Deep-Learning/Chapters/5-Optimization/INDEX.md

# Optimization

We basically try to see the error and minimize it by moving towards the ***gradient***

## Types of Learning Algorithms

In `Deep Learning` it's not unusual to be facing ***highly redundant*** `datasets`.
Because of this, usually ***gradient*** from some `samples` is the ***same*** for some others.

So, often we train the `model` on a subset of samples.

### Online Learning

This is the ***extreme*** of our techniques to deal with ***redundancy*** of `data`.

On each `point` we get the ***gradient*** and then we update `weights`.

### Mini-Batch

In this approach, we divide our `dataset` in small batches called `mini-batches`.
These need to be ***balanced*** in order not to have ***imbalances***.

This technique is the ***most used one***

## Tips and Tricks

### Learning Rate

This is the `hyperparameter` we use to tune our
***learning steps***.

Sometimes we have it too big and this causes
***overshootings***. So a quick solution may be to turn
it down.

However, we are ***trading speed for accuracy***, thus it's better to wait before tuning this `parameter`

### Weight initialization

We need to avoid `neurons` to have the same
***gradient***. This is easily achievable by using
***small random values***.

However, if we have a ***large `fan-in`***, then it's
***easy to overshoot***, then it's better to initialize
those `weights` ***proportionally to***
$\sqrt{\text{fan-in}}$:

$$
w = \frac{
    np.random(N)
}{
    \sqrt{N}
}
$$

#### Xavier-Glorot Initialization

<!-- TODO: Read Xavier-Glorot paper -->

Here `weights` are ***proportional*** to $\sqrt{\text{fan-in}}$ as well, but we ***sample*** from a
`uniform distribution` with a `std-dev`

$$
\sigma^2 = \text{gain} \cdot \sqrt{
    \frac{
        2
    }{
        \text{fan-in} + \text{fan-out}
    }
}
$$

and bounded between $a$ and $-a$

$$
a = \text{gain} \cdot \sqrt{
    \frac{
        6
    }{
        \text{fan-in} + \text{fan-out}
    }
}
$$

Alternatively, one can use a `normal-distribution`
$\mathcal{N}(0, \sigma^2)$.

Note that `gain` is in the **original paper** is equal
to $1$

### Decorrelating input components

Since ***highly correlated features*** don't offer much
in terms of ***new information***, probably we need
to go in the ***latent space*** to find the
`latent-variables` governing those `features`.

#### PCA

> [!CAUTION]
> This topic won't be explained here as it's something
> usually learnt for `Machine Learning`, a
> ***prerequisite*** for approaching `Deep Learning`.

This is a method we can use to discard `features` that
will ***add little to no information***

## Common problems in MultiLayer Networks

### Hitting a Plateau

This happenes wehn we have a ***big `learning-rate`***
which makes `weights` go high in ***absolute value***.

Because this happens ***too quickly***, we could
see a ***quick diminishing error*** and this is usually
***mistaken for a minimum point***, while instead
it's a ***plateau***.

## Speeding up Mini-Batch Learning

### Momentum[^momentum]

We use this method ***mainly when we use `SGD`*** as
a ***learning techniques***

This method is better explained if we imagine
our error surface as an actual surface and we place a
ball over it.

***The ball will start rolling towards the steepest
descent*** (initially), but ***after gaining enough
velocity*** it will follow the ***previous direction
, in some measure***.

So, now the ***gradient*** does modify the ***velocity***
rather than the ***position***, so the momentum will
***dampen small variations***.

Moreover, once the ***momentum builds up***, we will
easily ***pass over plateaus*** as the
***ball will continue to roll over*** until it is
stopped by a negative ***gradient***

#### Momentum Equations

There are a couple of them, mainly.

