strong connection between the min-max theorem and strong <math>L_p</math> duality. | |||
[Frennd & Schapive 199] show the convergence of sim GDA in an ''average sense'': | |||
Assume: | |||
* f-> convex in x/concave in y | |||
* S-> convex/compact/bounded | |||
* <math>\eta \approx \frac{1}{\sqrt{T}}</math> | |||
Then for Sim GDA: <math>f(\bar{x}, \bar{y}) \to f(x^*, y^*)</math> with order <math>O(1/\sqrt{T})</math> | |||
No guarantees exist for the last iteration. | |||
===Optimistic GDA (OGDA)=== | |||
Gradient descent with negative momentum: | |||
<math>x_{t+1} = x_t - \eta \nabla f(x_t) + \frac{\eta}{2} \nabla f(x_{t-1})</math> | |||
This technique by [Popov 1980] helps the convergence stability of GD. | |||
;OGDA | |||
<math> | |||
\begin{cases} | |||
x_{t+1} = x_t - \eta \nabla_x f(x_t, y_t) + \frac{\eta}{2} \nabla_x f(x_{t-1},y_{t-1})\\ | |||
y_{t+1} = y_t + \eta \nabla_y f(x_t, y_t) - \frac{\eta}{2} \nabla_y f(x_{t-1},y_{t-1}) | |||
\end{cases} | |||
</math> | |||
{{hidden | Example | | |||
<math>f(x, y) = xy</math> | |||
Using OGDA | |||
<math> | |||
\begin{cases} | |||
x_{t+1} = x_t - \eta \nabla_x y_t + \frac{\eta}{2} \nabla_x y_{t-1}\\ | |||
y_{t+1} = y_t + \eta \nabla_y x_t - \frac{\eta}{2} \nabla_y x_{t-1} | |||
\end{cases} | |||
</math> | |||
This small changes allows GDA to converge to <math>(0,0)</math>. | |||
}} | |||
OGDA has ''last iter'' convergence and linear rates for unconstrained bilinear min-max. | |||
===Nonconvex-nonconcave min-max opt=== | |||
The goal is to find a local saddle point. | |||
====Stability==== | |||
If we drift away from <math>(x^*,y^*)</math> then the optimization is unstable. | |||
If we remain close, the optimization is stable even if we never converge. | |||
;Asymptotic Stability | |||
If dynamics start close enough to <math>\theta^*</math> it remains close. | |||
If dynamics converges to <math>\theta^*</math>, it is locally asymptotically stable. | |||
Recall <math>\theta_{t+1} = F(\theta_t) = \theta_t + \eta \overrightarrow{g}(\theta_t)</math>. | |||
Jacobian of f: <math>J(\theta) = I + \eta H(\theta)</math>. | |||
where the Hessian is <math>H(\theta) = | |||
\begin{pmatrix} | |||
- \nabla_{xx}^2 f & -\nabla_{xy}^2 f\\ | |||
\nabla_{xy}^2 f & \nabla_{yy}^2 f\\ | |||
\end{pmatrix} | |||
</math> | |||
(Linear) stability: a fixed point <math>\theta^*</math> is stable if | |||
<math>| \lambda_{\max}(J(\theta^*)) | = \rho(J(\theta^*)) \leq 1</math>. | |||
Lemma: If linearly stable but <math>\rho(J(\theta^*)) < 1</math> then asymptotic stability. | |||
====Strongly local min-max==== | |||
Definition: | |||
<math> | |||
\begin{cases} | |||
\lambda_{min}(\nabla^2_{xx} f) > 0\\ | |||
\lambda_{max}(\nabla^2_{yy} f) < 0 | |||
\end{cases} | |||
</math> | |||
Simultaneous GDA: | |||
<math>H = | |||
\begin{pmatrix} | |||
- \nabla_{xx}^2 f & -\nabla_{xy}^2 f\\ | |||
\nabla_{xy}^2 f & \nabla_{yy}^2 f\\ | |||
\end{pmatrix} | |||
</math> | |||
Consider <math>\theta^*</math> is a local min-max. Then both of the diagonal matrices (<math>-\nabla^2_{xx}</math> and <math>\nabla^2_{yy} f</math>) will be negative semi definite. | |||
Lemma: | |||
Eigenvalues of the hessian matrix will not have a positive real part: <math>Re(\lambda(H)) < 0</math>. | |||
Why? | |||
<math> | |||
\begin{pmatrix} | |||
A & B\\ | |||
-B^T & C | |||
\end{pmatrix} | |||
\begin{pmatrix} | |||
v \\ u | |||
\end{pmatrix} | |||
= | |||
\lambda | |||
\begin{pmatrix} | |||
v \\ u | |||
\end{pmatrix} | |||
</math> | |||
Summing up both results in: | |||
<math> | |||
\begin{aligned} | |||
&(v^H A v + u^H C u) + (v^H B u - u^H B^T v) = \lambda (\Vert v \Vert^2 + \Vert u \Vert^2)\\ | |||
\implies &Re(v^H A v + u^H C u) = Re(\lambda)(\Vert v \Vert^2 + \Vert u \Vert^2) < 0\\ | |||
\implies &Re(\lambda) < 0 | |||
\end{aligned} | |||
</math> | |||
For asymptotic stability, we need <math>| \lambda_{\max} (J) | < 1</math>. | |||
<math>J = I + \eta H</math> with lr <math>\eta > 0</math> | |||
;Lemma | |||
If H has eigenvalue with negative real parts then eigenvalues of J lie in a unit ball iff <math>\eta < \frac{1}{|Re(\lambda)} \frac{2}{1+ (Im(\lambda)/Re(\lambda))^2}</math> for all <math>\lambda</math>. | |||
The convergence rate of Sim GDA is proportional to the spectral radius <math>O(\rho(J)^t)</math>. | |||
Thus we want the spectral radius to be small (e.g. 1/2) for a fast convergence rate. | |||
Suppose we have a really large negative real part in the eigenvalue. | |||
Then <math>\eta</math> will need to be really small which we don't want. | |||
Similarly if <math>Im(\lambda)/Re(\lambda)</math> is large then we will have slow convergence. | |||
{{ hidden | Proof | | |||
Suppose <math>\lambda</math> is an eigenvalue of H. | |||
<math>\lambda = -a + ib</math> with <math>a > 0</math>. | |||
<math>J = I + \lambda H</math> | |||
<math> | |||
\begin{aligned} | |||
|1 + \eta \lambda|^2 &= | 1 + \eta (-a + ib)| ^2\\ | |||
&= |(1 - \eta a) + i(\eta b)|^2\\ | |||
&= 1 + \eta^2 a^2 - 2 a \eta + \eta^2 b^2 < 1\\ | |||
\implies & \eta(a^2+b^2) - 2a < 0\\ | |||
\implies & \eta < \frac{2a}{a^2 + b^2} = \frac{1}{a} \frac{2}{1+(b/a)^2} | |||
\end{aligned} | |||
</math> | |||
}} | |||
===Regularized GDA=== | |||
<math>\theta_{t+1} = \theta_t + \eta R(\theta_t) G(\theta_t)</math> | |||
* <math>R(\theta)</math> is chosen to not change the fixed point of the original problewm. | |||
* Suppose <math>R(\theta)</math> is invertible. <math>\theta^*</math> is a fixed point iff <math>g(\theta^*) = 0</math>. | |||
Proof: | |||
(->) If <math>\theta^*</math. is a fixed point the <math>0 = \eta R(\theta^*) g(\theta^*) \implies g(\theta^*) = 0</math>. | |||
(<-) If <math>g(\theta^*)=0</math>, we want to show <math>\theta^*</math> is a fixed point. | |||
If <math>g(\theta^*)=0</math> then <math>\tilde{J}(\theta^*) = I + \eta R(\theta^*) H(\theta^*) + 0</math>. | |||
<math>R(\theta) = I - \gamma H^T</math> | |||
<math>R(\theta) H(\theta) = (I-\gamma H^T)H = H - \gamma H^T H</math> | |||
<math>J = I - \eta H - \eta \gamma H^T H</math> | |||
Thus this regularization pushes the real parts of the eigenvalues to be more negative so that the training will be more stable. | |||
