change convergence callback (#2098)

* change callback

(cherry picked from commit a7ecea7)

* add optioanal arguments to callback

* add test

* change name, add docs

* fix test

Author: ferrine

pymc3/tests/test_variational_inference.py

@@ -361,3 +361,27 @@ def test_fit(method, kwargs, error):
                 fit(10, method=method, **kwargs)
         else:
             fit(10, method=method, **kwargs)
+
+
+@pytest.mark.parametrize(
+    'diff',
+    [
+        'relative',
+        'absolute'
+    ]
+)
+@pytest.mark.parametrize(
+    'ord',
+    [1, 2, np.inf]
+)
+def test_callbacks(diff, ord):
+    cb = pm.variational.callbacks.CheckParametersConvergence(every=1, diff=diff, ord=ord)
+
+    class _approx:
+        params = (theano.shared(np.asarray([1, 2, 3])), )
+
+    approx = _approx()
+
+    with pytest.raises(StopIteration):
+        cb(approx, None, 1)
+        cb(approx, None, 10)

pymc3/variational/callbacks.py

@@ -11,24 +11,63 @@ def __call__(self, approx, loss, i):
         raise NotImplementedError
 
 
+def relative(current, prev, eps=1e-6):
+    return (np.abs(current - prev)+eps)/(np.abs(prev)+eps)
+
+
+def absolute(current, prev):
+    return np.abs(current - prev)
+
+_diff = dict(
+    relative=relative,
+    absolute=absolute
+)
+
+
 class CheckParametersConvergence(Callback):
-    def __init__(self, every=1000, tolerance=1e-3, eps=1e-10):
+    """Convergence stopping check
+
+    Parameters
+    ----------
+    every : int
+        check frequency
+    tolerance : float
+        if diff norm < tolerance : break 
+    diff : str
+        difference type one of {'absolute', 'relative'}
+    ord : {non-zero int, inf, -inf, 'fro', 'nuc'}, optional
+        see more info in :func:`numpy.linalg.norm`
+
+    Examples
+    --------
+    >>> with model:
+    ...     approx = pm.fit(
+    ...         n=10000, callbacks=[
+    ...             CheckParametersConvergence(
+    ...                 every=50, diff='absolute',
+    ...                 tolerance=1e-4)
+    ...         ]
+    ...     )
+    """
+
+    def __init__(self, every=1000, tolerance=1e-3, diff='relative', ord=np.inf):
+        self._diff = _diff[diff]
+        self.ord = ord
         self.every = every
         self.prev = None
         self.tolerance = tolerance
-        self.eps = np.float32(eps)
 
     def __call__(self, approx, _, i):
         if self.prev is None:
             self.prev = self.flatten_shared(approx.params)
+            return
         if i % self.every or i < self.every:
             return
         current = self.flatten_shared(approx.params)
         prev = self.prev
-        eps = self.eps
-        delta = (np.abs(current - prev)+eps)/(np.abs(prev)+eps)
+        delta = self._diff(current, prev)  # type: np.ndarray
         self.prev = current
-        norm = delta.max()
+        norm = np.linalg.norm(delta, self.ord)
         if norm < self.tolerance:
             raise StopIteration('Convergence archived at %d' % i)