geom-median 0.1.0
Implementation of the smoothed Weiszfeld algorithm to compute the geometric median
Requires Python: >=3.6

# Differentiable and Fast Geometric Median in NumPy and PyTorch

This package implements a fast numerical algorithm to compute the geometric median of high dimensional vectors.
As a generalization of the median (of scalars), the [geometric median](https://en.wikipedia.org/wiki/Geometric_median) 
is a robust estimator of the mean in the presence of outliers and contaminations (adversarial or otherwise). 

![definition](fig/gm.jpg)

The geometric median is also known as the Fermat point, Weber's L1 median, Fréchet median among others. 
It has a breakdown point of 0.5, meaning that it yields a robust aggregate even under arbitrary corruptions to points accounting for under half the total weight. We use the smoothed Weiszfeld algorithm to compute the geometric median. 

**Features**:
- Implementation in both NumPy and PyTorch.
- PyTorch implementation is fully differentiable (compatible with gradient backpropagation a.k.a. automatic differentiation) and can run on GPUs with CUDA tensors.
- Blazing fast algorithm that converges linearly in almost all practical settings. 

# Installation
This package can be installed via pip as `pip install geom_median`. Alternatively, for an editable install, 
run
```bash
git clone git@github.com:krishnap25/geom_median.git
cd geom_median
pip install -e .
```

You must have a working installation of PyTorch, version 1.7 or over in case you wish to use the PyTorch API. 
See details [here](https://pytorch.org/get-started/locally/).

# Usage Guide
We describe the PyTorch usage here. The NumPy API is entirely analogous. 

```python
import torch
from geom_median.torch import compute_geometric_median   # PyTorch API
# from geom_median.numpy import compute_geometric_median  # NumPy API
```

For the simplest use case, supply a list of tensors: 

```python
n = 10  # Number of vectors
d = 25  # dimensionality of each vector
points = [torch.rand(d) for _ in range(n)]   # list of n tensors of shape (d,)
# The shape of each tensor is the same and can be arbitrary (not necessarily 1-dimensional)
weights = torch.rand(n)  # non-negative weights of shape (n,)
out = compute_geometric_median(points, weights)
# Access the median via `out.median`, which has the same shape as the points, i.e., (d,)
```
The termination condition can be examined through `out.termination`, which gives a message such as 
`"function value converged within tolerance"` or `"maximum iterations reached"`.

We also support a use case where each point is given by list of tensors. 
For instance, each point is the list of parameters of a `torch.nn.Module` for instance as `point = list(module.parameters())`.
In this case, this is equivalent to flattening and concatenating all the tensors into a single vector via 
`flatted_point = torch.stack([v.view(-1) for v in point])`.
This functionality can be invoked as follows: 

```python
models = [torch.nn.Linear(20, 10) for _ in range(n)]  # a list of n models
points = [list(model.parameters()) for model in models]  # list of points, where each point is a list of tensors
out = compute_geometric_median(points, weights=None)  # equivalent to `weights = torch.ones(n)`. 
# Access the median via `out.median`, also given as a list of tensors
```

We also support computing the geometric median for each component separately in the list-of-tensors format:
```python
models = [torch.nn.Linear(20, 10) for _ in range(n)]  # a list of n models
points = [list(model.parameters()) for model in models]  # list of points, where each point is a list of tensors
out = compute_geometric_median(points, weights=None, per_component=True)  
# Access the median via `out.median`, also given as a list of tensors
```
This per-component geometric median is equivalent in functionality to 
```python
out.median[j] = compute_geometric_median([p[j] for p in points], weights)
```

## Backpropagation support
When using the PyTorch API, the result `out.median`, as a function of `points`, supports gradient backpropagation, also known as reverse-mode automatic differentiation. Here is a toy example illustrating this behavior.
```python
points = [torch.rand(d).requires_grad_(True) for _ in range(n)]   # list of tensors with `requires_grad=True`
out = compute_geometric_median(points, weights=None)
torch.linalg.norm(out.median).backward()  # call backward on any downstream function of `out.median`
gradients = [p.grad for p in points]  # gradients with respect of `points` and upstream nodes in the computation graph
```

## GPU support
Simply use as above where `points` and `weights` are CUDA tensors. 

# Authors and Contact
[Krishna Pillutla](https://krishnap25.github.io/)   
[Sham Kakade](https://sham.seas.harvard.edu/)   
[Zaid Harchaoui](https://faculty.washington.edu/zaid/)

In case of questions, please raise an issue on GitHub. 

# Citation
If you found this package useful, please consider citing this paper. 

```
@article{pillutla:etal:rfa ,
  title={{Robust Aggregation for Federated Learning}},
  author={Pillutla, Krishna and  Kakade, Sham M. and Harchaoui, Zaid},
  journal={arXiv preprint},
  year={2019}
}
```