tf / custom_gradient

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TensorFlow 1 version

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Decorator to define a function with a custom gradient.

tf.custom_gradient(
    f=None
)

This decorator allows fine grained control over the gradients of a sequence for operations. This may be useful for multiple reasons, including providing a more efficient or numerically stable gradient for a sequence of operations.

For example, consider the following function that commonly occurs in the computation of cross entropy and log likelihoods:

def log1pexp(x):
  return tf.math.log(1 + tf.exp(x))

Due to numerical instability, the gradient of this function evaluated at x=100 is NaN. For example:

x = tf.constant(100.)
y = log1pexp(x)
dy = tf.gradients(y, x) # Will be NaN when evaluated.

The gradient expression can be analytically simplified to provide numerical stability:

@tf.custom_gradient
def log1pexp(x):
  e = tf.exp(x)
  def grad(dy):
    return dy * (1 - 1 / (1 + e))
  return tf.math.log(1 + e), grad

With this definition, the gradient at x=100 will be correctly evaluated as 1.0.

The variable dy is defined as the upstream gradient. i.e. the gradient from all the layers or functions originating from this layer.

By chain rule we know that dy/dx = dy/x_0 * dx_0/dx_1 * ... * dx_i/dx_i+1 * ... * dx_n/dx

In this case the gradient of our current function defined as dx_i/dx_i+1 = (1 - 1 / (1 + e)). The upstream gradient dy would be dx_i+1/dx_i+2 * dx_i+2/dx_i+3 * ... * dx_n/dx. The upstream gradient multiplied by the current gradient is then passed downstream.

In case the function takes multiple variables as input, the grad function must also return the same number of variables. We take the function z = x * y as an example.

@tf.custom_gradient
def bar(x, y):
  def grad(upstream):
    dz_dx = y
    dz_dy = x
    return upstream * dz_dx, upstream * dz_dy
  z = x * y
  return z, grad
x = tf.constant(2.0, dtype=tf.float32)
y = tf.constant(3.0, dtype=tf.float32)
with tf.GradientTape(persistent=True) as tape:
  tape.watch(x)
  tape.watch(y)
  z = bar(x, y)
z
<tf.Tensor: shape=(), dtype=float32, numpy=6.0>
tape.gradient(z, x)
<tf.Tensor: shape=(), dtype=float32, numpy=3.0>
tape.gradient(z, y)
<tf.Tensor: shape=(), dtype=float32, numpy=2.0>

Nesting custom gradients can lead to unintuitive results. The default behavior does not correspond to n-th order derivatives. For example

@tf.custom_gradient
def op(x):
  y = op1(x)
  @tf.custom_gradient
  def grad_fn(dy):
    gdy = op2(x, y, dy)
    def grad_grad_fn(ddy):  # Not the 2nd order gradient of op w.r.t. x.
      return op3(x, y, dy, ddy)
    return gdy, grad_grad_fn
  return y, grad_fn

The function grad_grad_fn will be calculating the first order gradient of grad_fn with respect to dy, which is used to generate forward-mode gradient graphs from backward-mode gradient graphs, but is not the same as the second order gradient of op with respect to x.

Instead, wrap nested @tf.custom_gradients in another function:

@tf.custom_gradient
def op_with_fused_backprop(x):
  y, x_grad = fused_op(x)
  def first_order_gradient(dy):
    @tf.custom_gradient
    def first_order_custom(unused_x):
      def second_order_and_transpose(ddy):
        return second_order_for_x(...), gradient_wrt_dy(...)
      return x_grad, second_order_and_transpose
    return dy * first_order_custom(x)
  return y, first_order_gradient

Additional arguments to the inner @tf.custom_gradient-decorated function control the expected return values of the innermost function.

See also tf.RegisterGradient which registers a gradient function for a primitive TensorFlow operation. tf.custom_gradient on the other hand allows for fine grained control over the gradient computation of a sequence of operations.

Note that if the decorated function uses Variables, the enclosing variable scope must be using ResourceVariables.