Compute the Hessian matrix of a network

autograd
3

I use follow code to evaluate Hessian matrix:

# eval Hessian matrix
def eval_hessian(loss_grad, model):
    cnt = 0
    for g in loss_grad:
        g_vector = g.contiguous().view(-1) if cnt == 0 else torch.cat([g_vector, g.contiguous().view(-1)])
        cnt = 1
    l = g_vector.size(0)
    hessian = torch.zeros(l, l)
    for idx in range(l):
        grad2rd = autograd.grad(g_vector[idx], model.parameters(), create_graph=True)
        cnt = 0
        for g in grad2rd:
            g2 = g.contiguous().view(-1) if cnt == 0 else torch.cat([g2, g.contiguous().view(-1)])
            cnt = 1
        hessian[idx] = g2
    return hessian.cpu().data.numpy()

where loss_grad can calculate like: autograd.grad(loss, net.parameters(), create_graph=True)

Note: it’s only for small network

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