Quantile regression in Flux v0.10

I am trying various quantile regression methods using Flux, but after upgrading to Julia v1.3.0 and Flux v0.10 I am experiencing problems. For example, the following example code no longer works

using Flux, Statistics, BenchmarkTools

##  some random training data
n = 10_000
p = 10
x = rand(Float32, p, n)
y = rand(Float32, n)    
trdata = [(x[:,i], y[i]) for i in Flux.chunk(1:n, n/100)]

##  neural net
model = Chain(Dense(p, 32, relu),
              Dense(32, 16, relu),
              Dense(16, 1)) 

##  quantile loss function
prob = 0.8f0
function qtloss(yp, y)
    mean( ((y .< yp) .- prob) .* (yp .- y) )
end

loss(x, y) = qtloss(model(x), y)
@btime Flux.@epochs 1 Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())

and results in the following error

[ Info: Epoch 1
ERROR: MethodError: no method matching size(::Nothing, ::Int64)
Closest candidates are:
  size(::BitArray{1}, ::Integer) at bitarray.jl:81
  size(::Tuple, ::Integer) at tuple.jl:22
  size(::Number, ::Integer) at number.jl:63
  ...
Stacktrace:
 [1] (::Zygote.var"#1413#1414"{Nothing})(::Int64) at /home/johnbb/.julia/packages/Zygote/8dVxG/src/lib/broadcast.jl:46
 [2] ntuple at ./ntuple.jl:41 [inlined]
 [3] trim(::Array{Float32,1}, ::Nothing) at /home/johnbb/.julia/packages/Zygote/8dVxG/src/lib/broadcast.jl:46
 [4] unbroadcast at /home/johnbb/.julia/packages/Zygote/8dVxG/src/lib/broadcast.jl:48 [inlined]
 [5] map at ./tuple.jl:159 [inlined]
 [6] #1459 at /home/johnbb/.julia/packages/Zygote/8dVxG/src/lib/broadcast.jl:131 [inlined]
 [7] #3764#back at /home/johnbb/.julia/packages/ZygoteRules/6nssF/src/adjoint.jl:49 [inlined]
 [8] #153 at /home/johnbb/.julia/packages/Zygote/8dVxG/src/lib/lib.jl:142 [inlined]
 [9] #283#back at /home/johnbb/.julia/packages/ZygoteRules/6nssF/src/adjoint.jl:49 [inlined]
 [10] broadcasted at ./broadcast.jl:1237 [inlined]
 [11] (::typeof(∂(broadcasted)))(::Array{Float32,2}) at /home/johnbb/.julia/packages/Zygote/8dVxG/src/compiler/interface2.jl:0
 [12] (::typeof(∂(qtloss)))(::Float32) at ./REPL[9]:3
 [13] loss at ./REPL[10]:1 [inlined]
 [14] (::typeof(∂(loss)))(::Float32) at /home/johnbb/.julia/packages/Zygote/8dVxG/src/compiler/interface2.jl:0
 [15] #153 at /home/johnbb/.julia/packages/Zygote/8dVxG/src/lib/lib.jl:142 [inlined]
 [16] #283#back at /home/johnbb/.julia/packages/ZygoteRules/6nssF/src/adjoint.jl:49 [inlined]
 [17] #15 at /home/johnbb/.julia/packages/Flux/oX9Pi/src/optimise/train.jl:69 [inlined]
 [18] (::typeof(∂(λ)))(::Float32) at /home/johnbb/.julia/packages/Zygote/8dVxG/src/compiler/interface2.jl:0
 [19] (::Zygote.var"#38#39"{Zygote.Params,Zygote.Context,typeof(∂(λ))})(::Float32) at /home/johnbb/.julia/packages/Zygote/8dVxG/src/compiler/interface.jl:101
 [20] gradient(::Function, ::Zygote.Params) at /home/johnbb/.julia/packages/Zygote/8dVxG/src/compiler/interface.jl:47
 [21] macro expansion at /home/johnbb/.julia/packages/Flux/oX9Pi/src/optimise/train.jl:68 [inlined]
 [22] macro expansion at /home/johnbb/.julia/packages/Juno/oLB1d/src/progress.jl:134 [inlined]
 [23] #train!#12(::Flux.Optimise.var"#16#22", ::typeof(Flux.Optimise.train!), ::Function, ::Zygote.Params, ::Array{Tuple{Array{Float32,2},Array{Float32,1}},1}, ::ADAM) at /home/johnbb/.julia/packages/Flux/oX9Pi/src/optimise/train.jl:66
 [24] train!(::Function, ::Zygote.Params, ::Array{Tuple{Array{Float32,2},Array{Float32,1}},1}, ::ADAM) at /home/johnbb/.julia/packages/Flux/oX9Pi/src/optimise/train.jl:64
 [25] macro expansion at /home/johnbb/.julia/packages/Flux/oX9Pi/src/optimise/train.jl:100 [inlined]
 [26] macro expansion at /home/johnbb/.julia/packages/Juno/oLB1d/src/progress.jl:134 [inlined]
 [27] ##core#506() at /home/johnbb/.julia/packages/BenchmarkTools/7aqwe/src/execution.jl:297
 [28] ##sample#507(::BenchmarkTools.Parameters) at /home/johnbb/.julia/packages/BenchmarkTools/7aqwe/src/execution.jl:303
 [29] #_run#6(::Bool, ::String, ::Base.Iterators.Pairs{Symbol,Integer,NTuple{4,Symbol},NamedTuple{(:samples, :evals, :gctrial, :gcsample),Tuple{Int64,Int64,Bool,Bool}}}, ::typeof(BenchmarkTools._run), ::BenchmarkTools.Benchmark{Symbol("##benchmark#505")}, ::BenchmarkTools.Parameters) at /home/johnbb/.julia/packages/BenchmarkTools/7aqwe/src/execution.jl:331
 [30] (::Base.var"#inner#2"{Base.Iterators.Pairs{Symbol,Integer,NTuple{5,Symbol},NamedTuple{(:verbose, :samples, :evals, :gctrial, :gcsample),Tuple{Bool,Int64,Int64,Bool,Bool}}},typeof(BenchmarkTools._run),Tuple{BenchmarkTools.Benchmark{Symbol("##benchmark#505")},BenchmarkTools.Parameters}})() at ./none:0
 [31] #invokelatest#1 at ./essentials.jl:713 [inlined]
 [32] #invokelatest at ./none:0 [inlined]
 [33] #run_result#37 at /home/johnbb/.julia/packages/BenchmarkTools/7aqwe/src/execution.jl:32 [inlined]
 [34] #run_result at ./none:0 [inlined]
 [35] #run#39(::Base.Iterators.Pairs{Symbol,Integer,NTuple{5,Symbol},NamedTuple{(:verbose, :samples, :evals, :gctrial, :gcsample),Tuple{Bool,Int64,Int64,Bool,Bool}}}, ::typeof(run), ::BenchmarkTools.Benchmark{Symbol("##benchmark#505")}, ::BenchmarkTools.Parameters) at /home/johnbb/.julia/packages/BenchmarkTools/7aqwe/src/execution.jl:46
 [36] #run at ./none:0 [inlined] (repeats 2 times)
 [37] #warmup#42 at /home/johnbb/.julia/packages/BenchmarkTools/7aqwe/src/execution.jl:79 [inlined]
 [38] warmup(::BenchmarkTools.Benchmark{Symbol("##benchmark#505")}) at /home/johnbb/.julia/packages/BenchmarkTools/7aqwe/src/execution.jl:79
 [39] top-level scope at /home/johnbb/.julia/packages/BenchmarkTools/7aqwe/src/execution.jl:390

