
.. _lib_scan:

================================
:mod:`scan` -- Looping in Theano
================================


Guide
=====

The scan functions provides the basic functionality needed to do loops
in Theano. Scan comes with many whistles and bells, which we will introduce
by way of examples.


Simple loop with accumulation:  Computing :math:`A^k`
-----------------------------------------------------

Assume that, given *k* you want to get ``A**k`` using a loop.
More precisely, if *A* is a tensor you want to compute
``A**k`` elemwise. The python/numpy code might look like:

.. code-block:: python

  result = 1
  for i in range(k):
      result = result * A

There are three things here that we need to handle: the initial value
assigned to ``result``, the accumulation of results in ``result``, and
the unchanging variable ``A``. Unchanging variables are passed to scan as
``non_sequences``. Initialization occurs in ``outputs_info``, and the accumulation
happens automatically.

The equivalent Theano code would be:

.. testcode::

  import theano
  import theano.tensor as tt

  k = tt.iscalar("k")
  A = tt.vector("A")

  # Symbolic description of the result
  result, updates = theano.scan(fn=lambda prior_result, A: prior_result * A,
                                outputs_info=T.ones_like(A),
                                non_sequences=A,
                                n_steps=k)

  # We only care about A**k, but scan has provided us with A**1 through A**k.
  # Discard the values that we don't care about. Scan is smart enough to
  # notice this and not waste memory saving them.
  final_result = result[-1]

  # compiled function that returns A**k
  power = theano.function(inputs=[A,k], outputs=final_result, updates=updates)

  print(power(range(10),2))
  print(power(range(10),4))

.. testoutput::

    [  0.   1.   4.   9.  16.  25.  36.  49.  64.  81.]
    [  0.00000000e+00   1.00000000e+00   1.60000000e+01   8.10000000e+01
       2.56000000e+02   6.25000000e+02   1.29600000e+03   2.40100000e+03
       4.09600000e+03   6.56100000e+03]

Let us go through the example line by line. What we did is first to
construct a function (using a lambda expression) that given ``prior_result`` and
``A`` returns ``prior_result * A``. The order of parameters is fixed by scan:
the output of the prior call to ``fn`` (or the initial value, initially)
is the first parameter, followed by all non-sequences.

Next we initialize the output as a tensor with same shape and dtype as ``A``,
filled with ones. We give ``A`` to scan as a non sequence parameter and
specify the number of steps ``k`` to iterate over our lambda expression.

Scan returns a tuple containing our result (``result``) and a
dictionary of updates (empty in this case). Note that the result
is not a matrix, but a 3D tensor containing the value of ``A**k`` for
each step. We want the last value (after ``k`` steps) so we compile
a function to return just that. Note that there is an optimization, that
at compile time will detect that you are using just the last value of the
result and ensure that scan does not store all the intermediate values
that are used. So do not worry if ``A`` and ``k`` are large.


Iterating over the first dimension of a tensor: Calculating a polynomial
------------------------------------------------------------------------
In addition to looping a fixed number of times, scan can iterate over
the leading dimension of tensors (similar to Python's ``for x in a_list``).

The tensor(s) to be looped over should be provided to scan using the
``sequence`` keyword argument.

Here's an example that builds a symbolic calculation of a polynomial
from a list of its coefficients:

.. testcode::

    import numpy

    coefficients = theano.tensor.vector("coefficients")
    x = tt.scalar("x")

    max_coefficients_supported = 10000

    # Generate the components of the polynomial
    components, updates = theano.scan(fn=lambda coefficient, power, free_variable: coefficient * (free_variable ** power),
                                      outputs_info=None,
                                      sequences=[coefficients, theano.tensor.arange(max_coefficients_supported)],
                                      non_sequences=x)
    # Sum them up
    polynomial = components.sum()

    # Compile a function
    calculate_polynomial = theano.function(inputs=[coefficients, x], outputs=polynomial)

    # Test
    test_coefficients = numpy.asarray([1, 0, 2], dtype=numpy.float32)
    test_value = 3
    print(calculate_polynomial(test_coefficients, test_value))
    print(1.0 * (3 ** 0) + 0.0 * (3 ** 1) + 2.0 * (3 ** 2))

.. testoutput::

    19.0
    19.0

There are a few things to note here.

