梯度下降算法的数学原理及python实现

0 引言

人工智能的多个领域都涉及到问题的求解，实际就是一个搜索的过程。搜索技术分为全局搜索和局部搜索，梯度下降算法是一种基于一阶微分的局部搜索算法。由于梯度下降算法的简单易用，梯度下降算法(GD)已然成为了深度学习领域的核心算法之一。

1 梯度下降算法(GD)的数学推导

梯度下降算法基于泰勒展开式推导而来。
设$f(x)$在实数域上的各点均能够泰勒展开,则$f(x)$在$x_t$处的泰勒展开式为：
$$\begin{array}{r}f(x)=\sum _{k=0}^n\frac{f^{(n)}(x_t)}{n!}(x-x_t{)}^k\end{array}\text{\hspace{1em}(1)}$$
忽略$n>2$的子式，则有：
$$\begin{array}{r}f(x)\approx f(x_t)+f^{{}^{\prime }}(x_t)(x-x_t)\end{array}\text{\hspace{1em}(2)}$$
由连续到离散，令$x=x_{t+1}$,代入式$(2)$，近似相等变为相等，得到：
$$\begin{array}{r}f(x_{t+1})=f(x_t)+f^{{}^{\prime }}(x_t)(x_{t+1}-x_t)\end{array}\text{\hspace{1em}(3)}$$
对式$(3)$进行向量化,得到：
$$\begin{array}{r}f(X_{t+1})=f(X_t)+(X_{t+1}-X_t)\nabla f(X_t)\end{array}\text{\hspace{1em}(4)}$$
梯度下降要求点沿着目标函数梯度下降的方向运动，所以$f(X_{t+1})<f(X_t)$。那么，则有:$(X_{t+1}-X_t)\nabla f(X_t)<0$，所以向量$(X_{t+1}-X_t)$和向量$\nabla f(X_t)$夹角为钝角。自然的为了使$f(X_{t+1})-f(X_t)$尽可能的小，向量$(X_{t+1}-X_t)$和向量$\nabla f(X_t)$夹角应为平角$180^{。}$即两向量为相反向量。
由相反向量定义可知：
$$\begin{array}{r}{X}_{t+1}-X_t=-\gamma \nabla f(X_t)\end{array}\text{\hspace{1em}(5)}$$
其中$\gamma$是一个正数，机器学习中称为学习率，用来表示每次梯度下降的剧烈程度。利用式$(5)$即可完成参数$X$的更新，这种方法就称为梯度下降算法。

2 梯度下降算法拟合函数

问题背景：使用梯度下降算法，用三阶多项式$f(x)=a{x}^3+b{x}^2+cx+d$拟合函数$g(x)=sin(x)$。在$f(x)$上等间隔的取$N=2000$个点作为样本点。构造损失函数如下：
$$\begin{array}{r}L(a,b,c,d)=\frac{1}{N}\sum _n[f(x_n)-g(x_n){]}^2\end{array}\text{\hspace{1em}(6)}$$
显然拟合问题转换为求解:
$$\begin{array}{r}MinL(a,b,c,d)\end{array}\text{\hspace{1em}(7)}$$
根据梯度下降算法得到$a,b,c,d$的向量化更新公式如下:
$$\begin{array}{r}{\left(\begin{array}{c}a\\ b\\ c\\ d\end{array}\right)}_{t+1}={\left(\begin{array}{c}a\\ b\\ c\\ d\end{array}\right)}_t-\gamma \left(\begin{array}{c}\frac{\partial L}{\partial a}\\ \\ \frac{\partial L}{\partial b}\\ \\ \frac{\partial L}{\partial c}\\ \\ \frac{\partial L}{\partial d}\end{array}\right)\end{array}\text{\hspace{1em}(8)}$$

2.1 使用numpy实现梯度下降

def numpy_GD():
    import numpy as np
    import math
    import matplotlib.pyplot as plt
    import time
    # Create random input and output data
    x = np.linspace(-math.pi, math.pi, 2000)
    y = np.sin(x)

    plt.plot(x, y)
    plt.grid(True)

    # Randomly initialize weights
    a = np.random.randn()
    b = np.random.randn()
    c = np.random.randn()
    d = np.random.randn()

    learning_rate = 1e-6
    t0 = time.time()
    for t in range(2000):
        # Forward pass: compute predicted y
        # y = a + b x + c x^2 + d x^3
        y_pred = a + b * x + c * x ** 2 + d * x ** 3

        # Compute and print loss
        loss = np.square(y_pred - y).sum()
        if t % 100 == 99:
            print(t, loss)

        # Backprop to compute gradients of a, b, c, d with respect to loss
        grad_y_pred = 2.0 * (y_pred - y)
        grad_a = grad_y_pred.sum()
        grad_b = (grad_y_pred * x).sum()
        grad_c = (grad_y_pred * x ** 2).sum()
        grad_d = (grad_y_pred * x ** 3).sum()

        # Update weights
        a -= learning_rate * grad_a
        b -= learning_rate * grad_b
        c -= learning_rate * grad_c
        d -= learning_rate * grad_d
    t1 = time.time()
    print("花费时间%.2fs" % (t1 - t0))
    print(f'Result: y = {a} + {b} x + {c} x^2 + {d} x^3')
    plt.plot(x, y, label='real')
    plt.plot(x, y_pred, label='pred')
    plt.legend(loc='best')
    plt.grid(True)
    plt.show()

在cpu上运行，耗时：0.33s。
结果：

2.2 使用pytorch实现梯度下降

def torch_GD():
    import torch
    import math
    import matplotlib.pyplot as plt
    import time
    
    dtype = torch.float
    device = "cuda:0" if torch.cuda.is_available() else "cpu"
    print(device)
    x = torch.linspace(-math.pi, math.pi, 2000, device=device, dtype=dtype)
    y = torch.sin(x)

    a = torch.randn((), device=device, dtype=dtype, requires_grad=True)
    b = torch.randn((), device=device, dtype=dtype, requires_grad=True)
    c = torch.randn((), device=device, dtype=dtype, requires_grad=True)
    d = torch.randn((), device=device, dtype=dtype, requires_grad=True)

    learning_rate = 1e-6
    t0 = time.time()
    for t in range(2000):

        y_pred = a + b * x + c * x ** 2 + d * x ** 3

        loss = (y_pred - y).pow(2).sum()
        if t % 100 == 99:
            print(t, loss.item())

        loss.backward()

        with torch.no_grad():
            a -= learning_rate * a.grad
            b -= learning_rate * b.grad
            c -= learning_rate * c.grad
            d -= learning_rate * d.grad

            a.grad = None
            b.grad = None
            c.grad = None
            d.grad = None
    t1 = time.time()
    print("花费时间%.2fs" % (t1 - t0))
    print(f'Result: y = {a.item()} + {b.item()} x + {c.item()} x^2 + {d.item()} x^3')

    plt.plot(x.cpu().data.numpy(), y.cpu().data.numpy(), label='real')
    plt.plot(x.cpu().data.numpy(), y_pred.cpu().data.numpy(), label='pred')
    plt.grid(True)
    plt.legend(loc='best')
    plt.show()

在GPU上运行，耗时1.02s。
结果：

可视化自己写的GD算法和torch计算图GD算法的loss曲线如下