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Different Optimizers in DeepSpeed.

deepspeed/pt/deepspeed_fused_lamb.py

+'''
+Copyright 2019 The Microsoft DeepSpeed Team
+
+Copyright NVIDIA/apex
+This file is adapted from NVIDIA/apex/optimizer/fused_adam and implements the LAMB optimizer
+
+'''
+import types
+import torch
+import importlib
+
+
+class FusedLamb(torch.optim.Optimizer):
+    """Implements LAMB algorithm. Currently GPU-only.  Requires DeepSpeed adapted Apex to be installed via
+    ``python setup.py install --cuda_ext --cpp_ext``.
+
+    For usage example please see, TODO DeepSpeed Tutorial
+
+    It has been proposed in `Large Batch Optimization for Deep Learning: Training BERT in 76 minutes.
+    https://arxiv.org/abs/1904.00962
+
+
+    Arguments:
+        params (iterable): iterable of parameters to optimize or dicts defining
+            parameter groups.
+        lr (float, optional): learning rate. (default: 1e-3)
+        betas (Tuple[float, float], optional): coefficients used for computing
+            running averages of gradient and its square. (default: (0.9, 0.999))
+        eps (float, optional): term added to the denominator to improve
+            numerical stability. (default: 1e-8)
+        weight_decay (float, optional): weight decay (L2 penalty) (default: 0)
+        max_coeff(float, optional): maximum value of the lamb coefficient (default: 10.0)
+        min_coeff(float, optional): minimum value of the lamb coefficient (default: 0.01)
+        amsgrad (boolean, optional): whether to use the AMSGrad variant of this
+            algorithm from the paper `On the Convergence of Adam and Beyond`_
+            (default: False) NOT SUPPORTED in FusedAdam!
+        eps_inside_sqrt (boolean, optional): in the 'update parameters' step,
+            adds eps to the bias-corrected second moment estimate before
+            evaluating square root instead of adding it to the square root of
+            second moment estimate as in the original paper. (default: False)
+
+    .. _Adam\: A Method for Stochastic Optimization:
+        https://arxiv.org/abs/1412.6980
+    .. _On the Convergence of Adam and Beyond:
+        https://openreview.net/forum?id=ryQu7f-RZ
+    """
+    def __init__(self,
+                 params,
+                 lr=1e-3,
+                 bias_correction=True,
+                 betas=(0.9,
+                        0.999),
+                 eps=1e-8,
+                 eps_inside_sqrt=False,
+                 weight_decay=0.,
+                 max_grad_norm=0.,
+                 max_coeff=10.0,
+                 min_coeff=0.01,
+                 amsgrad=False):
+        global fused_lamb_cuda
+        fused_lamb_cuda = importlib.import_module("fused_lamb_cuda")
+
+        if amsgrad:
+            raise RuntimeError('FusedLamb does not support the AMSGrad variant.')
+        defaults = dict(lr=lr,
+                        bias_correction=bias_correction,
+                        betas=betas,
+                        eps=eps,
+                        weight_decay=weight_decay,
+                        max_grad_norm=max_grad_norm,
+                        max_coeff=max_coeff,
+                        min_coeff=min_coeff)
+        super(FusedLamb, self).__init__(params, defaults)
+        self.eps_mode = 0 if eps_inside_sqrt else 1
+        self.lamb_coeffs = []
+
+    def step(self,
+             closure=None,
+             grads=None,
+             output_params=None,
+             scale=1.,
+             grad_norms=None):
+        """Performs a single optimization step.
+
+        Arguments:
+            closure (callable, optional): A closure that reevaluates the model
+                and returns the loss.
+            grads (list of tensors, optional): weight gradient to use for the
+                optimizer update. If gradients have type torch.half, parameters
+                are expected to be in type torch.float. (default: None)
+            output params (list of tensors, optional): A reduced precision copy
+                of the updated weights written out in addition to the regular
+                updated weights. Have to be of same type as gradients. (default: None)
+            scale (float, optional): factor to divide gradient tensor values
+                by before applying to weights. (default: 1)
+        """
+        loss = None
+        if closure is not None:
+            loss = closure()
+
+        if grads is None:
+            grads_group = [None] * len(self.param_groups)
+        # backward compatibility
+        # assuming a list/generator of parameter means single group
+        elif isinstance(grads, types.GeneratorType):
+            grads_group = [grads]
+        elif type(grads[0]) != list:
+            grads_group = [grads]
+        else:
+            grads_group = grads
+
+        if output_params is None:
+            output_params_group = [None] * len(self.param_groups)
+        elif isinstance(output_params, types.GeneratorType):
+            output_params_group = [output_params]
+        elif type(output_params[0]) != list:
+            output_params_group = [output_params]
+        else:
+            output_params_group = output_params
+
+        if grad_norms is None:
+            grad_norms = [None] * len(self.param_groups)
+
+        #remove the previous coeffs
+        del self.lamb_coeffs[:]
+
+        for group, grads_this_group, output_params_this_group, grad_norm_group in zip(self.param_groups, grads_group, output_params_group, grad_norms):
+            if grads_this_group is None:
+                grads_this_group = [None] * len(group['params'])
+            if output_params_this_group is None:
+                output_params_this_group = [None] * len(group['params'])
+
+            if grad_norm_group is None:
+                grad_norm_group = [None] * len(group['params'])
+            elif not isinstance(grad_norm_group, list):
