Considering the example code.

I would like to know How to apply gradient clipping on this network on the RNN where there is a possibility of exploding gradients.

tf.clip_by_value(t, clip_value_min, clip_value_max, name=None)

This is an example that could be used but where do I introduce this ? In the def of RNN

    lstm_cell = rnn_cell.BasicLSTMCell(n_hidden, forget_bias=1.0)
    # Split data because rnn cell needs a list of inputs for the RNN inner loop
    _X = tf.split(0, n_steps, _X) # n_steps
tf.clip_by_value(_X, -1, 1, name=None)

But this doesn’t make sense as the tensor _X is the input and not the grad what is to be clipped?

Do I have to define my own Optimizer for this or is there a simpler option?

Gradient clipping needs to happen after computing the gradients, but before applying them to update the model’s parameters. In your example, both of those things are handled by the AdamOptimizer.minimize() method.

In order to clip your gradients you’ll need to explicitly compute, clip, and apply them as described in this section in TensorFlow’s API documentation. Specifically you’ll need to substitute the call to the minimize() method with something like the following:

optimizer = tf.train.AdamOptimizer(learning_rate=learning_rate)
gvs = optimizer.compute_gradients(cost)
capped_gvs = [(tf.clip_by_value(grad, -1., 1.), var) for grad, var in gvs]
train_op = optimizer.apply_gradients(capped_gvs)

Despite what seems to be popular, you probably want to clip the whole gradient by its global norm:

optimizer = tf.train.AdamOptimizer(1e-3)
gradients, variables = zip(*optimizer.compute_gradients(loss))
gradients, _ = tf.clip_by_global_norm(gradients, 5.0)
optimize = optimizer.apply_gradients(zip(gradients, variables))

Clipping each gradient matrix individually changes their relative scale but is also possible:

optimizer = tf.train.AdamOptimizer(1e-3)
gradients, variables = zip(*optimizer.compute_gradients(loss))
gradients = [
    None if gradient is None else tf.clip_by_norm(gradient, 5.0)
    for gradient in gradients]
optimize = optimizer.apply_gradients(zip(gradients, variables))

In TensorFlow 2, a tape computes the gradients, the optimizers come from Keras, and we don’t need to store the update op because it runs automatically without passing it to a session:

optimizer = tf.keras.optimizers.Adam(1e-3)
# ...
with tf.GradientTape() as tape:
  loss = ...
variables = ...
gradients = tape.gradient(loss, variables)
gradients, _ = tf.clip_by_global_norm(gradients, 5.0)
optimizer.apply_gradients(zip(gradients, variables))

This is actually properly explained in the documentation.:

Calling minimize() takes care of both computing the gradients and applying them to the variables. If you want to process the gradients before applying them you can instead use the optimizer in three steps:

• Compute the gradients with compute_gradients().
• Process the gradients as you wish.
• Apply the processed gradients with apply_gradients().

And in the example they provide they use these 3 steps:

# Create an optimizer.
opt = GradientDescentOptimizer(learning_rate=0.1)

# Compute the gradients for a list of variables.
grads_and_vars = opt.compute_gradients(loss, <list of variables>)

# grads_and_vars is a list of tuples (gradient, variable).  Do whatever you
# need to the 'gradient' part, for example cap them, etc.
capped_grads_and_vars = [(MyCapper(gv[0]), gv[1]) for gv in grads_and_vars]

# Ask the optimizer to apply the capped gradients.
opt.apply_gradients(capped_grads_and_vars)

Here MyCapper is any function that caps your gradient. The list of useful functions (other than tf.clip_by_value()) is here.

For those who would like to understand the idea of gradient clipping (by norm):

Whenever the gradient norm is greater than a particular threshold, we clip the gradient norm so that it stays within the threshold. This threshold is sometimes set to 5.

Let the gradient be g and the max_norm_threshold be j.

Now, if ||g|| > j , we do:

g = ( j * g ) / ||g||

This is the implementation done in tf.clip_by_norm

IMO the best solution is wrapping your optimizer with TF’s estimator decorator tf.contrib.estimator.clip_gradients_by_norm:

original_optimizer = tf.train.AdamOptimizer(learning_rate=learning_rate)
optimizer = tf.contrib.estimator.clip_gradients_by_norm(original_optimizer, clip_norm=5.0)
train_op = optimizer.minimize(loss)

This way you only have to define this once, and not run it after every gradients calculation.

Documentation: https://www.tensorflow.org/api_docs/python/tf/contrib/estimator/clip_gradients_by_norm

Gradient Clipping basically helps in case of exploding or vanishing gradients.Say your loss is too high which will result in exponential gradients to flow through the network which may result in Nan values . To overcome this we clip gradients within a specific range (-1 to 1 or any range as per condition) .

clipped_value=tf.clip_by_value(grad, -range, +range), var) for grad, var in grads_and_vars

where grads _and_vars are the pairs of gradients (which you calculate via tf.compute_gradients) and their variables they will be applied to.

After clipping we simply apply its value using an optimizer. optimizer.apply_gradients(clipped_value)