One of them uses a term to evaluate the `momentum`, $p$,
called `SGD momentum` or `momentum term` or
`momentum parameter`:

$$
\begin{aligned}
    p_{k+1} &= \beta p_{k} + \eta \nabla L(X, y, w_k) \\
    w_{k+1} &= w_{k} - \gamma p_{k+1}
\end{aligned}
$$

The other one is ***logically equivalent*** to the
previous, but it update the `weights` in ***one step***
and is called `Stochastic Heavy Ball Method`:

$$
    w_{k+1} = w_k - \gamma \nabla L(X, y, w_k)
        + \beta ( w_k - w_{k-1})
$$

> [!NOTE]
> This is how to choose $\beta$:
>
> $0 < \beta < 1$
>
> If $\beta = 0$, then we are doing
> ***gradient descent***, if $\beta > 1$ then we
> ***will have numerical instabilities***.
>
> The ***larger*** $\beta$ the
> ***higher the `momentum`***, so it will
> ***turn slower***

> [!TIP]
> usual values are $\beta = 0.9$ or $\beta = 0.99$
> and usually we start from 0.5 initially, to raise it
> whenever we are stuck.
>
> When we increase $\beta$, then the `learning rate`
> ***must decrease accordingly***
> (e.g. from 0.9 to 0.99, `learning-rate` must be
> divided by a factor of 10)

#### Nesterov (1983) Sutskever (2012) Accelerated Momentum

Differently from the previous
[momentum](#momentum-equations),
we take an ***intermediate*** step where we
***update the `weights`*** according to the
***previous `momentum`*** and then we compute the
***new `momentum`*** in this new position, and then
we ***update again***

$$
\begin{aligned}
    \hat{w}_k & = w_k - \beta p_k \\
    p_{k+1} &= \beta p_{k} +
        \eta \nabla L(X, y, \hat{w}_k) \\
    w_{k+1} &= w_{k} - \gamma p_{k+1}
\end{aligned}
$$

#### Why Momentum Works

While it has been ***hypothesized*** that
***acceleration*** made ***convergence faster***, this
is
***only true for convex problems without much noise***,
though this may be ***part of the story***

The other half may be ***Noise Smoothing*** by
smoothing the optimization process, however
according to these papers[^no-noise-smoothing][^no-noise-smoothing-2] this may not be the actual reason.

### Separate Adaptive Learning Rates

Since `weights` may ***greatly vary*** across `layers`,
having a ***single `learning-rate` might not be ideal.

So the idea is to set a `local learning-rate` to
control the `global` one as a ***multiplicative factor***

#### Local Learning rates

- Start with $1$ as the ***starting point*** for
    `local learning-rates` which we'll call `gain` from
    now on.
- If the `gradient` has the ***same sign, increase it***
- Otherwise, ***multiplicatively decrease it***

$$
    w_{i,j} = - g_{i,j} \cdot \eta \frac{
        d \, Out
    }{
        d \, w_{i,j}
    }

    \\
    g_{i,j}(t) = \begin{cases}

    g_{i,j}(t - 1) + \delta
    & \left( \frac{
        d \, Out
    }{
        d \, w_{i,j}
    } (t)
    \cdot
    \frac{
        d \, Out
    }{
        d \, w_{i,j}
    } (t-1) \right) > 0 \\


    g_{i,j}(t - 1) \cdot (1 - \delta)
    & \left( \frac{
        d \, Out
    }{
        d \, w_{i,j}
    } (t)
    \cdot
    \frac{
        d \, Out
    }{
        d \, w_{i,j}
    } (t-1) \right) \leq 0
\end{cases}
$$

With this method, if there are oscillations, we will have
`gains` around $1$

> [!TIP]
>
> - Usually a value for $d$ is $0.05$
> - Limit `gains` around some values:
>
>   - $[0.1, 10]$
>   - $[0.01, 100]$
>
> - Use `full-batches` or `big mini-batches` so that
>   the ***gradient*** doesn't oscillate because of
>   sampling errors
> - Combine it with [Momentum](#momentum)
> - Remember that ***Adaptive `learning-rate`*** deals
>   with ***axis-alignment***

