The Road to TensorFlow – Part 6: Optimization and Training

Introduction

Last time we looked at the matrix equation that would be our Neural Network which is:

Output of Layer = ActivationFunction( A x (Input of Layer) + b )

We also specified that our input vector would be 900 elements large (the 30 Dow stocks times the last 30 price changes) and the output vector would be 30 elements (then next price change for each of the Dow 30 stocks). This means that if we have just one hidden layer of say 100 Neurons then we need a 900×100 matrix and a 100×30 matrix plus a 100 element bias vector and a 30 element bias vector. This means we need 900×100 + 100×30 + 100 + 30 = 93,130 values. Where do these all come from? In this article we’ll look at where we get these.

Training

What we want to do is use some sort of known or historical data to train the Neural Network. When Neural Networks were first proposed, Computer Scientists tuned these by hand which resulted in taking a long time to get a very small Neural Network that didn’t work well. Later on many methods were developed to calculate these from databases of known cases, however until recently these databases were too small to be effective and led to extreme over-fitting. With the advent of big data, shared cloud resources and automated data collection, a large number of high quality extremely large databases are available to train Neural Networks for well know problems like hand writing recognition or shape identification. Notice that in the introduction to find 93,130 values requires far more than 93,130 bits of data, since this will lead to over-fitting (which we’ll talk a lot about in a future article).

If you remember back to basic statistics and linear regression, we found the best fit for a straight line through a number of data points by minimizing the squares of the distance from the line to each data point. This is why its often called least squares regression. Basically we are formulating the problem as an optimization problem where we are trying to minimize an error function. The linear regression problem is then easily solvable by first year linear algebra. For the Neural Network case it’s a little bit more complicated, but the basic idea is the same.

To train our Neural Network we will use historical data where we provide 30 days of price changes for the Dow 30 stocks and then we know the next change so we can provide the error for our error function. To define an error function, we are going to start by just using the square of the difference, so basically just doing least square minimization just like least squares regression. In TensorFlow we can define our loss function as:

loss = tf.nn.l2_loss( tf.sub(logits, tf_train_labels))

Now that we have the data and an error function how do we go about training our network. First we start by seeding the matrix weights with normally distributed random numbers. TensorFlow provides some help here

layer1_weights = tf.Variable(tf.truncated_normal(
[NHistData * num_stocks, num_hidden], stddev=0.05))

to define our matrix and initialize it with normalized random numbers.

There are a number of optimization algorithms that can be used to solve this problem. The one we are going to use is called Gradient Descent which is a form of Back Propagation. The key property of back propagation algorithms is that they can be applied to Neural Networks with multiple hidden layers. The basic idea is that you take the partial derivative of the loss function with respect to each weight. This gives you a gradient with respect to each weight and then based on whether the gradient is positive or negative you can increase or decrease the weight by a little bit. This little bit is the learning rate which is a parameter to the algorithm (or can be changed dynamically by another algorithm). You then run the training data through this algorithm and hopefully observe your error function decreasing as you go.

This is then the basis of training your network. Once you have the weights you can calculate all the values as you like.

Example of Gradient Descent where it could lead to 2 different minimums

Testing

A big danger here is that you are overfitting. You reduce the error function to next than nothing and the network works well for all your training data. You then try it on something else and it produces very bad results. This is similar to fitting a 10th degree polynomial through 11 data points. It fits all those points exactly, but has no predictive value outside of those exact points.

A common technique is to divide the training data into three buckets: actual training data, testing data and final validation data. You use the training data to train and as you train, you use the testing data to see how you are doing. Then when everything is finished you use the final validation data to do a final test (where the training process has never seen this data). This then gives you an idea of how well the network will fare out in the real world. We will make the size of these three buckets configurable.

Local Versus Global Minimums

During the training process a few different things could happen. The solution could diverge, the error could just keep getting larger and larger. The solution could get stuck in a valley and just orbit a minimum value without converging to it. The solution could converge, but to a local minimum rather than the global minimum. These are all things that need to be watched out for.

Since the initial values are random, re-running the training can lead to quite different solutions. For some problems you want to train repeatedly to get the best solution. Or perhaps compare different optimization algorithms to see which gives the best result. Another idea is to use a combination of algorithms, perhaps start with one that gets into the correct neighborhood, and then another that can zero in on it.

There are quite a few tricks to get out of local minimums and to escape valleys using various random numbers. One is to change the learning rate to occasionally take a bigger jump. Others are to try some random perturbations to see if you can start converging to another solution.

Batch Versus Single

A lot of time we process the training data in batches where we take the average of the partial derivatives to adjust the weights. This can greatly speed up training and avoids the problem of one bad data point sending us in the wrong direction. Again the batch size is a meta-parameter to the training algorithm that we can tune to get the best results.

Summary

This was a really quick introduction to training a Neural Network. There are many optimization algorithms that can be applied to solve this problem, but we are starting with gradient descent. A number of the algorithms chosen, are done so to facilitate using a GPU or distributed network to parallelize and hence speed up the training process.

Next time we’ll start looking at the TensorFlow code for a simple Neural Network model, then we will start enhancing it to get better results.