531 lines
18 KiB
Python
531 lines
18 KiB
Python
import numpy as np
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import scipy.sparse as sps
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from ._numdiff import approx_derivative, group_columns
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from ._hessian_update_strategy import HessianUpdateStrategy
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from scipy.sparse.linalg import LinearOperator
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FD_METHODS = ('2-point', '3-point', 'cs')
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class ScalarFunction(object):
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"""Scalar function and its derivatives.
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This class defines a scalar function F: R^n->R and methods for
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computing or approximating its first and second derivatives.
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Notes
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-----
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This class implements a memoization logic. There are methods `fun`,
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`grad`, hess` and corresponding attributes `f`, `g` and `H`. The following
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things should be considered:
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1. Use only public methods `fun`, `grad` and `hess`.
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2. After one of the methods is called, the corresponding attribute
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will be set. However, a subsequent call with a different argument
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of *any* of the methods may overwrite the attribute.
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"""
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def __init__(self, fun, x0, args, grad, hess, finite_diff_rel_step,
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finite_diff_bounds, epsilon=None):
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if not callable(grad) and grad not in FD_METHODS:
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raise ValueError("`grad` must be either callable or one of {}."
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.format(FD_METHODS))
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if not (callable(hess) or hess in FD_METHODS
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or isinstance(hess, HessianUpdateStrategy)):
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raise ValueError("`hess` must be either callable,"
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"HessianUpdateStrategy or one of {}."
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.format(FD_METHODS))
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if grad in FD_METHODS and hess in FD_METHODS:
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raise ValueError("Whenever the gradient is estimated via "
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"finite-differences, we require the Hessian "
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"to be estimated using one of the "
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"quasi-Newton strategies.")
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self.x = np.atleast_1d(x0).astype(float)
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self.n = self.x.size
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self.nfev = 0
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self.ngev = 0
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self.nhev = 0
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self.f_updated = False
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self.g_updated = False
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self.H_updated = False
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finite_diff_options = {}
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if grad in FD_METHODS:
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finite_diff_options["method"] = grad
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finite_diff_options["rel_step"] = finite_diff_rel_step
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finite_diff_options["abs_step"] = epsilon
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finite_diff_options["bounds"] = finite_diff_bounds
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if hess in FD_METHODS:
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finite_diff_options["method"] = hess
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finite_diff_options["rel_step"] = finite_diff_rel_step
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finite_diff_options["abs_step"] = epsilon
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finite_diff_options["as_linear_operator"] = True
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# Function evaluation
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def fun_wrapped(x):
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self.nfev += 1
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return fun(x, *args)
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def update_fun():
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self.f = fun_wrapped(self.x)
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self._update_fun_impl = update_fun
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self._update_fun()
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# Gradient evaluation
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if callable(grad):
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def grad_wrapped(x):
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self.ngev += 1
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return np.atleast_1d(grad(x, *args))
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def update_grad():
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self.g = grad_wrapped(self.x)
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elif grad in FD_METHODS:
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def update_grad():
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self._update_fun()
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self.ngev += 1
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self.g = approx_derivative(fun_wrapped, self.x, f0=self.f,
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**finite_diff_options)
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self._update_grad_impl = update_grad
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self._update_grad()
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# Hessian Evaluation
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if callable(hess):
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self.H = hess(x0, *args)
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self.H_updated = True
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self.nhev += 1
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if sps.issparse(self.H):
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def hess_wrapped(x):
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self.nhev += 1
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return sps.csr_matrix(hess(x, *args))
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self.H = sps.csr_matrix(self.H)
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elif isinstance(self.H, LinearOperator):
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def hess_wrapped(x):
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self.nhev += 1
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return hess(x, *args)
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else:
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def hess_wrapped(x):
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self.nhev += 1
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return np.atleast_2d(np.asarray(hess(x, *args)))
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self.H = np.atleast_2d(np.asarray(self.H))
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def update_hess():
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self.H = hess_wrapped(self.x)
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elif hess in FD_METHODS:
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def update_hess():
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self._update_grad()
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self.H = approx_derivative(grad_wrapped, self.x, f0=self.g,
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**finite_diff_options)
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return self.H
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update_hess()
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self.H_updated = True
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elif isinstance(hess, HessianUpdateStrategy):
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self.H = hess
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self.H.initialize(self.n, 'hess')
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self.H_updated = True
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self.x_prev = None
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self.g_prev = None