Any hints are welcome. Thanks.

1 Like

An example of QR with flux 0.10 is at https://github.com/mcreel/NeuralNetsForIndirectInference.jl. This is a project that depends on a fair number of supporting packages, it’s not a MWE. See the file Train.jl for the hints on QR with Flux.

2 Likes

Thanks! That seems to work with Flux v0.10. I have previously been using the “max” variant of the quantile loss in Keras from R, but I have actually never tried it in Julia because I thought it would be slow. I will see if I can do a benchmark.

A brief test with the following code

using Flux, Statistics, BenchmarkTools

n = 10_000
p = 10
x = rand(Float32, p, n)
y = rand(Float32, n)    
trdata = [(x[:,i], y[i]) for i in Flux.chunk(1:n, n/100)]

model = Chain(Dense(p, 32, relu),
              Dense(32, 16, relu),
              Dense(16, 1)) 

qtloss1(yp, y, prob)  = mean( ((y .< yp) .- prob) .* (yp .- y) )
qtlossS2(yp, y, prob) = (yp - y) > 0 ? (1 - prob) * (yp - y) : -prob * (yp - y)
qtloss2(yp, y, prob)  = mean( qtlossS2.(yp, y, prob) )
qtloss3(yp, y, prob)  = mean( max.(-prob * (y .- yp), (1-prob) * (yp .- y)) )
qtloss4(yp, y, prob)  = mean( max.(-prob .* (y .- yp), (1-prob) .* (yp .- y)) )
function qtloss5(yp, y, prob)
    dev = yp .- y 
    mean( max.(-prob * dev, (1-prob) * dev) )
end
function qtloss6(yp, y, prob)
    dev = yp .- y 
    mean( max.(-prob .* dev, (1-prob) .* dev) )
end

