The conventional definition of the L2-regularization "weight decay" hyperparameter $\lambda$ is generally of the form

$$\text{J}(\mathbf{w}\vert \mathbf{X},\mathbf{y})= \text{L}(\mathbf{\widehat{y}}(\mathbf{X}),\mathbf{y}\vert\mathbf{w})+\lambda \mathbf{w}^{T}\mathbf{w}$$

where $\text{J}(.)$ is a loss function "using L2-regularization" and $\text{L}(.)$ is some conventional "underlying loss". This definition has a number of advantages including

  • a simple way to express its implications as "how much weight to place on the aggregate magnitude of the model's $\mathbf{w}$", and
  • its interpretation as the contribution to the MAP estimate made by IID Gaussian priors for each of the $w_j\sim\mathcal{N}(0,\sigma_w)$, in which case $\lambda\propto 1/\sigma_w^2$ (if it is also the case that $p\left(y^{(i)}|\mathbf{x}^{(i)},\mathbf{w}\right) = \mathcal{N}(y^{(i)};\widehat{y}(\mathbf{x}^{(i)};\mathbf{w}),\sigma_y)$ — and thus $\text{L}(.)$ is the mean squared error — then $\lambda = {\sigma_y^2}/{\sigma_w^2}$; if $p\left(y^{(i)}|\mathbf{x}^{(i)},\mathbf{w}\right)$ is a categorical/multinoulli distribution — and thus $\text{L}(.)$ is cross-entropy — then $\lambda = 1/\sigma_w^2$).

But ML packages and API's as well as some discussions seem to use "$\lambda$", or terms that one would expect to correspond to it, inconsistently. To cite just a few examples:

  • TensorFlow's tf.nn.l2_loss(w) is half of np.dot(w, w) so any weight applied to the former needs to be doubled in order to match $\lambda$ (assuming, as is generally the case in TensorFlow documentation, all underlying losses are means over batch size).
  • Stanford's CS231n divides its regularization terms by 2 for "computational convenience", so its "$\lambda$" must be divided by 2 to match $\lambda$.
  • Nielsen's (generally excellent) discussion of deep learning treats regularization as a term applied to each training example and follows CS231n (and others) in dividing by 2, so that his "$\lambda$" must be divided by twice the batch size (which he conflates with the whole "training set") to match $\lambda$.
  • TensorFlow's tf.matrix_solve_ls(m, ...) does not average over the length of m, so its l2_regularizer argument must be divided by the batch size to match $\lambda$. (The same is true of the corresponding argument, alpha, in scikit-learn's linear_model.Ridge.)

  • What the "L2Regularization" argument to Mathematica's Predict is doing is anyone's guess (as can often be the case with Mathematica).

I understand that ML can get a bit sloppy about (the abundant) terminology, so maybe this is just how things are, but I also wonder if any of this means anything. It certainly results in confusion. Is there a pattern here; some logic to the various approaches; anything really gained by the different meanings for "$\lambda$"? Or is this just a matter of taste?

It seems a shame to stray from the clean and powerful definition above, so I want to be sure I'm not missing some deeper logic to these departures.

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    $\begingroup$ You might as well ask the same question for the definition of $L$! Since the definition of $J$ matters only up to multiplication by any positive constant, the same holds for its components. $\endgroup$ – whuber Aug 28 '17 at 20:36
  • $\begingroup$ @whuber: Well, yes, but the constants need to be consistent. In this case the cases of MSE and cross-entropy, for example, no constant bleeds from either version of $\text{L}$ to $\lambda$. $\endgroup$ – orome Aug 28 '17 at 20:40
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    $\begingroup$ Since there is an implicit and unspecified constant in $L$, that makes the question of what constant to absorb in $\lambda$ meaningless. Even entropy is defined only up to a constant (until you specify what units of entropy you want to use) and MSE is just a proxy for quadratic loss--defined up to a constant, of course. As a practical question, the only possible answer would seem to be "read the manual." $\endgroup$ – whuber Aug 28 '17 at 20:42
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    $\begingroup$ Some software even uses $C=\lambda^{-1}$! The Python package sklearn (to pick a prominent example) regularizes by $C$ and only accepts $C>0$; both decisions are somewhere between arbitrary and inscrutable. $\endgroup$ – Sycorax Aug 28 '17 at 22:48
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    $\begingroup$ @Sycorax I believe that is because sklearn does not use a standard method for solving these regressions, they are based on an SVM solver. Not that this changes the fact that it is inscrutable. $\endgroup$ – Matthew Drury Sep 6 '17 at 17:54

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