+                grad_norm_group = [grad_norm_group]
+
+            bias_correction = 1 if group['bias_correction'] else 0
+
+            for p, grad, output_param, grad_norm in zip(group['params'], grads_this_group, output_params_this_group, grad_norm_group):
+
+                # compute combined scale factor for this group
+                combined_scale = scale
+                if group['max_grad_norm'] > 0:
+                    # norm is in fact norm*scale
+                    clip = ((grad_norm / scale) + 1e-6) / group['max_grad_norm']
+                    if clip > 1:
+                        combined_scale = clip * scale
+
+                #note: p.grad should not ever be set for correct operation of mixed precision optimizer that sometimes sends None gradients
+                if p.grad is None and grad is None:
+                    continue
+                if grad is None:
+                    grad = p.grad.data
+                if grad.is_sparse:
+                    raise RuntimeError(
+                        'FusedAdam does not support sparse gradients, please consider SparseAdam instead'
+                    )
+
+                state = self.state[p]
+
+                # State initialization
+                if len(state) == 0:
+                    state['step'] = 0
+                    # Exponential moving average of gradient values
+                    state['exp_avg'] = torch.zeros_like(p.data)
+                    # Exponential moving average of squared gradient values
+                    state['exp_avg_sq'] = torch.zeros_like(p.data)
+
+                exp_avg, exp_avg_sq = state['exp_avg'], state['exp_avg_sq']
+                beta1, beta2 = group['betas']
+                max_coeff = group['max_coeff']
+                min_coeff = group['min_coeff']
+
+                state['step'] += 1
+
+                out_p = torch.tensor(
+                    [],
+                    dtype=torch.float) if output_param is None else output_param
+                lamb_coeff = fused_lamb_cuda.lamb(p.data,
+                                                  out_p,
+                                                  exp_avg,
+                                                  exp_avg_sq,
+                                                  grad,
+                                                  group['lr'],
+                                                  beta1,
+                                                  beta2,
+                                                  max_coeff,
+                                                  min_coeff,
+                                                  group['eps'],
+                                                  combined_scale,
+                                                  state['step'],
+                                                  self.eps_mode,
+                                                  bias_correction,
+                                                  group['weight_decay'])
+                self.lamb_coeffs.append(lamb_coeff)
+        return loss
+
+    def get_lamb_coeffs(self):
+        lamb_coeffs = [lamb_coeff.item() for lamb_coeff in self.lamb_coeffs]
+        return lamb_coeffs

deepspeed/pt/fp16_optimizer.py

+'''
+Copyright 2019 The Microsoft DeepSpeed Team
+
+Copyright NVIDIA/apex
+This file is adapted from FP16_Optimizer in NVIDIA/apex
+'''
+
+import torch
+import logging
+from torch._utils import _flatten_dense_tensors, _unflatten_dense_tensors
+from deepspeed.pt.deepspeed_utils import get_grad_norm, CheckOverflow, get_weight_norm
+import math
+
+
+class FP16_Optimizer(object):
+    """
+   FP16 Optimizer for training fp16 models. Handles loss scaling.
+
+   For usage example please see, TODO:  DeepSpeed V2 Tutorial
+    """
+    def __init__(self,
+                 init_optimizer,
+                 static_loss_scale=1.0,
+                 dynamic_loss_scale=False,
+                 initial_dynamic_scale=2**32,
+                 dynamic_loss_args=None,
+                 verbose=True,
+                 mpu=None,
+                 clip_grad=0.0,
+                 fused_adam_legacy=False):
+
+        self.fused_adam_legacy = fused_adam_legacy
+
+        if not torch.cuda.is_available:
+            raise SystemError("Cannot use fp16 without CUDA.")
+        self.optimizer = init_optimizer
+
+        # param flattened by groups
+        self.fp16_groups = []
+        self.fp16_groups_flat = []
+        self.fp32_groups_flat = []
+
+        # loop to deal with groups
+        for i, param_group in enumerate(self.optimizer.param_groups):
+            # push this group to list before modify
+            self.fp16_groups.append(param_group['params'])
+            # init fp16 weight buffer, flattened
+            self.fp16_groups_flat.append(
+                _flatten_dense_tensors([p.clone().detach()
+                                        for p in self.fp16_groups[i]]))
+            # set model fp16 weight to slices of flattened buffer
+            updated_params = _unflatten_dense_tensors(self.fp16_groups_flat[i],
+                                                      self.fp16_groups[i])
+            for p, q in zip(self.fp16_groups[i], updated_params):
+                p.data = q.data
+            # init master weight, flattened
+            self.fp32_groups_flat.append(
+                self.fp16_groups_flat[i].clone().float().detach())
+            # modify optimizer of have flat master weight
+            self.fp32_groups_flat[
+                i].requires_grad = True  # keep this in case internal optimizer uses it
+            param_group['params'] = [self.fp32_groups_flat[i]]
+
+        # we may have a way of fusing dynamic scale. Do not support for now
+        if dynamic_loss_scale:
+            if dynamic_loss_args is not None:
+                logging.warning("Do not support dynamic loss scale args for now.")