This reduces <math>Im(\lambda)/Re(\lambda)</math> but may not necessarily help because it increases <math>Re(\lambda)</math>. | |||
===Approximate Local minmax=== | |||
Under continuous and differentiable assumptions, the space of fixed-points is guaranteed to be non-empty (by Brouwev's Fixed Point thm) however the set of local min-max can be empty. | |||
[Dskalakis & Penges 2018, Adolphs et al 2018] | |||
In an unconstrained case, the strong local min-max set is a subset of stabled fixed points of GDA which is a subset of stable points of OGDA. | |||
;Definition | |||
<math>(x^*, y^*)</math> is an <math>(\epsilon, \delta)</math> approximate local min-max if: | |||
<math>f(x^*, y) - \epsilon \leq f(x^*, y^*) \leq f(x, y^*) + \epsilon</math> | |||
<math>\forall (x,y) \in B_{\delta}(x^*, y^*)</math> | |||
Suppose f is a G-lipschitz and L-smooth. | |||
For <math>\delta < \epsilon/G</math>, every point is a local min-max. | |||
For <math>\delta > \sqrt{2\epsilon/L}</math>, the local min-max may not exist and np-hard to compute. | |||
For the region in between, the local min max is guaranteed to exist. The compute is PPAD (super polynomial) and not np-hard. | |||
;So what? | |||
For ERM non-convex minimization, we us GD to solve. Over-parameterization helped us in terms of global convergence. | |||
Would over-parameterization help in solving non-convex concave min-max? | |||
Yes. An ICLR 2021 paper by anonymous authors ''Understanding the role of over-parameterization in GANs''. | |||
;Theorem | |||
Consider a WGAN problem. | |||
Suppose the generator is one-hidden layer and the discriminator is linear. | |||
<math>\min_{G} \max_{D} f(G,D)</math> is non-convex concave optimization. | |||
If the generator is sufficiently over-parameterized then Sim GDA converges to a global min-max solution. | |||
==Flow-based Generative Models== | |||
Lecture 16 (October 22, 2020) | |||
Suppose we have a dataset <math>\{x_1,..., x_n\} \subset \mathbb{R}^d</math>. | |||
Our probabilistic model is: | |||
<math>z \sim N(0,I)</math> and <math>x=g_{\theta}(z)</math> where g is bijective and invertible. | |||
We assume <math>f</math> is a differentiable function. | |||
Generation or sampling goes from <math>z</math> to <math>x</math>. | |||
Inference goes from <math>x</math> to <math>z</math>. | |||
Change of variables in 1d: <math>P(z)dz = P(x)dx \implies P(x) = P(z) \frac{dz}{dx}</math>. | |||
In high-dim: <math>P(x) = P(z) | det(\frac{dz}{dx}) |</math>. | |||
;Maximum Likelihood | |||
<math>P_{\theta}(x) = P(z) | det(\frac{dz}{dx})|</math>. | |||
<math> | |||
\begin{aligned} | |||
\max_{\theta} \frac{1}{n} \sum_{i=1}^{n} \log P_{\theta}(x_i) \\ | |||
= \min_{\theta} \frac{1}{n} \sum_{i=1}^{n} \left[ -\log P_{\theta}(x_i) \right]\\ | |||
= \min_{\theta} \frac{-1}{n} \sum_{i=1}^{n} \left[ \log P(z_i) + \log | det(\frac{dz}{dx})| \right] | |||
\end{aligned} | |||
</math> | |||
;Issues | |||
* How to design a bijective function? | |||
* <math>det(J)</math> computation can be very expensive. | |||
;Idea | |||
* Come up with J (i.e. f/g mappings) such that det(J) is easy to compute. | |||
{{hidden | warm-up | | |||
If <math>x=Az+b</math> then <math>z=A^{-1}(x-b)</math>. | |||
<math>J = A^{-1}</math> is expensive to compute. | |||
}} | |||
If <math>J</math> is a diagonal matrix then <math>det(J) = \prod_i J_{ii}</math>. | |||
An <math>f</math> function which is element-wise would have a diagonal jacobian. This is not very expressive. | |||
===Upper-triangular Jacobian=== | |||
RealNVP by [Dint et al] considers an upper-triangular matrix. | |||
In this case, the determinant is still the diagonal. | |||
What does f/g look like? | |||
<math> | |||
\begin{cases} | |||
z_1 = x_1\\ | |||
z_2 = s_\theta \cdot x_2 + t_\theta | |||
\end{cases} | |||
</math> | |||
Now our jacobian is: | |||
<math> | |||
J = \begin{pmatrix} | |||
I & 0\\ | |||
\frac{dz_2}{dx_1} & diag(S_\theta) | |||
\end{pmatrix} | |||
</math> | |||
and <math>det(J) = \prod (S_\theta)_i</math>. | |||
Is this expressive enough? No. | |||
===Composition of transformations=== | |||
<math>f = f_1 \circ f_2 \circ ... \circ f_k</math> | |||
A sequence of invertible transformations is called normalizing flows. | |||
Here, we have the following properties | |||
* <math>(f_1 \circ f_2)^{-1} = f_2^{-1} \circ f_1^{-1}</math> | |||
* <math>\nabla(f_2 \circ f_1)(x) = \nabla f_2(f_1(x)) \nabla f_1(x)</math> | |||
* <math>det(J_1 J_2) = det(J_1) det(J_2)</math> | |||
RealNVP uses two types of partitioning | |||
* Checkerboard | |||
* Channel partitioning | |||
In Glow [Kingmen et al], they use invertible 1x1 convolution which is equivalent to matrix multiplication. | |||
Use <math>W = P L (U+diag(s))</math> and <math>| det(W)| = sum(\log |S|)</math> | |||
===Dequantization=== | |||
Fitting a ''density'' function to discrete data can have crazy peaks. | |||
For dequantization, add a uniform to the data to get a more stable density function. | |||
<math> | |||
\begin{aligned} | |||
\log \int p(x_i +\delta) p(\delta)ds &= \log E_\delta [\log p(x_i + \delta)]\\ | |||
&\geq E_{\delta}[\log p(x_i + \delta)]\\ | |||
&\approx \log p(x_i + \delta) | |||
\end{aligned} | |||
</math> | |||
* We have exact likelihood estimations. | |||
** We can use out-of-distribution anomaly detection. | |||
However in practice after training on CIFAR, the liklihood of MNIST is higher. | |||
This behavior is not specific to flow-based models. | |||
Suppose <math>P_{\theta}</math> is <math>N(0, I_d)</math>. | |||
Our typical example has <math>\Vert x_i \Vert^2 = O(d)</math>. | |||
Consider <math>x^{test} = 0</math> then <math>P_{\theta}(x^{test}) > P_{\theta}(x_1)</math>. | |||
==Domain Adaptation== | |||
So far, we have a training set <math>\{(x_i^{(train)}, y_i^{(train)})\}</math> from distribution <math>Q_{X,Y}</math>. | |||
We learn optimal parameters <math>\theta^*</math> via ERM. | |||
Then at test time, our test samples come from the same distribution <math>Q_{X,Y}</math>. | |||
However in practice, the training distribution can be different from the test distribution. | |||
