Training a Neural Ordinary Differential Equation with Mini-Batching

using DifferentialEquations, Flux, Random, Plots
using IterTools: ncycle 

rng = Random.default_rng()

function newtons_cooling(du, u, p, t)
    temp = u[1]
    k, temp_m = p
    du[1] = dT = -k*(temp-temp_m) 
  end

function true_sol(du, u, p, t)
    true_p = [log(2)/8.0, 100.0]
    newtons_cooling(du, u, true_p, t)
end


ann = Chain(Dense(1,8,tanh), Dense(8,1,tanh))
θ, re = Flux.destructure(ann)

function dudt_(u,p,t)           
    re(p)(u)[1].* u
end

function predict_adjoint(time_batch)
    _prob = remake(prob,u0=u0,p=θ)
    Array(solve(_prob, Tsit5(), saveat = time_batch)) 
end

function loss_adjoint(batch, time_batch)
    pred = predict_adjoint(time_batch)
    sum(abs2, batch - pred)#, pred
end


u0 = Float32[200.0]
datasize = 30
tspan = (0.0f0, 3.0f0)

t = range(tspan[1], tspan[2], length=datasize)
true_prob = ODEProblem(true_sol, u0, tspan)
ode_data = Array(solve(true_prob, Tsit5(), saveat=t))

prob = ODEProblem{false}(dudt_, u0, tspan, θ)

k = 10
train_loader = Flux.Data.DataLoader((ode_data, t), batchsize = k)

for (x, y) in train_loader
    @show x
    @show y
end

numEpochs = 300
losses=[]
cb() = begin
    l=loss_adjoint(ode_data, t)
    push!(losses, l)
    @show l
    pred=predict_adjoint(t)
    pl = scatter(t,ode_data[1,:],label="data", color=:black, ylim=(150,200))
    scatter!(pl,t,pred[1,:],label="prediction", color=:darkgreen)
    display(plot(pl))
    false
end 

opt=ADAM(0.05)
Flux.train!(loss_adjoint, Flux.params(θ), ncycle(train_loader,numEpochs), opt, cb=Flux.throttle(cb, 10))

#Now lets see how well it generalizes to new initial conditions 

starting_temp=collect(10:30:250)
true_prob_func(u0)=ODEProblem(true_sol, [u0], tspan)
color_cycle=palette(:tab10)
pl=plot()
for (j,temp) in enumerate(starting_temp)
    ode_test_sol = solve(ODEProblem(true_sol, [temp], (0.0f0,10.0f0)), Tsit5(), saveat=0.0:0.5:10.0)
    ode_nn_sol = solve(ODEProblem{false}(dudt_, [temp], (0.0f0,10.0f0), θ))
    scatter!(pl, ode_test_sol, var=(0,1), label="", color=color_cycle[j])
    plot!(pl, ode_nn_sol, var=(0,1), label="", color=color_cycle[j], lw=2.0)
end
display(pl) 
title!("Neural ODE for Newton's Law of Cooling: Test Data")
xlabel!("Time")
ylabel!("Temp") 

When training a neural network we need to find the gradient with respect to our data set. There are three main ways to partition our data when using a training algorithm like gradient descent: stochastic, batching and mini-batching. Stochastic gradient descent trains on a single random data point each epoch. This allows for the neural network to better converge to the global minimum even on noisy data but is computationally inefficient. Batch gradient descent trains on the whole data set each epoch and while computationally efficient is prone to converging to local minima. Mini-batching combines both of these advantages and by training on a small random "mini-batch" of the data each epoch can converge to the global minimum while remaining more computationally efficient than stochastic descent. Typically we do this by randomly selecting subsets of the data each epoch and use this subset to train on. We can also pre-batch the data by creating an iterator holding these randomly selected batches before beginning to train. The proper size for the batch can be determined experimentally. Let us see how to do this with Julia.

For this example we will use a very simple ordinary differential equation, newtons law of cooling. We can represent this in Julia like so.

using DifferentialEquations, Flux, Random, Plots
using IterTools: ncycle 

rng = Random.default_rng()
function newtons_cooling(du, u, p, t)
    temp = u[1]
    k, temp_m = p
    du[1] = dT = -k*(temp-temp_m) 
  end

function true_sol(du, u, p, t)
    true_p = [log(2)/8.0, 100.0]
    newtons_cooling(du, u, true_p, t)
end

Now we define a neural-network using a linear approximation with 1 hidden layer of 8 neurons.

ann = Chain(Dense(1,8,tanh), Dense(8,1,tanh))
θ, re = Flux.destructure(ann)

function dudt_(u,p,t)           
    re(p)(u)[1].* u
end

From here we build a loss function around it.

function predict_adjoint(time_batch)
    _prob = remake(prob, u0=u0, p=θ)
    Array(solve(_prob, Tsit5(), saveat = time_batch))
end

function loss_adjoint(batch, time_batch)
    pred = predict_adjoint(time_batch)
    sum(abs2, batch - pred)#, pred
end
loss_adjoint (generic function with 1 method)

To add support for batches of size k we use Flux.Data.DataLoader. To use this we pass in the ode_data and t as the 'x' and 'y' data to batch respectively. The parameter batchsize controls the size of our batches. We check our implementation by iterating over the batched data.

u0 = Float32[200.0]
datasize = 30
tspan = (0.0f0, 3.0f0)

t = range(tspan[1], tspan[2], length=datasize)
true_prob = ODEProblem(true_sol, u0, tspan)
ode_data = Array(solve(true_prob, Tsit5(), saveat=t))

prob = ODEProblem{false}(dudt_, u0, tspan, θ)

k = 10
train_loader = Flux.Data.DataLoader((ode_data, t), batchsize = k)

for (x, y) in train_loader
    @show x
    @show y
end

Now we train the neural network with a user defined call back function to display loss and the graphs with a maximum of 300 epochs.

numEpochs = 300
losses=[]
cb() = begin
    l=loss_adjoint(ode_data, t)
    push!(losses, l)
    @show l
    pred=predict_adjoint(t)
    pl = scatter(t,ode_data[1,:],label="data", color=:black, ylim=(150,200))
    scatter!(pl,t,pred[1,:],label="prediction", color=:darkgreen)
    display(plot(pl))
    false
end 

opt=ADAM(0.05)
Flux.train!(loss_adjoint, Flux.params(θ), ncycle(train_loader,numEpochs), opt, cb=Flux.throttle(cb, 10))

Finally we can see how well our trained network will generalize to new initial conditions.

starting_temp=collect(10:30:250)
true_prob_func(u0)=ODEProblem(true_sol, [u0], tspan)
color_cycle=palette(:tab10)
pl=plot()
for (j,temp) in enumerate(starting_temp)
    ode_test_sol = solve(ODEProblem(true_sol, [temp], (0.0f0,10.0f0)), Tsit5(), saveat=0.0:0.5:10.0)
    ode_nn_sol = solve(ODEProblem{false}(dudt_, [temp], (0.0f0,10.0f0), θ))
    scatter!(pl, ode_test_sol, var=(0,1), label="", color=color_cycle[j])
    plot!(pl, ode_nn_sol, var=(0,1), label="", color=color_cycle[j], lw=2.0)
end
display(pl) 
title!("Neural ODE for Newton's Law of Cooling: Test Data")
xlabel!("Time")
ylabel!("Temp")