+            self.dynamic_loss_scale = True
+            self.cur_scale = initial_dynamic_scale
+            self.cur_iter = 0
+            self.last_overflow_iter = -1
+            self.scale_factor = 2
+            self.scale_window = 1000
+        else:
+            self.dynamic_loss_scale = False
+            self.cur_iter = 0
+            self.cur_scale = static_loss_scale
+        self.verbose = verbose
+
+        self.clip_grad = clip_grad
+        self.norm_type = 2
+
+        TORCH_MAJOR = int(torch.__version__.split('.')[0])
+        TORCH_MINOR = int(torch.__version__.split('.')[1])
+        if TORCH_MAJOR == 0 and TORCH_MINOR <= 4:
+            self.clip_grad_norm = torch.nn.utils.clip_grad_norm
+        else:
+            self.clip_grad_norm = torch.nn.utils.clip_grad_norm_
+
+        #model parallel object
+        self.mpu = None
+
+        self.overflow = False
+        self.overflow_checker = CheckOverflow(self.fp16_groups, mpu=self.mpu)
+
+    def zero_grad(self, set_grads_to_None=True):
+        """
+        Zero FP16 parameter grads.
+        """
+        # For speed, set model fp16 grad to None by default
+        for group in self.fp16_groups:
+            for p in group:
+                if set_grads_to_None:
+                    p.grad = None
+                else:
+                    if p.grad is not None:
+                        p.grad.detach_()
+                        p.grad.zero_()
+
+    def step_fused_adam(self, closure=None):
+        """
+        Not supporting closure.
+        """
+        # First compute norm for all group so we know if there is overflow
+        grads_groups_flat = []
+        norm_groups = []
+        for i, group in enumerate(self.fp16_groups):
+            grads_groups_flat.append(
+                _flatten_dense_tensors([
+                    torch.zeros(p.size(),
+                                dtype=p.dtype,
+                                device=p.device) if p.grad is None else p.grad
+                    for p in group
+                ]))
+            norm_groups.append(get_weight_norm(grads_groups_flat[i], mpu=self.mpu))
+
+        self.overflow = self.overflow_checker.check_using_norm(norm_groups)
+        prev_scale = self.cur_scale
+        if self.overflow:
+            self._update_scale(self.overflow)
+            if self.verbose:
+                print("[deepspeed] OVERFLOW! Skipping step. Attempted loss "
+                      "scale: {}, reducing to {}".format(prev_scale,
+                                                         self.cur_scale))
+            return self.overflow
+        combined_scale = self.unscale_and_clip_grads(grads_groups_flat,
+                                                     norm_groups,
+                                                     apply_scale=False)
+        # norm is in fact norm*cur_scale
+        self.optimizer.step(grads=[[g] for g in grads_groups_flat],
+                            output_params=[[p] for p in self.fp16_groups_flat],
+                            scale=combined_scale,
+                            grad_norms=norm_groups)
+        # TODO: we probably don't need this? just to be safe
+        for i in range(len(norm_groups)):
+            updated_params = _unflatten_dense_tensors(self.fp16_groups_flat[i],
+                                                      self.fp16_groups[i])
+            for p, q in zip(self.fp16_groups[i], updated_params):
+                p.data = q.data
+        return self.overflow
+
+    def step(self, closure=None):
+        """
+        Not supporting closure.
+        """
+
+        if self.fused_adam_legacy:
+            return self.step_fused_adam()
+
+        # First compute norm for all group so we know if there is overflow
+        grads_groups_flat = []
+        norm_groups = []
+
+        for i, group in enumerate(self.fp16_groups):
+            data_type = self.fp32_groups_flat[i].dtype
+
+            grads_groups_flat.append(
+                _flatten_dense_tensors([
+                    torch.zeros(p.size(),
+                                dtype=data_type,
+                                device=p.device)
+                    if p.grad is None else p.grad.to(data_type) for p in group
+                ]))
+
+            self.fp32_groups_flat[i].grad = grads_groups_flat[i]
+
+            norm_groups.append(get_grad_norm(self.fp32_groups_flat, mpu=self.mpu))
+
+        self.overflow = self.overflow_checker.check_using_norm(norm_groups)
+        prev_scale = self.cur_scale
+        if self.overflow:
+            self._update_scale(self.overflow)
+            if self.verbose:
+                print("[deepspeed] OVERFLOW! Skipping step. Attempted loss "
+                      "scale: {}, reducing to {}".format(prev_scale,
+                                                         self.cur_scale))
+            return self.overflow
+
+        self.unscale_and_clip_grads(grads_groups_flat, norm_groups)
+
+        self.optimizer.step()
+
+        #get rid of the fp32 gradients. Not needed anymore
+        for group in self.fp32_groups_flat:
+            group.grad = None
+
+        for i in range(len(norm_groups)):
+            updated_params = _unflatten_dense_tensors(self.fp32_groups_flat[i],
+                                                      self.fp16_groups[i])
+            for p, q in zip(self.fp16_groups[i], updated_params):
+                p.data.copy_(q.data)
+
+        return self.overflow
+
+    def unscale_and_clip_grads(self, grad_groups_flat, norm_groups, apply_scale=True):
+        total_norm = 0.0
+        for norm in norm_groups:
+            total_norm += norm**2.0
+        total_norm = math.sqrt(total_norm)
+
+        # compute combined scale factor for this group
+        combined_scale = self.cur_scale
+        if self.clip_grad > 0.:
+            # norm is in fact norm*scale