First, we calculate the polynomial by first generating each of the coefficients, and
then summing them at the end. (We could also have accumulated them along the way, and then
taken the last one, which would have been more memory-efficient, but this is an example.)

Second, there is no accumulation of results, we can set ``outputs_info`` to ``None``. This indicates
to scan that it doesn't need to pass the prior result to ``fn``.

The general order of function parameters to ``fn`` is::

    sequences (if any), prior result(s) (if needed), non-sequences (if any)

Third, there's a handy trick used to simulate python's ``enumerate``: simply include
``theano.tensor.arange`` to the sequences.

Fourth, given multiple sequences of uneven lengths, scan will truncate to the shortest of them.
This makes it safe to pass a very long arange, which we need to do for generality, since
arange must have its length specified at creation time.


Simple accumulation into a scalar, ditching lambda
--------------------------------------------------

Although this example would seem almost self-explanatory, it stresses a
pitfall to be careful of: the initial output state that is supplied, that is
``outputs_info``, must be of a **shape similar to that of the output variable**
generated at each iteration and moreover, it **must not involve an implicit
downcast** of the latter.

.. testcode::


    import numpy as np
    import theano
    import theano.tensor as tt

    up_to = tt.iscalar("up_to")

    # define a named function, rather than using lambda
    def accumulate_by_adding(arange_val, sum_to_date):
        return sum_to_date + arange_val
    seq = tt.arange(up_to)

    # An unauthorized implicit downcast from the dtype of 'seq', to that of
    # 'T.as_tensor_variable(0)' which is of dtype 'int8' by default would occur
    # if this instruction were to be used instead of the next one:
    # outputs_info = tt.as_tensor_variable(0)

    outputs_info = tt.as_tensor_variable(np.asarray(0, seq.dtype))
    scan_result, scan_updates = theano.scan(fn=accumulate_by_adding,
                                            outputs_info=outputs_info,
                                            sequences=seq)
    triangular_sequence = theano.function(inputs=[up_to], outputs=scan_result)

    # test
    some_num = 15
    print(triangular_sequence(some_num))
    print([n * (n + 1) // 2 for n in range(some_num)])

.. testoutput::

    [  0   1   3   6  10  15  21  28  36  45  55  66  78  91 105]
    [0, 1, 3, 6, 10, 15, 21, 28, 36, 45, 55, 66, 78, 91, 105]

Another simple example
----------------------

Unlike some of the prior examples, this one is hard to reproduce except by using scan.

This takes a sequence of array indices, and values to place there,
and a "model" output array (whose shape and dtype will be mimicked),
and produces a sequence of arrays with the shape and dtype of the model,
with all values set to zero except at the provided array indices.

.. testcode::

    location = tt.imatrix("location")
    values = tt.vector("values")
    output_model = tt.matrix("output_model")

    def set_value_at_position(a_location, a_value, output_model):
        zeros = tt.zeros_like(output_model)
        zeros_subtensor = zeros[a_location[0], a_location[1]]
        return tt.set_subtensor(zeros_subtensor, a_value)

    result, updates = theano.scan(fn=set_value_at_position,
                                  outputs_info=None,
                                  sequences=[location, values],
                                  non_sequences=output_model)

    assign_values_at_positions = theano.function(inputs=[location, values, output_model], outputs=result)

    # test
    test_locations = numpy.asarray([[1, 1], [2, 3]], dtype=numpy.int32)
    test_values = numpy.asarray([42, 50], dtype=numpy.float32)
    test_output_model = numpy.zeros((5, 5), dtype=numpy.float32)
    print(assign_values_at_positions(test_locations, test_values, test_output_model))

.. testoutput::

    [[[  0.   0.   0.   0.   0.]
      [  0.  42.   0.   0.   0.]
      [  0.   0.   0.   0.   0.]
      [  0.   0.   0.   0.   0.]
      [  0.   0.   0.   0.   0.]]

     [[  0.   0.   0.   0.   0.]
      [  0.   0.   0.   0.   0.]
      [  0.   0.   0.  50.   0.]
      [  0.   0.   0.   0.   0.]
      [  0.   0.   0.   0.   0.]]]

