Line search method- find optimal learning rates for neural nets.

MLPP/ANN/ANN.cpp

@@ -558,6 +558,50 @@ void ANN::Adam(double learning_rate, int max_epoch, int mini_batch_size, double
         }
      }
      
+    double ANN::backTrackingLineSearch(double beta, double learningRate){
+        LinAlg alg;
+        forwardPass();
+        std::vector<double> outputLayerWeights = outputLayer->weights;
+        std::vector<std::vector<std::vector<double>>> cumulativeHiddenWeights;
+
+        if(!network.empty()){
+                
+            cumulativeHiddenWeights.push_back(network[network.size() - 1].weights);
+
+            for(int i = network.size() - 2; i >= 0; i--){
+                 cumulativeHiddenWeights.push_back(network[i].weights);
+            }
+        }
+
+        while(true){
+            auto [cumulativeHiddenLayerWGrad, outputWGrad] = computeGradients(y_hat, outputSet);
+            cumulativeHiddenLayerWGrad = alg.scalarMultiply(learningRate/n, cumulativeHiddenLayerWGrad);
+            outputWGrad = alg.scalarMultiply(learningRate/n, outputWGrad);
+
+            updateParameters(cumulativeHiddenLayerWGrad, outputWGrad, learningRate); // subject to change. may want bias to have this matrix too.
+
+            forwardPass();
+
+            if(Cost(y_hat, outputSet) > Cost(y_hat, outputSet) - (learningRate/2) * (alg.norm_2(cumulativeHiddenLayerWGrad) + alg.norm_2(outputWGrad))){
+                learningRate *= beta;
+            }
+            else { 
+                outputLayer->weights = outputLayerWeights;
+
+                if(!network.empty()){  
+                    network[network.size() - 1].weights = cumulativeHiddenWeights[0];
+
+                    for(int i = network.size() - 2; i >= 0; i--){
+                        network[i].weights = cumulativeHiddenWeights[(network.size() - 2) - i + 1];
+                    }
+                }
+                return learningRate;
+                break; 
+            }
+        }
+
+    }
+
      void ANN::setLearningRateScheduler(std::string type, double decayConstant){
         lrScheduler = type;
         ANN::decayConstant = decayConstant;

MLPP/ANN/ANN.hpp

@@ -34,6 +34,8 @@ class ANN{
         double score(); 
         void save(std::string fileName);
 
+        double backTrackingLineSearch(double beta, double learningRate); // Use this to find an optimal learning rate value. 
+
         void setLearningRateScheduler(std::string type, double decayConstant);
         void setLearningRateScheduler(std::string type, double decayConstant, double dropRate);
 

MLPP/LinAlg/LinAlg.cpp

@@ -480,6 +480,16 @@ namespace MLPP{
         return B;
     }
 
+     double LinAlg::norm_2(std::vector<std::vector<double>> A){
+         double sum = 0; 
+         for(int i = 0; i < A.size(); i++){
+             for(int j = 0; j < A[i].size(); j++){
+                sum += A[i][j] * A[i][j];
+             }
+         }
+         return std::sqrt(sum);
+     }
+
     std::vector<std::vector<double>> LinAlg::identity(double d){
         std::vector<std::vector<double>> identityMat; 
         identityMat.resize(d);
@@ -1183,4 +1193,16 @@ namespace MLPP{
         }
         return A;
     }
+
+    double LinAlg::norm_2(std::vector<std::vector<std::vector<double>>> A){
+        double sum = 0; 
+        for(int i = 0; i < A.size(); i++){
+            for(int j = 0; j < A[i].size(); j++){
+                for(int k = 0; k < A[i][j].size(); k++){
+                    sum += A[i][j][k] * A[i][j][k];
+                }
+            }
+        }
+        return std::sqrt(sum);
+    }
 }

MLPP/LinAlg/LinAlg.hpp

@@ -90,6 +90,8 @@ namespace MLPP{
 
         std::vector<std::vector<double>> round(std::vector<std::vector<double>> A);
 
+        double norm_2(std::vector<std::vector<double>> A);
+        
         std::vector<std::vector<double>> identity(double d);
 
         std::vector<std::vector<double>> cov(std::vector<std::vector<double>> A);
@@ -222,6 +224,8 @@ namespace MLPP{
 
         std::vector<std::vector<std::vector<double>>> abs(std::vector<std::vector<std::vector<double>>> A);
 
+        double norm_2(std::vector<std::vector<std::vector<double>>> A);
+
         private:
     };
 

main.cpp

@@ -372,10 +372,12 @@ int main() {
     //ann.AMSGrad(0.1, 10000, 1, 0.9, 0.999, 0.000001, 1);
     //ann.Adadelta(1, 1000, 2, 0.9, 0.000001, 1);
     //ann.Momentum(0.1, 8000, 2, 0.9, true, 1);
-    ann.setLearningRateScheduler("Step", 0.5, 1000);
-    ann.gradientDescent(0.1, 20000, 1);
-    alg.printVector(ann.modelSetTest(alg.transpose(inputSet)));
-    std::cout << "ACCURACY: " << 100 * ann.score() << "%" << std::endl;
+
+    std::cout << ann.backTrackingLineSearch(0.707, 0.1) << std::endl;
+    //ann.setLearningRateScheduler("Step", 0.5, 1000);
+    //ann.gradientDescent(0.1, 20000, 1);
+    //alg.printVector(ann.modelSetTest(alg.transpose(inputSet)));
+    //std::cout << "ACCURACY: " << 100 * ann.score() << "%" << std::endl;
 
     //std::vector<std::vector<double>> outputSet = {{1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20}, 
     //                                            {2,4,6,8,10,12,14,16,18,20,22,24,26,28,30,32,34,36,38,40}};