+            clip = ((total_norm / self.cur_scale) + 1e-6) / self.clip_grad
+            if clip > 1:
+                combined_scale = clip * self.cur_scale
+
+        if apply_scale:
+            for grad in grad_groups_flat:
+                grad.data.mul_(1. / combined_scale)
+
+        return combined_scale
+
+    def backward(self, loss):
+        """
+        :attr:`backward` performs the following steps:
+
+        1. fp32_loss = loss.float()
+        2. scaled_loss = fp32_loss*loss_scale
+        3. scaled_loss.backward(), which accumulates scaled gradients into the ``.grad`` attributes of the model's fp16 leaves
+        """
+        scaled_loss = (loss.float()) * self.cur_scale
+        scaled_loss.backward()
+
+    def _update_scale(self, skip):
+        if self.dynamic_loss_scale:
+            if skip:
+                if self.verbose:
+                    print("\nGrad overflow on iteration", self.cur_iter)
+                    print("Using dynamic loss scale of", self.cur_scale)
+                self.cur_scale = max(self.cur_scale / self.scale_factor, 1)
+                self.last_overflow_iter = self.cur_iter
+            else:
+                if (self.cur_iter - self.last_overflow_iter) % self.scale_window == 0:
+                    self.cur_scale *= self.scale_factor
+        else:
+            if skip:
+                print("\nGrad overflow on iteration", self.cur_iter)
+                print("Using static loss scale of", self.cur_scale)
+        self.cur_iter += 1
+        return
+
+    # Promote state so it can be retrieved or set via "fp16_optimizer_instance.state"
+    def _get_state(self):
+        return self.optimizer.state
+
+    def _set_state(self, value):
+        self.optimizer.state = value
+
+    state = property(_get_state, _set_state)
+
+    # Promote param_groups so it can be retrieved or set via "fp16_optimizer_instance.param_groups"
+    # (for example, to adjust the learning rate)
+    def _get_param_groups(self):
+        return self.optimizer.param_groups
+
+    def _set_param_groups(self, value):
+        self.optimizer.param_groups = value
+
+    param_groups = property(_get_param_groups, _set_param_groups)
+
+    def state_dict(self):
+        """
+        Returns a dict containing the current state of this :class:`FP16_Optimizer` instance.
+        This dict contains attributes of :class:`FP16_Optimizer`, as well as the state_dict
+        of the contained Pytorch optimizer.
+        Example::
+            checkpoint = {}
+            checkpoint['model'] = model.state_dict()
+            checkpoint['optimizer'] = optimizer.state_dict()
+            torch.save(checkpoint, "saved.pth")
+        """
+        state_dict = {}
+        state_dict['dynamic_loss_scale'] = self.dynamic_loss_scale
+        state_dict['cur_scale'] = self.cur_scale
+        state_dict['cur_iter'] = self.cur_iter
+        if state_dict['dynamic_loss_scale']:
+            state_dict['last_overflow_iter'] = self.last_overflow_iter
+            state_dict['scale_factor'] = self.scale_factor
+            state_dict['scale_window'] = self.scale_window
+        state_dict['optimizer_state_dict'] = self.optimizer.state_dict()
+        state_dict['fp32_groups_flat'] = self.fp32_groups_flat
+        state_dict['clip_grad'] = self.clip_grad
+        return state_dict
+
+    def load_state_dict(self, state_dict):
+        """
+        Loads a state_dict created by an earlier call to state_dict().
+        If ``fp16_optimizer_instance`` was constructed from some ``init_optimizer``,
+        whose parameters in turn came from ``model``, it is expected that the user
+        will call ``model.load_state_dict()`` before
+        ``fp16_optimizer_instance.load_state_dict()`` is called.
+        Example::
+            model = torch.nn.Linear(D_in, D_out).cuda().half()
+            optimizer = torch.optim.SGD(model.parameters(), lr=1e-3)
+            optimizer = FP16_Optimizer(optimizer, static_loss_scale = 128.0)
+            ...
+            checkpoint = torch.load("saved.pth")
+            model.load_state_dict(checkpoint['model'])
+            optimizer.load_state_dict(checkpoint['optimizer'])
+        """
+        # I think it should actually be ok to reload the optimizer before the model.
+        self.dynamic_loss_scale = state_dict['dynamic_loss_scale']
+        self.cur_scale = state_dict['cur_scale']
+        self.cur_iter = state_dict['cur_iter']
+        if state_dict['dynamic_loss_scale']:
+            self.last_overflow_iter = state_dict['last_overflow_iter']
+            self.scale_factor = state_dict['scale_factor']
+            self.scale_window = state_dict['scale_window']
+        self.optimizer.load_state_dict(state_dict['optimizer_state_dict'])
+        self.clip_grad = state_dict['clip_grad']
+        # At this point, the optimizer's references to the model's fp32 parameters are up to date.
+        # The optimizer's hyperparameters and internal buffers are also up to date.
+        # However, the fp32 master copies of the model's fp16 params stored by the optimizer are still
+        # out of date.  There are two options.
+        # 1:  Refresh the master params from the model's fp16 params.
+        # This requires less storage but incurs precision loss.
+        # 2:  Save and restore the fp32 master copies separately.
+        # We choose option 2.
+        #
+        # Pytorch Optimizer.load_state_dict casts saved buffers (e.g. momentum) to the type and device
+        # of their associated parameters, because it's possible those buffers might not exist yet in
+        # the current optimizer instance.  In our case, as long as the current FP16_Optimizer has been
+        # constructed in the same way as the one whose state_dict we are loading, the same master params
+        # are guaranteed to exist, so we can just copy_() from the saved master params.
