tensorflow / tensorflow/probability

Unexpected behavior of weight in KLDivergenceRegularizer

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Description

Setting weight=None or weight=1. in tfpl.KLDivergenceRegularizer gives an implied KL loss about double that of an explicit KL loss metric (tfd.kl_divergence) and also double that of a manually calculated KL loss metric. Setting weight=.5 makes all KL losses similar. How can I understand this weight behavior?

tf.version == 2.4.0
tfp.version == 0.11.0

Code to repoduce (based on the VAE example provided here https://github.com/tensorflow/probability/blob/master/tensorflow_probability/examples/jupyter_notebooks/Probabilistic_Layers_VAE.ipynb):

import numpy as np
import tensorflow as tf
import tensorflow_datasets as tfds
import tensorflow_probability as tfp
tfk = tf.keras
tfkl = tf.keras.layers
tfpl = tfp.layers
tfd = tfp.distributions
tfkb = tf.keras.backend

# disable eager execution to use metrics functions defined below,
# while avoiding the issue mentioned here
# https://github.com/tensorflow/probability/issues/519
tf.compat.v1.disable_eager_execution()

# load dataset
datasets, datasets_info = tfds.load(name='mnist',
                                    with_info=True,
                                    as_supervised=False)

def _preprocess(sample):
  image = tf.cast(sample['image'], tf.float32) / 255.  # Scale to unit interval.
  image = image < tf.random.uniform(tf.shape(image))   # Randomly binarize.
  return image, image

train_dataset = (datasets['train']
                 .map(_preprocess)
                 .batch(256)
                 .prefetch(tf.data.experimental.AUTOTUNE)
                 .shuffle(int(10e3)))
eval_dataset = (datasets['test']
                .map(_preprocess)
                .batch(256)
                .prefetch(tf.data.experimental.AUTOTUNE))

# specify model
input_shape = datasets_info.features['image'].shape
encoded_size = 16
base_depth = 32

prior = tfd.Independent(tfd.Normal(loc=tf.zeros(encoded_size), scale=1),
                        reinterpreted_batch_ndims=1)

encoder = tfk.Sequential([
    tfkl.InputLayer(input_shape=input_shape),
    tfkl.Lambda(lambda x: tf.cast(x, tf.float32) - 0.5),
    tfkl.Conv2D(base_depth, 5, strides=1,
                padding='same', activation=tf.nn.leaky_relu),
    tfkl.Conv2D(base_depth, 5, strides=2,
                padding='same', activation=tf.nn.leaky_relu),
    tfkl.Conv2D(2 * base_depth, 5, strides=1,
                padding='same', activation=tf.nn.leaky_relu),
    tfkl.Conv2D(2 * base_depth, 5, strides=2,
                padding='same', activation=tf.nn.leaky_relu),
    tfkl.Conv2D(4 * encoded_size, 7, strides=1,
                padding='valid', activation=tf.nn.leaky_relu),
    tfkl.Flatten(),
    # use IndependentNormal instead of MultivariateNormalTriL for comparison 
    # with manual KL calculation    
    # tfkl.Dense(tfpl.MultivariateNormalTriL.params_size(encoded_size),
    #            activation=None),
    # tfpl.MultivariateNormalTriL(
    #     encoded_size,
    #     activity_regularizer=tfpl.KLDivergenceRegularizer(prior)),
    tfkl.Dense(tfpl.IndependentNormal.params_size(encoded_size),
               activation=None),
    tfpl.IndependentNormal(
        encoded_size,
        activity_regularizer=tfpl.KLDivergenceRegularizer(prior, weight=None, 
                                                          use_exact_kl=True)),        
])

decoder = tfk.Sequential([
    tfkl.InputLayer(input_shape=[encoded_size]),
    tfkl.Reshape([1, 1, encoded_size]),
    tfkl.Conv2DTranspose(2 * base_depth, 7, strides=1,
                         padding='valid', activation=tf.nn.leaky_relu),
    tfkl.Conv2DTranspose(2 * base_depth, 5, strides=1,
                         padding='same', activation=tf.nn.leaky_relu),
    tfkl.Conv2DTranspose(2 * base_depth, 5, strides=2,
                         padding='same', activation=tf.nn.leaky_relu),
    tfkl.Conv2DTranspose(base_depth, 5, strides=1,
                         padding='same', activation=tf.nn.leaky_relu),
    tfkl.Conv2DTranspose(base_depth, 5, strides=2,
                         padding='same', activation=tf.nn.leaky_relu),
    tfkl.Conv2DTranspose(base_depth, 5, strides=1,
                         padding='same', activation=tf.nn.leaky_relu),
    tfkl.Conv2D(filters=1, kernel_size=5, strides=1,
                padding='same', activation=None),
    tfkl.Flatten(),
    tfpl.IndependentBernoulli(input_shape, tfd.Bernoulli.logits),
])

