Optimize¶

Optimize
(options)¶ Arguments:  options (object) – Optimization options.
Returns: Nothing.
Optimizes the parameters of the guide program specified by the
model
option.A default guide distribution is used for random choices that do not have a guide distribution specified explicitly.
The following options are supported:

model
A function of zero arguments that specifies the target and guide programs.
This option must be present.

steps
The number of optimization steps to take.
Default:
1

optMethod
The optimization method used. The following methods are available:
'sgd'
'adagrad'
'rmsprop'
'adam'
Each method takes a
stepSize
suboption, see below for example usage. Additional method specific options are available, see the adnn optimization module for details.Default:
'adam'

estimator
Specifies the optimization objective and the method used to estimate its gradients. See Estimators.
Default:
ELBO

weightDecay
Specifies the strength of an L2 penalty applied to all parameters during optimization.
More specifically, a term
0.5 * strength * paramVal^2
is added to the objective for each parameter encountered during optimization. Note that this addition is not reflected in the value of the objective reported during optimization.For parameters of the model, when the objective is the ELBO, this is equivalent to specifying a mean zero and variance
1/strength
Gaussian prior and a Delta guide for each parameter.Default:
0

onStep
Specifies a function that will be called after each step. The function will be passed the index of the current step and the value of the objective as arguments. For example:
var callback = function(index, value) { /* ... */ }; Optimize({model: model, steps: 100, onStep: callback});
If this function returns
true
,Optimize
will return immediately, skipping any remaining optimization steps.

verbose
Default:
false
Example usage:
Optimize({model: model, steps: 100});
Optimize({model: model, optMethod: 'adagrad'});
Optimize({model: model, optMethod: {sgd: {stepSize: 0.5}}});
Estimators¶
The following estimators are available:

ELBO
This is the evidence lower bound (ELBO). Optimizing this objective yields variational inference.
For best performance use
mapData()
in place ofmap()
where possible when optimizing this objective. The conditional independence information this provides is used to reduce the variance of gradient estimates which can significantly improve performance, particularly in the presence of discrete random choices. Data subsampling is also supported through the use ofmapData()
.The following options are supported:

samples
The number of samples to take for each gradient estimate.
Default:
1

avgBaselines
Enable the “average baseline removal” variance reduction strategy.
Default:
true

avgBaselineDecay
The decay rate used in the exponential moving average used to estimate baselines.
Default:
0.9

Example usage:
Optimize({model: model, estimator: 'ELBO'});
Optimize({model: model, estimator: {ELBO: {samples: 10}}});