The training distribution is the source domain. The test distribution is the target domain. | |||
;Examples | |||
Q may be synthetic samples and P may be real samples. | |||
Q contains samples with white background but P has samples with real backgrounds. | |||
In training: | |||
For the source domain, we have labeled samples <math>\{(x_i^S, y_i^S)\}_{i=1}^{m_S} \sim Q_{X,Y}</math>. | |||
For the target domain, we only have unlabeled samples <math>\{x_i^t\} \sim P_{X}</math>. | |||
This is ''unsupervised'' domain adaptation. | |||
In ''semi-supervised'' domain adaptation, your target samples are mostly unlabeled but contain a few labeled samples. | |||
If no target samples are available during training, the scenario is called ''domain generalization'' or ''out-of-distribution'' generalization. | |||
===Unsupervised domain adaptation=== | |||
Given <math>m_s = m_t = m</math>. | |||
* m labeled samples from source domain Q | |||
* m unlabeled samples from target P | |||
* This problem is ill-defined | |||
;Practical assumptions. | |||
# Covariate shifts: P and Q satisfy the covariate shift assumption if the conditional label dist doesn't change between source and target. | |||
#* I.e. <math>P(y|x) = Q(y|x)</math> | |||
# Similarity of source and target marginal distributions. | |||
# If I had labeled target samples, the joint error (target + source samples) should be small. | |||
[Ben-David et al.] consider binary classification. | |||
;H-divergence | |||
<math>2 \sup_{h \in H}|Pr_{x \sim Q_{X}}(h(x)=1) - Pr_{x \sim P_{X}}(h(x)=1)| = d_{H}(Q_X, P_X)</math> | |||
;Lemma | |||
<math>d_{H}(Q_X, P_X)</math> can be estimated by m samples from source and target domains. | |||
<math>VC(H)=d</math> then with probability <math>1-\delta</math> | |||
<math>d_{H}(Q_X, P_X) \leq d_{H}(Q_{X}^{(m)}, P_{X}^{(m)}) + 4 \sqrt{\frac{d \log(2m) + \log(2/\delta)}{m}}</math> | |||
# Label source examples as 1 and label target samples as 0. | |||
# Train a classifier to classify source and target. | |||
# If loss is small then divergence is large. <math>\frac{1}{2} d_{H}(Q_X^{(m)}, P_X^{(m)}) = 1-loss_{class}</math> | |||
===Recap=== | |||
Beginning of Lecture 18 (Oct. 29, 2020) | |||
Given labeled examples from the source domain: <math>Q_{X,Y} = \{(x_i^S, y_i^S)\}_{i=1}^{m_s}</math>. | |||
Target domain: <math>P_{X} = \{x_i^t\}_{i=1}^{m_t}</math>. | |||
Learn a function <math>h \in H</math>. | |||
<math>\epsilon^T(h) = E_{(x,y) \sim P_{X,Y}}[ l(h(x), y) ]</math>. | |||
H-divergence: | |||
<math>d_H(Q_X, P_X) = 2\sup_{h \in H} | P_{Q}(h(x)=1) - P_{P}(h(x)=1)| = 2(1-loss_{classifier})</math>. | |||
This can be estimated by training a classifier to distinguish between train and test samples. | |||
Def: | |||
For the hypothesis class H, the ''symmetric difference hypothesis space'' <math>H \triangle H</math> is the set of disagreements between any two hypothesis in H: | |||
<math>H \triangle H = \{g(x) = h(x) \oplus h'(x) \mid \forall h, h' \in H\}</math>. | |||
;Main Result | |||
<math>H</math> is a hypothesis class with <math>VC(H)=d</math>. | |||
With probability <math>1-\delta</math>, <math>\forall h \in H</math>: | |||
<math>\epsilon_{T}(h) \leq \epsilon_{S}(h) + \frac{1}{2} d_{H \triangle H}(Q_X^{(m)}, P_X^{(m)}) + \epsilon_{joint}</math>. | |||
Target error is <= source error + divergence | |||
===Practical Domain Adaptation Methods=== | |||
;Classical DA methods (pre deep learning) | |||
* Metric Learning | |||
* Subspace alignment | |||
* MMD-based distribution matching | |||
* Sample reweighting & selection | |||
;Modern DA methods (i.e. deep domain adaption) | |||
[https://arxiv.org/abs/1409.7495 Ganin & Lempitsky] | |||
The idea is to train an embedding function using an adversarial domain classifier to extract common features from the source and target domains. | |||
* Input <math>x</math> goes to an embedding function <math>F</math> to get features. | |||
* Features go to a classification network <math>C_1</math> to get labels. | |||
* Features also go to a domain classifier <math>C_2</math>. | |||
* Training: <math>\min_{F, C_1, C_2} E_{(x, y)} \sim Q_{X,Y}^{(m)} [\ell(C_1 \circ F(x), y)] - \lambda L(C_2)</math>. | |||
* In general, we want to find a mapping (embedding) <math>F</math> such that <math>F(Q_X) \approx F(P_X)</math>. | |||
*: The domain classifier penalizes the distance between <math>F(Q_X)</math> and <math>F(P_X)</math>. | |||
Example 1: MMD distance (Maximum mean discrepancy) | |||
Define <math>\tilde{x}_i = F(x_i)</math>. | |||
<math>D_{MMD}(Q^{(m)}_{\tilde{x}}, P^{(m)}_{\tilde{x}}) \stackrel{\triangle}{=} \Vert \frac{1}{m}\sum \phi(\tilde{x}_i^S) - \frac{1}{m}\sum \phi(\tilde{x}_i^T) \Vert</math> | |||
Here <math>\phi: \mathbb{R}^r \to \mathbb{R}^D</math> is a fixed kernel function. | |||
We square D to apply the kernel trick: | |||
<math>D^2_{MMD}(Q^{(m)}_{\tilde{x}}, P^{(m)}_{\tilde{x}}) = \frac{1}{m^2}\left( \sum_{i,j=1}^{m}K(x_i^s x_j^s) + \sum_{i,j=1}^{m}K(x_i^t, x_j^t) - 2 \sum_{i,j=1}^{m}K(x_i^t, x_j^t) \right)</math> | |||
MMD-based DA (Tzeng ''et al.'' 2014): | |||
<math>\min L(c_1 \circ F(x^s, y^s) + \lambda D^s_{MMD}(F(x^s, F(x^t))</math> | |||
Example 2: Wasserstein distance | |||
<math>\min L_{cls}(C_1 \circ F(x^S), y^s) + \lambda W(F(x^s, F(x^s))</math> | |||
The wasserstein distance is computed using the Kantorovich duality. | |||
This is also called IPM (Integral prob. metrics) distance. | |||
* We can also use improved & robust version of Wasserstein in DA. | |||
** Robust Wasserstein [Balaji ''et al.'' Neurips 20] | |||
** Normalized Wasserstein [....ICCV] | |||
===CycleGAN=== | |||
[Zhu et al 2017] | |||
Another approach for image-to-image translation. | |||
Source: <math>(x^s, y^s)</math> | |||
Target: <math>x^t</math> | |||
Train two functions: <math>G_{S \to T}</math> and <math>G_{T \to S}</math>. | |||
Losses: | |||
* <math>L_{GAN}(x^S, x^T, G_{S\to T}(D^T) = E_{x^t}\left[\log D^T(x^t)\right] + E\left[\log(1-D^T(G_{S\ to T}(x^s)) \right]</math>. | |||
* <math>L_{GAN}(x^S, x^T, G_{T \to S}(D^S)</math> | |||
