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1346 lines
52 KiB
Python
1346 lines
52 KiB
Python
6 years ago
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"""
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Unit tests for optimization routines from optimize.py
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Authors:
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Ed Schofield, Nov 2005
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Andrew Straw, April 2008
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To run it in its simplest form::
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nosetests test_optimize.py
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"""
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from __future__ import division, print_function, absolute_import
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import itertools
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import numpy as np
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from numpy.testing import (assert_allclose, assert_equal,
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assert_,
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assert_almost_equal, assert_warns,
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assert_array_less)
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import pytest
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from pytest import raises as assert_raises
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from scipy._lib._numpy_compat import suppress_warnings
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from scipy import optimize
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def test_check_grad():
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# Verify if check_grad is able to estimate the derivative of the
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# logistic function.
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def logit(x):
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return 1 / (1 + np.exp(-x))
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def der_logit(x):
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return np.exp(-x) / (1 + np.exp(-x))**2
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x0 = np.array([1.5])
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r = optimize.check_grad(logit, der_logit, x0)
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assert_almost_equal(r, 0)
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r = optimize.check_grad(logit, der_logit, x0, epsilon=1e-6)
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assert_almost_equal(r, 0)
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# Check if the epsilon parameter is being considered.
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r = abs(optimize.check_grad(logit, der_logit, x0, epsilon=1e-1) - 0)
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assert_(r > 1e-7)
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class CheckOptimize(object):
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""" Base test case for a simple constrained entropy maximization problem
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(the machine translation example of Berger et al in
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Computational Linguistics, vol 22, num 1, pp 39--72, 1996.)
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"""
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def setup_method(self):
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self.F = np.array([[1,1,1],[1,1,0],[1,0,1],[1,0,0],[1,0,0]])
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self.K = np.array([1., 0.3, 0.5])
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self.startparams = np.zeros(3, np.float64)
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self.solution = np.array([0., -0.524869316, 0.487525860])
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self.maxiter = 1000
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self.funccalls = 0
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self.gradcalls = 0
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self.trace = []
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def func(self, x):
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self.funccalls += 1
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if self.funccalls > 6000:
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raise RuntimeError("too many iterations in optimization routine")
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log_pdot = np.dot(self.F, x)
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logZ = np.log(sum(np.exp(log_pdot)))
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f = logZ - np.dot(self.K, x)
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self.trace.append(x)
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return f
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def grad(self, x):
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self.gradcalls += 1
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log_pdot = np.dot(self.F, x)
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logZ = np.log(sum(np.exp(log_pdot)))
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p = np.exp(log_pdot - logZ)
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return np.dot(self.F.transpose(), p) - self.K
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def hess(self, x):
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log_pdot = np.dot(self.F, x)
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logZ = np.log(sum(np.exp(log_pdot)))
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p = np.exp(log_pdot - logZ)
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return np.dot(self.F.T,
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np.dot(np.diag(p), self.F - np.dot(self.F.T, p)))
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def hessp(self, x, p):
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return np.dot(self.hess(x), p)
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class CheckOptimizeParameterized(CheckOptimize):
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def test_cg(self):
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# conjugate gradient optimization routine
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if self.use_wrapper:
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opts = {'maxiter': self.maxiter, 'disp': self.disp,
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'return_all': False}
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res = optimize.minimize(self.func, self.startparams, args=(),
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method='CG', jac=self.grad,
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options=opts)
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params, fopt, func_calls, grad_calls, warnflag = \
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res['x'], res['fun'], res['nfev'], res['njev'], res['status']
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else:
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retval = optimize.fmin_cg(self.func, self.startparams,
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self.grad, (), maxiter=self.maxiter,
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full_output=True, disp=self.disp,
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retall=False)
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(params, fopt, func_calls, grad_calls, warnflag) = retval
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assert_allclose(self.func(params), self.func(self.solution),
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atol=1e-6)
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# Ensure that function call counts are 'known good'; these are from
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# Scipy 0.7.0. Don't allow them to increase.
