femtograd

• Exponential distribution
• Automatic differentiation (AD)

Here’s a quick demonstration of how to use the femtograd R package.

Load it like this:

library(femtograd)
#> 
#> Attaching package: 'femtograd'
#> The following object is masked from 'package:utils':
#> 
#>     data

Exponential distribution

Let’s create a simple loglikelihood function for the exponential distribution paramterized by $\lambda$ (failure rate).

We have

So, the loglikelihood function is just

Let’s generate $n=30$ observations.

n <- 30
true_rate <- 7.3
data <- rexp(n,true_rate)
head(data)
#> [1] 0.102432677 0.009849689 0.037429092 0.093926112 0.033046038 0.181780460

(mle.rate <- abs(1/mean(data)))
#> [1] 6.245535

We see that the MLE $\hat\theta$ is 6.2455349.

Automatic differentiation (AD)

Finding the value (argmax) that maximizes the log-likelihood function is trivial to solve in this case, and it has a closed-form solution. However, to demonstrate the use of femtograd, we will construct a loglike_exp function generator that returns an object that can be automatically differentiated (AD) using backpropogation, which is an efficient way of applying the chain-rule to expressions (like $\exp{y a x^2}$ using a computational graph that represents the expression.

These kind of computational graphs have the nice property that for any differentiable expression that we can model in software, its partial derivative with respect to some node in the graph can be efficiently and accurately computed without resorting to numerical finite difference methods or slow, potentially difficult to compose symbolic methods.

There are many libraries that do this. This library itself is based on the excellent work by Karpathy who developed the Python library known as micrograd, which was developed for the explicit purpose of teaching the basic concept of AD and backpropagation for minimizing loss functions for neural networks.

Let’s solve for the MLE iteratively as a demonstration of how to use femtograd. First, we construct the log-likelihood generator:

loglike_exp <- function(rate, data)
{
  return(log(rate)*length(data) - rate * sum(data))
}

Initially, we guess that $\hat\lambda$ is $1$, which is a terrible estimate.

rate <- val(1)

Gradient clipping is a technique to prevent taking too large of a step when gradients become too large (remember that gradients are a local feature, so we generally should not use it to take too big of a step) during optimization, which can cause instability or overshooting the optimal value. By limiting the step size, gradient clipping helps ensure that the optimization takes smaller, more stable steps.

Here is the R code:

# Takes a gradient `g` and an optional `max_norm` parameter, which defaults
# to 1. It calculates the gradient's L2 norm (Euclidean norm) and scales the
# gradient down if its norm exceeds the specified max_norm. This is used during
# the gradient ascent loop to help ensure stable optimization.
grad_clip <- function(g, max_norm = 1) {
  norm <- sqrt(sum(g * g))
  if (norm > max_norm) {
    g <- (max_norm / norm) * g
  }
  g
}

We find the MLE using a simple iteration (200 loops).

loglik <- loglike_exp(rate, data)
lr <- 0.2 # learning rate
for (i in 1:200)
{
  zero_grad(loglik)
  backward(loglik)

  data(rate) <- data(rate) + lr * grad_clip(grad(rate))
  if (i %% 50 == 0)
    cat("iteration", i, ", rate =", data(rate), ", drate/dl =", grad(rate), "\n")
}
#> iteration 50 , rate = 6.238781 , drate/dl = 0.006148105 
#> iteration 100 , rate = 6.245533 , drate/dl = 1.447689e-06 
#> iteration 150 , rate = 6.245535 , drate/dl = 3.418377e-10 
#> iteration 200 , rate = 6.245535 , drate/dl = 8.082424e-14

Did the gradient ascent method converge to the MLE?

(converged <- (abs(mle.rate - data(rate)) < 1e-3))
#> [1] TRUE

It’s worth pointing out that we did not update loglik in the gradient ascent loop, since we only needed the gradient (score) in this case. If, however, we had needed to know the log-likelihood for some reason, such as when using a line search method to avoid overshooting, we would need to update with loglik <- loglike_exp(rate, data) each time through the loop.