const prob = 0.8f0
loss(x, y) = qtloss1(model(x), y, prob)
@btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
loss(x, y) = qtloss2(model(x), y, prob)
@btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
loss(x, y) = qtloss3(model(x), y, prob)
@btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
loss(x, y) = qtloss4(model(x), y, prob)
@btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
loss(x, y) = qtloss5(model(x), y, prob)
@btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
loss(x, y) = qtloss6(model(x), y, prob)
@btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())

gave these results for the respective Julia and Flux versions:

          v1.2 + v0.9    v1.3 + v0.10   
qtloss1     34.730 ms          error
qtloss2     20.124 ms        4.140 s
qtloss3     28.459 ms      227.389 ms
qtloss4      5.440 s       224.270 ms
qtloss5     25.532 ms      157.913 ms
qtloss6     29.383 ms      156.209 ms

3 Likes

Could you open an issue with flux or zygote with the performance regressions, depending on whether they are from the backwards or forward pass?

1 Like

I can confirm the poor performance and I think it’s the backward pass, since the forward pass seems quite fast.

julia> loss(x, y) = qtloss6(model(x), y, prob)
loss (generic function with 1 method)

julia> @btime Flux.train!(loss, $(Flux.params(model)), $(trdata), $(Flux.ADAM()))
  171.408 ms (10059916 allocations: 260.54 MiB)

julia> @btime foreach(((x,y),)->loss(x,y), trdata)
  1.327 ms (1000 allocations: 11.45 MiB)

julia> @btime Flux.gradient(()->loss(trdata[1]...), $(Flux.params(model)));
  1.437 ms (100304 allocations: 2.59 MiB)

julia> @btime loss($(trdata[1])...);
  12.670 μs (10 allocations: 117.25 KiB)

Are you sure that the arrays have the right dimensions? I get

(size(y), size(yp)) = ((100,), (1, 100))

and if I transpose y it goes much faster. Notice the transposes below

julia> loss(x, y) = qtloss1(model(x), y', prob)
loss (generic function with 1 method)

julia> @btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())

  14.114 ms (158933 allocations: 14.75 MiB)

julia> loss(x, y) = qtloss2(model(x), y', prob)
loss (generic function with 1 method)

julia> @btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
  60.096 ms (486833 allocations: 26.28 MiB)

julia> loss(x, y) = qtloss3(model(x), y', prob)
loss (generic function with 1 method)

julia> @btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
  19.418 ms (221833 allocations: 16.48 MiB)

julia> loss(x, y) = qtloss4(model(x), y', prob)
loss (generic function with 1 method)

julia> @btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
  15.460 ms (211233 allocations: 16.08 MiB)

julia> loss(x, y) = qtloss5(model(x), y', prob)
loss (generic function with 1 method)

julia> @btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())

  17.424 ms (167433 allocations: 15.30 MiB)

julia> loss(x, y) = qtloss6(model(x), y', prob)
loss (generic function with 1 method)

julia> @btime Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
  13.962 ms (157033 allocations: 14.90 MiB)

3 Likes

Thanks, you are right! Unfortunately, I forgot once again that Flux expects/returns the transpose of what I am used to. I now get the following results which are in favor of the new version

          v1.2 + v0.9    v1.3 + v0.10   
qtloss1     19.350 ms       13.669 ms
qtloss2     13.557 ms       53.741 ms
qtloss3     17.797 ms       18.613 ms
qtloss4     78.974 ms       15.293 ms
qtloss5     16.407 ms       16.906 ms
qtloss6     17.077 ms       13.938 ms
3 Likes

Thanks for these results! :+1:

Good solution. Thanks. I’ve had similar problem and it does NOT work at GPU. Could anyone help with this? The exercise I need to perform is my own individual loss function that works using Julia 1.3 and Flux v0.10 at GPU.