This demonstrates that you can introduce new Theano variables into a scan function.


.. _lib_scan_shared_variables:

Using shared variables - Gibbs sampling
---------------------------------------

Another useful feature of scan, is that it can handle shared variables.
For example, if we want to implement a Gibbs chain of length 10 we would do
the following:

.. testsetup:: scan1

   import theano
   import numpy
   W_values = numpy.random.random((2, 2))
   bvis_values = numpy.random.random((2,))
   bhid_values = numpy.random.random((2,))

.. testcode:: scan1

   import theano
   from theano import tensor as tt

   W = theano.shared(W_values) # we assume that ``W_values`` contains the
                               # initial values of your weight matrix

   bvis = theano.shared(bvis_values)
   bhid = theano.shared(bhid_values)

   trng = tt.shared_randomstreams.RandomStreams(1234)

   def OneStep(vsample) :
       hmean = tt.nnet.sigmoid(theano.dot(vsample, W) + bhid)
       hsample = trng.binomial(size=hmean.shape, n=1, p=hmean)
       vmean = tt.nnet.sigmoid(theano.dot(hsample, W.T) + bvis)
       return trng.binomial(size=vsample.shape, n=1, p=vmean,
                            dtype=theano.config.floatX)

   sample = theano.tensor.vector()

   values, updates = theano.scan(OneStep, outputs_info=sample, n_steps=10)

   gibbs10 = theano.function([sample], values[-1], updates=updates)


The first, and probably most crucial observation is that the updates
dictionary becomes important in this case. It links a shared variable
with its updated value after k steps. In this case it tells how the
random streams get updated after 10 iterations. If you do not pass this
update dictionary to your function, you will always get the same 10
sets of random numbers. You can even use the ``updates`` dictionary
afterwards. Look at this example :

.. testsetup:: scan2

   import theano

.. testcode:: scan2

    a = theano.shared(1)
    values, updates = theano.scan(lambda: {a: a+1}, n_steps=10)

In this case the lambda expression does not require any input parameters
and returns an update dictionary which tells how ``a`` should be updated
after each step of scan. If we write :

.. testcode:: scan2

    b = a + 1
    c = updates[a] + 1
    f = theano.function([], [b, c], updates=updates)

    print(b)
    print(c)
    print(a.get_value())

.. testoutput:: scan2
   :hide:

   Elemwise{add,no_inplace}.0
   Elemwise{add,no_inplace}.0
   1

We will see that because ``b`` does not use the updated version of
``a``, it will be 2, ``c`` will be 12, while ``a.value`` is ``11``.
If we call the function again, ``b`` will become 12, ``c`` will be 22
and ``a.value`` 21. If we do not pass the ``updates`` dictionary to the
function, then ``a.value`` will always remain 1, ``b`` will always be 2 and
``c`` will always be ``12``.

The second observation is that if we use shared variables ( ``W``, ``bvis``,
``bhid``) but we do not iterate over them (i.e. scan doesn't really need to know
anything in particular about them, just that they are used inside the
function applied at each step) you do not need to pass them as arguments.
Scan will find them on its own and add them to the graph.
However, passing them to the scan function is a good practice, as it avoids
Scan Op calling any earlier (external) Op over and over. This results in a
simpler computational graph, which speeds up the optimization and the
execution. To pass the shared variables to Scan you need to put them in a list
and give it to the ``non_sequences`` argument. Here is the Gibbs sampling code
updated:

.. testcode:: scan1

    W = theano.shared(W_values) # we assume that ``W_values`` contains the
                                # initial values of your weight matrix

    bvis = theano.shared(bvis_values)
    bhid = theano.shared(bhid_values)

    trng = tt.shared_randomstreams.RandomStreams(1234)

    # OneStep, with explicit use of the shared variables (W, bvis, bhid)
    def OneStep(vsample, W, bvis, bhid):
        hmean = tt.nnet.sigmoid(theano.dot(vsample, W) + bhid)
        hsample = trng.binomial(size=hmean.shape, n=1, p=hmean)
        vmean = tt.nnet.sigmoid(theano.dot(hsample, W.T) + bvis)
        return trng.binomial(size=vsample.shape, n=1, p=vmean,
                         dtype=theano.config.floatX)

    sample = theano.tensor.vector()