+        for current, saved in zip(self.fp32_groups_flat, state_dict['fp32_groups_flat']):
+            current.data.copy_(saved.data)

deepspeed/pt/fp16_unfused_optimizer.py

+'''
+Copyright 2019 The Microsoft DeepSpeed Team
+
+Copyright NVIDIA/apex
+This file is adapted from FP16_Optimizer in NVIDIA/apex
+'''
+
+import torch
+from torch._utils import _flatten_dense_tensors, _unflatten_dense_tensors
+from deepspeed.pt.deepspeed_utils import get_grad_norm, CheckOverflow, get_weight_norm
+import math
+import logging
+
+
+class FP16_UnfusedOptimizer(object):
+    """
+    FP16 Optimizer without weight fusion to support LAMB optimizer
+
+    For usage example please see, TODO:  DeepSpeed V2 Tutorial
+    """
+    def __init__(self,
+                 init_optimizer,
+                 static_loss_scale=1.0,
+                 dynamic_loss_scale=False,
+                 dynamic_loss_args=None,
+                 verbose=True,
+                 mpu=None,
+                 clip_grad=0.0,
+                 fused_lamb_legacy=False):
+
+        self.fused_lamb_legacy = fused_lamb_legacy
+
+        if torch.distributed.get_rank() == 0:
+            logging.info(f'Fused Lamb Legacy : {self.fused_lamb_legacy} ')
+
+        if not torch.cuda.is_available:
+            raise SystemError("Cannot use fp16 without CUDA.")
+        self.optimizer = init_optimizer
+
+        # param groups
+        self.fp16_groups = []
+        self.fp32_groups = []
+
+        # loop to deal with groups
+        for i, param_group in enumerate(self.optimizer.param_groups):
+            #fp16 weights that represents the actual model weights
+            self.fp16_groups.append(param_group['params'])
+
+            #creating a fp32 copy of the weights that will be updated first then
+            #copied to fp16 weights
+            fp32_group = [p.clone().float().detach() for p in param_group['params']]
+
+            #incase the internal optimizer needs it
+            for p in fp32_group:
+                p.requires_grad = True
+
+            #setting the param groups in the optimizer to point to fp32
+            #note these are not the weights used by the model
+            #the model uses the fp16 version that we added to fp16_group
+            self.fp32_groups.append(fp32_group)
+            param_group['params'] = self.fp32_groups[i]
+
+        # we may have a way of fusing dynamic scale. Do not support for now
+        if dynamic_loss_scale:
+            if dynamic_loss_args is not None:
+                raise SystemError("Do not support dynamic loss scale args for now.")
+            self.dynamic_loss_scale = True
+            self.cur_scale = 1.0 * 2**16
+            self.cur_iter = 0
+            self.last_overflow_iter = -1
+            self.scale_factor = 2.0
+            self.scale_window = 1000
+        else:
+            self.dynamic_loss_scale = False
+            self.cur_iter = 0
+            self.cur_scale = static_loss_scale
+
+        self.verbose = verbose
+
+        self.clip_grad = clip_grad
+        self.norm_type = 2
+
+        TORCH_MAJOR = int(torch.__version__.split('.')[0])
+        TORCH_MINOR = int(torch.__version__.split('.')[1])
+        if TORCH_MAJOR == 0 and TORCH_MINOR <= 4:
+            self.clip_grad_norm = torch.nn.utils.clip_grad_norm
+        else:
+            self.clip_grad_norm = torch.nn.utils.clip_grad_norm_
+
+        self.mpu = None
+
+        self.overflow = False
+        self.overflow_checker = CheckOverflow(self.fp16_groups, mpu=self.mpu)
+
+    def zero_grad(self, set_grads_to_None=True):
+        """
+        Zero FP16 parameter grads.
+        """
+        # FP32 grad should never exist outside of the step function
+        # For speed, set model fp16 grad to None by default
+        for group in self.fp16_groups:
+            for p in group:
+                if set_grads_to_None:
+                    p.grad = None
+                else:
+                    if p.grad is not None:
+                        p.grad.detach_()
+                        p.grad.zero_()
+
+    def step_fused_lamb(self, closure=None):
+        """
+        Not supporting closure.
+        """
+        # First compute norm for all group so we know if there is overflow
+        grads_groups_flat = []
+        grads_groups = []
+        norm_groups = []
+        for i, group in enumerate(self.fp16_groups):
+            grads_groups.append([p.grad for p in group])
+            grads_groups_flat.append(_flatten_dense_tensors(grads_groups[i]))
+            norm_groups.append(get_weight_norm(grads_groups_flat[i], mpu=self.mpu))
+
+        self.overflow = self.overflow_checker.check_using_norm(norm_groups)
+        prev_scale = self.cur_scale
+
+        if self.overflow:
+            self._update_scale(self.overflow)
+            if self.verbose:
+                print("[deepspeed] OVERFLOW! Skipping step. Attempted loss "
+                      "scale: {}, reducing to {}".format(prev_scale,
+                                                         self.cur_scale))
+            return self.overflow
+
+        combined_scale = self.unscale_and_clip_grads(norm_groups, apply_scale=False)
+        self.optimizer.step(grads=grads_groups,
+                            output_params=self.fp16_groups,
+                            scale=combined_scale)
+
+        return self.overflow
+
+    def step(self, closure=None):
+        """
+        Not supporting closure.