* Cycle consistency: <math>L_{cyc} = E\left[ \Vert G_{T\to S}(G_{S \to T}(x^s)) - x^s \Vert \right] + E \left[ \Vert G_{S \to T}(G_{T\ to S}(x^t)) - x^t \Vert \right]</math> | |||
Other tricks: | |||
* Domain-specific batch norms | |||
* Entropy based regularization | |||
===Are assumptions necessary?=== | |||
Assumptions: | |||
* Covariate shift | |||
* <math>d_H(Q_x, P_x)</math> is small | |||
* <math>\epsilon_{joint}</math> small | |||
See [Ben-David ''et al.'']. | |||
* Covariate shift assumption is not sufficient. | |||
* Necessity of small <math>d_{H}(P,Q)</math> for DA. | |||
* Necessity of small joint training error. | |||
===Domain Generalization=== | |||
Also known as out-of-dist (OOD) generalization. | |||
Training: <math>|E|</math> training domains (envs) | |||
<math>P^{(e)} \sim \{(x_i^e, y_i^e)\}_{i=1}^{m_e}</math> with <math>1 \leq e \leq |E|</math>. | |||
Goal: Find <math>h \in H</math> that performs well in an unseen domain (domain <math>|E|+1</math>). | |||
At test time <math>P^{(K+1)} \sim \{(x_i^{(k+1)}, y_i^{(k+1)})\}_{i=1}^{m_{(k+1)}} = E[\ell(h(x),y)]</math>. | |||
<math>R^{(k+1)}(h) = E_{(x,y) \sim P^{(k+1)}}[\ell(h(x), y)]</math>. | |||
;Example datasets | |||
* [http://ai.bu.edu/M3SDA/ DomainNet] | |||
** 6 domains: painting, photo, sketches, drawings, clipart, infograph | |||
* PACS | |||
** 4 domains: art, cartoon, photo, sketch | |||
* Some Simpler datasets | |||
** Rotated MNIST | |||
** Color MNIST | |||
One generalization method is to do nothing, just training normally with ERM. | |||
===Domain-adversarial neural networks (DANN)=== | |||
* Train a feature extractor <math>\phi</math> and a classifier <math>w</math> to yield <math>f=w \circ \phi</math>. | |||
* Domain classifier <math>c</math>. | |||
* <math>loss = \frac{1}{k} \sum_{j=1}^{k} E[\ell(w \circ \phi(x), y)] + \lambda L(domain\_classification)</math>. | |||
* We optimize <math>\min_{\phi, w} loss</math> | |||
* We can use Wasserstein distance: | |||
** <math>loss = \frac{1}{k} \sum_{j=1}^{k} E[\ell(w \circ \phi(x), y)] + \lambda \sum w(P_{X|Y}^{j_1}, P_{X|Y}^{j_2})</math> | |||
** This is solved using alternating gradient descent. | |||
===Meta Learning for Domain Generalization=== | |||
[Li ''et al.'' 2017] | |||
Idea: Build meta-test domains | |||
;Meta-train | |||
* Loss: <math>L_{meta\_train(\theta) = \frac{1}{K-K_1} \sum_{j} E[\ell(f_{\theta'}(x), y)]</math> | |||
* Take one-gradient step to update the model: | |||
** <math>\phi' = \phi - \eta \nabla L_{metatrain}(\theta)</math> | |||
Overall objective: | |||
* <math>\min_{\theta} L_{\text{meta-train}}(\theta) + \beta L_{\text{meta-test}}(\theta')</math> | |||
To update <math>L_{meta}(\theta)</math>, we need to compute <math>\nabla L_{meta}(\theta)</math> which depends on the Hessian wrt <math>\theta</math>. This can be solved using a ''hessian-vector product'' without computing out the hessian which could be very large. | |||
===Invariant Risk Minimization (IRM)=== | |||
[Arjovsky ''et al.'' (2019)] | |||
Idea: Find a feature extractor <math>\phi()</math> such that optimal classifier is the same for every domain. | |||
Define: <math>R^e(\phi, w) = E[\ell (w_0 \phi(x), y)]</math>. | |||
Objective: <math>\min_{\phi, \hat{w}} \frac{1}{k} \sum R^e (\phi, w)</math> s.t. <math>\forall e</math>, <math>\hat{w} \in \operatorname{argmin}_{\beta} R^e(\phi, \beta)</math> | |||
This is a bi-level optimization which is difficult to solve. The constraint depends on another optimization. | |||
The paper uses a lagrangian relaxation: | |||
<math>\min_{\phi, \hat{w}} \frac{1}{k} \sum R^e(\phi, \hat{w}) + \lambda \Vert \nabla_{\hat{w}} R^e(\phi, \hat{w}) \Vert^2_2</math>. | |||
Argument: If we can solve the optimization, such a function will use only invariant features since non-invariant features will have different conditional distribution with the label. | |||
[Rosenfeld ''et al.'' Oct 2020] | |||
Not a valid argument in general as IRM fails to recover invariant predictors. | |||
===Which method for generalization works the best?=== | |||
[Gultajani & Lopez-Poz] offer the following empirical observations: | |||
* Model selection is critical in domain generalization. | |||
* Training-domain validation set | |||
* Leave-one-domain out validation set | |||
* Oracle selection | |||
;Data augmentation is important in domain generalization | |||
* random crops, random horizontal flips, random color jitter | |||
* image-to-image neural translation | |||
;ERM (doing nothing) outperforms other DG methods!! | |||
* Possible with careful model selection | |||
* Larger models help with domain generalization. | |||
* See DomainBED for code and data. | |||
==Self-supervised Learning== | |||
Lecture 21 (November 10, 2020) | |||
Given data <math>x</math>, we want to find a good representation <math>f(x)</math>. | |||
We can use <math>f(x)</math>. to solve the classification problem more efficiently (e.g. using linear classifiers). | |||
Task 1: Learn a good <math>f(x)</math> from ''unlabeled'' samples. | |||
Task 2: Use <math>f(x)</math> + a few labels to solve classification problem using linear models. | |||
Note that in semi-supervised learning, you have unlabeled examples and a few labelled examples but you know what the task is. | |||
In self-supervised learning, we use ''structure'' in labelled data to create artificial supervised learning problems solved via deep models. | |||
In this process, the learning method ''hopefully'' will create internal representations for the data <math>f(x)</math> useful for downstream tasks. | |||
===Image embedding=== | |||
Surprising observation for image embedding: | |||
[Gidaris ''et al.'' ICLR 2018] + [Zhang et al. 2019] | |||
# Rotate images and use the angle of rotation as labels (e.g. <math>\theta = 0, 90, 180, 270</math>). | |||
# Train a CNN to predict the rotation angle from images. | |||
# Use <math>f(x)</math> with linear classification models for the true labels. | |||
;Why should <math>f(x)</math> be a good representation for images? | |||
This is an open question. | |||
===Contrastive Learning=== | |||
