Adds fast gradient clipping support for the Embedding layer. (#694)

Summary:
The algorithm used is described in the 'A Unified Fast Gradient Clipping Framework for DP-SGD' paper: https://proceedings.neurips.cc/paper_files/paper/2023/file/a45d344b28179c8da7646bc38ff50ad8-Paper-Conference.pdf.

## Types of changes

- [ ] Bug fix (non-breaking change which fixes an issue)
- [x] New feature (non-breaking change which adds functionality)
- [ ] Breaking change (fix or feature that would cause existing functionality to change)
- [ ] Docs change / refactoring / dependency upgrade

## Motivation and Context / Related issue

Previously, Ghost clipping was not supported in Opacus for embedding layer. With default DP-SGD implementation, the training OOMs out on large embedding layers over large physical batch size (useful for privacy). The regular DP-SGD needs O(Bnd), where B=physical batch size, n=vocab size, d=embedding dimension. To give an example on memory needed: we've seen embeddings with [vocab size=1000000, dim=5] (and higher) in real-world differential privacy applications. With a physical batch size of 16,000, memory needed: 16000 × 1000000 × 5 x 4 = 298.02 GB.

With this change, we need significantly smaller memory: O(Br) where B is physical batch size, and r is number of unique  indices in the embedding sequence. We could successfully run DP-SGD over above example, using < 8GiB.

This is a good add to Opacus, enabling larger embedding layers over larger physical batch sizes to be trained with DP-SGD.

## How Has This Been Tested (if it applies)

Unit tests. Runs over large embedding layer training over realworld DP application.

## Checklist

- [x] The documentation is up-to-date with the changes I made.
- [x] I have read the **CONTRIBUTING** document and completed the CLA (see **CONTRIBUTING**).
- [x] All tests passed, and additional code has been covered with new tests.

Pull Request resolved: #694

Reviewed By: EnayatUllah

Differential Revision: D67258669

fbshipit-source-id: a8bbcb3471116edff4c8a0ac7a6c96f38edd1075

opacus/grad_sample/__init__.py

@@ -17,6 +17,7 @@
 from .dp_multihead_attention import compute_sequence_bias_grad_sample  # noqa
 from .dp_rnn import compute_rnn_linear_grad_sample  # noqa
 from .embedding import compute_embedding_grad_sample  # noqa
+from .embedding_norm_sample import compute_embedding_norm_sample  # noqa
 from .grad_sample_module import GradSampleModule, create_or_accumulate_grad_sample
 from .grad_sample_module_fast_gradient_clipping import (  # noqa
     GradSampleModuleFastGradientClipping,

opacus/grad_sample/embedding.py

@@ -13,12 +13,13 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from typing import Dict
+from typing import Dict, List
 
 import torch
 import torch.nn as nn
+from opacus.grad_sample import embedding_norm_sample
 
-from .utils import register_grad_sampler
+from .utils import register_grad_sampler, register_norm_sampler
 
 
 @register_grad_sampler(nn.Embedding)
@@ -82,3 +83,24 @@ def compute_embeddingbag_gradsampler(layer, inputs, backprops):
     ret[layer.weight] = gsm
 
     return ret
+
+
+@register_norm_sampler(nn.Embedding)
+def compute_embedding_norm_sample(
+    layer: nn.Embedding,
+    activations: List[torch.Tensor],
+    backprops: torch.Tensor,
+) -> Dict[nn.Parameter, torch.Tensor]:
+    """Computes gradient norms for ``nn.Embedding`` layer.
+
+    Args:
+      layer: Layer
+      activations: Activations
+      backprops: Backpropagations
+
+    Returns:
+      A dictionary of parameter gradients
+    """
+    return embedding_norm_sample.compute_embedding_norm_sample(
+        layer, activations, backprops
+    )

