98 lines
3.2 KiB
Python
98 lines
3.2 KiB
Python
"""
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Contains aggregation metrics.
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"""
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from typing import Tuple, Union
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import torch
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import torchmetrics
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def update_mean(
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current_mean: torch.Tensor,
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current_weight_sum: torch.Tensor,
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value: torch.Tensor,
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weight: torch.Tensor,
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) -> Tuple[torch.Tensor, torch.Tensor]:
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"""
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Update the mean according to Welford formula:
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https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Weighted_batched_version.
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See also https://nullbuffer.com/articles/welford_algorithm.html for more information.
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Args:
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current_mean: The value of the current accumulated mean.
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current_weight_sum: The current weighted sum.
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value: The new value that needs to be added to get a new mean.
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weight: The weights for the new value.
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Returns: The updated mean and updated weighted sum.
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"""
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weight = torch.broadcast_to(weight, value.shape)
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# Avoiding (on purpose) in-place operation when using += in case
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# current_mean and current_weight_sum share the same storage
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current_weight_sum = current_weight_sum + torch.sum(weight)
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current_mean = current_mean + torch.sum((weight / current_weight_sum) * (value - current_mean))
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return current_mean, current_weight_sum
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def stable_mean_dist_reduce_fn(state: torch.Tensor) -> torch.Tensor:
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"""
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Merge the state from multiple workers.
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Args:
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state: A tensor with the first dimension indicating workers.
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Returns: The accumulated mean from all workers.
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"""
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mean, weight_sum = update_mean(
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current_mean=torch.as_tensor(0.0, dtype=state.dtype, device=state.device),
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current_weight_sum=torch.as_tensor(0.0, dtype=state.dtype, device=state.device),
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value=state[:, 0],
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weight=state[:, 1],
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)
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return torch.stack([mean, weight_sum])
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class StableMean(torchmetrics.Metric):
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"""
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This implements a numerical stable mean metrics computation using Welford algorithm according to
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https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Weighted_batched_version.
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For example when using float32, the algorithm will give a valid output even if the "sum" is larger
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than the maximum float32 as far as the mean is within the limit of float32.
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See also https://nullbuffer.com/articles/welford_algorithm.html for more information.
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"""
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def __init__(self, **kwargs):
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"""
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Args:
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**kwargs: Additional parameters supported by all torchmetrics.Metric.
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"""
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super().__init__(**kwargs)
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self.add_state(
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"mean_and_weight_sum",
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default=torch.zeros(2),
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dist_reduce_fx=stable_mean_dist_reduce_fn,
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)
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def update(self, value: torch.Tensor, weight: Union[float, torch.Tensor] = 1.0) -> None:
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"""
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Update the current mean.
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Args:
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value: Value to update the mean with.
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weight: weight to use. Shape should be broadcastable to that of value.
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"""
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mean, weight_sum = self.mean_and_weight_sum[0], self.mean_and_weight_sum[1]
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if not isinstance(weight, torch.Tensor):
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weight = torch.as_tensor(weight, dtype=value.dtype, device=value.device)
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self.mean_and_weight_sum[0], self.mean_and_weight_sum[1] = update_mean(
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mean, weight_sum, value, torch.as_tensor(weight)
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)
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def compute(self) -> torch.Tensor:
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"""
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Compute and return the accumulated mean.
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"""
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return self.mean_and_weight_sum[0]
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