Merge pull request #847 from SciML/libsfixes

MOI vector lambda and iteration fixes in Optimisers

Project.toml

@@ -1,6 +1,6 @@
 name = "Optimization"
 uuid = "7f7a1694-90dd-40f0-9382-eb1efda571ba"
-version = "4.0.3"
+version = "4.0.4"
 
 [deps]
 ADTypes = "47edcb42-4c32-4615-8424-f2b9edc5f35b"

lib/OptimizationMOI/Project.toml

@@ -1,7 +1,7 @@
 name = "OptimizationMOI"
 uuid = "fd9f6733-72f4-499f-8506-86b2bdd0dea1"
 authors = ["Vaibhav Dixit <[email protected]> and contributors"]
-version = "0.5.0"
+version = "0.5.1"
 
 [deps]
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"

lib/OptimizationMOI/src/nlp.jl

@@ -375,7 +375,7 @@ function MOI.eval_hessian_lagrangian(evaluator::MOIOptimizationNLPEvaluator{T},
         σ,
         μ) where {T}
     if evaluator.f.lag_h !== nothing
-        evaluator.f.lag_h(h, x, σ, μ)
+        evaluator.f.lag_h(h, x, σ, Vector(μ))
         return
     end
     if evaluator.f.hess === nothing

lib/OptimizationOptimisers/Project.toml

@@ -1,7 +1,7 @@
 name = "OptimizationOptimisers"
 uuid = "42dfb2eb-d2b4-4451-abcd-913932933ac1"
 authors = ["Vaibhav Dixit <[email protected]> and contributors"]
-version = "0.3.3"
+version = "0.3.4"
 
 [deps]
 Optimisers = "3bd65402-5787-11e9-1adc-39752487f4e2"

lib/OptimizationOptimisers/src/OptimizationOptimisers.jl

@@ -42,27 +42,27 @@ function SciMLBase.__solve(cache::OptimizationCache{
         P,
         C
 }
-    maxiters = if cache.solver_args.epochs === nothing
+    if OptimizationBase.isa_dataiterator(cache.p)
+        data = cache.p
+        dataiterate = true
+    else
+        data = [cache.p]
+        dataiterate = false
+    end
+
+    epochs = if cache.solver_args.epochs === nothing
         if cache.solver_args.maxiters === nothing
-            throw(ArgumentError("The number of epochs must be specified with either the epochs or maxiters kwarg."))
+            throw(ArgumentError("The number of iterations must be specified with either the epochs or maxiters kwarg. Where maxiters = epochs*length(data)."))
         else
-            cache.solver_args.maxiters
+            cache.solver_args.maxiters / length(data)
         end
     else
         cache.solver_args.epochs
     end
 
-    maxiters = Optimization._check_and_convert_maxiters(maxiters)
-    if maxiters === nothing
-        throw(ArgumentError("The number of epochs must be specified as the epochs or maxiters kwarg."))
-    end
-
-    if OptimizationBase.isa_dataiterator(cache.p)
-        data = cache.p
-        dataiterate = true
-    else
-        data = [cache.p]
-        dataiterate = false
+    epochs = Optimization._check_and_convert_maxiters(epochs)
+    if epochs === nothing
+        throw(ArgumentError("The number of iterations must be specified with either the epochs or maxiters kwarg. Where maxiters = epochs*length(data)."))
     end
 
     opt = cache.opt
@@ -75,32 +75,50 @@ function SciMLBase.__solve(cache::OptimizationCache{
     min_θ = cache.u0
 