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assert_(self.funccalls == 9, self.funccalls)
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assert_(self.gradcalls == 7, self.gradcalls)
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# Ensure that the function behaves the same; this is from Scipy 0.7.0
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assert_allclose(self.trace[2:4],
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[[0, -0.5, 0.5],
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[0, -5.05700028e-01, 4.95985862e-01]],
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atol=1e-14, rtol=1e-7)
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def test_cg_cornercase(self):
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def f(r):
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return 2.5 * (1 - np.exp(-1.5*(r - 0.5)))**2
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# Check several initial guesses. (Too far away from the
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# minimum, the function ends up in the flat region of exp.)
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for x0 in np.linspace(-0.75, 3, 71):
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sol = optimize.minimize(f, [x0], method='CG')
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assert_(sol.success)
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assert_allclose(sol.x, [0.5], rtol=1e-5)
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def test_bfgs(self):
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# Broyden-Fletcher-Goldfarb-Shanno optimization routine
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if self.use_wrapper:
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opts = {'maxiter': self.maxiter, 'disp': self.disp,
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'return_all': False}
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res = optimize.minimize(self.func, self.startparams,
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jac=self.grad, method='BFGS', args=(),
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options=opts)
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params, fopt, gopt, Hopt, func_calls, grad_calls, warnflag = (
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res['x'], res['fun'], res['jac'], res['hess_inv'],
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res['nfev'], res['njev'], res['status'])
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else:
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retval = optimize.fmin_bfgs(self.func, self.startparams, self.grad,
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args=(), maxiter=self.maxiter,
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full_output=True, disp=self.disp,
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retall=False)
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(params, fopt, gopt, Hopt, func_calls, grad_calls, warnflag) = retval
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assert_allclose(self.func(params), self.func(self.solution),
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atol=1e-6)
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# Ensure that function call counts are 'known good'; these are from
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# Scipy 0.7.0. Don't allow them to increase.
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assert_(self.funccalls == 10, self.funccalls)
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assert_(self.gradcalls == 8, self.gradcalls)
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# Ensure that the function behaves the same; this is from Scipy 0.7.0
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assert_allclose(self.trace[6:8],
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[[0, -5.25060743e-01, 4.87748473e-01],
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[0, -5.24885582e-01, 4.87530347e-01]],
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atol=1e-14, rtol=1e-7)
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def test_bfgs_infinite(self):
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# Test corner case where -Inf is the minimum. See gh-2019.
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func = lambda x: -np.e**-x
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fprime = lambda x: -func(x)
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x0 = [0]
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olderr = np.seterr(over='ignore')
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try:
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if self.use_wrapper:
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opts = {'disp': self.disp}
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x = optimize.minimize(func, x0, jac=fprime, method='BFGS',
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args=(), options=opts)['x']
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else:
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x = optimize.fmin_bfgs(func, x0, fprime, disp=self.disp)
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assert_(not np.isfinite(func(x)))
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finally:
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np.seterr(**olderr)
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def test_powell(self):
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# Powell (direction set) optimization routine
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if self.use_wrapper:
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opts = {'maxiter': self.maxiter, 'disp': self.disp,
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'return_all': False}
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res = optimize.minimize(self.func, self.startparams, args=(),
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method='Powell', options=opts)
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params, fopt, direc, numiter, func_calls, warnflag = (
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res['x'], res['fun'], res['direc'], res['nit'],
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res['nfev'], res['status'])
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else:
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retval = optimize.fmin_powell(self.func, self.startparams,
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args=(), maxiter=self.maxiter,
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full_output=True, disp=self.disp,
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retall=False)
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(params, fopt, direc, numiter, func_calls, warnflag) = retval
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assert_allclose(self.func(params), self.func(self.solution),
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atol=1e-6)
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# Ensure that function call counts are 'known good'; these are from
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# Scipy 0.7.0. Don't allow them to increase.
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#
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# However, some leeway must be added: the exact evaluation
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# count is sensitive to numerical error, and floating-point
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# computations are not bit-for-bit reproducible across
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# machines, and when using e.g. MKL, data alignment
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# etc. affect the rounding error.