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def update_hess():
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self._update_grad()
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self.H.update(self.x - self.x_prev, self.g - self.g_prev)
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self._update_hess_impl = update_hess
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if isinstance(hess, HessianUpdateStrategy):
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def update_x(x):
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self._update_grad()
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self.x_prev = self.x
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self.g_prev = self.g
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self.x = np.atleast_1d(x).astype(float)
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self.f_updated = False
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self.g_updated = False
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self.H_updated = False
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self._update_hess()
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else:
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def update_x(x):
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self.x = np.atleast_1d(x).astype(float)
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self.f_updated = False
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self.g_updated = False
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self.H_updated = False
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self._update_x_impl = update_x
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def _update_fun(self):
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if not self.f_updated:
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self._update_fun_impl()
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self.f_updated = True
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def _update_grad(self):
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if not self.g_updated:
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self._update_grad_impl()
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self.g_updated = True
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def _update_hess(self):
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if not self.H_updated:
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self._update_hess_impl()
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self.H_updated = True
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def fun(self, x):
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if not np.array_equal(x, self.x):
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self._update_x_impl(x)
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self._update_fun()
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return self.f
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def grad(self, x):
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if not np.array_equal(x, self.x):
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self._update_x_impl(x)
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self._update_grad()
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return self.g
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def hess(self, x):
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if not np.array_equal(x, self.x):
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self._update_x_impl(x)
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self._update_hess()
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return self.H
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def fun_and_grad(self, x):
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if not np.array_equal(x, self.x):
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self._update_x_impl(x)
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self._update_fun()
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self._update_grad()
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return self.f, self.g
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class VectorFunction(object):
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"""Vector function and its derivatives.
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This class defines a vector function F: R^n->R^m and methods for
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computing or approximating its first and second derivatives.
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Notes
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-----
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This class implements a memoization logic. There are methods `fun`,
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`jac`, hess` and corresponding attributes `f`, `J` and `H`. The following
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things should be considered:
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1. Use only public methods `fun`, `jac` and `hess`.
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|
2. After one of the methods is called, the corresponding attribute
|
|
will be set. However, a subsequent call with a different argument
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|
of *any* of the methods may overwrite the attribute.
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"""
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def __init__(self, fun, x0, jac, hess,
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finite_diff_rel_step, finite_diff_jac_sparsity,
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finite_diff_bounds, sparse_jacobian):
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if not callable(jac) and jac not in FD_METHODS:
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raise ValueError("`jac` must be either callable or one of {}."
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.format(FD_METHODS))
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if not (callable(hess) or hess in FD_METHODS
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or isinstance(hess, HessianUpdateStrategy)):
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raise ValueError("`hess` must be either callable,"
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"HessianUpdateStrategy or one of {}."
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.format(FD_METHODS))
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if jac in FD_METHODS and hess in FD_METHODS:
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raise ValueError("Whenever the Jacobian is estimated via "
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"finite-differences, we require the Hessian to "
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"be estimated using one of the quasi-Newton "
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"strategies.")
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self.x = np.atleast_1d(x0).astype(float)
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self.n = self.x.size
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self.nfev = 0
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self.njev = 0
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self.nhev = 0
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self.f_updated = False
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self.J_updated = False
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self.H_updated = False
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finite_diff_options = {}
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if jac in FD_METHODS:
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finite_diff_options["method"] = jac
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finite_diff_options["rel_step"] = finite_diff_rel_step
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if finite_diff_jac_sparsity is not None:
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sparsity_groups = group_columns(finite_diff_jac_sparsity)
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finite_diff_options["sparsity"] = (finite_diff_jac_sparsity,
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sparsity_groups)
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finite_diff_options["bounds"] = finite_diff_bounds
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self.x_diff = np.copy(self.x)
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if hess in FD_METHODS:
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finite_diff_options["method"] = hess
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finite_diff_options["rel_step"] = finite_diff_rel_step
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finite_diff_options["as_linear_operator"] = True
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self.x_diff = np.copy(self.x)
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if jac in FD_METHODS and hess in FD_METHODS:
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raise ValueError("Whenever the Jacobian is estimated via "
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"finite-differences, we require the Hessian to "
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"be estimated using one of the quasi-Newton "
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"strategies.")
