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Week 2: More Generalisation and Automatic Differentiation

[reveal][slides][notes][worksheet]

Ferenc Huszár

Abstract:

This lecture will cover the foundations of automatic differentiation as well as the different frameworks that exist for building models.

Reddit Group

https://www.reddit.com/r/CST_DeepNN/

Approximation

Basic Multilayer Perceptron

\[\begin{align} f_l(x) &= \phi(W_l f_{l-1}(x) + b_l)\\ f_0(x) &= x \end{align}\]

Basic Multilayer Perceptron

\[ \small f_L(x) = \phi\left(b_L + W_L \phi\left(b_{L-1} + W_{L-1} \phi\left( \cdots \phi\left(b_1 + W_1 x\right) \cdots \right)\right)\right) \]

Rectified Linear Unit

\[ \phi(x) = \left\{\matrix{0&\text{when }x\leq 0\\x&\text{when }x>0}\right. \]

What can these networks represent?

\[ \operatorname{ReLU}(\mathbf{w}_1x - \mathbf{b}_1) \]

What can these networks represent?

\[ f(x) = \mathbf{w}^T_2 \operatorname{ReLU}(\mathbf{w}_1x - \mathbf{b}_1) \]

Single hidden layer

number of kinks \(\approx O(\) width of network \()\)

Example: “sawtooth” network

\[\begin{align} f_l(x) &= 2\vert f_{l-1}(x)\vert - 2 \\ f_0(x) &= x \end{align}\]

Sawtooth network

\[\begin{align} f_l(x) &= 2 \operatorname{ReLU}(f_{l-1}(x)) + 2 \operatorname{ReLU}(-f_{l-1}(x)) - 2\\ f_0(x) &= x \end{align}\]

\(0\)-layer network

\(1\)-layer network

\(2\)-layer network

\(3\)-layer network

\(4\)-layer network

\(5\)-layer network

Deep ReLU networks

number of kinks \(\approx O(2^\text{depth of network})\)

In higher dimensions

In higher dimensions

Approximation: summary

Generalization

Generalization

Generalization

Generalization

Generalization: deep nets

Generalization: deep nets

Generalization: summary

Generalization

Gradient-based optimization

\[ \mathcal{L}(\theta) = \sum_{n=1}^N \ell(y_n, f(x_n, \theta)) \]

\[ \theta_t = \theta_t - \eta \nabla_\theta L(\theta) \]

Basic Multilayer Perceptron

\[ \small f_L(x) = \phi\left(b_L + W_L \phi\left(b_{L-1} + W_{L-1} \phi\left( \cdots \phi\left(b_1 + W_1 x\right) \cdots \right)\right)\right) \]

General deep function composition

\[ f_L(f_{L-1}(\cdots f_1(\mathbb{w}))) \]

How do I calculate the derivative of \(f_L(\mathbb{w})\) with respect to \(\mathbb{w}\)?

Chain rule

\[ \frac{\partial \mathbf{f}_L}{\partial \mathbb{w}} = \frac{\partial \mathbf{f}_L}{\partial \mathbf{f}_{L-1}} \frac{\partial \mathbf{f}_{L-1}}{\partial \mathbf{f}_{L-2}} \frac{\partial \mathbf{f}_{L-2}}{\partial \mathbf{f}_{L-3}} \cdots \frac{\partial \mathbf{f}_3}{\partial \mathbf{f}_{2}} \frac{\partial \mathbf{f}_2}{\partial \mathbf{f}_{1}} \frac{\partial \mathbf{f}_1}{\partial \mathbf{w}} \]

How to evaluate this?

\[ \frac{\partial \mathbf{f}_L}{\partial \mathbb{w}} = \frac{\partial \mathbf{f}_L}{\partial \mathbf{f}_{L-1}} \frac{\partial \mathbf{f}_{L-1}}{\partial \mathbf{f}_{L-2}} \frac{\partial \mathbf{f}_{L-2}}{\partial \mathbf{f}_{L-3}} \cdots \frac{\partial \mathbf{f}_3}{\partial \mathbf{f}_{2}} \frac{\partial \mathbf{f}_2}{\partial \mathbf{f}_{1}} \frac{\partial \mathbf{f}_1}{\partial \mathbf{w}} \]

\[ \small \frac{\partial \mathbf{f}_L}{\partial \mathbb{w}} = \frac{\partial \mathbf{f}_L}{\partial \mathbf{f}_{L-1}} \left( \frac{\partial \mathbf{f}_{L-1}}{\partial \mathbf{f}_{L-2}} \left( \frac{\partial \mathbf{f}_{L-2}}{\partial \mathbf{f}_{L-3}} \cdots \left( \frac{\partial \mathbf{f}_3}{\partial \mathbf{f}_{2}} \left( \frac{\partial \mathbf{f}_2}{\partial \mathbf{f}_{1}} \frac{\partial \mathbf{f}_1}{\partial \mathbf{w}} \right) \right) \cdots \right) \right) \]

Or like this?