opacus/grad_sample/embedding_norm_sample.py

@@ -0,0 +1,148 @@
+#!/usr/bin/env python3
+# Copyright 2024, The Opacus authors.
+#
+# 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.
+
+"""Utility for computing gradient norm for the embedding layer.
+
+Based on the algorithm from the paper:
+https://proceedings.neurips.cc/paper_files/paper/2023/file/a45d344b28179c8da7646bc38ff50ad8-Paper-Conference.pdf.
+"""
+from typing import Dict, List
+
+import torch
+from torch import nn
+
+
+def compute_embedding_norm_sample(
+    layer: nn.Embedding,
+    activations: List[torch.Tensor],
+    backprops: torch.Tensor,
+) -> Dict[nn.Parameter, torch.Tensor]:
+    """Computes per sample gradient norms for ``nn.Embedding`` layer.
+
+    Args:
+      layer: Layer
+      activations: Activations
+      backprops: Backpropagations
+
+    Returns:
+      A dictionary of parameter gradients
+
+    NOTE: Here is an example input, and the expected intermediate values. This
+    is proivided to help in understanding the algorithm:
+    Inputs:
+      layer:  Embedding(3, 1) # (vocab_size, embedding_dim)
+      activations:  [tensor([[1, 1],
+          [2, 0],
+          [2, 0]])]
+      backprops:  tensor([[[0.2], [0.2]],
+          [[0.3], [0.1]],
+          [[0.3], [0.1]]])
+      backprops.shape:  torch.Size([3, 2, 1])
+
+    Intermediate values:
+      input_ids:  tensor([[1, 1],
+          [2, 0],
+          [2, 0]])
+      input_ids.shape:  torch.Size([3, 2])
+      grad_values:  tensor([[0.2000],
+          [0.2000],
+          [0.3000],
+          [0.1000],
+          [0.3000],
+          [0.1000]])
+      grad_values.shape:  torch.Size([6, 1])
+      nrows:  3
+      ncols:  2
+      row_indices:  tensor([[0],
+          [0],
+          [1],
+          [1],
+          [2],
+          [2]])
+      flattened_indices:  tensor([[1],
+          [1],
+          [2],
+          [0],
+          [2],
+          [0]])
+      paired_indices:  tensor([[0, 1],
+          [0, 1],
+          [1, 2],
+          [1, 0],
+          [2, 2],
+          [2, 0]])
+      unique_paired_indices:  tensor([[0, 1],
+          [1, 0],
+          [1, 2],
+          [2, 0],
+          [2, 2]])
+      new_index_positions:  tensor([0, 0, 2, 1, 4, 3])
+      num_unique_paired_indices:  5
+      summed_gradients:  tensor([[0.4000],
+          [0.1000],
+          [0.3000],
+          [0.1000],
+          [0.3000]])
+      sqr_gradient_sum:  tensor([0.1600, 0.0100, 0.0900, 0.0100, 0.0900])
+      unique_batch_ids:  tensor([0, 1, 1, 2, 2])
+      result:  tensor([0.1600, 0.1000, 0.1000])
+      result_sqrt:  tensor([0.4000, 0.3162, 0.3162])
+    """
+    device = activations[0].device
+    input_ids = activations[0].to(device)
+    grad_values = backprops.to(device)
+
+    # Reshape input_ids preserving the batch size as the first dimension
+    input_ids = input_ids.reshape(input_ids.shape[0], -1)
+
+    # Reshape grad_values preserving the embedding dimension as the last dimension
+    grad_values = grad_values.reshape(-1, grad_values.size(-1))
+
+    # Create 1D tensor of row indices
+    nrows = input_ids.size(0)
+    ncols = input_ids.size(1)
+    row_indices = (
+        torch.repeat_interleave(torch.arange(nrows).to(device), ncols)
+        .unsqueeze(-1)
+        .to(device)
+    )
+
+    # Pair the input IDs with the row indices
+    flattened_indices = input_ids.view(-1, 1)
+    paired_indices = torch.cat([row_indices, flattened_indices], dim=1).to(device)
+
+    # Get unique paired indices and new index positions for aggregation
+    unique_paired_indices, new_index_positions = torch.unique(
+        paired_indices, dim=0, return_inverse=True, sorted=True
+    )
+
+    # Sum gradients over new index positions and compute squared gradient norms
+    num_unique_paired_indices = unique_paired_indices.size(0)
+    summed_gradients = torch.zeros(
+        num_unique_paired_indices, grad_values.size(-1), device=device
+    )
+    summed_gradients = summed_gradients.index_add(
+        0, new_index_positions.to(device), grad_values
+    )
+    sqr_gradient_sum = torch.sum(summed_gradients**2, dim=1)
+
+    # Scatter add the squared sums back to their respective rows
+    result = torch.zeros(nrows, device=device)
+    unique_batch_ids = unique_paired_indices[:, 0].to(device)
+    result.scatter_add_(0, unique_batch_ids, sqr_gradient_sum)
+
+    # Compute the square root for the final result (norm)
+    result_sqrt = torch.sqrt(result)
+    return {layer.weight: result_sqrt}

