Convolutions (and Discrete Fourier Transform) from first principles

author: Marc Lelarge, course: dataflowr, module: Convolutional neural network

date: June 8, 2021


In the module on CNN, we presented the convolutional layers as learnable filters. In particular, we have seen that these layers have a particular form of weight sharing (only the parameters of the kernel need to be learned). The motivation for restricting our attention to this particular weight sharing comes from a long history in signal processing. Here, we would like to recover the intuition for convolutions from first principles.

So let's pretend, we do not know anything about signal processing and we would like to build from scratch a new neural network taking as input an image and producing as output another image. For example in semantic segmentation, each pixel in the input image is linked to a class as shown below (source: DeepLab): gif

Clearly in this case, when a object moves in the image, we want the associated labels to move with it. Hence, before constructing such a neural network, we first need to figure out a way to build a layer having this property: when an object is translated in an image, the output of the layer should be translated with the same translation. This is what we will do here.

Mathematical model

Here we formalize our problem and simplify it a little bit while keeping its main features. First, instead of images, we will deal with 1D signal x{\bf x} of length nn: x=(x0,,xn1){\bf x}=(x_0,\dots, x_{n-1}). Now translation in 1D is also called a shift: (Sx)i=xi1(S{\bf x})_{i} = x_{i-1} corresponds to the shift to the right. Note that we also need to define (Sx)0(S{\bf x})_0 in order to keep a signal of length nn. We will always deal with indices as integers modulo nn so that x1=xn1x_{-1} = x_{n-1} and we define Sx=(xn1,x0,,xn2)S{\bf x} = (x_{n-1}, x_0, \dots, x_{n-2}). Note that we can write SS as a n×nn\times n matrix:

S=(00110010010) S = \left( \begin{array}{ccccc} 0&\dots&\dots&0&1\\ 1&\ddots&&&0\\ 0&1&\ddots&&\vdots\\ \vdots &\ddots&\ddots&\ddots&\\ 0&\dots&0&1&0\end{array}\right)

The mathematical problem is now to find a linear layer which is equivariant with respect to the shift: when the input is shifted, the output is also shifted. Hence, we are looking for a n×nn\times n matrix WW with the shift invariance property:


Learning a solution

There is a simple way to approximate a shift invariant layer from an arbitrary matrix WW: start from WW and then make it more and more shift invariant by decreasing WSSW22\|WS-SW\|_2^2. When this quantity is zero, we get a shift invariant matrix.

Here is a gradient descent algorithm to solve the problem:

minWWSSW22W22. \min_W \frac{\|WS-SW\|_2^2}{\|W\|_2^2}.

coded in Julia:

using LinearAlgebra, Zygote, Plots

const n = 100
S = circshift(Matrix{Float64}(I, n, n),(1,0))

function loss(W)

function step!(W;lr=0.003)
    # computing current loss and backprop
    current_loss, back_loss = pullback(w -> loss(w),W)
    # computing gradient
    grads = back_loss(1)[1]
    # updating W 
    W .-= lr .*grads

W = randn(n,n)
W ./= norm(W)

# producing the gif
@gif for i=1:10000
end every 100

Below is the corresponding heatmap showing the evolution of the matrix WW when we solve this problem by a simple gradient descent and starting with pure noise: gif

We see that the final matrix has a very strong diagonal structure and we show below that this is the only possible result!

Circulant matrices

Given a vector a=(a0,,an1){\bf a}=(a_0,\dots, a_{n-1}), we define the associated matrix CaC_{\bf a} whose first column is made up of these numbers and each subsequent column is obtained by a shift of the previous column:

Ca=(a0an1an2a1a1a0an1a2a2a1a0a3an1an2an3a0). C_{\bf a} = \left( \begin{array}{ccccc} a_0&a_{n-1}&a_{n-2}&\dots&a_1\\ a_1&a_0& a_{n-1}&&a_2\\ a_2&a_1&a_0&&a_3\\ \vdots&&\ddots&\ddots&\vdots\\ a_{n-1}&a_{n-2}&a_{n-3}&\dots&a_0 \end{array}\right).
Proposition A matrix WW is circulant if and only if it commutes with the shift SS, i.e. WS=SWWS=SW.