Thanks for any help.

julia> Flux.train!(loss, Flux.params(model), trdata, Flux.ADAM())
ERROR: MethodError: no method matching iterate(::Nothing)
Closest candidates are:
  iterate(::Core.SimpleVector) at essentials.jl:604
  iterate(::Core.SimpleVector, ::Any) at essentials.jl:604
  iterate(::ExponentialBackOff) at error.jl:214
  ...
Stacktrace:
 [1] append_any(::Any, ::Vararg{Any,N} where N) at ./essentials.jl:722
 [2] (::getfield(Zygote, Symbol("##1712#1716")){getfield(Zygote, Symbol("##1583#1587"))})(::CuArrays.CuArray{Float32,2,Nothing}) at /home/hanusl/.julia/packages/Zygote/fw4Oc/src/lib/broadcast.jl:179
 [3] (::getfield(Zygote, Symbol("##4#back#1717")){getfield(Zygote, Symbol("##1712#1716")){getfield(Zygote, Symbol("##1583#1587"))}})(::CuArrays.CuArray{Float32,2,Nothing}) at /home/hanusl/.julia/packages/ZygoteRules/6nssF/src/adjoint.jl:49
 [4] (::getfield(Zygote, Symbol("##153#154")){getfield(Zygote, Symbol("##4#back#1717")){getfield(Zygote, Symbol("##1712#1716")){getfield(Zygote, Symbol("##1583#1587"))}},Tuple{NTuple{4,Nothing},Tuple{}}})(::CuArrays.CuArray{Float32,2,Nothing}) at /home/hanusl/.julia/packages/Zygote/fw4Oc/src/lib/lib.jl:142
 [5] (::getfield(Zygote, Symbol("##283#back#155")){getfield(Zygote, Symbol("##153#154")){getfield(Zygote, Symbol("##4#back#1717")){getfield(Zygote, Symbol("##1712#1716")){getfield(Zygote, Symbol("##1583#1587"))}},Tuple{NTuple{4,Nothing},Tuple{}}}})(::CuArrays.CuArray{Float32,2,Nothing}) at /home/hanusl/.julia/packages/ZygoteRules/6nssF/src/adjoint.jl:49
 [6] broadcasted at ./broadcast.jl:1216 [inlined]
 [7] qtloss1 at ./REPL[37]:1 [inlined]
 [8] (::typeof(∂(qtloss1)))(::Float32) at /home/hanusl/.julia/packages/Zygote/fw4Oc/src/compiler/interface2.jl:0
 [9] loss at ./REPL[38]:1 [inlined]
 [10] (::typeof(∂(loss)))(::Float32) at /home/hanusl/.julia/packages/Zygote/fw4Oc/src/compiler/interface2.jl:0
 [11] (::getfield(Zygote, Symbol("##153#154")){typeof(∂(loss)),Tuple{Tuple{Nothing,Nothing}}})(::Float32) at /home/hanusl/.julia/packages/Zygote/fw4Oc/src/lib/lib.jl:142
 [12] (::getfield(Zygote, Symbol("##283#back#155")){getfield(Zygote, Symbol("##153#154")){typeof(∂(loss)),Tuple{Tuple{Nothing,Nothing}}}})(::Float32) at /home/hanusl/.julia/packages/ZygoteRules/6nssF/src/adjoint.jl:49
 [13] #15 at /home/hanusl/.julia/packages/Flux/oX9Pi/src/optimise/train.jl:69 [inlined]
 [14] (::typeof(∂(λ)))(::Float32) at /home/hanusl/.julia/packages/Zygote/fw4Oc/src/compiler/interface2.jl:0
 [15] (::getfield(Zygote, Symbol("##38#39")){Zygote.Params,Zygote.Context,typeof(∂(λ))})(::Float32) at /home/hanusl/.julia/packages/Zygote/fw4Oc/src/compiler/interface.jl:101
 [16] gradient(::Function, ::Zygote.Params) at /home/hanusl/.julia/packages/Zygote/fw4Oc/src/compiler/interface.jl:47
 [17] macro expansion at /home/hanusl/.julia/packages/Flux/oX9Pi/src/optimise/train.jl:68 [inlined]
 [18] macro expansion at /home/hanusl/.julia/packages/Juno/oLB1d/src/progress.jl:134 [inlined]
 [19] #train!#12(::getfield(Flux.Optimise, Symbol("##16#22")), ::typeof(Flux.Optimise.train!), ::Function, ::Zygote.Params, ::Array{Tuple{CuArrays.CuArray{Float32,2,Nothing},CuArrays.CuArray{Float32,1,Nothing}},1}, ::ADAM) at /home/hanusl/.julia/packages/Flux/oX9Pi/src/optimise/train.jl:66
 [20] train!(::Function, ::Zygote.Params, ::Array{Tuple{CuArrays.CuArray{Float32,2,Nothing},CuArrays.CuArray{Float32,1,Nothing}},1}, ::ADAM) at /home/hanusl/.julia/packages/Flux/oX9Pi/src/optimise/train.jl:64
 [21] top-level scope at REPL[64]:1

For me all loss functions except qtloss1 work using GPU, but the example is roughly 5 times slower than on CPU with Julia 1.3.1 and Flux 0.10.

1 Like