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#
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assert_(self.funccalls <= 116 + 20, self.funccalls)
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assert_(self.gradcalls == 0, self.gradcalls)
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# Ensure that the function behaves the same; this is from Scipy 0.7.0
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assert_allclose(self.trace[34:39],
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[[0.72949016, -0.44156936, 0.47100962],
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[0.72949016, -0.44156936, 0.48052496],
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[1.45898031, -0.88313872, 0.95153458],
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[0.72949016, -0.44156936, 0.47576729],
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[1.72949016, -0.44156936, 0.47576729]],
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atol=1e-14, rtol=1e-7)
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def test_neldermead(self):
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# Nelder-Mead simplex algorithm
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if self.use_wrapper:
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opts = {'maxiter': self.maxiter, 'disp': self.disp,
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'return_all': False}
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res = optimize.minimize(self.func, self.startparams, args=(),
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method='Nelder-mead', options=opts)
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params, fopt, numiter, func_calls, warnflag, final_simplex = (
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res['x'], res['fun'], res['nit'], res['nfev'],
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res['status'], res['final_simplex'])
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else:
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retval = optimize.fmin(self.func, self.startparams,
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args=(), maxiter=self.maxiter,
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full_output=True, disp=self.disp,
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retall=False)
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(params, fopt, numiter, func_calls, warnflag) = retval
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assert_allclose(self.func(params), self.func(self.solution),
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atol=1e-6)
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# Ensure that function call counts are 'known good'; these are from
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# Scipy 0.7.0. Don't allow them to increase.
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assert_(self.funccalls == 167, self.funccalls)
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assert_(self.gradcalls == 0, self.gradcalls)
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# Ensure that the function behaves the same; this is from Scipy 0.7.0
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assert_allclose(self.trace[76:78],
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[[0.1928968, -0.62780447, 0.35166118],
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[0.19572515, -0.63648426, 0.35838135]],
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atol=1e-14, rtol=1e-7)
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def test_neldermead_initial_simplex(self):
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# Nelder-Mead simplex algorithm
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simplex = np.zeros((4, 3))
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simplex[...] = self.startparams
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for j in range(3):
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simplex[j+1,j] += 0.1
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if self.use_wrapper:
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opts = {'maxiter': self.maxiter, 'disp': False,
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'return_all': True, 'initial_simplex': simplex}
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res = optimize.minimize(self.func, self.startparams, args=(),
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method='Nelder-mead', options=opts)
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params, fopt, numiter, func_calls, warnflag = \
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res['x'], res['fun'], res['nit'], res['nfev'], \
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res['status']
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assert_allclose(res['allvecs'][0], simplex[0])
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else:
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retval = optimize.fmin(self.func, self.startparams,
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args=(), maxiter=self.maxiter,
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full_output=True, disp=False, retall=False,
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initial_simplex=simplex)
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(params, fopt, numiter, func_calls, warnflag) = retval
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assert_allclose(self.func(params), self.func(self.solution),
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atol=1e-6)
|
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|
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# Ensure that function call counts are 'known good'; these are from
|
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# Scipy 0.17.0. Don't allow them to increase.