Note that the ijij'th entry of SS is given by Sij=1(i=j+1)S_{ij} = \mathbb{1}(i=j+1) (remember that indices are integer modulo nn). In particular, the left (right) multiplication by SS amounts to row (column) circular permutation, so that we easily check that for any circulant matrix CaC_{\bf a}, we have CaS=SCaC_{\bf a} S= SC_{\bf a}.

Now to finish the proof of the proposition, note that

(SW)ij=SiWj=Wi1,j(WS)ij=WiSi=Wi,j+1, (SW)_{ij} = \sum_\ell S_{i\ell} W_{\ell j} = W_{i-1,j}\\ (WS)_{ij} = \sum_\ell W_{i\ell}S_{\ell i} = W_{i,j+1},

so that we get

Wi1,j=Wi,j+1Wi,j=Wi1,j1Wij=Wi+k,j+k. W_{i-1,j} = W_{i,j+1} \Leftrightarrow W_{i,j} = W_{i-1,j-1} \Leftrightarrow W_{ij} = W_{i+k,j+k}.

Hence the matrix WW needs to be constant along diagonals which is the definition of being a circulant matrix:

Wij=Wij,0=aij, W_{ij} = W_{i-j,0} = a_{i-j},

where a{\bf a} is the first column of WW, i.e. ai=Wi,0a_i = W_{i,0}.

Circular convolutions

What is the connection with convolution? Well, note that (Ca)ij=aij(C_{\bf a})_{ij} = a_{i-j} so that we have for y=Cax{\bf y} = C_{\bf a} {\bf x}:

yj=(Ca)jx=ajx, y_j = \sum_\ell (C_{\bf a})_{j\ell}x_\ell = \sum_\ell a_{j-\ell}x_\ell,

which is the definition of a 1D-convolution:

y=axy=Cax. {\bf y} = {\bf a} \star {\bf x} \Leftrightarrow {\bf y} = C_{\bf a} {\bf x}.
Proposition 1D-convolution of any two vectors can be written as ax=xa=Cax=Cxa{\bf a} \star {\bf x} = {\bf x} \star {\bf a} = C_{\bf a} {\bf x} = C_{\bf x} {\bf a}.

It is now easy to check that the product of two circulant matrices is another circulant matrix and that all circulant matrices commute. This last fact has important consequences. We illustrate it here by presenting a simple general result: consider a matrix AA with simple (non-repeated) eigenvalues so that

Avi=λivi,i=0,,n1, and λiλj,ij. A {\bf v}_i = \lambda_i {\bf v}_i , i=0,\dots , n-1, \text{ and } \lambda_i \neq \lambda_j, i\neq j.

Now if BB commutes with AA, observe that

A(Bvi)=B(Avi)=λiBvi, A (B {\bf v}_i) = B (A{\bf v}_i) = \lambda_i B {\bf v}_i,

so that BviB v_i is an eigenvector of AA associated with eigenvalue λi\lambda_i. Since those eigenvalues are distinct, the corresponding eigenspace is of dimension one and we have Bvi=γviBv_i = \gamma v_i. In other words, AA and BB have the same eigenvectors. If VV is the n×nn\times n matrix where the columns are the eigenvectors of AA: V=(v0,,vn1)V = ({\bf v}_0,\dots, {\bf v}_{n-1}), then we have

AV=Vdiag(λ0,,λn1), AV = V\text{diag}(\lambda_0,\dots,\lambda_{n-1}),

and V1AV=diag(λ0,,λn1)V^{-1}AV = \text{diag}(\lambda_0,\dots,\lambda_{n-1}) and V1BV=diag(γ0,,γn1)V^{-1}BV = \text{diag}(\gamma_0,\dots,\gamma_{n-1}). The matrices AA and BB are simultaneously diagonalizable.

In summary, if we find a circulant matrix with simple eigenvalues, the eigenvectors of that circulant matrix will give the simultaneously diagonalizing transformation for all circulant matrices.

Discrete Fourier Transform

There is a natural candidate for a "generic" circulant matrix, namely the matrix of the shift SS. Instead, we will deal with S=S1S^*=S^{-1} so that we'll recover the classical Discrete Fourier Transform (DFT). Since (Sx)k=xk+1\left(S^* {\bf x}\right)_k={\bf x}_{k+1}, we have

Sw=λwwk+1=λwk and, (S)w=λwwk+=λwk. S^* {\bf w}=\lambda {\bf w} \Leftrightarrow {\bf w}_{k+1} = \lambda {\bf w}_{k} \text{ and, } \left(S^*\right)^{\ell} {\bf w}=\lambda^\ell {\bf w} \Leftrightarrow {\bf w}_{k+\ell} = \lambda^{\ell} {\bf w}_{k}.

