Merge pull request #856 from jgraving/master

Add numerically stable cross entropy loss

umap/parametric_umap.py

@@ -633,9 +633,9 @@ def init_embedding_from_graph(
     return embedding
 
 
-def convert_distance_to_probability(distances, a=1.0, b=1.0):
+def convert_distance_to_log_probability(distances, a=1.0, b=1.0):
     """
-     convert distance representation into probability,
+     convert distance representation into log probability,
         as a function of a, b params
 
     Parameters
@@ -650,13 +650,13 @@ def convert_distance_to_probability(distances, a=1.0, b=1.0):
     Returns
     -------
     float
-        probability in embedding space
+        log probability in embedding space
     """
-    return 1.0 / (1.0 + a * distances ** (2 * b))
+    return -tf.math.log1p(a * distances ** (2 * b))
 
 
 def compute_cross_entropy(
-    probabilities_graph, probabilities_distance, EPS=1e-4, repulsion_strength=1.0
+    probabilities_graph, log_probabilities_distance, EPS=1e-4, repulsion_strength=1.0
 ):
     """
     Compute cross entropy between low and high probability
@@ -665,8 +665,8 @@ def compute_cross_entropy(
     ----------
     probabilities_graph : array
         high dimensional probabilities
-    probabilities_distance : array
-        low dimensional probabilities
+    log_probabilities_distance : array
+        low dimensional log probabilities
     EPS : float, optional
         offset to to ensure log is taken of a positive number, by default 1e-4
     repulsion_strength : float, optional
@@ -683,12 +683,15 @@ def compute_cross_entropy(
 
     """
     # cross entropy
-    attraction_term = -probabilities_graph * tf.math.log(
-        tf.clip_by_value(probabilities_distance, EPS, 1.0)
+    attraction_term = -probabilities_graph * tf.math.log_sigmoid(
+        log_probabilities_distance
     )
+    # use numerically stable repellant term
+    # Shi et al. 2022 (https://arxiv.org/abs/2111.08851)
+    # log(1 - sigmoid(logits)) = log(sigmoid(logits)) - logits
     repellant_term = (
         -(1.0 - probabilities_graph)
-        * tf.math.log(tf.clip_by_value(1.0 - probabilities_distance, EPS, 1.0))
+        * (tf.math.log_sigmoid(log_probabilities_distance) - log_probabilities_distance)
         * repulsion_strength
     )
 
@@ -759,8 +762,8 @@ def loss(placeholder_y, embed_to_from):
             axis=0,
         )
 
-        # convert probabilities to distances
-        probabilities_distance = convert_distance_to_probability(
+        # convert distances to probabilities
+        log_probabilities_distance = convert_distance_to_log_probability(
             distance_embedding, _a, _b
         )
 
@@ -772,7 +775,7 @@ def loss(placeholder_y, embed_to_from):
         # compute cross entropy
         (attraction_loss, repellant_loss, ce_loss) = compute_cross_entropy(
             probabilities_graph,
-            probabilities_distance,
+            log_probabilities_distance,
             repulsion_strength=repulsion_strength,
         )