    # The new scan, with the shared variables passed as non_sequences
    values, updates = theano.scan(fn=OneStep,
                                  outputs_info=sample,
                                  non_sequences=[W, bvis, bhid],
                                  n_steps=10)

    gibbs10 = theano.function([sample], values[-1], updates=updates)


.. _lib_scan_strict:

Using shared variables - the strict flag
----------------------------------------

As we just saw, passing the shared variables to scan may result in a simpler
computational graph, which speeds up the optimization and the execution. A
good way to remember to pass every shared variable used during scan is to use
the ``strict`` flag. When set to true, scan checks that all the necessary shared
variables in ``fn`` are passed as explicit arguments to ``fn``. This has to be
ensured by the user. Otherwise, it will result in an error.

Using the original Gibbs sampling example, with ``strict=True`` added to the
``scan()`` call:

.. testcode:: scan1

    # Same OneStep as in original example.
    def OneStep(vsample) :
        hmean = tt.nnet.sigmoid(theano.dot(vsample, W) + bhid)
        hsample = trng.binomial(size=hmean.shape, n=1, p=hmean)
        vmean = tt.nnet.sigmoid(theano.dot(hsample, W.T) + bvis)
        return trng.binomial(size=vsample.shape, n=1, p=vmean,
                             dtype=theano.config.floatX)

    # The new scan, adding strict=True to the original call.
    values, updates = theano.scan(OneStep,
                                  outputs_info=sample,
                                  n_steps=10,
                                  strict=True)

.. testoutput:: scan1

    Traceback (most recent call last):
    ...
    MissingInputError: An input of the graph, used to compute
    DimShuffle{1,0}(<TensorType(float64, matrix)>), was not provided and
    not given a value.Use the Theano flag exception_verbosity='high',for
    more information on this error.

The error indicates that ``OneStep`` relies on variables that are not passed
as arguments explicitly. Here is the correct version, with the shared
variables passed explicitly to ``OneStep`` and to scan:

.. testcode:: scan1

    # OneStep, with explicit use of the shared variables (W, bvis, bhid)
    def OneStep(vsample, W, bvis, bhid) :
        hmean = tt.nnet.sigmoid(theano.dot(vsample, W) + bhid)
        hsample = trng.binomial(size=hmean.shape, n=1, p=hmean)
        vmean = tt.nnet.sigmoid(theano.dot(hsample, W.T) + bvis)
        return trng.binomial(size=vsample.shape, n=1, p=vmean,
                             dtype=theano.config.floatX)

    # The new scan, adding strict=True to the original call, and passing
    # explicitly W, bvis and bhid.
    values, updates = theano.scan(OneStep,
                                  outputs_info=sample,
                                  non_sequences=[W, bvis, bhid],
                                  n_steps=10,
                                  strict=True)


Multiple outputs, several taps values - Recurrent Neural Network with Scan
--------------------------------------------------------------------------

The examples above showed simple uses of scan. However, scan also supports
referring not only to the prior result and the current sequence value, but
also looking back more than one step.

This is needed, for example, to implement a RNN using scan. Assume
that our RNN is defined as follows :

.. math::
  x(n) = \tanh( W x(n-1) + W^{in}_1 u(n) + W^{in}_2 u(n-4) +
  W^{feedback} y(n-1) )

  y(n) = W^{out} x(n- 3)

Note that this network is far from a classical recurrent neural
network and might be useless. The reason we defined as such
is to better illustrate the features of scan.