+        """
+        if self.fused_lamb_legacy:
+            return self.step_fused_lamb()
+
+        self.overflow = self.overflow_checker.check()
+        prev_scale = self.cur_scale
+
+        if self.overflow:
+            self._update_scale(self.overflow)
+            if self.verbose:
+                print("[deepspeed] OVERFLOW! Skipping step. Attempted loss "
+                      "scale: {}, reducing to {}".format(prev_scale,
+                                                         self.cur_scale))
+            return self.overflow
+
+        norm_groups = []
+        for i, group in enumerate(self.fp16_groups):
+            norm_groups.append(get_grad_norm(group, mpu=self.mpu))
+
+            # copying gradients to fp32 to work with fp32 parameters
+            for fp32_param, fp16_param in zip(self.fp32_groups[i], self.fp16_groups[i]):
+                fp32_param.grad = fp16_param.grad.to(fp32_param.dtype)
+
+        self.unscale_and_clip_grads(norm_groups)
+
+        self.optimizer.step()
+
+        for fp32_group, fp16_group in zip(self.fp32_groups, self.fp16_groups):
+            for fp32_param, fp16_param in zip(fp32_group, fp16_group):
+
+                #remove the fp32 grad
+                fp32_param.grad = None
+
+                #copy data from fp32 to fp16
+                fp16_param.data.copy_(fp32_param.data)
+
+        return self.overflow
+
+    def unscale_and_clip_grads(self, norm_groups, apply_scale=True):
+        total_norm = 0.0
+        for norm in norm_groups:
+            total_norm += norm**2.0
+        total_norm = math.sqrt(total_norm)
+
+        # compute combined scale factor for this group
+        combined_scale = self.cur_scale
+        if self.clip_grad > 0.:
+            # norm is in fact norm*scale
+            clip = ((total_norm / self.cur_scale) + 1e-6) / self.clip_grad
+            if clip > 1:
+                combined_scale = clip * self.cur_scale
+
+        if apply_scale:
+            for group in self.fp32_groups:
+                for param in group:
+                    if param.grad is not None:
+                        param.grad.data.mul_(1. / combined_scale)
+
+        return combined_scale
+
+    def backward(self, loss):
+        """
+        :attr:`backward` performs the following steps:
+
+        1. fp32_loss = loss.float()
+        2. scaled_loss = fp32_loss*loss_scale
+        3. scaled_loss.backward(), which accumulates scaled gradients into the ``.grad`` attributes of the model's fp16 leaves
+        """
+        scaled_loss = (loss.float()) * self.cur_scale
+        scaled_loss.backward()
+
+    def _update_scale(self, skip):
+        if self.dynamic_loss_scale:
+            if skip:
+                print("\nGrad overflow on iteration", self.cur_iter)
+                print("Using dynamic loss scale of", self.cur_scale)
+                self.cur_scale = max(self.cur_scale / self.scale_factor, 0.25)
+                self.last_overflow_iter = self.cur_iter
+            else:
+                if (self.cur_iter - self.last_overflow_iter) % self.scale_window == 0:
+                    self.cur_scale *= self.scale_factor
+        else:
+            if skip:
+                print("\nGrad overflow on iteration", self.cur_iter)
+                print("Using static loss scale of", self.cur_scale)
+        self.cur_iter += 1
+        return
+
+    # Promote state so it can be retrieved or set via "fp16_optimizer_instance.state"
+    def _get_state(self):
+        return self.optimizer.state
+
+    def _set_state(self, value):
+        self.optimizer.state = value
+
+    state = property(_get_state, _set_state)
+
+    # Promote param_groups so it can be retrieved or set via "fp16_optimizer_instance.param_groups"
+    # (for example, to adjust the learning rate)
+    def _get_param_groups(self):
+        return self.optimizer.param_groups
+
+    def _set_param_groups(self, value):
+        self.optimizer.param_groups = value
+
+    param_groups = property(_get_param_groups, _set_param_groups)
+
+    def state_dict(self):
+        """
+        Returns a dict containing the current state of this :class:`FP16_Optimizer` instance.
+        This dict contains attributes of :class:`FP16_Optimizer`, as well as the state_dict
+        of the contained Pytorch optimizer.
+        Example::
+            checkpoint = {}
+            checkpoint['model'] = model.state_dict()
+            checkpoint['optimizer'] = optimizer.state_dict()
+            torch.save(checkpoint, "saved.pth")
+        """
+        state_dict = {}
+        state_dict['dynamic_loss_scale'] = self.dynamic_loss_scale
+        state_dict['cur_scale'] = self.cur_scale
+        state_dict['cur_iter'] = self.cur_iter
+        if state_dict['dynamic_loss_scale']:
+            state_dict['last_overflow_iter'] = self.last_overflow_iter
+            state_dict['scale_factor'] = self.scale_factor
+            state_dict['scale_window'] = self.scale_window
+        state_dict['optimizer_state_dict'] = self.optimizer.state_dict()
+        state_dict['fp32_groups'] = self.fp32_groups
+        return state_dict
+
+    def load_state_dict(self, state_dict):
+        """
+        Loads a state_dict created by an earlier call to state_dict().
+        If ``fp16_optimizer_instance`` was constructed from some ``init_optimizer``,
+        whose parameters in turn came from ``model``, it is expected that the user
+        will call ``model.load_state_dict()`` before
+        ``fp16_optimizer_instance.load_state_dict()`` is called.
+        Example::
+            model = torch.nn.Linear(D_in, D_out).cuda().half()
+            optimizer = torch.optim.SGD(model.parameters(), lr=1e-3)
+            optimizer = FP16_Optimizer(optimizer, static_loss_scale = 128.0)
+            ...