|
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assert_(self.funccalls == 100, self.funccalls)
|
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assert_(self.gradcalls == 0, self.gradcalls)
|
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# Ensure that the function behaves the same; this is from Scipy 0.15.0
|
||
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assert_allclose(self.trace[50:52],
|
||
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[[0.14687474, -0.5103282, 0.48252111],
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[0.14474003, -0.5282084, 0.48743951]],
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atol=1e-14, rtol=1e-7)
|
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|
|
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def test_neldermead_initial_simplex_bad(self):
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# Check it fails with a bad simplices
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bad_simplices = []
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simplex = np.zeros((3, 2))
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simplex[...] = self.startparams[:2]
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for j in range(2):
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simplex[j+1,j] += 0.1
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bad_simplices.append(simplex)
|
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simplex = np.zeros((3, 3))
|
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bad_simplices.append(simplex)
|
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for simplex in bad_simplices:
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if self.use_wrapper:
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opts = {'maxiter': self.maxiter, 'disp': False,
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'return_all': False, 'initial_simplex': simplex}
|
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assert_raises(ValueError,
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optimize.minimize, self.func, self.startparams, args=(),
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method='Nelder-mead', options=opts)
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else:
|
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assert_raises(ValueError, optimize.fmin, self.func, self.startparams,
|
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args=(), maxiter=self.maxiter,
|
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full_output=True, disp=False, retall=False,
|
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initial_simplex=simplex)
|
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|
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|
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def test_ncg_negative_maxiter(self):
|
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|
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# Regression test for gh-8241
|
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|
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opts = {'maxiter': -1}
|
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|
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result = optimize.minimize(self.func, self.startparams,
|
||
|
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method='Newton-CG', jac=self.grad,
|
||
|
|
args=(), options=opts)
|
||
|
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assert_(result.status == 1)
|
||
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|
||
|
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def test_ncg(self):
|
||
|
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# line-search Newton conjugate gradient optimization routine
|
||
|
|
if self.use_wrapper:
|
||
|
|
opts = {'maxiter': self.maxiter, 'disp': self.disp,
|
||
|
|
'return_all': False}
|
||
|
|
retval = optimize.minimize(self.func, self.startparams,
|
||
|
|
method='Newton-CG', jac=self.grad,
|
||
|
|
args=(), options=opts)['x']
|
||
|
|
else:
|
||
|
|
retval = optimize.fmin_ncg(self.func, self.startparams, self.grad,
|
||
|
|
args=(), maxiter=self.maxiter,
|
||
|
|
full_output=False, disp=self.disp,
|
||
|
|
retall=False)
|
||
|
|
|
||
|
|
params = retval
|
||
|
|
|
||
|
|
assert_allclose(self.func(params), self.func(self.solution),
|
||
|
|
atol=1e-6)
|
||
|
|
|
||
|
|
# Ensure that function call counts are 'known good'; these are from
|
||
|
|
# Scipy 0.7.0. Don't allow them to increase.
|
||
|
|
assert_(self.funccalls == 7, self.funccalls)
|
||
|
|
assert_(self.gradcalls <= 22, self.gradcalls) # 0.13.0
|
||
|
|
#assert_(self.gradcalls <= 18, self.gradcalls) # 0.9.0
|
||
|
|
#assert_(self.gradcalls == 18, self.gradcalls) # 0.8.0
|
||
|
|
#assert_(self.gradcalls == 22, self.gradcalls) # 0.7.0
|
||
|
|
|
||
|
|
# Ensure that the function behaves the same; this is from Scipy 0.7.0
|
||
|
|
assert_allclose(self.trace[3:5],
|
||
|
|
[[-4.35700753e-07, -5.24869435e-01, 4.87527480e-01],
|
||
|
|
[-4.35700753e-07, -5.24869401e-01, 4.87527774e-01]],
|
||
|
|
atol=1e-6, rtol=1e-7)
|
||
|
|
|
||
|
|
def test_ncg_hess(self):
|
||
|
|
# Newton conjugate gradient with Hessian
|
||
|
|
if self.use_wrapper:
|
||
|
|
opts = {'maxiter': self.maxiter, 'disp': self.disp,
|
||
|
|
'return_all': False}
|
||
|
|
retval = optimize.minimize(self.func, self.startparams,
|
||
|
|
method='Newton-CG', jac=self.grad,
|
||
|
|
hess=self.hess,
|
||
|
|
args=(), options=opts)['x']
|
||
|
|
else:
|
||
|
|
retval = optimize.fmin_ncg(self.func, self.startparams, self.grad,
|
||
|
|
fhess=self.hess,
|
||
|
|
args=(), maxiter=self.maxiter,
|
||
|
|
full_output=False, disp=self.disp,
|
||
|
|
retall=False)
|
||
|
|
|
||
|
|
params = retval
|
||
|
|
|
||
|
|
assert_allclose(self.func(params), self.func(self.solution),
|
||
|
|
atol=1e-6)
