Owl Opt Library

The entry point of this library is Owl_opt.

Workflow

  1. define a record type 'a t in some module Prms
  2. apply ppx deriver @@deriving prms to type 'a t so that Prms has type Owl_opt.Prms.PT
  3. pass Prms through your favourite algorithm functor to create an optimisation module O
  4. define an objective function f that takes as input your record type 'a t
  5. define initial parameters prms0
  6. define learning rates lr with Owl_opt.Lr
  7. initialise optimisation state s0 with O.init ~prms0 ~f
  8. define stoping criterion function stop: state -> bool
  9. minimise the optimisation session with O.min ~stop s0

Example

 module Prms = struct
    type 'a t = {a: 'a; b: 'a} [@@deriving prms]
 end
 (* make an Adam optimisation module for the parameter definition Prms *)
 module O = Owl_opt.D.Adam.Make (Prms)
 (* define the objective function *)
 let f prms = Owl.Algodiff.D.Maths.(l2norm' (y - ((prms.a *@ x) + prms.b))) 
 (* define initial parameters *)
 let prms0 = {a = Owl.Algodiff.D.Mat.gaussian 5 5; b = Owl.Algodiff.D.gaussian 5 1} 
 (* define fixed learning rate *)
 let lr = Owl_opt.Lr.(Fix 1E-4) 
 (* initialise an optimisation session *)
 let s0 = O.init ~prms0 ~f () 
 (* define stopping criteria: stop when function value is smaller than 1E-4 *)
 let stop s = O.(fv s) < 1E-4
 (* minimise objective function f *)
 let s = O.min ~stop ~beta1:0.99 ~beta2:0.999 ~lr f
 (* final objective function value *)
 let c = O.fv s
 (* final prms *)
 let prms = O.prms s

Important modules

1. Parameters

2. Learning rate

3. Double-precision

4. Single-precision