A lift for input-convex neural net training

Input-convex neural nets parametrize the convex potentials of density models and transport maps, and their convexity requires the inter-layer weights to be non-negative. Projected gradient descent enforces this by projecting after each step, and due to mini-batch noise the boundary is re-crossed indefinitely, which leads to an active set the projection never identifies. The differentiable alternative, direct softplus, optimizes a free latent weight through a softplus positivity map whose derivative attenuates the gradient exponentially where the weight is negative---the shoulder---so a coordinate that reaches it stays for an exponentially long time. To keep this unconstrained parametrization without its slow escape, we propose the lift, which replaces the free latent weight by a learnable slack plus an unconstrained network---the body---that takes a permutation-invariant summary of the training batch as input. The latent weight thus varies with the batch before the positivity map, and couples to the gradient formed on it. We show that this coupling enters the variance of the update to the latent weight at first order in the fluctuation, and that the slack, the batch dependence and the shared batch are each needed for it to act. Where the coupling aligns positively with the loss curvature, that variance is larger under the lift than under direct softplus, and a coordinate leaves the shoulder sooner. We compare the lift with the two existing methods on several applications. Where a constrained weight of direct softplus reaches the shoulder and does not leave, the lift fits the target more closely and reaches the same reconstruction about three times sooner. Where almost none reaches it, the methods agree.