feat: add GLM example and benchmark, improve quantization (#1115)

Starting from sklearn tutorial on PoissonRegression, quantize the regressor
and compile to FHE

Closes #979, #599, #1132
This commit is contained in:
Andrei Stoian
2021-12-10 20:01:41 +01:00
committed by GitHub
parent b44956952b
commit 93076e162f
5 changed files with 703 additions and 463 deletions

276
benchmarks/glm.py Normal file
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@@ -0,0 +1,276 @@
# bench: Full Target: Generalized Linear Model
from copy import deepcopy
from typing import Any, Dict
import numpy as np
from common import BENCHMARK_CONFIGURATION
from sklearn.compose import ColumnTransformer
from sklearn.datasets import fetch_openml
from sklearn.decomposition import PCA
from sklearn.linear_model import PoissonRegressor
from sklearn.metrics import mean_poisson_deviance
from sklearn.model_selection import train_test_split
from sklearn.pipeline import Pipeline, make_pipeline
from sklearn.preprocessing import (
FunctionTransformer,
KBinsDiscretizer,
OneHotEncoder,
StandardScaler,
)
from tqdm import tqdm
from concrete.quantization import QuantizedArray, QuantizedLinear, QuantizedModule
from concrete.quantization.quantized_activations import QuantizedActivation
class QuantizedExp(QuantizedActivation):
"""
Quantized Exponential function
This class will build a quantized lookup table for the exp function
applied to input calibration data
"""
def calibrate(self, x: np.ndarray):
self.q_out = QuantizedArray(self.n_bits, np.exp(x))
def __call__(self, q_input: QuantizedArray) -> QuantizedArray:
"""Process the forward pass of the exponential.
Args:
q_input (QuantizedArray): Quantized input.
Returns:
q_out (QuantizedArray): Quantized output.
"""
quant_exp = np.exp(self.dequant_input(q_input))
q_out = self.quant_output(quant_exp)
return q_out
class QuantizedGLM(QuantizedModule):
"""
Quantized Generalized Linear Model
Building on top of QuantizedModule, this class will chain together a linear transformation
and an inverse-link function
"""
def __init__(self, n_bits, sklearn_model, calibration_data) -> None:
self.n_bits = n_bits
# We need to calibrate to a sufficiently low number of bits
# so that the output of the Linear layer (w . x + b)
# does not exceed 7 bits
self.q_calibration_data = QuantizedArray(self.n_bits, calibration_data)
# Quantize the weights and create the quantized linear layer
q_weights = QuantizedArray(self.n_bits, np.expand_dims(sklearn_model.coef_, 1))
q_bias = QuantizedArray(self.n_bits, sklearn_model.intercept_)
q_layer = QuantizedLinear(self.n_bits, q_weights, q_bias)
# Store quantized layers
quant_layers_dict: Dict[str, Any] = {}
# Calibrate the linear layer and obtain calibration_data for the next layers
calibration_data = self._calibrate_and_store_layers_activation(
"linear", q_layer, calibration_data, quant_layers_dict
)
# Add the inverse-link for inference.
# This function needs to be quantized since it's computed in FHE.
# However, we can use 7 bits of output since, in this case,
# the result of the inverse-link is not processed by any further layers
# Seven bits is the maximum precision but this could be lowered to improve speed
# at the possible expense of higher deviance of the regressor
q_exp = QuantizedExp(n_bits=7)
# Now calibrate the inverse-link function with the linear layer's output data
calibration_data = self._calibrate_and_store_layers_activation(
"invlink", q_exp, calibration_data, quant_layers_dict
)
# Finally construct out Module using the quantized layers
super().__init__(quant_layers_dict)
def _calibrate_and_store_layers_activation(
self, name, q_function, calibration_data, quant_layers_dict
):
# Calibrate the output of the layer
q_function.calibrate(calibration_data)
# Store the learned quantized layer
quant_layers_dict[name] = q_function
# Create new calibration data (output of the previous layer)
q_calibration_data = QuantizedArray(self.n_bits, calibration_data)
# Dequantize to have the value in clear and ready for next calibration
return q_function(q_calibration_data).dequant()
def quantize_input(self, x):
q_input_arr = deepcopy(self.q_calibration_data)
q_input_arr.update_values(x)
return q_input_arr
def score_estimator(y_pred, y_gt, gt_weight):
"""Score an estimator on the test set."""
y_pred = np.squeeze(y_pred)
# Ignore non-positive predictions, as they are invalid for
# the Poisson deviance. We want to issue a warning if for some reason
# (e.g. FHE noise, bad quantization, user error), the regressor predictions are negative
# Find all strictly positive values
mask = y_pred > 0
# If any non-positive values are found, issue a warning
if (~mask).any():
n_masked, n_samples = (~mask).sum(), mask.shape[0]
print(
"WARNING: Estimator yields invalid, non-positive predictions "
f" for {n_masked} samples out of {n_samples}. These predictions "
