Merge pull request #1819 from cossio/eps

make eps a parameter of optimisers

src/optimise/optimisers.jl

@@ -133,16 +133,17 @@ opt = RMSProp(0.002, 0.95)
 mutable struct RMSProp <: AbstractOptimiser
   eta::Float64
   rho::Float64
+  epsilon::Float64
   acc::IdDict
 end
 
-RMSProp(η = 0.001, ρ = 0.9) = RMSProp(η, ρ, IdDict())
+RMSProp(η = 0.001, ρ = 0.9, ϵ = ϵ) = RMSProp(η, ρ, ϵ, IdDict())
 
 function apply!(o::RMSProp, x, Δ)
   η, ρ = o.eta, o.rho
   acc = get!(() -> zero(x), o.acc, x)::typeof(x)
   @. acc = ρ * acc + (1 - ρ) * Δ * conj(Δ)
-  @. Δ *= η / (√acc + ϵ)
+  @. Δ *= η / (√acc + o.epsilon)
 end
 
 """
@@ -166,10 +167,11 @@ opt = ADAM(0.001, (0.9, 0.8))
 mutable struct ADAM <: AbstractOptimiser
   eta::Float64
   beta::Tuple{Float64,Float64}
+  epsilon::Float64
   state::IdDict
 end
 
-ADAM(η = 0.001, β = (0.9, 0.999)) = ADAM(η, β, IdDict())
+ADAM(η = 0.001, β = (0.9, 0.999), ϵ = ϵ) = ADAM(η, β, ϵ, IdDict())
 
 function apply!(o::ADAM, x, Δ)
   η, β = o.eta, o.beta
@@ -180,7 +182,7 @@ function apply!(o::ADAM, x, Δ)
 
   @. mt = β[1] * mt + (1 - β[1]) * Δ
   @. vt = β[2] * vt + (1 - β[2]) * Δ * conj(Δ)
-  @. Δ =  mt / (1 - βp[1]) / (√(vt / (1 - βp[2])) + ϵ) * η
+  @. Δ =  mt / (1 - βp[1]) / (√(vt / (1 - βp[2])) + o.epsilon) * η
   βp .= βp .* β
 
   return Δ
@@ -207,10 +209,11 @@ opt = RADAM(0.001, (0.9, 0.8))
 mutable struct RADAM <: AbstractOptimiser
   eta::Float64
   beta::Tuple{Float64,Float64}
+  epsilon::Float64
   state::IdDict
 end
 
-RADAM(η = 0.001, β = (0.9, 0.999)) = RADAM(η, β, IdDict())
+RADAM(η = 0.001, β = (0.9, 0.999), ϵ = ϵ) = RADAM(η, β, ϵ, IdDict())
 
 function apply!(o::RADAM, x, Δ)
   η, β = o.eta, o.beta
@@ -225,7 +228,7 @@ function apply!(o::RADAM, x, Δ)
   ρ = ρ∞ - 2t[] * βp[2] / (1 - βp[2])
   if ρ > 4
     r = sqrt((ρ-4)*(ρ-2)*ρ∞/((ρ∞-4)*(ρ∞-2)*ρ))
-    @. Δ =  mt / (1 - βp[1]) / (√(vt / (1 - βp[2])) + ϵ) * η * r
+    @. Δ =  mt / (1 - βp[1]) / (√(vt / (1 - βp[2])) + o.epsilon) * η * r
   else
     @. Δ =  mt / (1 - βp[1]) * η
   end
@@ -256,10 +259,11 @@ opt = AdaMax(0.001, (0.9, 0.995))
 mutable struct AdaMax <: AbstractOptimiser
   eta::Float64
   beta::Tuple{Float64,Float64}
+  epsilon::Float64
   state::IdDict
 end
 
-AdaMax(η = 0.001, β = (0.9, 0.999)) = AdaMax(η, β, IdDict())
+AdaMax(η = 0.001, β = (0.9, 0.999), ϵ = ϵ) = AdaMax(η, β, ϵ, IdDict())
 
 function apply!(o::AdaMax, x, Δ)
   η, β = o.eta, o.beta
@@ -270,7 +274,7 @@ function apply!(o::AdaMax, x, Δ)
 
   @. mt = β[1] * mt + (1 - β[1]) * Δ
   @. ut = max(β[2] * ut, abs(Δ))
-  @. Δ = (η/(1 - βp[1])) * mt/(ut + ϵ)
+  @. Δ = (η/(1 - βp[1])) * mt/(ut + o.epsilon)
   βp .= βp .* β
 
   return Δ
@@ -298,10 +302,11 @@ opt = OADAM(0.001, (0.9, 0.995))
 mutable struct OADAM <: AbstractOptimiser
   eta::Float64
   beta::Tuple{Float64,Float64}
+  epsilon::Float64
   state::IdDict
 end
 
-OADAM(η = 0.001, β = (0.5, 0.9)) = OADAM(η, β, IdDict())
+OADAM(η = 0.001, β = (0.5, 0.9), ϵ = ϵ) = OADAM(η, β, ϵ, IdDict())
 
 function apply!(o::OADAM, x, Δ)
   η, β = o.eta, o.beta
@@ -313,7 +318,7 @@ function apply!(o::OADAM, x, Δ)
   @. mt = β[1] * mt + (1 - β[1]) * Δ
   @. vt = β[2] * vt + (1 - β[2]) * Δ * conj(Δ)
   @. Δ = -Δ_
-  @. Δ_ = η * mt / (1 - βp[1]) / (√(vt / (1 - βp[2])) + ϵ)
+  @. Δ_ = η * mt / (1 - βp[1]) / (√(vt / (1 - βp[2])) + o.epsilon)
   @. Δ += 2Δ_
   βp .= βp .* β
 