|
||
|
|
|
||
|
|
# Ensure that function call counts are 'known good'; these are from
|
||
|
|
# Scipy 0.7.0. Don't allow them to increase.
|
||
|
|
assert_(self.funccalls == 7, self.funccalls)
|
||
|
|
assert_(self.gradcalls <= 18, self.gradcalls) # 0.9.0
|
||
|
|
# assert_(self.gradcalls == 18, self.gradcalls) # 0.8.0
|
||
|
|
# assert_(self.gradcalls == 22, self.gradcalls) # 0.7.0
|
||
|
|
|
||
|
|
# Ensure that the function behaves the same; this is from Scipy 0.7.0
|
||
|
|
assert_allclose(self.trace[3:5],
|
||
|
|
[[-4.35700753e-07, -5.24869435e-01, 4.87527480e-01],
|
||
|
|
[-4.35700753e-07, -5.24869401e-01, 4.87527774e-01]],
|
||
|
|
atol=1e-6, rtol=1e-7)
|
||
|
|
|
||
|
|
def test_ncg_hessp(self):
|
||
|
|
# Newton conjugate gradient with Hessian times a vector p.
|
||
|
|
if self.use_wrapper:
|
||
|
|
opts = {'maxiter': self.maxiter, 'disp': self.disp,
|
||
|
|
'return_all': False}
|
||
|
|
retval = optimize.minimize(self.func, self.startparams,
|
||
|
|
method='Newton-CG', jac=self.grad,
|
||
|
|
hessp=self.hessp,
|
||
|
|
args=(), options=opts)['x']
|
||
|
|
else:
|
||
|
|
retval = optimize.fmin_ncg(self.func, self.startparams, self.grad,
|
||
|
|
fhess_p=self.hessp,
|
||
|
|
args=(), maxiter=self.maxiter,
|
||
|
|
full_output=False, disp=self.disp,
|
||
|
|
retall=False)
|
||
|
|
|
||
|
|
params = retval
|
||
|
|
|
||
|
|
assert_allclose(self.func(params), self.func(self.solution),
|
||
|
|
atol=1e-6)
|
||
|
|
|
||
|
|
# Ensure that function call counts are 'known good'; these are from
|
||
|
|
# Scipy 0.7.0. Don't allow them to increase.
|
||
|
|
assert_(self.funccalls == 7, self.funccalls)
|
||
|
|
assert_(self.gradcalls <= 18, self.gradcalls) # 0.9.0
|
||
|
|
# assert_(self.gradcalls == 18, self.gradcalls) # 0.8.0
|
||
|
|
# assert_(self.gradcalls == 22, self.gradcalls) # 0.7.0
|
||
|
|
|
||
|
|
# Ensure that the function behaves the same; this is from Scipy 0.7.0
|
||
|
|
assert_allclose(self.trace[3:5],
|
||
|
|
[[-4.35700753e-07, -5.24869435e-01, 4.87527480e-01],
|
||
|
|
[-4.35700753e-07, -5.24869401e-01, 4.87527774e-01]],
|
||
|
|
atol=1e-6, rtol=1e-7)
|
||
|
|
|
||
|
|
|
||
|
|
def test_neldermead_xatol_fatol():
|
||
|
|
# gh4484
|
||
|
|
# test we can call with fatol, xatol specified
|
||
|
|
func = lambda x: x[0]**2 + x[1]**2
|
||
|
|
|
||
|
|
optimize._minimize._minimize_neldermead(func, [1, 1], maxiter=2,
|
||
|
|
xatol=1e-3, fatol=1e-3)
|
||
|
|
assert_warns(DeprecationWarning,
|
||
|
|
optimize._minimize._minimize_neldermead,
|
||
|
|
func, [1, 1], xtol=1e-3, ftol=1e-3, maxiter=2)
|
||
|
|
|
||
|
|
def test_neldermead_adaptive():
|
||
|
|
func = lambda x: np.sum(x**2)
|
||
|
|
p0 = [0.15746215, 0.48087031, 0.44519198, 0.4223638, 0.61505159, 0.32308456,
|
||
|
|
0.9692297, 0.4471682, 0.77411992, 0.80441652, 0.35994957, 0.75487856,