+            checkpoint = torch.load("saved.pth")
+            model.load_state_dict(checkpoint['model'])
+            optimizer.load_state_dict(checkpoint['optimizer'])
+        """
+        # I think it should actually be ok to reload the optimizer before the model.
+        self.dynamic_loss_scale = state_dict['dynamic_loss_scale']
+        self.cur_scale = state_dict['cur_scale']
+        self.cur_iter = state_dict['cur_iter']
+        if state_dict['dynamic_loss_scale']:
+            self.last_overflow_iter = state_dict['last_overflow_iter']
+            self.scale_factor = state_dict['scale_factor']
+            self.scale_window = state_dict['scale_window']
+        self.optimizer.load_state_dict(state_dict['optimizer_state_dict'])
+        # At this point, the optimizer's references to the model's fp32 parameters are up to date.
+        # The optimizer's hyperparameters and internal buffers are also up to date.
+        # However, the fp32 master copies of the model's fp16 params stored by the optimizer are still
+        # out of date.  There are two options.
+        # 1:  Refresh the master params from the model's fp16 params.
+        # This requires less storage but incurs precision loss.
+        # 2:  Save and restore the fp32 master copies separately.
+        # We choose option 2.
+        #
+        # Pytorch Optimizer.load_state_dict casts saved buffers (e.g. momentum) to the type and device
+        # of their associated parameters, because it's possible those buffers might not exist yet in
+        # the current optimizer instance.  In our case, as long as the current FP16_Optimizer has been
+        # constructed in the same way as the one whose state_dict we are loading, the same master params
+        # are guaranteed to exist, so we can just copy_() from the saved master params.
+        for current_group, saved_group in zip(self.fp32_groups, state_dict['fp32_groups']):
+            for current, saved in zip(current_group, saved_group):
+                current.data.copy_(saved.data)

deepspeed/pt/loss_scaler.py

+# Copyright 2019 The Microsoft DeepSpeed Team
+# Copyright (c) 2019, NVIDIA CORPORATION.  All rights reserved.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+#Taken and modified for DeepSpeed from:
+#    https://github.com/NVIDIA/Megatron-LM/blob/master/fp16/loss_scaler.py
+#Commit: 93ab4bea59dc5cbf97c079d313741866af4deac9
+
+import torch
+
+
+# item() is a recent addition, so this helps with backward compatibility.
+def to_python_float(t):
+    if hasattr(t, 'item'):
+        return t.item()
+    else:
+        return t[0]
+
+
+class LossScaler:
+    """
+    Class that manages a static loss scale.  This class is intended to interact with
+    :class:`FP16_Optimizer`, and should not be directly manipulated by the user.
+
+    Use of :class:`LossScaler` is enabled via the ``static_loss_scale`` argument to
+    :class:`FP16_Optimizer`'s constructor.
+
+    Args:
+        scale (float, optional, default=1.0):  The loss scale.
+    """
+    def __init__(self, scale=1):
+        self.cur_scale = scale
+
+    # `params` is a list / generator of torch.Variable
+    def has_overflow(self, params):
+        return False
+
+    # `x` is a torch.Tensor
+    def _has_inf_or_nan(x):
+        return False
+
+    def update_scale(self, overflow):
+        pass
+
+    @property
+    def loss_scale(self):
+        return self.cur_scale
+
+    def scale_gradient(self, module, grad_in, grad_out):
+        return tuple(self.loss_scale * g for g in grad_in)
+
+    def backward(self, loss, retain_graph=False):
+        scaled_loss = loss * self.loss_scale
+        scaled_loss.backward(retain_graph=retain_graph)
+
+
+class DynamicLossScaler:
+    """
+    Class that manages dynamic loss scaling.  It is recommended to use :class:`DynamicLossScaler`
+    indirectly, by supplying ``dynamic_loss_scale=True`` to the constructor of
+    :class:`FP16_Optimizer`.  However, it's important to understand how :class:`DynamicLossScaler`
+    operates, because the default options can be changed using the
+    the ``dynamic_loss_args`` argument to :class:`FP16_Optimizer`'s constructor.
+
+    Loss scaling is designed to combat the problem of underflowing gradients encountered at long
+    times when training fp16 networks.  Dynamic loss scaling begins by attempting a very high loss
+    scale.  Ironically, this may result in OVERflowing gradients.  If overflowing gradients are
+    encountered, :class:`DynamicLossScaler` informs :class:`FP16_Optimizer` that an overflow has
+    occurred.
+    :class:`FP16_Optimizer` then skips the update step for this particular iteration/minibatch,
+    and :class:`DynamicLossScaler` adjusts the loss scale to a lower value.
+    If a certain number of iterations occur without overflowing gradients detected,
+    :class:`DynamicLossScaler` increases the loss scale once more.
+    In this way :class:`DynamicLossScaler` attempts to "ride the edge" of
+    always using the highest loss scale possible without incurring overflow.
+
+    Args:
+        init_scale (float, optional, default=2**32):  Initial loss scale attempted by :class:`DynamicLossScaler.`
+        scale_factor (float, optional, default=2.0):  Factor used when adjusting the loss scale. If an overflow is encountered, the loss scale is readjusted to loss scale/``scale_factor``.  If ``scale_window`` consecutive iterations take place without an overflow, the loss scale is readjusted to loss_scale*``scale_factor``.
+        scale_window (int, optional, default=1000):  Number of consecutive iterations without an overflow to wait before increasing the loss scale.