[Logeswaren & Lee ICLR 2018] use a text corpus (Wikipedia) to train deep representation <math>f(x)</math>: | |||
<math>x, x^{+}</math> are adjacent sentences. | |||
<math>x, x^{-}</math> are random sentences. | |||
Optimization: | |||
<math>\min_{f} E[\log(1 + \exp^{f(x)^T f(x^-) - f(x)^T f(x^+)]})] \approx E[f(x)^T f(x^-) - f(x)^T f(x^+)]</math>. | |||
This is known as contrastive learning. | |||
Sentence embeddings capture human notions of similarities: | |||
E.g. the tiger rules this jungle is similar to a lion hunts in a forest. | |||
;Can we use contrastive learning to obtain power data representations for images? | |||
We need pairs of similar images and dissimilar images. | |||
;SimCLR [Chen ''et al.'' 2020] | |||
# Create two correlated views of an image <math>x</math>: <math>\tilde{x}_i</math> and <math>\tilde{x}_j</math>. | |||
#* Random cropping + resize | |||
#* Random color distortion | |||
#* Random Gaussian blur | |||
# Use base encoder (ResNet) to map <math>\tilde{x}_i,\tilde{x}_j</math> to embeddings <math>h_i, h_j</math>. | |||
# Train a project head <math>g()</math> (one hidden layer MLP) to map h's to z's which maximize the agreement between z's. | |||
# Loss function: <math>sim(z_i, z_j) = \frac{z_i^t z_j}{\Vert z_i \Vert \Vert z_j \Vert}</math> | |||
Randomly select <math>N</math> samples and add their augmentations to get 2N samples. | |||
Compute similarity matrix <math>S \in \mathbb{R}^{2N \times 2N}</math>. | |||
<math>S_{ij}=\exp(sim(z_i, z_j)) = | |||
\begin{cases} | |||
1 & \text{if }i=j\\ | |||
high & \text{if }{j=2k\text{ and }i=2k-1}\\ | |||
low & otherwise | |||
\end{cases} | |||
</math> | |||
Training is <math>\min_{f,g} L = \frac{1}{N} \sum_{k=1}^{N} \frac{l(2k-1,2k) + l(2k, 2k-1)}{2}</math>. | |||
Practical observations: | |||
* Composition of data augmentation is important. | |||
* Larger batch sizes and longer training helps self-supervised learning! | |||
* Optimization over the MLP projection head <math>g</math> helps! | |||
** f is able to keep some information useful for the classification (e.g. color or orientation) | |||
Empirical results: | |||
* For image net, top-1 accuracy increases as number of parameters increases. | |||
* After learning embeddings <math>f</math>, you don't need much labeled data for supervised-training. | |||
===Theory of self-supervised learning=== | |||
;[Arora ''et al.'' 2019] | |||
Modeling of similar pairs: | |||
* <math>x \sim D_{C1}(x)</math> | |||
* <math>x^+ \sim D_{C1}(x)</math> is semantically similar | |||
* <math>x^- \sim D_{C2}(x)</math> negative samples | |||
Downstream task: | |||
* pairwise classification | |||
** nature picks two classes C1, C2 | |||
** generate samples from C1 & C2 and evaluate the classification loss | |||
* Assume <math>m \to \infty</math> so just look at population loss | |||
Notations: | |||
* <math>L_{sup}(f)</math> is the supervised learning loss with optimal last layer | |||
* <math>l=E_{(x, x^+) \sim D_{sim}, x^- \sim D_{net}}[\log(1+\exp(f(x)^T f(x^-) - f(x)^Tf(x^+)]</math> is a logistic loss | |||
Result 1: | |||
* <math>L_{sup}^{mean}(f) \leq \frac{1}{1-\tau}(L_{un}(f)-\tau)</math> for all <math>f \in F</math> | |||
** <math>\tau</math> is the collision probability for pair of random classes. | |||
Idea result: | |||
* <math>L_{sup}(f^*) \leq \alpha L_{sup}(f)</math> forall <math>f</math>. | |||
* In general it is impossible to get this. | |||
;[Tosh et al. 2020] | |||
This work connects self-supervised learning with multi-view representation theory. | |||
Start with (x, z, y) where x,z are two views of the data and y is the label. | |||
* x and z should share redundant information w.r.t. y. I.e. predicting y from x or z individually should be equivalent to predicting y from both. | |||
* <math>e_x = E(E[Y|X] - E[Y|X,Z])^2</math> and <math>e_z = E(E[Y|Z] - E[Y|X,Z])^2</math> should be small | |||
* Formulate contrastive learning as an artificial ''classification'' problem: | |||
** Classify between <math>(x, z, 1)</math> and <math>(x, \tilde{z}, 0)</math>. | |||
** <math>g^*(x,z) = \operatorname{argmin}(\text{classification loss}) = \frac{P_{X,Z}(x,z)}{P_X(x) P_Z(z)}</math>. | |||
* x,z have redundant info from Y so if we first predict z from x, then use the result to predict Y, we should be good | |||
<math> | |||
\begin{aligned} | |||
\mu(x) &= E[E[Y|Z]|X=x] \\ | |||
&= \int E[Y|Z=z] P_{Z|X}(z|x) dz\\ | |||
&= \int E[Y|Z=z] g^*(x,z) P_Z(z) dz | |||
\end{aligned} | |||
</math> | |||
Lemma: <math>E[(\mu(x) - E[Y | x,z])^2] \leq e_x + e_z + 2\sqrt{e_x e_z}</math> | |||
Landmark embedding: <math>g^*</math> is computed via contrastive learning. | |||
How to embed x? <math>\phi(x) = (g^*(x, z_1),...,g^*(x,z_m))</math> | |||
z's are randomly generated from <math>P_Z</math>. | |||
Each <math>g^*</math> output is a single number. | |||
* <math>\phi()</math> is good embedding if a linear classifier of <math>\phi</math> is approx <math>\mu(x)</math>. | |||
** I.e. <math>\exists w : w^t \phi(x) \approx \mu(x)</math> | |||
** <math>w^t \phi(x) = \frac{1}{m} \sum_{i=1}^{m} E[Y|Z_i] g^*(x, z_i) \stackrel{m \to \infty}{\rightarrow} \int E[Y|Z=z] g^*(x,z)P_{Z}*z dz = \mu(x)</math> | |||
Direct embedding | |||
Instead of learning a bivariate <math>g(x,z)</math>, learn <math>\eta(x)^T \psi(z)</math>. | |||
Lemma: For every <math>\eta: x \to \mathbb{R}^m</math> and <math>\psi:z \to \mathbb{R}^m</math>, there exists <math>w \in \mathbb{R}^m</math> such that <math>E[(w^t \eta(x) - \mu(x))^2] \leq E[Y^s \epsilon_{direct}(\eta, \psi)</math> where <math>\epsilon_{direct} = [(\eta(x)^t \psi(x) - g^*(x,z))^2</math>. | |||
Can we write <math>g^*(x,z)</math> as <math>\eta(x)^T \psi(z)</math>? | |||
* If there is a hidden variable H s.t. X and Z are conditionally independent given H. | |||
# Case 1: H is a discrete variable then <math>g^*(x, z) = \eta^*(x)^t \psi(z^*)</math> | |||
# Case 2: There exists <math>\eta,\psi</math> such that <math>E(\eta(x)^t \psi(z) - g^*(x,z))^2 \leq o(\frac{1}{m})</math>. | |||
==Meta Learning== | |||
In many applications, we don't have a large training dataset. However, humans can adapt and learn ''on the fly''. | |||