In this case we have a sequence over which we need to iterate ``u``,
and two outputs ``x`` and ``y``. To implement this with scan we first
construct a function that computes one iteration step :

.. testsetup:: scan3

   import theano
   from theano import tensor as tt

.. testcode:: scan3

  def oneStep(u_tm4, u_t, x_tm3, x_tm1, y_tm1, W, W_in_1, W_in_2,  W_feedback, W_out):

    x_t = tt.tanh(theano.dot(x_tm1, W) + \
                 theano.dot(u_t,   W_in_1) + \
                 theano.dot(u_tm4, W_in_2) + \
                 theano.dot(y_tm1, W_feedback))
    y_t = theano.dot(x_tm3, W_out)

    return [x_t, y_t]

As naming convention for the variables we used ``a_tmb`` to mean ``a`` at
``t-b`` and ``a_tpb`` to be ``a`` at ``t+b``.
Note the order in which the parameters are given, and in which the
result is returned. Try to respect chronological order among
the taps ( time slices of sequences or outputs) used. For scan is crucial only
for the variables representing the different time taps to be in the same order
as the one in which these taps are given. Also, not only taps should respect
an order, but also variables, since this is how scan figures out what should
be represented by what. Given that we have all
the Theano variables needed we construct our RNN as follows :

.. testcode:: scan3

   W = tt.matrix()
   W_in_1 = tt.matrix()
   W_in_2 = tt.matrix()
   W_feedback = tt.matrix()
   W_out = tt.matrix()

   u = tt.matrix() # it is a sequence of vectors
   x0 = tt.matrix() # initial state of x has to be a matrix, since
                   # it has to cover x[-3]
   y0 = tt.vector() # y0 is just a vector since scan has only to provide
                   # y[-1]


   ([x_vals, y_vals], updates) = theano.scan(fn=oneStep,
                                             sequences=dict(input=u, taps=[-4,-0]),
                                             outputs_info=[dict(initial=x0, taps=[-3,-1]), y0],
                                             non_sequences=[W, W_in_1, W_in_2, W_feedback, W_out],
                                             strict=True)
        # for second input y, scan adds -1 in output_taps by default



Now ``x_vals`` and ``y_vals`` are symbolic variables pointing to the
sequence of x and y values generated by iterating over u. The
``sequence_taps``, ``outputs_taps`` give to scan information about what
slices are exactly needed. Note that if we want to use ``x[t-k]`` we do
not need to also have ``x[t-(k-1)], x[t-(k-2)],..``, but when applying
the compiled function, the numpy array given to represent this sequence
should be large enough to cover this values. Assume that we compile the
above function, and we give as ``u`` the array ``uvals = [0,1,2,3,4,5,6,7,8]``.
By abusing notations, scan will consider ``uvals[0]`` as ``u[-4]``, and
will start scanning from ``uvals[4]`` towards the end.


Conditional ending of Scan
--------------------------

Scan can also be used as a ``repeat-until`` block. In such a case scan
will stop when either the maximal number of iteration is reached, or the
provided condition evaluates to True.

For an example, we will compute all powers of two smaller then some provided
value ``max_value``.

.. testcode::

    def power_of_2(previous_power, max_value):
        return previous_power*2, theano.scan.utils.until(previous_power*2 > max_value)

    max_value = tt.scalar()
    values, _ = theano.scan(power_of_2,
                            outputs_info = tt.constant(1.),
                            non_sequences = max_value,
                            n_steps = 1024)

    f = theano.function([max_value], values)

    print(f(45))

.. testoutput::

    [  2.   4.   8.  16.  32.  64.]

As you can see, in order to terminate on condition, the only thing required
is that the inner function ``power_of_2`` to return also the condition
wrapped in the class ``theano.scan.utils.until``. The condition has to be
expressed in terms of the arguments of the inner function (in this case
``previous_power`` and ``max_value``).

As a rule, scan always expects the condition to be the last thing returned
by the inner function, otherwise an error will be raised.


Reducing Scan's memory usage
----------------------------

This section presents the ``scan_checkpoints`` function. In short, this
function reduces the memory usage of scan (at the cost of more computation
time) by not keeping in memory all the intermediate time steps of the loop,
and recomputing them when computing the gradients. This function is therefore
only useful if you need to compute the gradient of the output of scan with
respect to its inputs, and shouldn't be used otherwise.

Before going more into the details, here are its current limitations:

* It only works in the case where only the output of the last time step is
  needed, like when computing ``A**k`` or in an `encoder-decoder` setup.
* It only accepts sequences of the same length.
* If ``n_steps`` is specified, it has the same value as the length of any
  sequences.
* It is singly-recurrent, meaning that only the previous time step can be used
  to compute the current one (i.e. ``h[t]`` can only depend on ``h[t-1]``). In
  other words, ``taps`` can not be used in ``sequences`` and ``outputs_info``.