vae = tfk.Model(inputs=encoder.inputs,
                outputs=decoder(encoder.outputs[0]))

# define metrics functions  
def rec_loss(y_true, y_pred):
  return -vae.output.log_prob(y_true)
    
def kl_loss(y_true, y_pred):
  return tfd.kl_divergence(encoder.output, prior)

def kl_loss_manual(y_true, y_pred):
  # Kingma and Welling (2014), Auto-Encoding Variational Bayes, ICLR.
  # See Appendix B of https://arxiv.org/pdf/1312.6114.pdf
  mean = encoder.output.mean()
  var = encoder.output.variance()
  return -.5 * tfkb.sum(1. + tfkb.log(var) - tfkb.square(mean) - var, axis=1)

# train model
negloglik = lambda x, rv_x: -rv_x.log_prob(x)

vae.compile(optimizer=tf.optimizers.Adam(learning_rate=1e-3),
            loss=negloglik,
            metrics=[rec_loss, kl_loss, kl_loss_manual])

_ = vae.fit(train_dataset,
            epochs=3,
            validation_data=eval_dataset)

# calculate ratio of implied KL over calculated KL
hist = vae.history.history
print('ratio:', (np.array(hist['loss']) - np.array(hist['rec_loss']))/ np.array(hist['kl_loss']))

Output:

Train on 235 steps, validate on 40 steps
Epoch 1/3
235/235 [==============================] - ETA: 0s - batch: 117.0000 - size: 1.0000 - loss: 189.9439 - rec_loss: 173.2091 - kl_loss: 8.3689 - kl_loss_manual: 8.3689

/usr/local/lib/python3.6/dist-packages/tensorflow/python/keras/engine/training.py:2325: UserWarning: `Model.state_updates` will be removed in a future version. This property should not be used in TensorFlow 2.0, as `updates` are applied automatically.
  warnings.warn('`Model.state_updates` will be removed in a future version. '

235/235 [==============================] - 14s 33ms/step - batch: 117.0000 - size: 1.0000 - loss: 189.9439 - rec_loss: 173.2091 - kl_loss: 8.3689 - kl_loss_manual: 8.3689 - val_loss: 134.8216 - val_rec_loss: 108.7525 - val_kl_loss: 13.0691 - val_kl_loss_manual: 13.0691
Epoch 2/3
235/235 [==============================] - 12s 32ms/step - batch: 117.0000 - size: 1.0000 - loss: 129.3110 - rec_loss: 99.8012 - kl_loss: 14.7685 - kl_loss_manual: 14.7685 - val_loss: 124.9163 - val_rec_loss: 94.1113 - val_kl_loss: 15.4014 - val_kl_loss_manual: 15.4014
Epoch 3/3
235/235 [==============================] - 12s 32ms/step - batch: 117.0000 - size: 1.0000 - loss: 123.1625 - rec_loss: 91.7423 - kl_loss: 15.7247 - kl_loss_manual: 15.7247 - val_loss: 120.7175 - val_rec_loss: 88.3529 - val_kl_loss: 16.1751 - val_kl_loss_manual: 16.1751
ratio: [1.99963829 1.99816107 1.99813944]

Contributor guide

Open the contributing guide

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start by running the supplied VAE reproduction from the linked Probabilistic_Layers_VAE.ipynb example and inspect tfp.layers.KLDivergenceRegularizer with weight=None, 1, and .5. Compare its implied loss with tfd.kl_divergence and the manual calculation. Done means the weight behavior and the observed factor of two are explained and verified.

Written by the indexing model from the issue text.

Assessment

Tech stack
jupyter-notebook, python
Domain
machine-learning
Issue type
Bug
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
35/100

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