# Copyright 2021 DeepMind Technologies Limited. All Rights Reserved. # # Licensed 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 # # 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. # ============================================================================== """Euclidean projections.""" from typing import Any import chex import jax from jax import flatten_util from jax import tree_util as jtu import jax.numpy as jnp def projection_non_negative(pytree: Any) -> Any: r"""Projection onto the non-negative orthant. .. math:: \underset{p}{\text{argmin}} ~ ||x - p||_2^2 \quad \textrm{subject to} \quad p \ge 0 where :math:`x` is the input pytree. Args: pytree: pytree to project. Returns: projected pytree, with the same structure as ``pytree``. """ return jtu.tree_map(jax.nn.relu, pytree) def _clip_safe(leaf, lower, upper): return jnp.clip(jnp.asarray(leaf), lower, upper) def projection_box(pytree: Any, lower: Any, upper: Any) -> Any: r"""Projection onto box constraints. .. math:: \underset{p}{\text{argmin}} ~ ||x - p||_2^2 \quad \textrm{subject to} \quad \text{lower} \le p \le \text{upper} where :math:`x` is the input pytree. Args: pytree: pytree to project. lower: lower bound, a scalar or pytree with the same structure as ``pytree``. upper: upper bound, a scalar or pytree with the same structure as ``pytree``. Returns: projected pytree, with the same structure as ``pytree``. """ return jtu.tree_map(_clip_safe, pytree, lower, upper) def projection_hypercube(pytree: Any, scale: Any = 1.0) -> Any: r"""Projection onto the (unit) hypercube. .. math:: \underset{p}{\text{argmin}} ~ ||x - p||_2^2 \quad \textrm{subject to} \quad 0 \le p \le \text{scale} where :math:`x` is the input pytree. By default, we project to the unit hypercube (`scale=1.0`). This is a convenience wrapper around :func:`projection_box `. Args: pytree: pytree to project. scale: scale of the hypercube, a scalar or a pytree (default: 1.0). Returns: projected pytree, with the same structure as ``pytree``. """ return projection_box(pytree, lower=0.0, upper=scale) @jax.custom_jvp def _projection_unit_simplex(values: chex.Array) -> chex.Array: """Projection onto the unit simplex.""" s = 1.0 n_features = values.shape[0] u = jnp.sort(values)[::-1] cumsum_u = jnp.cumsum(u) ind = jnp.arange(n_features) + 1 cond = s / ind + (u - cumsum_u / ind) > 0 idx = jnp.count_nonzero(cond) return jax.nn.relu(s / idx + (values - cumsum_u[idx - 1] / idx)) @_projection_unit_simplex.defjvp def _projection_unit_simplex_jvp( primals: list[chex.Array], tangents: list[chex.Array] ) -> tuple[chex.Array, chex.Array]: values, = primals values_dot, = tangents primal_out = _projection_unit_simplex(values) supp = primal_out > 0 card = jnp.count_nonzero(supp) tangent_out = supp * values_dot - (jnp.dot(supp, values_dot) / card) * supp return primal_out, tangent_out def projection_simplex(pytree: Any, scale: chex.Numeric = 1.0) -> Any: r"""Projection onto a simplex. This function solves the following constrained optimization problem, where ``p`` is the input pytree. .. math:: \underset{p}{\text{argmin}} ~ ||x - p||_2^2 \quad \textrm{subject to} \quad p \ge 0, p^\top 1 = \text{scale} By default, the projection is onto the probability simplex (unit simplex). Args: pytree: pytree to project. scale: value the projected pytree should sum to (default: 1.0). Returns: projected pytree, a pytree with the same structure as ``pytree``. .. versionadded:: 0.2.3 Example: Here is an example using a pytree:: >>> import jax.numpy as jnp >>> from optax import tree_utils, projections >>> pytree = {"w": jnp.array([2.5, 3.2]), "b": 0.5} >>> tree_utils.tree_sum(pytree) 6.2 >>> new_pytree = projections.projection_simplex(pytree) >>> tree_utils.tree_sum(new_pytree) 1.0000002 """ if scale is None: scale = 1.0 values, unravel_fn = flatten_util.ravel_pytree(pytree) new_values = scale * _projection_unit_simplex(values / scale) return unravel_fn(new_values)