opacus/tests/grad_sample_module_fast_gradient_clipping_test.py

@@ -14,6 +14,7 @@
 # limitations under the License.
 
 import logging
+import unittest
 
 import hypothesis.strategies as st
 import torch
@@ -67,6 +68,21 @@ def forward(self, x):
         return x
 
 
+class SampleEmbeddingModule(nn.Module):
+    def __init__(self, vocab_size, embedding_dim):
+        super(SampleEmbeddingModule, self).__init__()
+        self.embedding = nn.Embedding(vocab_size, embedding_dim)
+
+        # Manually set weights for the embedding layer for testing
+        self.embedding.weight = nn.Parameter(
+            torch.tensor([[0.1], [0.2], [0.3]], dtype=torch.float32)
+        )
+
+    def forward(self, x):
+        x = self.embedding(x)
+        return x
+
+
 class GradSampleModuleFastGradientClippingTest(GradSampleModuleTest):
     CLS = GradSampleModuleFastGradientClipping
 
@@ -260,3 +276,151 @@ def test_gradient_calculation_fast_gradient_clipping(self, size, length, dim):
         logging.info(f"Diff = {diff}")
         msg = "Fail: Gradients from vanilla DP-SGD and from fast gradient clipping are different"
         assert torch.allclose(flat_grads_normal, flat_grads_gc, atol=1e-3), msg
+
+
+class GradSampleModuleFastGradientClippingEmbeddingLayerTest(unittest.TestCase):
+
+    def test_norm_calculation(self):
+        """
+        Tests if norm calculation for embedding layer is the same between
+        standard (Opacus) and fast gradient clipping"
+        """
+        vocab_size = 3
+        embedding_dim = 1
+
+        criterion = torch.nn.CrossEntropyLoss(reduction="none")
+        noise_multiplier = 0.0
+        input_data = torch.tensor([[1, 1], [2, 0], [2, 0]], dtype=torch.long)
+        batch_size = 3
+        max_grad_norm = 1.0
+        sample_module = SampleEmbeddingModule(vocab_size, embedding_dim)
+        model_normal = GradSampleModule(clone_module(sample_module))
+        optimizer_normal = torch.optim.SGD(model_normal.parameters(), lr=1)
+        optimizer_normal = DPOptimizer(
+            optimizer_normal,
+            noise_multiplier=noise_multiplier,
+            max_grad_norm=max_grad_norm,
+            expected_batch_size=batch_size,
+        )
+
+        grad_sample_module = GradSampleModuleFastGradientClipping(
+            clone_module(sample_module),
+            max_grad_norm=max_grad_norm,
+            use_ghost_clipping=True,
+        )
+        optimizer_gc = torch.optim.SGD(grad_sample_module.parameters(), lr=1)
+        optimizer_gc = DPOptimizerFastGradientClipping(
+            optimizer_gc,
+            noise_multiplier=noise_multiplier,
+            max_grad_norm=max_grad_norm,
+            expected_batch_size=batch_size,
+        )
+
+        optimizer_normal.zero_grad()
+        output_normal = model_normal(input_data)
+        target_data = torch.rand_like(output_normal)
+
+        loss_normal = torch.mean(criterion(output_normal, target_data), dim=0)
+        loss_normal.backward()
+        all_norms_normal = torch.stack(
+            [
+                torch.stack([g.norm() for g in param.grad_sample], dim=0)
+                for param in model_normal.parameters()
+            ],
+            dim=0,
+        )
+        flat_norms_normal = torch.cat([p.flatten() for p in all_norms_normal])
+
+        grad_sample_module.enable_hooks()
+        output_gc = grad_sample_module(input_data)
+
+        first_loss_per_sample = criterion(output_gc, target_data)
+        first_loss = torch.mean(first_loss_per_sample)
+        first_loss.backward(retain_graph=True)
