Invalid Loss error when training on the GPU about wtte-rnn HOT 6 OPEN

Great update. I don't have access to GPU right now so I haven't run the unit-tests for CUDA for a while.

One initial theory is that I think cuda-batchnorm is (must) be different than Keras-cpu-batchnorm, since the latter accepts a mask and as far as I know, cuda-batchnorm unfortunately doesn't. I'm not sure if keras calls the cuda-batchnorm primitives though. Are you using batchnorm? Otherwise, same goes with mask in general. I would be surprised if CuDNNGRU accepts Mask as keras cpu-version does.

Another is that the machine-epsilon is different on CPU/GPU. I recommend setting keras.backend.set_epsilon(1e-07), but I'm not sure whether GPU respects this.

As a general recommendation, I recommend clipping log-likelihood using

loss_fun = wtte.loss(kind='discrete',reduce_loss=False,clip_prob=1e-5).loss_function

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@ragulpr Thanks for your reply. I am not using batchnorm and you are correct about the CuDNN not accepting the masking.

I will try the epsilon and log-likelihood clipping and will let you know how it goes.

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If you find anything inside WTTE not working properly with GPU it would be very good to know thanks alot for raising issue. For general NaN-avoidance there are many other git-issues with recommendations. Some top-of the list remedies for further reference;

• Doublecheck mask working properly
• Pretrain outputlayer as seen in https://github.com/ragulpr/wtte-rnn-examples
• Clip log-likelihood through clip_prob=... flag

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Hi,

@dongishan called my attention to this post recently, and it just came to my mind today while working with the GPU. I have also observed numerical instabilities in the loss function when using it (we use the same cluster). I have observed this for WTTE-RNN, but also for an extension of it that I wrote for a gaussian-based loss function.

I had not commented anything until now because my main hypothesis was that those instabilities were due to my data being contaminated/badly pre-processed (I use real industrial data). But today I started comparing the GPU and the CPU and initial results show that the loss is much more stable for the CPU.

My architecture is quite simple, with a large batch size, two stacked 50 neuron LSTM's with regularisation, and a Timedistributed 100 neuron dense layer. I use tanh everywhere as an activation function.

With regards to numerical instability in the wtte-rnn case, I have usually been successful avoiding it by normalizing the times to event and by using the continuous log-lik. For some reason, in my data-sets the discrete mode was more prone to numerical instability. I prefer that to clipping.

Edit: Update: I have run now 4 experiments (10000 epochs each) and I observed some loss instabilities in the CPU case, but still in a much minor extent than in the GPU case.

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Another idea I forgot; I've had problems getting GPU to respect the random seed I set for it, but that might be a pytorch problem. If you repeat experiment using different seeds on CPU maybe you get the same NaN-failures?

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There may be a lot of reasons for numerical instability as pointed out, so would be very helpful if we can find a GPU/CPU reproducible example. Can it have anything to do with content of your keras.json-file? Maybe GPU is float32 and CPU is float64 or similar?

ps.
Since your final layer is dim 100, after dense(2) it will be approximately Normal(0,100) so the variance is high. I usually scale this as below

model.add(Lambda(wtte.output_lambda, arguments={"init_alpha":init_alpha, 
                                                "max_beta_value":2.0,
                                                # Stability heuristic: scale by log-number of pre-output layer inputs
                                                "scalefactor":1/np.log(100),
                                               }))

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