The key is to use prior knowledge in performing new tasks. | |||
How can we train AI/ML models similarly? | |||
Goal of meta learning: Train a model on different learning tasks such that it can solve new tasks using only a small number of training samples. | |||
Few shot classification problem: | |||
Inputs: <math>D_{metatrain} = \{(D_i^{train}, D_i^{test})\}_{i=1}^{n}</math>. | |||
<math> | |||
\begin{cases} | |||
D_{i}^{train} = \{(x_j^i, y_j^i) \}_{j=1}^{k}\\ | |||
D_{i}^{test} = \{(x_j^i, y_j^i) \}_{j=1}^{k'} | |||
\end{cases} | |||
</math> | |||
* <math>i</math> is the index of the task | |||
* <math>j</math> is the index of the sample | |||
K-shot classification means k training samples per label. Some papers use k as the size of the whole training set. | |||
Q: How to use <math>D_{metatrain}</math> to solve meta-test tasks more effectively? | |||
* Use <math>D_{metatrain}</math> to learn meta parameters <math>\theta</math> such that: | |||
* Base learner <math>A</math> outputs task-specific model parameters <math>\phi_i = A(D_{i}^{train}, \theta)</math> good for <math>D_{i}^{test}</math>. | |||
* Training procedure: | |||
** Loss: <math>\min_{\theta} \sum_{i=1}^{n} loss(D_{i}^{test}, \phi_i)</math> where <math>\phi_i = A(D_{i}^{train}, \phi)</math>. | |||
* Test time: given a new task <math>(D^{train}, D^{test})</math>. Apply <math>A(D^{train}, \theta^*)</math> to get <math>\phi</math>. | |||
[Fin et al. 2017] | |||
* Idea: train a model that can be easy to fine-tune on new tasks | |||
* one-step fine tuning: <math>\theta - \alpha \nabla L(\theta, D_{i}^{train})</math> gives us <math>\phi_{i}</math> | |||
* Evaluate <math>\phi_i</math> on <math>D_i^{test}</math> | |||
* <math>\min_{\theta} \sum_{i=1}^{n} L(\phi_i, D_i^{test}) = L(\theta - \alpha \nabla L(\theta, D_i^{train}), D_i^{test})</math> | |||
1. Model-agnostic meta learning (MAML) | |||
* Use GD to optimize over <math>\theta</math> | |||
** <math>\nabla_\theta = \sum_{i=1}^{n}(\nabla_{\theta} \phi_i) \nabla_{\phi} L(\phi_i, D_i^{test})</math> | |||
** <math>(\nabla_{\theta} \phi_i)</math> involves second-order derivatives which are expensive. | |||
* First-order MAML: just ignore <math>\nabla_{\theta} \phi_i</math> term. Replace it with the identity matrix. | |||
Reptile (Michal et al 2018) | |||
2. <math>A</math> is a simple linear/non-parametric learning on data embeddings computed via <math>f_{\theta}</math> | |||
[Lee et al. 2019] | |||
* <math>f_{\theta}</math> is used to compute embeddings | |||
* <math>A</math> is a linear classifier (e.g. SVM) | |||
* Use dual form of SVM so # of optimization variables = # training samples * # classes | |||
3. <math>A</math> is a non-parametric learning | |||
* Embedding: <math>\tilde{x} = f_{\theta}(x)</math> | |||
[Snell et al. 2017) | |||
* Define prototypes (cluster centers) | |||
** <math>c_k = \frac{1}{|D_i^{tr}|} \sum_{(x,y) \in S_k} f_{\theta}(x)</math> | |||
** <math>P_{\theta}(y=k|x) = \frac{\exp(-d(f_{\theta}(x), c_k))}{\sum_{k'} \exp(-d(f_{\theta}(x), c_k))}</math> | |||
4: <math>A</math> is a black box (e.g. LSTM). | |||
==LSTMs and transformers== | |||
Lecture 23 (November 19, 2020) | |||
===Recurrent Neural Networks (RNNs)=== | |||
Hidden state: <math>h_t = \tanh(W_{hh} h_{t-1} + W_{xh} x_t)</math> | |||
Prediction at t: <math>y_t = W_{hy} h_{t}</math> | |||
;Backpropagation through time | |||
If <math>W</math> has largest singular value < 1, then gradient vanishes. | |||
If <math>W</math> has largest singular value > 1, then gradient explodes. | |||
Typically, gradient vanishes because of initialization of <math>W</math>. | |||
===Long Short Term Memory (LSTMs)=== | |||
Goal is to solve the vanishing and exploding gradient problem. | |||
LSTM has several gates: | |||
* Input gate: <math>i_t = \sigma(W_{xi}x_t + W_{hi}h_{t-1} + b_i)</math> | |||
* Forget gate: <math>f_t = \sigma(W_{xf}x_t + W_{hf}h_{t-1} + b_f)</math> | |||
* Output Gate: <math>o_t = \sigma(W_{xo}x_t + W_{ho}h_{t-1} + b_o)</math> | |||
* Cell state: <math>c_t = f_t \odot c_{t-1} + i_t \odot \tilde{c}_t</math> | |||
* Hidden state: <math>h_t = o_t \odot \tanh(c_t)</math> | |||
;Bidirectional RNNs | |||
First LSTM takes input in correct order. | |||
Second LSTM takes input in reverse order. | |||
Concatenate outputs from both LSTMs. | |||
===Attention=== | |||
Goal: To help memorize long source sentences in machine translation. | |||
;Encoder-decoder attention | |||
;Self-Attention | |||
===Transformer=== | |||
;Positional encoding | |||
;Self-Attention | |||
Have queries, keys, and values. | |||
Multiply queries with keys, pass through softmax. Then times values. | |||
Yields attention of every work with respect to another. | |||
Initially, transformers had n=8 heads giving 8 queries, keys, and values. | |||
;Architecture | |||
Stack encoders. | |||
==Interpretability== | |||
;Interpretability Methods | |||
* Built-in model interpretability | |||
* Feature level interpretability | |||
* Instance based explanations | |||
We will focus on feature level interpretability. | |||
===Feature Level Interpretability=== | |||
These are given through saliency maps. | |||
* Perturbation-based: Perturb the input to get another output and compute the difference. | |||
* Gradient-based | |||
===Gradient-based Methods=== | |||
Take the derivative of the output with respect to the input. | |||
;Limitations | |||
* Too local and sensitive to slight perturbations | |||
* Saturated outputs lead to unintuitive gradients | |||
* Discontinuous gradients are problematic | |||
;SmoothGrad | |||
* Add gaussian noise to input and average the gradient. | |||
;Integrated Gradients | |||
* Average the gradients along path from baseline to input. | |||
;DeepLift | |||
* We don't care about gradient but the slope relative to the ''reference'' state | |||
;Limitations | |||
* Models must be able to compute the gradient of the output with respect to the input | |||
* Interpretation of neural networks is fragile | |||
** Saliency maps are uninterpretable for adversarial examples on clean models and adversarially trained models. | |||
* Needs white-box gradient access to the model. | |||
