Add RNN example

* Add examples/rnn.rst
* Add link to the RNN example in examples/index.rst
* Add doc test in test_rst.py

docs/source/examples/index.rst

@@ -13,6 +13,8 @@ This section contains some usage examples for TorchJD.
 - :doc:`Multi-Task Learning (MTL) <mtl>` provides an example of multi-task learning where Jacobian
   descent is used to optimize the vector of per-task losses of a multi-task model, using the
   dedicated backpropagation function :doc:`mtl_backward <../docs/autojac/mtl_backward>`.
+- :doc:`Recurrent Neural Network (RNN) <rnn>` shows how to apply Jacobian descent to RNN training,
+  with one loss per output sequence element.
 - :doc:`PyTorch Lightning Integration <lightning_integration>` showcases how to combine
   TorchJD with PyTorch Lightning, by providing an example implementation of a multi-task
   ``LightningModule`` optimized by Jacobian descent.
@@ -23,4 +25,5 @@ This section contains some usage examples for TorchJD.
     basic_usage.rst
     iwrm.rst
     mtl.rst
+    rnn.rst
     lightning_integration.rst

docs/source/examples/rnn.rst

@@ -0,0 +1,38 @@
+Recurrent Neural Network (RNN)
+==============================
+
+When training recurrent neural networks for sequence modelling, we can easily obtain one loss per
+element of the output sequences. If the gradients of these losses are likely to conflict, Jacobian
+descent can be leveraged to enhance optimization.
+
+.. code-block:: python
+    :emphasize-lines: 5-6, 10, 17, 20
+
+    import torch
+    from torch.nn import RNN
+    from torch.optim import SGD
+
+    from torchjd import backward
+    from torchjd.aggregation import UPGrad
+
+    rnn = RNN(input_size=10, hidden_size=20, num_layers=2)
+    optimizer = SGD(rnn.parameters(), lr=0.1)
+    aggregator = UPGrad()
+
+    inputs = torch.randn(8, 5, 3, 10)  # 8 batches of 3 sequences of length 5 and of dim 10.
+    targets = torch.randn(8, 5, 3, 20)  # 8 batches of 3 sequences of length 5 and of dim 20.
+
+    for input, target in zip(inputs, targets):
+        output, _ = rnn(input)  # output is of shape [5, 3, 20].
+        losses = ((output - target) ** 2).mean(dim=[1, 2])  # 1 loss per sequence element.
+
+        optimizer.zero_grad()
+        backward(losses, aggregator, parallel_chunk_size=1)
+        optimizer.step()
+
+.. note::
+    At the time of writing, there seems to be an incompatibility between ``torch.vmap`` and
+    ``torch.nn.RNN`` when running on CUDA (see `this issue
+    <https://github.com/TorchJD/torchjd/issues/220>`_ for more info), so we advise to set the
+    ``parallel_chunk_size`` to ``1`` to avoid using ``torch.vmap``. To improve performance, you can
+    check whether ``parallel_chunk_size=None`` (maximal parallelization) works on your side.

tests/doc/test_rst.py

@@ -183,3 +183,27 @@ def configure_optimizers(self) -> OptimizerLRScheduler:
     )
 
     trainer.fit(model=model, train_dataloaders=train_loader)
+
+
+def test_rnn():
+    import torch
+    from torch.nn import RNN
+    from torch.optim import SGD
+
+    from torchjd import backward
+    from torchjd.aggregation import UPGrad
+
+    rnn = RNN(input_size=10, hidden_size=20, num_layers=2)
+    optimizer = SGD(rnn.parameters(), lr=0.1)
+    aggregator = UPGrad()
+
+    inputs = torch.randn(8, 5, 3, 10)  # 8 batches of 3 sequences of length 5 and of dim 10.
+    targets = torch.randn(8, 5, 3, 20)  # 8 batches of 3 sequences of length 5 and of dim 20.
+
+    for input, target in zip(inputs, targets):
+        output, _ = rnn(input)  # output is of shape [5, 3, 20].
+        losses = ((output - target) ** 2).mean(dim=[1, 2])  # 1 loss per sequence element.
+
+        optimizer.zero_grad()
+        backward(losses, aggregator, parallel_chunk_size=1)
+        optimizer.step()