凸优化

优化与深度学习

优化与估计

尽管优化方法可以最小化深度学习中的损失函数值，但本质上优化方法达到的目标与深度学习的目标并不相同。

• 优化方法目标：训练集损失函数值
• 深度学习目标：测试集损失函数值（泛化性）

%matplotlib inline
import sys
sys.path.append('/home/kesci/input')
import d2lzh1981 as d2l
from mpl_toolkits import mplot3d # 三维画图
import numpy as np

def f(x): return x * np.cos(np.pi * x)
def g(x): return f(x) + 0.2 * np.cos(5 * np.pi * x)

d2l.set_figsize((5, 3))
x = np.arange(0.5, 1.5, 0.01)
fig_f, = d2l.plt.plot(x, f(x),label="train error")
fig_g, = d2l.plt.plot(x, g(x),'--', c='purple', label="test error")
fig_f.axes.annotate('empirical risk', (1.0, -1.2), (0.5, -1.1),arrowprops=dict(arrowstyle='->'))
fig_g.axes.annotate('expected risk', (1.1, -1.05), (0.95, -0.5),arrowprops=dict(arrowstyle='->'))
d2l.plt.xlabel('x')
d2l.plt.ylabel('risk')
d2l.plt.legend(loc="upper right")

<matplotlib.legend.Legend at 0x7fc092436080>

优化在深度学习中的挑战

1. 局部最小值
2. 鞍点
3. 梯度消失

局部最小值

[f(x) = xcos pi x ]

def f(x):
    return x * np.cos(np.pi * x)

d2l.set_figsize((4.5, 2.5))
x = np.arange(-1.0, 2.0, 0.1)
fig,  = d2l.plt.plot(x, f(x))
fig.axes.annotate('local minimum', xy=(-0.3, -0.25), xytext=(-0.77, -1.0),
                  arrowprops=dict(arrowstyle='->'))
fig.axes.annotate('global minimum', xy=(1.1, -0.95), xytext=(0.6, 0.8),
                  arrowprops=dict(arrowstyle='->'))
d2l.plt.xlabel('x')
d2l.plt.ylabel('f(x)');

鞍点

x = np.arange(-2.0, 2.0, 0.1)
fig, = d2l.plt.plot(x, x**3)
fig.axes.annotate('saddle point', xy=(0, -0.2), xytext=(-0.52, -5.0),
                  arrowprops=dict(arrowstyle='->'))
d2l.plt.xlabel('x')
d2l.plt.ylabel('f(x)');

[A=left[egin{array}{cccc}{frac{partial^{2} f}{partial x_{1}^{2}}} & {frac{partial^{2} f}{partial x_{1} partial x_{2}}} & {cdots} & {frac{partial^{2} f}{partial x_{1} partial x_{n}}} \ {frac{partial^{2} f}{partial x_{2} partial x_{1}}} & {frac{partial^{2} f}{partial x_{2}^{2}}} & {cdots} & {frac{partial^{2} f}{partial x_{2} partial x_{n}}} \ {vdots} & {vdots} & {ddots} & {vdots} \ {frac{partial^{2} f}{partial x_{n} partial x_{1}}} & {frac{partial^{2} f}{partial x_{n} partial x_{2}}} & {cdots} & {frac{partial^{2} f}{partial x_{n}^{2}}}end{array} ight] ]

e.g.

x, y = np.mgrid[-1: 1: 31j, -1: 1: 31j]
z = x**2 - y**2

d2l.set_figsize((6, 4))
ax = d2l.plt.figure().add_subplot(111, projection='3d')
ax.plot_wireframe(x, y, z, **{'rstride': 2, 'cstride': 2})
ax.plot([0], [0], [0], 'ro', markersize=10)
ticks = [-1,  0, 1]
d2l.plt.xticks(ticks)
d2l.plt.yticks(ticks)
ax.set_zticks(ticks)
d2l.plt.xlabel('x')
d2l.plt.ylabel('y');

梯度消失

x = np.arange(-2.0, 5.0, 0.01)
fig, = d2l.plt.plot(x, np.tanh(x))
d2l.plt.xlabel('x')
d2l.plt.ylabel('f(x)')
fig.axes.annotate('vanishing gradient', (4, 1), (2, 0.0) ,arrowprops=dict(arrowstyle='->'))

Text(2, 0.0, 'vanishing gradient')

凸性 （Convexity）

基础

集合

函数

[lambda f(x)+(1-lambda) fleft(x^{prime} ight) geq fleft(lambda x+(1-lambda) x^{prime} ight) ]

def f(x):
    return 0.5 * x**2  # Convex

def g(x):
    return np.cos(np.pi * x)  # Nonconvex

def h(x):
    return np.exp(0.5 * x)  # Convex

x, segment = np.arange(-2, 2, 0.01), np.array([-1.5, 1])
d2l.use_svg_display()
_, axes = d2l.plt.subplots(1, 3, figsize=(9, 3))

for ax, func in zip(axes, [f, g, h]):
    ax.plot(x, func(x))
    ax.plot(segment, func(segment),'--', color="purple")
    # d2l.plt.plot([x, segment], [func(x), func(segment)], axes=ax)