     state = Optimisers.setup(opt, θ)
-
+    iterations = 0
+    fevals = 0
+    gevals = 0
     t0 = time()
+    breakall = false
     Optimization.@withprogress cache.progress name="Training" begin
-        for epoch in 1:maxiters
+        for epoch in 1:epochs
+            if breakall
+                break
+            end
             for (i, d) in enumerate(data)
                 if cache.f.fg !== nothing && dataiterate
                     x = cache.f.fg(G, θ, d)
+                    iterations += 1
+                    fevals += 1
+                    gevals += 1
                 elseif dataiterate
                     cache.f.grad(G, θ, d)
                     x = cache.f(θ, d)
+                    iterations += 1
+                    fevals += 2
+                    gevals += 1
                 elseif cache.f.fg !== nothing
                     x = cache.f.fg(G, θ)
+                    iterations += 1
+                    fevals += 1
+                    gevals += 1
                 else
                     cache.f.grad(G, θ)
                     x = cache.f(θ)
+                    iterations += 1
+                    fevals += 2
+                    gevals += 1
                 end
                 opt_state = Optimization.OptimizationState(
                     iter = i + (epoch - 1) * length(data),
                     u = θ,
                     objective = x[1],
                     grad = G,
                     original = state)
-                cb_call = cache.callback(opt_state, x...)
-                if !(cb_call isa Bool)
+                breakall = cache.callback(opt_state, x...)
+                if !(breakall isa Bool)
                     error("The callback should return a boolean `halt` for whether to stop the optimization process. Please see the `solve` documentation for information.")
-                elseif cb_call
+                elseif breakall
                     break
                 end
                 msg = @sprintf("loss: %.3g", first(x)[1])
@@ -112,7 +130,7 @@ function SciMLBase.__solve(cache::OptimizationCache{
                         min_err = x
                         min_θ = copy(θ)
                     end
-                    if i == maxiters  #Last iter, revert to best.
+                    if i == length(data)*epochs  #Last iter, revert to best.
                         opt = min_opt
                         x = min_err
                         θ = min_θ
@@ -122,7 +140,7 @@ function SciMLBase.__solve(cache::OptimizationCache{
                             objective = x[1],
                             grad = G,
                             original = state)
-                        cache.callback(opt_state, x...)
+                        breakall = cache.callback(opt_state, x...)
                         break
                     end
                 end
@@ -132,10 +150,9 @@ function SciMLBase.__solve(cache::OptimizationCache{
     end
 
     t1 = time()
-    stats = Optimization.OptimizationStats(; iterations = maxiters,
-        time = t1 - t0, fevals = maxiters, gevals = maxiters)
+    stats = Optimization.OptimizationStats(; iterations,
+        time = t1 - t0, fevals, gevals)
     SciMLBase.build_solution(cache, cache.opt, θ, first(x)[1], stats = stats)
-    # here should be build_solution to create the output message
 end
 
 end

lib/OptimizationOptimisers/test/runtests.jl

@@ -27,6 +27,9 @@ using Zygote
 
     sol = solve(prob, Optimisers.Adam(), maxiters = 1000)
     @test 10 * sol.objective < l1
+    @test sol.stats.iterations == 1000
+    @test sol.stats.fevals == 1000
+    @test sol.stats.gevals == 1000
 
     @testset "cache" begin
         objective(x, p) = (p[1] - x[1])^2
@@ -73,7 +76,7 @@ end
     using Optimization, OptimizationOptimisers, Lux, Zygote, MLUtils, Random,
           ComponentArrays
 
-    x = rand(10000)
+    x = rand(Float32, 10000)
     y = sin.(x)
     data = MLUtils.DataLoader((x, y), batchsize = 100)
 
@@ -96,7 +99,14 @@ end
     optf = OptimizationFunction(loss, AutoZygote())
     prob = OptimizationProblem(optf, ps_ca, data)
 
-    res = Optimization.solve(prob, Optimisers.Adam(), callback = callback, epochs = 10000)
+    res = Optimization.solve(prob, Optimisers.Adam(), epochs = 50)
+
+    @test res.objective < 1e-4
+    @test res.stats.iterations == 50*length(data)
+    @test res.stats.fevals == 50*length(data)
+    @test res.stats.gevals == 50*length(data)
+
+    res = Optimization.solve(prob, Optimisers.Adam(), callback = callback, epochs = 100)
 
     @test res.objective < 1e-4
 

src/sophia.jl

@@ -88,7 +88,8 @@ function SciMLBase.__solve(cache::OptimizationCache{
                 cache.f.grad(gₜ, θ)
                 x = cache.f(θ)
             end
-            opt_state = Optimization.OptimizationState(; iter = i + (epoch - 1) * length(data),
+            opt_state = Optimization.OptimizationState(;
+                iter = i + (epoch - 1) * length(data),
                 u = θ,
                 objective = first(x),
                 grad = gₜ,