"are ignored when computing the Poisson deviance."
)
# Compute the Poisson Deviance for all valid values
dev = mean_poisson_deviance(
y_gt[mask],
y_pred[mask],
sample_weight=gt_weight[mask],
)
print(f"mean Poisson deviance: {dev}")
return dev
def score_sklearn_estimator(estimator, df_test):
"""A wrapper to score a sklearn pipeline on a dataframe"""
return score_estimator(estimator.predict(df_test), df_test["Frequency"], df_test["Exposure"])
def score_concrete_glm_estimator(poisson_glm_pca, q_glm, df_test):
"""A wrapper to score QuantizedGLM on a dataframe, transforming the dataframe using
a sklearn pipeline
"""
test_data = poisson_glm_pca["pca"].transform(poisson_glm_pca["preprocessor"].transform(df_test))
q_test_data = q_glm.quantize_input(test_data)
y_pred = q_glm.forward_and_dequant(q_test_data)
return score_estimator(y_pred, df_test["Frequency"], df_test["Exposure"])
def run_glm_benchmark():
"""
This is our main benchmark function. It gets a dataset, trains a GLM model,
then trains a GLM model on PCA reduced features, a QuantizedGLM model
and finally compiles the QuantizedGLM to FHE. All models are evaluated and poisson deviance
is computed to determine the increase in deviance from quantization and to verify
that the FHE compiled model acheives the same deviance as the quantized model in the 'clear'
"""
df, _ = fetch_openml(
data_id=41214, as_frame=True, cache=True, data_home="~/.cache/sklean", return_X_y=True
)
df = df.head(50000)
df["Frequency"] = df["ClaimNb"] / df["Exposure"]
log_scale_transformer = make_pipeline(
FunctionTransformer(np.log, validate=False), StandardScaler()
)
linear_model_preprocessor = ColumnTransformer(
[
("passthrough_numeric", "passthrough", ["BonusMalus"]),
("binned_numeric", KBinsDiscretizer(n_bins=10), ["VehAge", "DrivAge"]),
("log_scaled_numeric", log_scale_transformer, ["Density"]),
(
"onehot_categorical",
OneHotEncoder(sparse=False),
["VehBrand", "VehPower", "VehGas", "Region", "Area"],
),
],
remainder="drop",
)
df_train, df_test = train_test_split(df, test_size=0.2, random_state=0)
df_calib, df_test = train_test_split(df_test, test_size=100, random_state=0)
poisson_glm = Pipeline(
[
("preprocessor", linear_model_preprocessor),
("regressor", PoissonRegressor(alpha=1e-12, max_iter=300)),
]
)
poisson_glm_pca = Pipeline(
[
("preprocessor", linear_model_preprocessor),
("pca", PCA(n_components=15, whiten=True)),
("regressor", PoissonRegressor(alpha=1e-12, max_iter=300)),
]
)
poisson_glm.fit(df_train, df_train["Frequency"], regressor__sample_weight=df_train["Exposure"])
poisson_glm_pca.fit(
df_train, df_train["Frequency"], regressor__sample_weight=df_train["Exposure"]
)
# Let's check what prediction performance we lose due to PCA
print("PoissonRegressor evaluation:")
_ = score_sklearn_estimator(poisson_glm, df_test)
print("PoissonRegressor+PCA evaluation:")
_ = score_sklearn_estimator(poisson_glm_pca, df_test)
# Now, get calibration data from the held out set
calib_data = poisson_glm_pca["pca"].transform(
poisson_glm_pca["preprocessor"].transform(df_calib)
)
# Let's see how performance decreases with bit-depth.
# This is just a test of our quantized model, not in FHE
for n_bits in [28, 16, 6, 5, 4, 3, 2]:
q_glm = QuantizedGLM(n_bits, poisson_glm_pca["regressor"], calib_data)
print(f"{n_bits}b Quantized PoissonRegressor evaluation:")
score_concrete_glm_estimator(poisson_glm_pca, q_glm, df_test)
q_glm = QuantizedGLM(2, poisson_glm_pca["regressor"], calib_data)
dev_pca_quantized = score_concrete_glm_estimator(poisson_glm_pca, q_glm, df_test)
test_data = poisson_glm_pca["pca"].transform(poisson_glm_pca["preprocessor"].transform(df_test))
q_test_data = q_glm.quantize_input(test_data)
# bench: Measure: Compilation Time (ms)
engine = q_glm.compile(
q_test_data,
BENCHMARK_CONFIGURATION,
show_mlir=False,
)
# bench: Measure: End
y_pred_fhe = np.zeros((test_data.shape[0],), np.float32)
for i, test_sample in enumerate(tqdm(q_test_data.qvalues)):
# bench: Measure: Evaluation Time (ms)
q_sample = np.expand_dims(test_sample, 1).transpose([1, 0]).astype(np.uint8)
q_pred_fhe = engine.run(q_sample)
y_pred_fhe[i] = q_glm.dequantize_output(q_pred_fhe)
# bench: Measure: End
dev_pca_quantized_fhe = score_estimator(y_pred_fhe, df_test["Frequency"], df_test["Exposure"])
if dev_pca_quantized_fhe > 0.001:
difference = abs(dev_pca_quantized - dev_pca_quantized_fhe) * 100 / dev_pca_quantized_fhe
else:
difference = 0
print(f"Quantized deviance: {dev_pca_quantized}")
print(f"FHE Quantized deviance: {dev_pca_quantized_fhe}")
print(f"Percentage difference: {difference}%")
# bench: Measure: Non Homomorphic Loss = dev_pca_quantized
# bench: Measure: Homomorphic Loss = dev_pca_quantized_fhe
# bench: Measure: Relative Loss Difference (%) = difference
# bench: Alert: Relative Loss Difference (%) > 7.5
if __name__ == "__main__":
run_glm_benchmark()

