From f400f66a1ee1c7b398bc727cace66e3d992468d2 Mon Sep 17 00:00:00 2001
From: Cadene <remi.cadene@icloud.com>
Date: Thu, 21 Jul 2016 19:56:27 +0200
Subject: Add learningRateDecay to Adam

---
 adam.lua | 9 +++++++--
 1 file changed, 7 insertions(+), 2 deletions(-)

diff --git a/adam.lua b/adam.lua
index 505a779..bc80b5e 100644
--- a/adam.lua
+++ b/adam.lua
@@ -7,6 +7,7 @@ ARGS:
 - 'x'      : the initial point
 - 'config` : a table with configuration parameters for the optimizer
 - 'config.learningRate'      : learning rate
+- `config.learningRateDecay` : learning rate decay
 - 'config.beta1'             : first moment coefficient
 - 'config.beta2'             : second moment coefficient
 - 'config.epsilon'           : for numerical stability
@@ -25,6 +26,7 @@ function optim.adam(opfunc, x, config, state)
    local config = config or {}
    local state = state or config
    local lr = config.learningRate or 0.001
+   local lrd = config.learningRateDecay or 0
 
    local beta1 = config.beta1 or 0.9
    local beta2 = config.beta2 or 0.999
@@ -48,6 +50,9 @@ function optim.adam(opfunc, x, config, state)
    -- A tmp tensor to hold the sqrt(v) + epsilon
    state.denom = state.denom or x.new(dfdx:size()):zero()
 
+   -- (3) learning rate decay (annealing)
+   local clr = lr / (1 + state.t*lrd)
+
    state.t = state.t + 1
 
    -- Decay the first and second moment running average coefficient
@@ -58,8 +63,8 @@ function optim.adam(opfunc, x, config, state)
 
    local biasCorrection1 = 1 - beta1^state.t
    local biasCorrection2 = 1 - beta2^state.t
-   local stepSize = lr * math.sqrt(biasCorrection2)/biasCorrection1
-   -- (3) update x
+   local stepSize = clr * math.sqrt(biasCorrection2)/biasCorrection1
+   -- (4) update x
    x:addcdiv(-stepSize, state.m, state.denom)
 
    -- return x*, f(x) before optimization
-- 
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