Jensen 不等式

[sum_{i} alpha_{i} fleft(x_{i} ight) geq fleft(sum_{i} alpha_{i} x_{i} ight) ext { and } E_{x}[f(x)] geq fleft(E_{x}[x] ight) ]

---

性质

1. 无局部极小值
2. 与凸集的关系
3. 二阶条件

无局部最小值

证明：假设存在 (x in X) 是局部最小值，则存在全局最小值 (x' in X), 使得 (f(x) > f(x')), 则对 (lambda in(0,1]):

[f(x)>lambda f(x)+(1-lambda) f(x^{prime}) geq f(lambda x+(1-lambda) x^{prime}) ]

与凸集的关系

对于凸函数 (f(x))，定义集合 (S_{b}:={x | x in X ext { and } f(x) leq b})，则集合 (S_b) 为凸集

证明：对于点 (x,x' in S_b), 有 (fleft(lambda x+(1-lambda) x^{prime} ight) leq lambda f(x)+(1-lambda) fleft(x^{prime} ight) leq b), 故 (lambda x+(1-lambda) x^{prime} in S_{b})

(f(x, y)=0.5 x^{2}+cos (2 pi y))

x, y = np.meshgrid(np.linspace(-1, 1, 101), np.linspace(-1, 1, 101),
                   indexing='ij')

z = x**2 + 0.5 * np.cos(2 * np.pi * y)

# Plot the 3D surface
d2l.set_figsize((6, 4))
ax = d2l.plt.figure().add_subplot(111, projection='3d')
ax.plot_wireframe(x, y, z, **{'rstride': 10, 'cstride': 10})
ax.contour(x, y, z, offset=-1)
ax.set_zlim(-1, 1.5)

# Adjust labels
for func in [d2l.plt.xticks, d2l.plt.yticks, ax.set_zticks]:
    func([-1, 0, 1])

凸函数与二阶导数

(f^{''}(x) ge 0 Longleftrightarrow f(x)) 是凸函数

必要性 ((Leftarrow)):

对于凸函数：

[frac{1}{2} f(x+epsilon)+frac{1}{2} f(x-epsilon) geq fleft(frac{x+epsilon}{2}+frac{x-epsilon}{2} ight)=f(x) ]

故:

[f^{prime prime}(x)=lim _{varepsilon ightarrow 0} frac{frac{f(x+epsilon) - f(x)}{epsilon}-frac{f(x) - f(x-epsilon)}{epsilon}}{epsilon} ]

[f^{prime prime}(x)=lim _{varepsilon ightarrow 0} frac{f(x+epsilon)+f(x-epsilon)-2 f(x)}{epsilon^{2}} geq 0 ]

充分性 ((Rightarrow)):

令 (a < x < b) 为 (f(x)) 上的三个点，由拉格朗日中值定理:

[egin{array}{l}{f(x)-f(a)=(x-a) f^{prime}(alpha) ext { for some } alpha in[a, x] ext { and }} \ {f(b)-f(x)=(b-x) f^{prime}(eta) ext { for some } eta in[x, b]}end{array} ]

根据单调性，有 (f^{prime}(eta) geq f^{prime}(alpha)), 故:

[egin{aligned} f(b)-f(a) &=f(b)-f(x)+f(x)-f(a) \ &=(b-x) f^{prime}(eta)+(x-a) f^{prime}(alpha) \ & geq(b-a) f^{prime}(alpha) end{aligned} ]

def f(x):
    return 0.5 * x**2

x = np.arange(-2, 2, 0.01)
axb, ab = np.array([-1.5, -0.5, 1]), np.array([-1.5, 1])

d2l.set_figsize((3.5, 2.5))
fig_x, = d2l.plt.plot(x, f(x))
fig_axb, = d2l.plt.plot(axb, f(axb), '-.',color="purple")
fig_ab, = d2l.plt.plot(ab, f(ab),'g-.')

fig_x.axes.annotate('a', (-1.5, f(-1.5)), (-1.5, 1.5),arrowprops=dict(arrowstyle='->'))
fig_x.axes.annotate('b', (1, f(1)), (1, 1.5),arrowprops=dict(arrowstyle='->'))
fig_x.axes.annotate('x', (-0.5, f(-0.5)), (-1.5, f(-0.5)),arrowprops=dict(arrowstyle='->'))

Text(-1.5, 0.125, 'x')

限制条件

[egin{array}{l}{underset{mathbf{x}}{operatorname{minimize}} f(mathbf{x})} \ { ext { subject to } c_{i}(mathbf{x}) leq 0 ext { for all } i in{1, ldots, N}}end{array} ]

拉格朗日乘子法

Boyd & Vandenberghe, 2004

[L(mathbf{x}, alpha)=f(mathbf{x})+sum_{i} alpha_{i} c_{i}(mathbf{x}) ext { where } alpha_{i} geq 0 ]

惩罚项

欲使 (c_i(x) leq 0), 将项 (alpha_ic_i(x)) 加入目标函数，如多层感知机章节中的 (frac{lambda}{2} ||w||^2)

投影

[operatorname{Proj}_{X}(mathbf{x})=underset{mathbf{x}^{prime} in X}{operatorname{argmin}}left|mathbf{x}-mathbf{x}^{prime} ight|_{2} ]