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Local Lipschitz Bounds of Deep Neural Networks

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arxiv 2004.13135 v3 pith:MYP2RJIE submitted 2020-04-27 stat.ML cs.LGq-fin.MF

Calypso Herrera , Florian Krach , Josef Teichmann This is my paper · ORCID
classification stat.MLcs.LGq-fin.MF
keywords lipschitzconstantsneuralboundsnetworksoptimizationconstantconvergence
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The Lipschitz constant is an important quantity that arises in analysing the convergence of gradient-based optimization methods. It is generally unclear how to estimate the Lipschitz constant of a complex model. Thus, this paper studies an important problem that may be useful to the broader area of non-convex optimization. The main result provides a local upper bound on the Lipschitz constants of a multi-layer feed-forward neural network and its gradient. Moreover, lower bounds are established as well, which are used to show that it is impossible to derive global upper bounds for the Lipschitz constants. In contrast to previous works, we compute the Lipschitz constants with respect to the network parameters and not with respect to the inputs. These constants are needed for the theoretical description of many step size schedulers of gradient based optimization schemes and their convergence analysis. The idea is both simple and effective. The results are extended to a generalization of neural networks, continuously deep neural networks, which are described by controlled ODEs.

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