Often, in order to be able to compute the gradients through scan operations,
Theano needs to keep in memory some intermediate computations of scan. This
can sometimes use a prohibitively large amount of memory.
``scan_checkpoints`` allows to discard some of those intermediate steps and
recompute them again when computing the gradients. Its ``save_every_N`` argument
specifies the number time steps to do without storing the intermediate results.
For example, ``save_every_N = 4`` will reduce the memory usage by 4, while having
to recompute 3/4 time steps of the forward loop. Since the grad of scan is
about 6x slower than the forward, a ~20% slowdown is expected. Apart from the
``save_every_N`` argument and the current limitations, the usage of this function
is similar to the classic ``scan`` function.


Optimizing Scan's performance
-----------------------------

This section covers some ways to improve performance of a Theano function
using Scan.


Minimizing Scan usage
^^^^^^^^^^^^^^^^^^^^^

Scan makes it possible to define simple and compact graphs that can do the
same work as much larger and more complicated graphs. However, it comes with
a significant overhead. As such, when performance is the objective, a good
rule of thumb is to perform as much of the computation as possible outside of
Scan. This may have the effect of increasing memory usage but can also
reduce the overhead introduces by using Scan.


Explicitly passing inputs of the inner function to scan
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

It is possible, inside of Scan, to use variables previously defined outside of
the Scan without explicitly passing them as inputs to the Scan. However, it is
often more efficient to explicitly pass them as non-sequence inputs instead.
Section :ref:`lib_scan_shared_variables` provides an explanation for this and
section :ref:`lib_scan_strict` describes the *strict* flag, a tool that Scan
provides to help ensure that the inputs to the function inside Scan have all
been provided as explicit inputs to the ``scan()`` function.


Deactivating garbage collecting in Scan
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

Deactivating the garbage collection for Scan can allow it to reuse memory
between executions instead of always having to allocate new memory. This can
improve performance at the cost of increased memory usage. By default, Scan
reuses memory between iterations of the same execution but frees the memory
after the last iteration.

There are two ways to achieve this, using the Theano flag
``config.scan__allow_gc`` and setting it to False, or using the argument
``allow_gc`` of the function theano.scan() and set it to False (when a value
is not provided for this argument, the value of the flag
``config.scan__allow_gc`` is used).


Graph optimizations
^^^^^^^^^^^^^^^^^^^

This one is simple but still worth pointing out. Theano is able to
automatically recognize and optimize many computation patterns. However, there
are patterns that Theano doesn't optimize because doing so would change the
user interface (such as merging shared variables together into a single one,
for instance). Additionally, Theano doesn't catch every case that it could
optimize and so it remains useful for performance that the user defines an
efficient graph in the first place. This is also the case, and sometimes even
more so, for the graph inside of Scan. This is because it will be executed
many times for every execution of the Theano function that contains it.

The `LSTM tutorial <http://deeplearning.net/tutorial/lstm.html>`_ on
`DeepLearning.net <http://deeplearning.net>`_ provides an example of an
optimization that Theano cannot perform. Instead of performing many matrix
multiplications between matrix :math:`x_t` and each of the shared matrices
:math:`W_i`, :math:`W_c`, :math:`W_f` and :math:`W_o`, the matrices
:math:`W_*`, are merged into a single shared matrix :math:`W` and the graph
performs a single larger matrix multiplication between :math:`W` and
:math:`x_t`. The resulting matrix is then sliced to obtain the results of that
the small individual matrix multiplications would have produced. This
optimization replaces several small and inefficient matrix multiplications by
a single larger one and thus improves performance at the cost of a potentially
higher memory usage.


reference
=========

.. automodule:: theano.scan

.. autofunction:: theano.map
.. autofunction:: theano.reduce
.. autofunction:: theano.foldl
.. autofunction:: theano.foldr
.. autofunction:: theano.scan
.. autofunction:: theano.scan_checkpoints