===Evaluation of interpretability methods=== | |||
* Human evaluation | |||
** Can humans evaluate saliency? | |||
* Accuracy drop after removing ''salient'' features | |||
* Sanity checks | |||
** Model parameter randomization test - compare output of saliency method on trained vs untrained method to make sure saliency depends on model parameters. | |||
* Synthetic Data | |||
* Data randomization test | |||
** Train on random labels and see if saliency depends on relationship between input & output. | |||
Temporal saliency Rescaling | |||
* If you remove this feature, how is the gradient going to change. | |||
==Reinforcement Learning== | |||
Lecture 27 (December 1, 2020) | |||
;Goal: Sequential decision making problems | |||
* Current decisions can affect future decisions | |||
Examples: games, robotics, self-driving, finance | |||
Agent takes an action <math>a_t</math> in the environment which leads to a new state <math>\delta_{t+1}</math>. | |||
;Definitions | |||
* <math>S</math> is the state space. This can be discrete or continuous. | |||
* <math>O</math> are the observations. | |||
* <math>A</math> is the set of actions which can be discrete or continuous. | |||
* <math>P</math> are the transition probabilities which model the environment. | |||
Example: | |||
* <math>|S|</math> = 2 | |||
* <math>|A|</math> = 2 | |||
In general, <math>S_t \sim P(S_t=s | s_0, a_0, s_1, a_1, ..., a_{t-1})</math>. | |||
The given variables are the trajectory <math>T_{t-1}</math>. | |||
Modeling this can be very complex for large <math>T</math>. | |||
Thus, we apply a markov assumption: | |||
* <math>S_t \sim P(S_t=s | a_{t-1}, s_{t-1})</math> | |||
Objective: To maximize the rewards | |||
* <math>R_t \stackrel{\triangle}{=} R(s_t, a_t)</math> | |||
Two regimes for rewards | |||
* Finite horizon; T is finite | |||
* Infinite horizon; T goes to infinity | |||
* Discount factor | |||
===Classical RL=== | |||
Finite Markov Decision Process (MDP) | |||
* S: Finite number of states | |||
* A: Finite number of actions | |||
* <math>R_t = R(a_t, S_t)</math> | |||
* r discount factor | |||
Goal: Choose actions to maximize the total rewards. | |||
* Policy function <math>\pi</math> determines how actions should be taken. | |||
* The policy function could yield a dist on actions or can be deterministic. We will focus on deterministic actions. | |||
* Assume this is time invariant. | |||
* Value function determines the expected reward if we start at state s and follow policy <math>\pi</math>. | |||
* Q function (action-value function) | |||
** <math>Q_\pi (s, a) = E[R_0 + \gamma R_1+... | A_0=a, S_0=s, \pi]</math> | |||
* If we have <math>\pi</math>, can we evaluate <math>V_{\pi}(s)</math>? | |||
** <math>V_{\pi}(s) = E[R_0 + \gamma R_1 + ... | S_0 = s, \pi]</math> | |||
* Use Bellman's equation | |||
** <math>V_{\pi}(s) = R_0 + \gamma \sum_{s'} P_{\pi}(s' | s) V_{\pi}(s')</math> | |||
** <math>V_{\pi} = R + \gamma P_{\pi} V_{\pi}</math> | |||
** <math>V_{\pi} = (I - \gamma P_{\pi})^{-1}R</math> | |||
** <math>P_{\pi}</math> is a stochastic matrix. It is not symmetric so eigenvalues can be complex. | |||
All eigen values are <math>\Vert \lambda_i \Vert \leq 1</math> with one eigenvalue norm exactly 1. | |||
This implies <math>I - \gamma P_{\pi}</math> is always invertible. | |||
However, computing the inverse is computationally expensive since it scales with <math>|S|^3</math>. | |||
===Value-Iteration (Bellman Recursion)=== | |||
<math>V_{\pi} = R + \gamma P_{\pi} V_{\pi}</math> | |||
Define an operator <math>L_{\pi}v = R + \gamma P_{\pi}v</math> | |||
<math>v_pi = L_{\pi} v_{\pi}</math> so <math>v_{\pi}</math> is a fixed point to <math>L_{\pi}</math>. | |||
;Claim: <math>L_{\pi}</math> is a contraction. | |||
Proof: Take <math>v_1, v_2 \in \mathbb{R}^d</math>. | |||
<math> | |||
\begin{aligned} | |||
L_{\pi}v_1 - L_{\pi}v_2 &= (R + \gamma P_{\pi}v_1) - (R + \gamma P_{\pi}v_2) \\ | |||
&= \gamma P_{\pi}(v_1 - v_2) | |||
\end{aligned} | |||
</math> | |||
<math> | |||
\begin{aligned} | |||
\Vert L_{\pi}v_1 - L_{\pi}v_2 \Vert &= \Vert \gamma P_{\pi}(v_1 - v_2) \Vert\\ | |||
& \leq \gamma \Vert P_{\pi} \Vert \Vert v_1 - v_2 \Vert \\ | |||
& \leq \Vert v_1 - v_2 \Vert | |||
\end{aligned} | |||
</math> | |||
By Banach's Fixed Point Theorem, we can converge to the fixed point iteratively by repeatedly applying <math>L_{\pi}</math>. | |||
===Optimal Policy=== | |||
Elementwise max: <math>\max_{\pi} v_{\pi}(s)</math> leads to the optimal policy <math>\pi^*(s)</math>. | |||
Bellman (1957) showed that for an MDP, there exists an optimal policy that is deterministic and such that <math>v_{\pi^*}(s) \geq v_{\pi}(s)</math> for all <math>s, \pi</math>. | |||
The policy may not be unique but if two policies are equal, they have the same value function. | |||
Intermediate questions: | |||
* Given <math>v^*</math>, can we compute <math>Q^*</math>? | |||
<math> | |||
\begin{aligned} | |||
Q^*(s, a) &= \max_{\pi} Q(s,a)\\ | |||
&= \max_{\pi} R(s) + \gamma \sum_{s'} p(s' | s,a) v_{\pi}(s')\\ | |||
&= R(s) + \gamma \sum_{s'} P(s' | s, a) \max_{\pi}(v_{\pi}(s'))\\ | |||
\end{aligned} | |||
</math> | |||
* Given <math>Q^*</math>, can we compute <math>v^*</math>. | |||
Bellman's optimality states that <math>v^*(s) = \max_{a} Q^*(s, a)</math>. | |||
<math>\pi^*(s) = \operatorname*{argmax}_{a} Q^*(s, a)</math> | |||
;How to compare optimal policies? | |||
First approach: Value Iteration | |||
<math>V^*(s) = \max_{a} Q^*(s, a) = \max_{a} [R(s) + \gamma \sum_{s'} p(s'|s,a) v^*(s')]</math> | |||
Define an operator: <math>L(v) = \max_{\pi}[R + \gamma P_{\pi} v]</math> | |||
<math>v^*</math> is a fixed point of <math>L(v)</math>. | |||
Claim: <math>L</math> is also a contraction. | |||
Thus <math>v^*</math> can be computed by repeated application of <math>L</math>. | |||
===Value Iteration=== | |||
* Start with a random <math>v^{(0)} \in \mathbb{R}^d</math> | |||
* <math>v^{(r+1)}(s) = \max_{a} [R(s) + \gamma \sum_{s'} p(s'|s,a) v^{r}(s')]</math> | |||