Taking, =n\ell=n we get: wk=wk+n=λnwk{\bf w}_k = {\bf w}_{k+n} = \lambda^n {\bf w}_k and since w0{\bf w}\neq 0, there is at least one index with wk0{\bf w}_k\neq 0 so that λn=1\lambda^n=1: any eigenvalue of SS^* must be an nn-th root of unity ρm=ei2πnm\rho_m = e^{i\frac{2\pi}{n}m}, for m=0,,n1m=0,\dots, n-1. Using (13), we get for w(m){\bf w}^{(m)} the eigenvector associated with ρm\rho_m:

w(m)=ρmw0, {\bf w}^{(m)}_\ell = \rho_m^\ell {\bf w}_0,

but since w0{\bf w}_0 is a scalar and w(m){\bf w}^{(m)} can be defined up to a multiplication, so that we can set w0=1{\bf w}_0=1 for a more compact expression for the eigenvector. Note that ρm=ρ1m\rho_m = \rho_1^m, so that we proved:

Proposition The left-shift operator SS^* has nn distinct eigenvalues that are the nn-th root of unity ρm=ei2πnm\rho^m =e^{i\frac{2\pi}{n}m} with corresponding eigenvector: w(m)=(1,ρm,ρ2m,,ρm(n1)){\bf w}^{(m)} = \left(1,\rho^m,\rho^{2m},\dots, \rho^{m(n-1)}\right) with ρ=ei2πn\rho = e^{i\frac{2\pi}{n}}.

Since a circulant matrix CaC_{\bf a} commutes with SS^*, we know from the discussion above that w(m){\bf w}^{(m)} are the eigenvectors of CaC_{\bf a} and we only need to compute the eigenvalues of CaC_{\bf a} from the relation: Caw(m)=λmw(m)C_{\bf a} {\bf w}^{(m)} = \lambda_m {\bf w}^{(m)} so that

λm==0n1aρm==0n1aei2πnm, \lambda_m = \sum_{\ell=0}^{n-1} a_\ell\rho^{-m\ell} = \sum_{\ell=0}^{n-1} a_\ell e^{-i\frac{2\pi}{n}m\ell},

which is precisely the classically-defined DFT of the vector a{\bf a}.

If you want to dig further in this direction, have a look at Discovering Transforms: A Tutorial on Circulant Matrices, Circular Convolution, and the Discrete Fourier Transform by Bassam Bamieh.

Stacking convolutional layers

In this last section, we'll explore what happens when we stack convolutional layers. To simplify the analysis, we will ignore biases and non-linearity used in standard convolutional layers to focus on the kernel size. Typically, the size of the kernel used in practice is much smaller than the size of the image. In our case, this would correspond to a vector a{\bf a} with a small support, i.e. only a0,,ak0{\bf a}_0,\dots ,{\bf a}_k \neq 0 and all others a=0{\bf a}_\ell =0 for >k\ell> k with kk much smaller than nn. Using convolutions with only small kernels seem like a big constraint with a potential loss in term of expressivity.

We now show that this is not a problem and explain how to recover any convolution by stacking convolutions with small kernels. The main observation is that CaCbx=(ab)x=C(ab)xC_{\bf a} C_{\bf b} {\bf x} = \left( {\bf a} \star {\bf b}\right) \star {\bf x} = C_{({\bf a} \star {\bf b})} {\bf x}, so that the multiplication of the circulant matrices associated to vectors a{\bf a} and b{\bf b} corresponds to the circulant matrix of ab{\bf a} \star {\bf b} with (ab)k==0n1akb({\bf a} \star {\bf b})_k = \sum_{\ell=0}^{n-1}{\bf a}_{k-\ell} {\bf b}_\ell. In particular, note that if both a{\bf a} and b{\bf b} have a support of size say 33, then ab{\bf a} \star {\bf b} has a support of size 55. Indeed, multiplying a circulant matrix associated with a vector of support kk with a circulant matrix associated with a vector of support 33 will produce a circulant matrix associated with a vector of support k+2k+2, as shown below:

01k2102102 10210210 \begin{array}{cc|c|c|c|c|cc} &&0&1&\dots & k&&\\ 2&1&0\\ &2&1&0\\ &&&&\ddots\\ &&&&2\:1&0\\ &&&&2&1&0\\ &&&&&2&1&0 \end{array}

We end this post with a nice connection between convolutions and polynomials. For a vector aRn{\bf a} \in \mathbb R^n, we denote

Pa(z)=a0+a1z+an1zn1. P_{\bf a}(z) = {\bf a}_0+{\bf a}_1 z+\dots {\bf a}_{n-1}z^{n-1}.

Note that Pa(z)Pb(z)=P(ab)(z)P_{\bf a}(z)P_{\bf b}(z) = P_{({\bf a} \star {\bf b})}(z) (Side note: if you are interested in algorithms, I strongly recommend this video on The Fast Fourier Transform (FFT) by Reducible explaining how to make this multiplication fast). Here, we are only interested in the fact that stacking convolutional layers, is equivalent to multiplication of the associated polynomials. In particular, we see that the support of the vector is now related to the degree of the polynomial. By stacking convolutional layers with kernel of size 33, we should be able to approximate any polynomial.

Let's try this in Julia:

using Flux, LinearAlgebra, Polynomials, Plots

const n = 100
# target polynomial
c = ChebyshevT([-1,0,-2,0,1,0,1,2,3])
target = convert(Polynomial, c)
plot(target, (-1.,1.)...,label="target")


This is our target convolution CtargetC_{target} represented as a polynomial by (17). We can check with the comand length(target.coeffs) that the kernel size of this convolution is 9. Now we will create a dataset made of samples (x,Ctargetx)({\bf x} , C_{target} {\bf x}) for randoms x{\bf x}:

# mapping polynomial to circulant matrix
S = circshift(Matrix{Float64}(I, n, n),(1,0))
param = zeros(n)
param[1:9] = target.coeffs
Circulant = param
for k in 1:n-1
    Circulant = hcat(Circulant, S^k*param)

# creating dataset with 3000 samples
bs = 3000
x = randn(Float32,n,1,bs)
y = convert(Array{Float32},
data = [(x,y)]

Our task now is to learn CtargetC_{target} from this dataset with a neural network with 7 convolutional layers with kernels of size 3.

# padding function to work modulo n
function pad_cycl(x;l=1,r=1)
    last = size(x,1)
    xl = selectdim(x,1,last-l+1:last)
    xr = selectdim(x,1,1:r)
    cat(xl, x, xr, dims=1)

# neural network with 7 convolution layers
model = Chain(
    x -> pad_cycl(x,l=0,r=2),
    x -> pad_cycl(x,l=0,r=2),
    x -> pad_cycl(x,l=0,r=2),
    x -> pad_cycl(x,l=0,r=2),
    x -> pad_cycl(x,l=0,r=2),
    x -> pad_cycl(x,l=0,r=2),
    x -> pad_cycl(x,l=0,r=2),

# MSE loss
loss(x, y) = Flux.Losses.mse(model(x), y)
loss_vector = Vector{Float32}()
logging_loss() = push!(loss_vector, loss(x, y))
ps = Flux.params(model)
opt = ADAM(0.2)
# training loop
n_epochs = 1700
for epochs in 1:n_epochs
    Flux.train!(loss, ps, data, opt, cb=logging_loss)
    if epochs % 50 == 0
        println("Epoch: ", epochs, " | Loss: ", loss(x,y))

By running this code, you can check that the network is training. Now, we check that the trained network with 7 layers of convolutions with kernels of size 3 is close to the target convolution with kernel size 9. To do this, we extract the weights of each layer and map it back to a polynomial thanks to (17) and then we multiply the polynomials to get the polynomial associated with the stacked layers. This is done below:

pred = Polynomial([1])
for p in ps
    if typeof(p) <: Array
        pred *= Polynomial([p...])
plot(target, (-1.,1.)...,label="target")
plot!(pred, (-1.,1.)...,label="pred")


We see that we get a pretty good approximation of our target polynomial. Below is the a gif showing the convergence of our network towards the target:


By stacking convolutions with kernel of size 3, we obtained a network with a receptive field of size 9.

Thanks for reading!

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