@@ -340,16 +345,17 @@ opt = ADAGrad(0.001)
 """
 mutable struct ADAGrad <: AbstractOptimiser
   eta::Float64
+  epsilon::Float64
   acc::IdDict
 end
 
-ADAGrad(η = 0.1) = ADAGrad(η, IdDict())
+ADAGrad(η = 0.1, ϵ = ϵ) = ADAGrad(η, ϵ, IdDict())
 
 function apply!(o::ADAGrad, x, Δ)
   η = o.eta
-  acc = get!(() -> fill!(similar(x), ϵ), o.acc, x)::typeof(x)
+  acc = get!(() -> fill!(similar(x), o.epsilon), o.acc, x)::typeof(x)
   @. acc += Δ * conj(Δ)
-  @. Δ *= η / (√acc + ϵ)
+  @. Δ *= η / (√acc + o.epsilon)
 end
 
 """
@@ -371,18 +377,19 @@ opt = ADADelta(0.89)
 """
 mutable struct ADADelta <: AbstractOptimiser
   rho::Float64
+  epsilon::Float64
   state::IdDict
 end
 
-ADADelta(ρ = 0.9) = ADADelta(ρ, IdDict())
+ADADelta(ρ = 0.9, ϵ = ϵ) = ADADelta(ρ, ϵ, IdDict())
 
 function apply!(o::ADADelta, x, Δ)
   ρ = o.rho
   acc, Δacc = get!(() -> (zero(x), zero(x)), o.state, x)::NTuple{2,typeof(x)}
   @. acc = ρ * acc + (1 - ρ) * Δ * conj(Δ)
   # DON'T remove epsilon from numerator
   # or even out of the square roots
-  @. Δ *= √(Δacc + ϵ) / √(acc + ϵ)
+  @. Δ *= √(Δacc + o.epsilon) / √(acc + o.epsilon)
   @. Δacc = ρ * Δacc + (1 - ρ) * Δ * conj(Δ)
   return Δ
 end
@@ -409,22 +416,23 @@ opt = AMSGrad(0.001, (0.89, 0.995))
 mutable struct AMSGrad <: AbstractOptimiser
   eta::Float64
   beta::Tuple{Float64, Float64}
+  epsilon::Float64
   state::IdDict
 end
 
-AMSGrad(η = 0.001, β = (0.9, 0.999)) = AMSGrad(η, β, IdDict())
+AMSGrad(η = 0.001, β = (0.9, 0.999), ϵ = ϵ) = AMSGrad(η, β, ϵ, IdDict())
 
 function apply!(o::AMSGrad, x, Δ)
   η, β = o.eta, o.beta
 
   mt, vt, v̂t = get!(o.state, x) do
-    (fill!(similar(x), ϵ), fill!(similar(x), ϵ), fill!(similar(x), ϵ))
+    (fill!(similar(x), o.epsilon), fill!(similar(x), o.epsilon), fill!(similar(x), o.epsilon))
   end :: NTuple{3,typeof(x)}
 
   @. mt = β[1] * mt + (1 - β[1]) * Δ
   @. vt = β[2] * vt + (1 - β[2]) * Δ ^ 2
   @. v̂t = max(v̂t, vt)
-  @. Δ = η * mt / (√v̂t + ϵ)
+  @. Δ = η * mt / (√v̂t + o.epsilon)
 end
 
 """
@@ -449,10 +457,11 @@ opt = NADAM(0.002, (0.89, 0.995))
 mutable struct NADAM <: AbstractOptimiser
   eta::Float64
   beta::Tuple{Float64, Float64}
+  epsilon::Float64
   state::IdDict
 end
 
-NADAM(η = 0.001, β = (0.9, 0.999)) = NADAM(η, β, IdDict())
+NADAM(η = 0.001, β = (0.9, 0.999), ϵ = ϵ) = NADAM(η, β, ϵ, IdDict())
 
 function apply!(o::NADAM, x, Δ)
   η, β = o.eta, o.beta
@@ -464,7 +473,7 @@ function apply!(o::NADAM, x, Δ)
 
   @. mt = β[1] * mt + (1 - β[1]) * Δ
   @. vt = β[2] * vt + (1 - β[2]) * Δ * conj(Δ)
-  @. Δ = (β[1] * mt / (1 - β[1] * β1p) + (1 - β[1]) * Δ / (1 - β1p)) / (√(vt * β[2] / (1 - β2p)) + ϵ) * η
+  @. Δ = (β[1] * mt / (1 - β[1] * β1p) + (1 - β[1]) * Δ / (1 - β1p)) / (√(vt * β[2] / (1 - β2p)) + o.epsilon) * η
   βp .= βp .* β
 
   return Δ
@@ -515,17 +524,18 @@ opt = AdaBelief(0.001, (0.9, 0.8))
 mutable struct AdaBelief
   eta::Float64
   beta::Tuple{Float64,Float64}
+  epsilon::Float64
   state::IdDict
 end
 
-AdaBelief(η = 0.001, β = (0.9, 0.999)) = AdaBelief(η, β, IdDict())
+AdaBelief(η = 0.001, β = (0.9, 0.999), ϵ = ϵ) = AdaBelief(η, β, ϵ, IdDict())
 
 function apply!(o::AdaBelief, x, Δ)
   η, β = o.eta, o.beta
   mt, st = get!(() -> (zero(x), zero(x)), o.state, x)::NTuple{2,typeof(x)}
   @. mt = β[1] * mt + (1 - β[1]) * Δ
   @. st = β[2] * st + (1 - β[2]) * (Δ - mt) * conj(Δ - mt)
-  @. Δ =  η * mt / (√(st) + ϵ)
+  @. Δ =  η * mt / (√(st) + o.epsilon)
   return Δ
 end