* Repeat until <math>\Vert v^{(r+1)} - v^{(r)} \Vert \leq \epsilon</math> | |||
===Policy Iteration=== | |||
Directly optimize policy. | |||
* Start with a random policy <math>\pi^{(0)}</math> | |||
* Evaluate the policy <math>v_{\pi}</math> using closed form or value iteration | |||
* Evaluate the Q-Function <math>Q_{\pi}(s, a) = R(s) + \gamma \sum_{s'} P(s'|s,a) V_{\pi}(s')</math> | |||
* Find the best action to be taken at state <math>s</math>: | |||
** <math>a^*(s) = \operatorname{argmax}_{a} Q_{\pi}(s, a)</math> | |||
* Update <math>\pi</math> using <math>\pi(s) = a^*(s)</math> | |||
* Repeat until convergence. | |||
Policy iteration is guaranteed to converge to an optimal policy. | |||
Oftentimes converges faster than value iteration. | |||
===Deep Reinforcement Learning=== | |||
;Relaxing some unrealistic assumptions | |||
# Evaluate <math>v_{\pi}(s)</math> | |||
#* <math>Q_{\pi}(s, a) = R(s, a) + \gamma E_{s' \sim P(s'|s,a)} v_{\pi}(s')</math> | |||
# Improve the policy | |||
#* <math>\operatorname{argmax}_{a_t} Q_{\pi}(s_t, a_t)</math> | |||
#* Assumption <math>|S|=d</math> | |||
# How to represent <math>V(s)</math>? | |||
#* Can we use a neural network to represent <math>V(s)</math>? Yes | |||
;How to train <math>v_{\phi}</math>? | |||
* Start with an old <math>v_{\phi}</math>, compute <math>Q_{\pi}(s,a)</math>. | |||
** <math>Q_{\pi}(s,a) = R(s,a) + \gamma E[v_{\phi}^{old}(s')]</math> | |||
* Fit <math>v_{\phi}</math> to <math>\max_{a}Q_{\pi}(s,a)</math> using a quadratic loss: | |||
** <math>L(\phi) = \frac{1}{2} \Vert V_{\phi}(s) - \max_{a} Q_{\pi}(s,a) \Vert^2</math> | |||
* Iterate | |||
;Similarly we can parameterize the Q function | |||
Compare target <math>y_i \leftarrow R(s_i, a_i) + \gamma E[v_{\phi}(s_i')]</math> | |||
We need to know transition probabilities <math>P(s'|s,a)</math> to compute the expectation (model-based RL). | |||
With model-free RL: | |||
We can approximate as <math>E[v(s_i')] \approx v(s_i') = \max_a Q(s_i', a')</math> | |||
This is called ''Q-Learning''. | |||
;What if we have continuous actions: | |||
* Approach 1: Use a function class such that <math>\max_{a}Q(s,a)</math> is easy to solve | |||
** [Gu ''et al.'' 2016] use quadratic functions. | |||
* Approach 2: Learn another network to approximate the maximizer: <math>\max_{a} Q(s,a')</math> | |||
===Policy Gradient Method=== | |||
Lecture 29 (Dec 8, 2020) | |||
Probability of observing a trajectory: | |||
<math>P_{\theta}(\tau) = P(s_1) \prod_{t=1}^{\tau} \pi_{\theta}(a_t | s_t) P(s_{t+1} | s_t, a_t)</math> | |||
Reward for a trajectory: | |||
<math>R(\tau_1) = R(s_1, a_1) + R(s_2, a_2) + ... + R(s_t, a_t)</math> | |||
The average reward is: | |||
<math>J(\theta) = E[R(\tau)] = \sum E[R(s_t, a_t)]</math> | |||
Our goal is to maximize the average reward: <math>\max_{\theta} J(\theta)</math>. | |||
Gradient of the average reward: | |||
<math> | |||
\begin{aligned} | |||
\nabla_{\theta} J(\theta) &= \nabla_{\theta} E[R(\tau)] \\ | |||
&= \nabla_{\theta} \int P_{\theta}(\tau) R(\tau) d\tau \\ | |||
&= \int \nabla_{\theta} P_{\theta}(\tau) R(\tau) d\tau \\ | |||
&= \int P_{\theta}(\tau) \nabla_{\theta} \log P_\theta(\tau) R(\tau) d\tau\\ | |||
&= E[\log P_\theta(\tau) R(\tau)] | |||
\end{aligned} | |||
</math> | |||
<math> | |||
\nabla_{\theta} \log P_{\theta}(\tau) = \sum_{t=1}^{\tau} \nabla_{\theta} \log \pi_{\theta}(a_t | s_t) | |||
</math> | |||
Implies, | |||
<math> | |||
\begin{aligned} | |||
\nabla_{\theta} J(\theta) &= E[...]\\ | |||
&\approx \frac{1}{N} \sum_{i=1}^{N}(\sum \nabla_{\theta} \log \pi(a_t^{(i)} | s_t^{(i)}) .... | |||
\end{aligned} | |||
</math> | |||
;Summary | |||
* Sample trajectories | |||
* Approximate <math>\nabla_{\theta} J(\theta)</math> | |||
* <math>\theta \leftarrow \theta + \alpha \nabla J(\theta)</math> | |||
;Intuition | |||
<math>E[\nabla_{\theta} \log P_{\theta}(\tau) R(\tau)]</math> | |||
Formalizing ''trial & error''. | |||
[Finn & Levin, ICML] | |||
===Issues with Policy Gradient=== | |||
;High variance of gradient estimation | |||
;Solutions | |||
* Subtract a baseline | |||
<math>b = \frac{1}{N} \sum_{i=1}^{N} R(\tau^{(i)})</math> | |||
* Reward-to-go | |||
<math> | |||
\begin{aligned} | |||
\nabla_{\theta} J(\theta) &\approx \frac{1}{N} \sum_{i=1}^{N} \nabla_{\theta} \log P_{\theta}(\tau) R(\tau)\\ | |||
&= \frac{1}{N} \sum_{i=1}^{N} \left(\sum_{t=1}^{T} \nabla_{\theta} \pi_{\theta}(a_t^{(i)}| s_t^{(i)}) \right) \left(\sum_{t'=1}^T R(s_{t'}^{(i)}, a_{t'}^{(i)})\right)\\ | |||
&= \frac{1}{N} \sum_{i=1}^{N} \sum_{t=1}^{T} \nabla_{\theta} \pi_{\theta}(a_t^{(i)}| s_t^{(i)}) \left(\sum_{t'=1}^T R(s_{t'}^{(i)}, a_{t'}^{(i)})\right)\\ | |||
&\approx \frac{1}{N} \sum_{i=1}^{N} \sum_{t=1}^{T} \nabla_{\theta} \pi_{\theta}(a_t^{(i)}| s_t^{(i)}) \left(\sum_{t'=t}^T R(s_{t'}^{(i)}, a_{t'}^{(i)})\right)\\ | |||
\end{aligned} | |||
</math> | |||
;Some parameters can change <math>\pi_{\theta}</math> more than others so it's hard to choose a fixed learning rate. | |||
Use natural policy gradient: <math>\theta' \leftarrow \theta - \eta F^{-1}\nabla L(\theta)</math> | |||
===Actor-critic algorithms=== | |||
Have an actor <math>\pi_{\theta}</math>. | |||
Have a critic <math>V_{\phi}/Q</math> | |||
<math>\nabla_{\theta} J(\theta) \approx \frac{1}{N} \sum_{i=1}^{N} \sum_{t=1}^{T} \nabla_{\theta} \log \pi_{\theta}(a_t^{(i)} | s_t^{(i)}) \left(Q(s_t^{(i)}, a_t^{(i)} - V(s_t^{(i)})\right)</math> | |||
===Other topics in RL=== | |||
* Inverse RL | |||
* Multi-agent RL | |||
* Model-based RL | |||
==Summary of Course== | |||
;What we covered | |||
* Supervised DL | |||
* Unsupervised DL (GANs, VAEs) | |||
* Self-supervised DL | |||
* Meta-Learning | |||
* Learning with Attention (Transformers) | |||
* Deep RL | |||
* Optimization | |||
* Generalization | |||
* Robustness | |||
* Interpretability | |||
;What we didn't cover | |||
* Fairness | |||
* Privacy & Ethics | |||
* Bayesian DL | |||
* Federated Learning | |||
* Graph NNs | |||
;Things which may be on the final | |||
* Transformers | |||
* Wasserstein distance | |||
* Kernel methods | |||
==Resources== | ==Resources== | ||