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Declarative Machine Learning
#-------------------------------------------------------------
#
# Licensed to the Apache Software Foundation (ASF) under one
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# distributed with this work for additional information
# regarding copyright ownership. The ASF licenses this file
# to you under the Apache License, Version 2.0 (the
# "License"); you may not use this file except in compliance
# with the License. You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
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# Unless required by applicable law or agreed to in writing,
# software distributed under the License is distributed on an
# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
# KIND, either express or implied. See the License for the
# specific language governing permissions and limitations
# under the License.
#
#-------------------------------------------------------------
/*
* Stochastic Gradient Descent with momentum (SGD-momentum) optimizer.
*/
update = function(matrix[double] X, matrix[double] dX, double lr, double mu, matrix[double] v)
return (matrix[double] X, matrix[double] v) {
/*
* Performs an SGD update with momentum.
*
* In SGD with momentum, we assume that the parameters have a velocity
* that continues with some momentum, and that is influenced by the
* gradient.
*
* Inputs:
* - X: Parameters to update, of shape (any, any).
* - dX: Gradient wrt `X` of a loss function being optimized, of
* same shape as `X`.
* - lr: Learning rate.
* - mu: Momentum value.
* Typical values are in the range of [0.5, 0.99], usually
* started at the lower end and annealed towards the higher end.
* - v: State maintaining the velocity of the parameters `X`, of same
* shape as `X`.
*
* Outputs:
* - X: Updated parameters `X`, of same shape as input `X`.
* - v: Updated velocity of the parameters `X`, of same shape as
* input `X`.
*/
v = mu*v - lr*dX # update velocity
X = X + v # update position
}
init = function(matrix[double] X)
return (matrix[double] v) {
/*
* Initialize the state for this optimizer.
*
* Note: This is just a convenience function, and state
* may be initialized manually if needed.
*
* Inputs:
* - X: Parameters to update, of shape (any, any).
*
* Outputs:
* - v: Initial velocity of the parameters `X`.
*/
v = matrix(0, rows=nrow(X), cols=ncol(X))
}