### rmsprop | Root Mean Square Propagation

#### rprop | Resilient Propagation[^rprop-torch]

This is basically the same idea of [separating learning rates](#separate-adaptive-learning-rates),
but in this case we don't use the
[AIMD](#local-learning-rates) technique and
***we don't take into account*** the
***magnitude of the gradient*** but ***only the sign***

- If ***gradient*** has same sign:
  - $step_{k} = step_{k} \cdot \eta_+$ where $\eta_+ > 1$
- else:
  - $step_{k} = step_{k} \cdot \eta_-$
    where $0 <\eta_- < 1$

> [!TIP]
>
> Limit the step size in a range where:
>
> - $\inf < 50$
> - $\sup > 1 \text{M}$

> [!CAUTION]
>
> rprop does ***not work*** with `mini-batches` as
> the ***sign of the gradient changes frequently***

#### rmsprop in detail[^rmsprop-torch]

The idea is that [rprop](#rprop--resilient-propagation)
is ***equivalent to using the gradient divided by its
value*** (as you either multiply for $1$ or $-1$),
however it means that between `mini-batches` the
***divisor*** changes each time, oscillating.

The solution is to have a ***running average*** of
the ***magnitude of the squared gradient for
each `weight`***:

$$
    MeanSquare(w, t) =
        \alpha MeanSquare(w, t-1) +
        (1 - \alpha)
        \left(
            \frac{d\, Out}{d\, w}^2
        \right)
$$

We then divide the ***gradient by the `square root`***
of that value

#### Further Developments

- `rmsprop` with `momentum` does not work as it should
- `rmsprop` with `Nesterov momentum` works best
    if usedto divide the ***correction*** rather than
    the ***jump***
- `rmsprop` with `adaptive learnings` needs more
    investigation

### Fancy Methods

#### Adaptive Gradient

<!-- TODO: Expand over these -->

##### Convex Case

- Conjugate Gradient/Acceleration
- L-BFGS
- Quasi-Newton Methods

##### Non-Convex Case

Pay attention, here the `Hessian` may not be
`Positive Semi Defined`, thus when the ***gradient*** is
$0$ we don't necessarily know where we are.

- Natural Gradient Methods
- Curvature Adaptive
  - [Adagrad](./Fancy-Methods/ADAGRAD.md)
  - [AdaDelta](./Fancy-Methods/ADADELTA.md)
  - [RMSprop](#rmsprop-in-detail)
  - [ADAM](./Fancy-Methods/ADAM.md)
  - l-BFGS
  - [heavy ball gradient](#momentum)
  - [momemtum](#momentum)
- Noise Injection:
  - Simulated Annealing
  - Langevin Method

#### Adagrad

> [!NOTE]
> [Here in detail](./Fancy-Methods/ADAGRAD.md)

#### Adadelta

> [!NOTE]
> [Here in detail](./Fancy-Methods/ADADELTA.md)

#### ADAM

> [!NOTE]
> [Here in detail](./Fancy-Methods/ADAM.md)

#### AdamW

> [!NOTE]
> [Here in detail](./Fancy-Methods/ADAM-W.md)

#### LION

> [!NOTE]
> [Here in detail](./Fancy-Methods/LION.md)

### Hessian Free

<!-- TODO: Add PDF 5 pg. 38 -->


[^momentum]: [Distill Pub | 18th April 2025](https://distill.pub/2017/momentum/)

[^no-noise-smoothing]: Momentum Does Not Reduce Stochastic Noise in Stochastic Gradient Descent | arXiv:2402.02325v4

[^no-noise-smoothing-2]: Role of Momentum in Smoothing Objective Function in Implicit Graduated Optimization | arXiv:2402.02325v1

[^rprop-torch]: [Rprop | Official PyTorch Documentation | 19th April 2025](https://pytorch.org/docs/stable/generated/torch.optim.Rprop.html)

[^rmsprop-torch]: [RMSprop | Official PyTorch Documentation | 19th April 2025](https://pytorch.org/docs/stable/generated/torch.optim.RMSprop.html)