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Python

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