mxnet.optimizer.sgld

SGLD optimizer.

Classes

SGLD([learning_rate, use_fused_step])

Stochastic Gradient Riemannian Langevin Dynamics.
class mxnet.optimizer.sgld.SGLD(learning_rate=0.1, use_fused_step=False, **kwargs)[source]

Bases: Optimizer

Stochastic Gradient Riemannian Langevin Dynamics.

This class implements the optimizer described in the paper Stochastic Gradient Riemannian Langevin Dynamics on the Probability Simplex, available at https://papers.nips.cc/paper/4883-stochastic-gradient-riemannian-langevin-dynamics-on-the-probability-simplex.pdf.

Parameters:

  • learning_rate (float, default 0.001) – The initial learning rate. If None, the optimization will use the learning rate from lr_scheduler. If not None, it will overwrite the learning rate in lr_scheduler. If None and lr_scheduler is also None, then it will be set to 0.01 by default.

  • use_fused_step (bool, default False) – Whether or not to use fused kernels for optimizer. When use_fused_step=False, step is called, otherwise, fused_step is called.

create_state(index, weight)[source]

Creates auxiliary state for a given weight.

Some optimizers require additional states, e.g. as momentum, in addition to gradients in order to update weights. This function creates state for a given weight which will be used in update. This function is called only once for each weight.

Parameters:

  • index (int) – An unique index to identify the weight.

  • weight (NDArray) – The weight.

Returns:

state – The state associated with the weight.

Return type:

any obj

step(indices, weights, grads, states)[source]

Perform an optimization step using gradients and states.

Parameters:

  • indices (list of int) – List of unique indices of the parameters into the individual learning rates and weight decays. Learning rates and weight decay may be set via set_lr_mult() and set_wd_mult(), respectively.

  • weights (list of NDArray) – List of parameters to be updated.

  • grads (list of NDArray) – List of gradients of the objective with respect to this parameter.

  • states (List of any obj) – List of state returned by create_state().