+    """
+    def __init__(self,
+                 init_scale=2**32,
+                 scale_factor=2.,
+                 scale_window=1000,
+                 min_scale=1,
+                 delayed_shift=1,
+                 consecutive_hysteresis=False):
+        self.cur_scale = init_scale
+        self.cur_iter = 0
+        self.last_overflow_iter = -1
+        self.scale_factor = scale_factor
+        self.scale_window = scale_window
+        self.min_scale = min_scale
+        self.delayed_shift = delayed_shift
+        self.cur_hysteresis = delayed_shift
+        self.consecutive_hysteresis = consecutive_hysteresis
+
+    # `params` is a list / generator of torch.Variable
+    def has_overflow_serial(self, params):
+        for p in params:
+            if p.grad is not None and DynamicLossScaler._has_inf_or_nan(p.grad.data):
+                return True
+
+        return False
+
+    # `x` is a torch.Tensor
+    def _has_inf_or_nan(x):
+        try:
+            # if x is half, the .float() incurs an additional deep copy, but it's necessary if
+            # Pytorch's .sum() creates a one-element tensor of the same type as x
+            # (which is true for some recent version of pytorch).
+            cpu_sum = float(x.float().sum())
+            # More efficient version that can be used if .sum() returns a Python scalar
+            # cpu_sum = float(x.sum())
+        except RuntimeError as instance:
+            # We want to check if inst is actually an overflow exception.
+            # RuntimeError could come from a different error.
+            # If so, we still want the exception to propagate.
+            if "value cannot be converted" not in instance.args[0]:
+                raise
+            return True
+        else:
+            if cpu_sum == float('inf') or cpu_sum == -float('inf') or cpu_sum != cpu_sum:
+                return True
+            return False
+
+    # `overflow` is boolean indicating whether the gradient overflowed
+    def update_scale(self, overflow):
+
+        if not hasattr(self, 'min_scale'):
+            self.min_scale = 1
+        if not hasattr(self, 'delayed_shift'):
+            self.delayed_shift = 1
+        if not hasattr(self, 'cur_hysteresis'):
+            self.cur_hysteresis = 1
+        if not hasattr(self, 'consecutive_hysteresis'):
+            self.consecutive_hysteresis = True
+        if overflow:
+            # self.cur_scale /= self.scale_factor
+            if self.delayed_shift == 1 or self.cur_hysteresis == 1:
+                self.cur_scale = max(self.cur_scale / self.scale_factor, self.min_scale)
+            else:
+                self.cur_hysteresis -= 1
+            self.last_overflow_iter = self.cur_iter
+        else:
+            if self.consecutive_hysteresis:
+                self.cur_hysteresis = self.delayed_shift
+            if (self.cur_iter - self.last_overflow_iter) % self.scale_window == 0:
+                if not self.consecutive_hysteresis:
+                    self.cur_hysteresis = self.delayed_shift
+                self.cur_scale *= self.scale_factor
+        self.cur_iter += 1
+
+    @property
+    def loss_scale(self):
+        return self.cur_scale
+
+    def scale_gradient(self, module, grad_in, grad_out):
+        return tuple(self.loss_scale * g for g in grad_in)
+
+    def backward(self, loss, retain_graph=False):
+        scaled_loss = loss * self.loss_scale
+        scaled_loss.backward(retain_graph=retain_graph)
+
+
+##############################################################
+# Example usage below here -- assuming it's in a separate file
+##############################################################
+"""
+TO-DO separate out into an example.
+if __name__ == "__main__":
+    import torch
+    from torch.autograd import Variable
+    from dynamic_loss_scaler import DynamicLossScaler
+
+    # N is batch size; D_in is input dimension;
+    # H is hidden dimension; D_out is output dimension.
+    N, D_in, H, D_out = 64, 1000, 100, 10
+
+    # Create random Tensors to hold inputs and outputs, and wrap them in Variables.
+    x = Variable(torch.randn(N, D_in), requires_grad=False)
+    y = Variable(torch.randn(N, D_out), requires_grad=False)
+
+    w1 = Variable(torch.randn(D_in, H), requires_grad=True)
+    w2 = Variable(torch.randn(H, D_out), requires_grad=True)
+    parameters = [w1, w2]
+
+    learning_rate = 1e-6
+    optimizer = torch.optim.SGD(parameters, lr=learning_rate)
+    loss_scaler = DynamicLossScaler()
+
+    for t in range(500):
+        y_pred = x.mm(w1).clamp(min=0).mm(w2)
+        loss = (y_pred - y).pow(2).sum() * loss_scaler.loss_scale
+        print('Iter {} loss scale: {}'.format(t, loss_scaler.loss_scale))
+        print('Iter {} scaled loss: {}'.format(t, loss.data[0]))
+        print('Iter {} unscaled loss: {}'.format(t, loss.data[0] / loss_scaler.loss_scale))
+
+        # Run backprop
+        optimizer.zero_grad()
+        loss.backward()
+
+        # Check for overflow
+        has_overflow = DynamicLossScaler.has_overflow(parameters)
+
+        # If no overflow, unscale grad and update as usual
+        if not has_overflow:
+            for param in parameters:
+                param.grad.data.mul_(1. / loss_scaler.loss_scale)
+            optimizer.step()
+        # Otherwise, don't do anything -- ie, skip iteration
+        else:
+            print('OVERFLOW!')
+
+        # Update loss scale for next iteration
+        loss_scaler.update_scale(has_overflow)
+
+"""