Merge pull request #442 from vroulet:zoom_linesearch_revamp

PiperOrigin-RevId: 543992823

jaxopt/__init__.py

@@ -52,3 +52,4 @@
 from jaxopt._src.scipy_wrappers import ScipyLeastSquares
 from jaxopt._src.scipy_wrappers import ScipyMinimize
 from jaxopt._src.scipy_wrappers import ScipyRootFinding
+from jaxopt._src.zoom_linesearch import ZoomLineSearch

jaxopt/_src/bfgs.py

@@ -28,14 +28,14 @@
 import jax.numpy as jnp
 
 from jaxopt._src import base
-from jaxopt._src.backtracking_linesearch import BacktrackingLineSearch
-from jaxopt._src.zoom_linesearch import zoom_linesearch
 from jaxopt.tree_util import tree_add_scalar_mul
 from jaxopt.tree_util import tree_l2_norm
 from jaxopt.tree_util import tree_sub
 from jaxopt._src.tree_util import tree_single_dtype
 from jaxopt._src.scipy_wrappers import make_onp_to_jnp
 from jaxopt._src.scipy_wrappers import pytree_topology_from_example
+from jaxopt._src.linesearch_util import _reset_stepsize
+from jaxopt._src.linesearch_util import _setup_linesearch
 
 
 _dot = partial(jnp.dot, precision=jax.lax.Precision.HIGHEST)
@@ -53,6 +53,7 @@ def pytree_to_flat_array(pytree, dtype):
 
 class BfgsState(NamedTuple):
   """Named tuple containing state information."""
+
   iter_num: int
   value: float
   grad: Any
@@ -74,10 +75,8 @@ class BFGS(base.IterativeSolver):
     value_and_grad: whether ``fun`` just returns the value (False) or both
       the value and gradient (True).
     has_aux: whether ``fun`` outputs auxiliary data or not.
-      If ``has_aux`` is False, ``fun`` is expected to be
-        scalar-valued.
-      If ``has_aux`` is True, then we have one of the following
-        two cases.
+      If ``has_aux`` is False, ``fun`` is expected to be scalar-valued.
+      If ``has_aux`` is True, then we have one of the following two cases.
       If ``value_and_grad`` is False, the output should be
       ``value, aux = fun(...)``.
       If ``value_and_grad == True``, the output should be
@@ -92,6 +91,8 @@ class BFGS(base.IterativeSolver):
       or a callable specifying the **positive** stepsize to use at each iteration.
     linesearch: the type of line search to use: "backtracking" for backtracking
       line search or "zoom" for zoom line search.
+    condition: condition used to select the stepsize when using backtracking
+      linesearch
     maxls: maximum number of iterations to use in the line search.
     decrease_factor: factor by which to decrease the stepsize during line search
       (default: 0.8).
@@ -151,6 +152,7 @@ def init_state(self,
       init_params: pytree containing the initial parameters.
       *args: additional positional arguments to be passed to ``fun``.
       **kwargs: additional keyword arguments to be passed to ``fun``.
+
     Returns:
       state
     """
@@ -179,6 +181,7 @@ def update(self,
       state: named tuple containing the solver state.
       *args: additional positional arguments to be passed to ``fun``.
       **kwargs: additional keyword arguments to be passed to ``fun``.
+
     Returns:
       (params, state)
     """
@@ -190,65 +193,18 @@ def update(self,
 
     descent_direction = flat_array_to_pytree(-_dot(state.H, flat_grad))
 