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@@ -40,13 +40,28 @@ class QuantizedArray:
rmin = numpy.min(self.values)
if rmax - rmin < STABILITY_CONST:
scale = 1
# In this case there is a single unique value to quantize
# This value could be multiplied with inputs at some point in the model
# Since zero points need to be integers, if this value is a small float (ex: 0.01)
# it will be quantized to 0 with a 0 zero-point, thus becoming useless in multiplication
# Ideally we should get rid of round here but it is risky
# regarding the FHE compilation.
# Indeed, the zero_point value for the weights has to be an integer
# for the compilation to work.
zero_point = numpy.round(-rmin)
if numpy.abs(rmax) < STABILITY_CONST:
# If the value is a 0 we cannot do it since the scale would become 0 as well
# resulting in division by 0
scale = 1
# Ideally we should get rid of round here but it is risky
# regarding the FHE compilation.
# Indeed, the zero_point value for the weights has to be an integer
# for the compilation to work.
zero_point = numpy.round(-rmin)
else:
# If the value is not a 0 we can tweak the scale factor so that
# the value quantizes to 2^b - 1, the highest possible quantized value
# TODO: should we quantize it to the value of 1 what ever the number of bits
# in order to save some precision bits ?
scale = rmax / (2 ** self.n_bits - 1)
zero_point = 0
else:
scale = (rmax - rmin) / (2 ** self.n_bits - 1) if rmax != rmin else 1.0

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View File

@@ -43,6 +43,8 @@ pygments-style-tomorrow = "^1.0.0"
beautifulsoup4 = "^4.10.0"
pip-licenses = "^3.5.3"
sphinx-zama-theme = "2.0.6"
scikit-learn = "1.0.1"
pandas = "1.3.4"
[build-system]
requires = ["poetry-core>=1.0.0"]