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# Function evaluation
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def fun_wrapped(x):
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self.nfev += 1
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return np.atleast_1d(fun(x))
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def update_fun():
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self.f = fun_wrapped(self.x)
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self._update_fun_impl = update_fun
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update_fun()
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self.v = np.zeros_like(self.f)
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self.m = self.v.size
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# Jacobian Evaluation
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if callable(jac):
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self.J = jac(self.x)
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self.J_updated = True
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self.njev += 1
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if (sparse_jacobian or
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sparse_jacobian is None and sps.issparse(self.J)):
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def jac_wrapped(x):
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self.njev += 1
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return sps.csr_matrix(jac(x))
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self.J = sps.csr_matrix(self.J)
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self.sparse_jacobian = True
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elif sps.issparse(self.J):
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def jac_wrapped(x):
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self.njev += 1
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return jac(x).toarray()
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self.J = self.J.toarray()
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self.sparse_jacobian = False
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else:
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def jac_wrapped(x):
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self.njev += 1
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return np.atleast_2d(jac(x))
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self.J = np.atleast_2d(self.J)
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self.sparse_jacobian = False
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def update_jac():
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self.J = jac_wrapped(self.x)
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elif jac in FD_METHODS:
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self.J = approx_derivative(fun_wrapped, self.x, f0=self.f,
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**finite_diff_options)
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self.J_updated = True
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if (sparse_jacobian or
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sparse_jacobian is None and sps.issparse(self.J)):
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def update_jac():
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self._update_fun()
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self.J = sps.csr_matrix(
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approx_derivative(fun_wrapped, self.x, f0=self.f,
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**finite_diff_options))
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self.J = sps.csr_matrix(self.J)
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self.sparse_jacobian = True
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elif sps.issparse(self.J):
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def update_jac():
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self._update_fun()
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self.J = approx_derivative(fun_wrapped, self.x, f0=self.f,
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**finite_diff_options).toarray()
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self.J = self.J.toarray()
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self.sparse_jacobian = False
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else:
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def update_jac():
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self._update_fun()
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self.J = np.atleast_2d(
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approx_derivative(fun_wrapped, self.x, f0=self.f,
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**finite_diff_options))
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self.J = np.atleast_2d(self.J)
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self.sparse_jacobian = False
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self._update_jac_impl = update_jac
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# Define Hessian
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if callable(hess):
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self.H = hess(self.x, self.v)
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self.H_updated = True
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self.nhev += 1
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if sps.issparse(self.H):
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def hess_wrapped(x, v):
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self.nhev += 1
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return sps.csr_matrix(hess(x, v))
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self.H = sps.csr_matrix(self.H)
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elif isinstance(self.H, LinearOperator):
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def hess_wrapped(x, v):
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self.nhev += 1
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return hess(x, v)
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else:
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def hess_wrapped(x, v):
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self.nhev += 1
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return np.atleast_2d(np.asarray(hess(x, v)))
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self.H = np.atleast_2d(np.asarray(self.H))
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def update_hess():
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self.H = hess_wrapped(self.x, self.v)
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elif hess in FD_METHODS:
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def jac_dot_v(x, v):
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return jac_wrapped(x).T.dot(v)
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def update_hess():
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self._update_jac()
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self.H = approx_derivative(jac_dot_v, self.x,
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f0=self.J.T.dot(self.v),
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args=(self.v,),
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**finite_diff_options)
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update_hess()
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self.H_updated = True
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elif isinstance(hess, HessianUpdateStrategy):
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self.H = hess
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self.H.initialize(self.n, 'hess')
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self.H_updated = True
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self.x_prev = None
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self.J_prev = None
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def update_hess():
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self._update_jac()
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# When v is updated before x was updated, then x_prev and
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# J_prev are None and we need this check.