\[ \frac{\partial \mathbf{f}_L}{\partial \mathbb{w}} = \frac{\partial \mathbf{f}_L}{\partial \mathbf{f}_{L-1}} \frac{\partial \mathbf{f}_{L-1}}{\partial \mathbf{f}_{L-2}} \frac{\partial \mathbf{f}_{L-2}}{\partial \mathbf{f}_{L-3}} \cdots \frac{\partial \mathbf{f}_3}{\partial \mathbf{f}_{2}} \frac{\partial \mathbf{f}_2}{\partial \mathbf{f}_{1}} \frac{\partial \mathbf{f}_1}{\partial \mathbf{w}} \]

\[ \small \frac{\partial \mathbf{f}_L}{\partial \mathbb{w}} = \left( \left( \cdots \left( \left( \frac{\partial \mathbf{f}_L}{\partial \mathbf{f}_{L-1}} \frac{\partial \mathbf{f}_{L-1}}{\partial \mathbf{f}_{L-2}} \right) \frac{\partial \mathbf{f}_{L-2}}{\partial \mathbf{f}_{L-3}} \right) \cdots \frac{\partial \mathbf{f}_3}{\partial \mathbf{f}_{2}} \right) \frac{\partial \mathbf{f}_2}{\partial \mathbf{f}_{1}} \right) \frac{\partial \mathbf{f}_1}{\partial \mathbf{w}} \]

Or in a funky way?

\[ \frac{\partial \mathbf{f}_L}{\partial \mathbb{w}} = \frac{\partial \mathbf{f}_L}{\partial \mathbf{f}_{L-1}} \frac{\partial \mathbf{f}_{L-1}}{\partial \mathbf{f}_{L-2}} \frac{\partial \mathbf{f}_{L-2}}{\partial \mathbf{f}_{L-3}} \cdots \frac{\partial \mathbf{f}_3}{\partial \mathbf{f}_{2}} \frac{\partial \mathbf{f}_2}{\partial \mathbf{f}_{1}} \frac{\partial \mathbf{f}_1}{\partial \mathbf{w}} \]

\[ \small \frac{\partial \mathbf{f}_L}{\partial \mathbb{w}} = \frac{\partial \mathbf{f}_L}{\partial \mathbf{f}_{L-1}} \left( \left( \left( \frac{\partial \mathbf{f}_{L-1}}{\partial \mathbf{f}_{L-2}} \right) \frac{\partial \mathbf{f}_{L-2}}{\partial \mathbf{f}_{L-3}} \right) \left( \left( \cdots \frac{\partial \mathbf{f}_3}{\partial \mathbf{f}_{2}} \right) \frac{\partial \mathbf{f}_2}{\partial \mathbf{f}_{1}} \right) \right)\frac{\partial \mathbf{f}_1}{\partial \mathbf{w}} \]

Automatic differentiation

Forward-mode

\[ \small \frac{\partial \mathbf{f}_L}{\partial \mathbb{w}} = \frac{\partial \mathbf{f}_L}{\partial \mathbf{f}_{L-1}} \left( \frac{\partial \mathbf{f}_{L-1}}{\partial \mathbf{f}_{L-2}} \left( \frac{\partial \mathbf{f}_{L-2}}{\partial \mathbf{f}_{L-3}} \cdots \left( \frac{\partial \mathbf{f}_3}{\partial \mathbf{f}_{2}} \left( \frac{\partial \mathbf{f}_2}{\partial \mathbf{f}_{1}} \frac{\partial \mathbf{f}_1}{\partial \mathbf{w}} \right) \right) \cdots \right) \right) \]

Cost: \[ \small d_0d_1d_2 + d_0d_2d_3 + \ldots + d_0d_{L-1}d_L = d_0 \sum_{l=2}^{L}d_ld_{l-1} \]

Automatic differentiation

Reverse-mode

\[ \small \frac{\partial \mathbf{f}_L}{\partial \mathbb{w}} = \left( \left( \cdots \left( \left( \frac{\partial \mathbf{f}_L}{\partial \mathbf{f}_{L-1}} \frac{\partial \mathbf{f}_{L-1}}{\partial \mathbf{f}_{L-2}} \right) \frac{\partial \mathbf{f}_{L-2}}{\partial \mathbf{f}_{L-3}} \right) \cdots \frac{\partial \mathbf{f}_3}{\partial \mathbf{f}_{2}} \right) \frac{\partial \mathbf{f}_2}{\partial \mathbf{f}_{1}} \right) \frac{\partial \mathbf{f}_1}{\partial \mathbf{w}} \]

Cost: \[ \small d_Ld_{L-1}d_{L-2} + d_{L}d_{L-2}d_{L-3} + \ldots + d_Ld_{1}d_0 = d_L \sum_{l=0}^{L-2}d_ld_{l+1} \]

Automatic differentiation

Example: calculating a Hessian

\[ H(\mathbb{w}) = \frac{\partial^2}{\partial\mathbf{w}\partial\mathbf{w}^T} L(\mathbf{w}) = \frac{\partial}{\partial\mathbf{w}} \mathbf{g}(\mathbf{w}) \]

Example: Hessian-vector product

\[ \mathbf{v}^TH(\mathbf{w}) = \frac{\partial}{\partial\mathbf{w}} \left( \mathbf{v}^T \mathbf{g}(\mathbf{w}) \right) \]

Baydin, A.G., Pearlmutter, B.A., Radul, A.A., Siskind, J.M., 2018. Automatic differentiation in machine learning: A survey. Journal of Machine Learning Research 18, 1–43.