+
+        optimizer_gc.zero_grad()
+        coeff = grad_sample_module.get_clipping_coef()
+        second_loss_per_sample = coeff * first_loss_per_sample
+        second_loss = torch.sum(second_loss_per_sample)
+        grad_sample_module.disable_hooks()
+        second_loss.backward()
+
+        all_norms_gc = [param._norm_sample for param in grad_sample_module.parameters()]
+        flat_norms_gc = torch.cat([p.flatten() for p in all_norms_gc])
+
+        diff = flat_norms_normal - flat_norms_gc
+
+        logging.info(f"Diff = {diff}")
+        msg = "Fail: Gradient norms from vanilla DP-SGD and from fast gradient clipping are different"
+        assert torch.allclose(flat_norms_normal, flat_norms_gc, atol=1e-3), msg
+
+    def test_gradient_calculation(self):
+        """Tests if gradients for embedding layer are the same between standard
+        (Opacus) and fast gradient clipping."""
+
+        noise_multiplier = 0.0
+        vocab_size = 3
+        embedding_dim = 1
+        batch_size = 3
+        input_data = torch.tensor([[1, 1], [2, 0], [2, 0]], dtype=torch.long)
+        max_grad_norm = 1.0
+        criterion = torch.nn.CrossEntropyLoss()
+
+        sample_module = SampleEmbeddingModule(vocab_size, embedding_dim)
+        model_normal = GradSampleModule(clone_module(sample_module))
+        grad_sample_module = GradSampleModuleFastGradientClipping(
+            clone_module(sample_module),
+            max_grad_norm=max_grad_norm,
+            use_ghost_clipping=True,
+        )
+
+        optimizer_normal = torch.optim.SGD(model_normal.parameters(), lr=1)
+        optimizer_normal = DPOptimizer(
+            optimizer_normal,
+            noise_multiplier=noise_multiplier,
+            max_grad_norm=max_grad_norm,
+            expected_batch_size=batch_size,
+        )
+
+        optimizer_gc = torch.optim.SGD(grad_sample_module.parameters(), lr=1)
+        optimizer_gc = DPOptimizerFastGradientClipping(
+            optimizer_gc,
+            noise_multiplier=noise_multiplier,
+            max_grad_norm=max_grad_norm,
+            expected_batch_size=batch_size,
+        )
+
+        criterion_gc = DPLossFastGradientClipping(
+            grad_sample_module, optimizer_gc, criterion
+        )
+
+        optimizer_normal.zero_grad()
+        output_normal = model_normal(input_data)
+        target_data = torch.tensor([[[0.1], [0.1]], [[0.2], [0.3]], [[0.2], [0.3]]])
+        loss_normal = torch.mean(criterion(output_normal, target_data), dim=0)
+        loss_normal.backward()
+        optimizer_normal.step()
+
+        all_grads_normal = [param.summed_grad for param in model_normal.parameters()]
+        flat_grads_normal = torch.cat([p.flatten() for p in all_grads_normal])
+
+        optimizer_gc.zero_grad()
+        grad_sample_module.enable_hooks()
+        output_gc = grad_sample_module(input_data)
+
+        loss_gc = criterion_gc(output_gc, target_data)
+        loss_gc.backward()
+        optimizer_gc.step()
+
+        all_grads_gc = [param.grad for param in grad_sample_module.parameters()]
+        flat_grads_gc = torch.cat([p.flatten() for p in all_grads_gc])
+        diff = torch.tensor(
+            [
+                (g_gc - g_normal).norm()
+                for (g_gc, g_normal) in zip(flat_grads_gc, flat_grads_normal)
+            ]
+        )
+
+        logging.info(f"Diff = {diff}")
+        msg = "Fail: Gradients from vanilla DP-SGD and from fast gradient clipping are different"
+        assert torch.allclose(flat_grads_normal, flat_grads_gc, atol=1e-3), msg