Fixed database typo and removed unnecessary class identifier.

venv/Lib/site-packages/scipy/optimize/_trustregion_ncg.py

@@ -0,0 +1,126 @@
+"""Newton-CG trust-region optimization."""
+import math
+
+import numpy as np
+import scipy.linalg
+from ._trustregion import (_minimize_trust_region, BaseQuadraticSubproblem)
+
+__all__ = []
+
+
+def _minimize_trust_ncg(fun, x0, args=(), jac=None, hess=None, hessp=None,
+                        **trust_region_options):
+    """
+    Minimization of scalar function of one or more variables using
+    the Newton conjugate gradient trust-region algorithm.
+
+    Options
+    -------
+    initial_trust_radius : float
+        Initial trust-region radius.
+    max_trust_radius : float
+        Maximum value of the trust-region radius. No steps that are longer
+        than this value will be proposed.
+    eta : float
+        Trust region related acceptance stringency for proposed steps.
+    gtol : float
+        Gradient norm must be less than `gtol` before successful
+        termination.
+
+    """
+    if jac is None:
+        raise ValueError('Jacobian is required for Newton-CG trust-region '
+                         'minimization')
+    if hess is None and hessp is None:
+        raise ValueError('Either the Hessian or the Hessian-vector product '
+                         'is required for Newton-CG trust-region minimization')
+    return _minimize_trust_region(fun, x0, args=args, jac=jac, hess=hess,
+                                  hessp=hessp, subproblem=CGSteihaugSubproblem,
+                                  **trust_region_options)
+
+
+class CGSteihaugSubproblem(BaseQuadraticSubproblem):
+    """Quadratic subproblem solved by a conjugate gradient method"""
+    def solve(self, trust_radius):
+        """
+        Solve the subproblem using a conjugate gradient method.
+
+        Parameters
+        ----------
+        trust_radius : float
+            We are allowed to wander only this far away from the origin.
+
+        Returns
+        -------
+        p : ndarray
+            The proposed step.
+        hits_boundary : bool
+            True if the proposed step is on the boundary of the trust region.
+
+        Notes
+        -----
+        This is algorithm (7.2) of Nocedal and Wright 2nd edition.
+        Only the function that computes the Hessian-vector product is required.
+        The Hessian itself is not required, and the Hessian does
+        not need to be positive semidefinite.
+        """
+
+        # get the norm of jacobian and define the origin
+        p_origin = np.zeros_like(self.jac)
+
+        # define a default tolerance
+        tolerance = min(0.5, math.sqrt(self.jac_mag)) * self.jac_mag
+
+        # Stop the method if the search direction
+        # is a direction of nonpositive curvature.
+        if self.jac_mag < tolerance:
+            hits_boundary = False
+            return p_origin, hits_boundary
+
+        # init the state for the first iteration
+        z = p_origin
+        r = self.jac
+        d = -r
+
+        # Search for the min of the approximation of the objective function.
+        while True:
+
+            # do an iteration
+            Bd = self.hessp(d)
+            dBd = np.dot(d, Bd)
+            if dBd <= 0:
+                # Look at the two boundary points.
+                # Find both values of t to get the boundary points such that
+                # ||z + t d|| == trust_radius
+                # and then choose the one with the predicted min value.
+                ta, tb = self.get_boundaries_intersections(z, d, trust_radius)
+                pa = z + ta * d
+                pb = z + tb * d
+                if self(pa) < self(pb):
+                    p_boundary = pa
+                else:
+                    p_boundary = pb
+                hits_boundary = True
+                return p_boundary, hits_boundary
+            r_squared = np.dot(r, r)
+            alpha = r_squared / dBd
+            z_next = z + alpha * d
+            if scipy.linalg.norm(z_next) >= trust_radius:
+                # Find t >= 0 to get the boundary point such that
+                # ||z + t d|| == trust_radius
+                ta, tb = self.get_boundaries_intersections(z, d, trust_radius)
+                p_boundary = z + tb * d
+                hits_boundary = True
+                return p_boundary, hits_boundary
+            r_next = r + alpha * Bd
+            r_next_squared = np.dot(r_next, r_next)
+            if math.sqrt(r_next_squared) < tolerance:
+                hits_boundary = False
+                return z_next, hits_boundary
+            beta_next = r_next_squared / r_squared
+            d_next = -r_next + beta_next * d
+
+            # update the state for the next iteration
+            z = z_next
+            r = r_next
+            d = d_next