-    if not isinstance(self.stepsize, Callable) and self.stepsize <= 0:
-      # with line search
-
-      if self.linesearch == "backtracking":
-        ls = BacktrackingLineSearch(fun=self._value_and_grad_with_aux,
-                                    value_and_grad=True,
-                                    maxiter=self.maxls,
-                                    decrease_factor=self.decrease_factor,
-                                    max_stepsize=self.max_stepsize,
-                                    condition=self.condition,
-                                    jit=self.jit,
-                                    unroll=self.unroll,
-                                    has_aux=True)
-        init_stepsize = jnp.where(state.stepsize <= self.min_stepsize,
-                                  # If stepsize became too small, we restart it.
-                                  self.max_stepsize,
-                                  # Else, we increase a bit the previous one.
-                                  state.stepsize * self.increase_factor)
-        new_stepsize, ls_state = ls.run(init_stepsize,
-                                        params, value, grad,
-                                        descent_direction,
-                                        *args, **kwargs)
-        new_value = ls_state.value
-        new_aux = ls_state.aux
-        new_params = ls_state.params
-        new_grad = ls_state.grad
-
-      elif self.linesearch == "zoom":
-        ls_state = zoom_linesearch(f=self._value_and_grad_with_aux,
-                                   xk=params, pk=descent_direction,
-                                   old_fval=value, gfk=grad, maxiter=self.maxls,
-                                   value_and_grad=True, has_aux=True, aux=state.aux,
-                                   args=args, kwargs=kwargs)
-        new_value = ls_state.f_k
-        new_aux = ls_state.aux
-        new_stepsize = ls_state.a_k
-        new_grad = ls_state.g_k
-        # FIXME: zoom_linesearch currently doesn't return new_params
-        # so we have to recompute it.
-        t = new_stepsize.astype(tree_single_dtype(params))
-        new_params = tree_add_scalar_mul(params, t, descent_direction)
-        # FIXME: (zaccharieramzi) sometimes the linesearch fails
-        # and therefore its value g_k does not correspond
-        # to the gradient at the new parameters.
-        # with the following conditional loop we have a hot fix that just
-        # recomputes the value, gradient and auxiliary value
-        # at the new parameters. It would be better to understand
-        # what the g_k passed by zoom_linesearch is in this case
-        # and why it is wrong.
-        (new_value, new_aux), new_grad = jax.lax.cond(
-          ls_state.failed,
-          lambda: self._value_and_grad_with_aux(new_params, *args, **kwargs),
-          lambda: ((new_value, new_aux), new_grad),
-        )
-      else:
-        raise ValueError("Invalid name in 'linesearch' option.")
-
+    use_linesearch = not isinstance(self.stepsize, Callable) and self.stepsize <= 0
+
+    if use_linesearch:
+      init_stepsize = self._reset_stepsize(state.stepsize)
+      new_stepsize, ls_state = self.run_ls(
+          init_stepsize, params, value, grad, descent_direction, *args, **kwargs
+      )
+      new_params = ls_state.params
+      new_value = ls_state.value
+      new_grad = ls_state.grad
+      new_aux = ls_state.aux
     else:
-      # without line search
       if isinstance(self.stepsize, Callable):
         new_stepsize = self.stepsize(state.iter_num)
       else:
@@ -284,7 +240,7 @@ def optimality_fun(self, params, *args, **kwargs):
     return self._value_and_grad_fun(params, *args, **kwargs)[1]
 
   def _value_and_grad_fun(self, params, *args, **kwargs):
-    (value, aux), grad = self._value_and_grad_with_aux(params, *args, **kwargs)
+    (value, _), grad = self._value_and_grad_with_aux(params, *args, **kwargs)
     return value, grad
 
   def __post_init__(self):
@@ -294,3 +250,31 @@ def __post_init__(self):
                                has_aux=self.has_aux)
 
     self.reference_signature = self.fun
+    jit, unroll = self._get_loop_options()
+    linesearch_solver = _setup_linesearch(
+        linesearch=self.linesearch,
+        fun=self._value_and_grad_with_aux,
+        value_and_grad=True,
+        has_aux=True,
+        maxlsiter=self.maxls,
+        max_stepsize=self.max_stepsize,
+        jit=jit,
+        unroll=unroll,
+        verbose=self.verbose,
+        condition=self.condition,
+        decrease_factor=self.decrease_factor,
+        increase_factor=self.increase_factor,
+    )
+
+    self._reset_stepsize = partial(
+        _reset_stepsize,
+        self.linesearch,
+        self.max_stepsize,
+        self.min_stepsize,
+        self.increase_factor,
+    )
+
+    if jit:
+      self.run_ls = jax.jit(linesearch_solver.run)
+    else:
+      self.run_ls = linesearch_solver.run