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if self.x_prev is not None and self.J_prev is not None:
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delta_x = self.x - self.x_prev
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delta_g = self.J.T.dot(self.v) - self.J_prev.T.dot(self.v)
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self.H.update(delta_x, delta_g)
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self._update_hess_impl = update_hess
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if isinstance(hess, HessianUpdateStrategy):
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def update_x(x):
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self._update_jac()
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self.x_prev = self.x
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self.J_prev = self.J
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self.x = np.atleast_1d(x).astype(float)
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self.f_updated = False
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self.J_updated = False
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self.H_updated = False
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self._update_hess()
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else:
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def update_x(x):
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self.x = np.atleast_1d(x).astype(float)
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self.f_updated = False
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self.J_updated = False
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self.H_updated = False
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self._update_x_impl = update_x
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def _update_v(self, v):
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if not np.array_equal(v, self.v):
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self.v = v
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self.H_updated = False
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def _update_x(self, x):
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if not np.array_equal(x, self.x):
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self._update_x_impl(x)
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def _update_fun(self):
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if not self.f_updated:
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self._update_fun_impl()
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self.f_updated = True
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def _update_jac(self):
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if not self.J_updated:
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self._update_jac_impl()
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self.J_updated = True
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def _update_hess(self):
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if not self.H_updated:
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self._update_hess_impl()
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self.H_updated = True
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def fun(self, x):
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self._update_x(x)
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self._update_fun()
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return self.f
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def jac(self, x):
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self._update_x(x)
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self._update_jac()
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return self.J
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def hess(self, x, v):
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# v should be updated before x.
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self._update_v(v)
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self._update_x(x)
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self._update_hess()
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return self.H
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|
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class LinearVectorFunction(object):
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"""Linear vector function and its derivatives.
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Defines a linear function F = A x, where x is N-D vector and
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A is m-by-n matrix. The Jacobian is constant and equals to A. The Hessian
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is identically zero and it is returned as a csr matrix.
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"""
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def __init__(self, A, x0, sparse_jacobian):
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if sparse_jacobian or sparse_jacobian is None and sps.issparse(A):
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self.J = sps.csr_matrix(A)
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self.sparse_jacobian = True
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elif sps.issparse(A):
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self.J = A.toarray()
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self.sparse_jacobian = False
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else:
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# np.asarray makes sure A is ndarray and not matrix
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self.J = np.atleast_2d(np.asarray(A))
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self.sparse_jacobian = False
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self.m, self.n = self.J.shape
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self.x = np.atleast_1d(x0).astype(float)
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self.f = self.J.dot(self.x)
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self.f_updated = True
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self.v = np.zeros(self.m, dtype=float)
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self.H = sps.csr_matrix((self.n, self.n))
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|
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def _update_x(self, x):
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if not np.array_equal(x, self.x):
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self.x = np.atleast_1d(x).astype(float)
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self.f_updated = False
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def fun(self, x):
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self._update_x(x)
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if not self.f_updated:
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self.f = self.J.dot(x)
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self.f_updated = True
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return self.f
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|
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def jac(self, x):
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self._update_x(x)
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return self.J
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|
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def hess(self, x, v):
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self._update_x(x)
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self.v = v
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return self.H
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|
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class IdentityVectorFunction(LinearVectorFunction):
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"""Identity vector function and its derivatives.
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|
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The Jacobian is the identity matrix, returned as a dense array when
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`sparse_jacobian=False` and as a csr matrix otherwise. The Hessian is
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|
identically zero and it is returned as a csr matrix.
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"""
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def __init__(self, x0, sparse_jacobian):
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n = len(x0)
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if sparse_jacobian or sparse_jacobian is None:
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A = sps.eye(n, format='csr')
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|
sparse_jacobian = True
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|
else:
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|
A = np.eye(n)
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|
sparse_jacobian = False
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super(IdentityVectorFunction, self).__init__(A, x0, sparse_jacobian)
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