|
||
|
|
0.99973421, 0.65063887, 0.09626474]
|
||
|
|
|
||
|
|
res = optimize.minimize(func, p0, method='Nelder-Mead')
|
||
|
|
assert_equal(res.success, False)
|
||
|
|
|
||
|
|
res = optimize.minimize(func, p0, method='Nelder-Mead',
|
||
|
|
options={'adaptive':True})
|
||
|
|
assert_equal(res.success, True)
|
||
|
|
|
||
|
|
class TestOptimizeWrapperDisp(CheckOptimizeParameterized):
|
||
|
|
use_wrapper = True
|
||
|
|
disp = True
|
||
|
|
|
||
|
|
|
||
|
|
class TestOptimizeWrapperNoDisp(CheckOptimizeParameterized):
|
||
|
|
use_wrapper = True
|
||
|
|
disp = False
|
||
|
|
|
||
|
|
|
||
|
|
class TestOptimizeNoWrapperDisp(CheckOptimizeParameterized):
|
||
|
|
use_wrapper = False
|
||
|
|
disp = True
|
||
|
|
|
||
|
|
|
||
|
|
class TestOptimizeNoWrapperNoDisp(CheckOptimizeParameterized):
|
||
|
|
use_wrapper = False
|
||
|
|
disp = False
|
||
|
|
|
||
|
|
|
||
|
|
class TestOptimizeSimple(CheckOptimize):
|
||
|
|
|
||
|
|
def test_bfgs_nan(self):
|
||
|
|
# Test corner case where nan is fed to optimizer. See gh-2067.
|
||
|
|
func = lambda x: x
|
||
|
|
fprime = lambda x: np.ones_like(x)
|
||
|
|
x0 = [np.nan]
|
||
|
|
with np.errstate(over='ignore', invalid='ignore'):
|
||
|
|
x = optimize.fmin_bfgs(func, x0, fprime, disp=False)
|
||
|
|
assert_(np.isnan(func(x)))
|
||
|
|
|
||
|
|
def test_bfgs_nan_return(self):
|
||
|
|
# Test corner cases where fun returns NaN. See gh-4793.
|
||
|
|
|
||
|
|
# First case: NaN from first call.
|
||
|
|
func = lambda x: np.nan
|
||
|
|
with np.errstate(invalid='ignore'):
|
||
|
|
result = optimize.minimize(func, 0)
|
||
|
|
|
||
|
|
assert_(np.isnan(result['fun']))
|
||
|
|
assert_(result['success'] is False)
|
||
|
|
|
||
|
|
# Second case: NaN from second call.
|
||
|
|
func = lambda x: 0 if x == 0 else np.nan
|
||
|
|
fprime = lambda x: np.ones_like(x) # Steer away from zero.
|
||
|
|
with np.errstate(invalid='ignore'):
|
||
|
|
result = optimize.minimize(func, 0, jac=fprime)
|
||
|
|
|
||
|
|
assert_(np.isnan(result['fun']))
|
||
|
|
assert_(result['success'] is False)
|
||
|
|
|
||
|
|
def test_bfgs_numerical_jacobian(self):
|
||
|
|
# BFGS with numerical jacobian and a vector epsilon parameter.
|
||
|
|
# define the epsilon parameter using a random vector
|
||
|
|
epsilon = np.sqrt(np.finfo(float).eps) * np.random.rand(len(self.solution))
|
||
|
|
|
||
|
|
params = optimize.fmin_bfgs(self.func, self.startparams,
|
||
|
|
epsilon=epsilon, args=(),
|
||
|
|
maxiter=self.maxiter, disp=False)
|
||
|
|
|
||
|
|
assert_allclose(self.func(params), self.func(self.solution),
|
||
|
|
atol=1e-6)
|
||
|
|
|
||
|
|
def test_bfgs_gh_2169(self):
|
||
|
|
def f(x):
|
||
|
|
if x < 0:
|
||
|
|
return 1.79769313e+308
|
||
|
|
else:
|
||
|
|
return x + 1./x
|
||
|
|
xs = optimize.fmin_bfgs(f, [10.], disp=False)
|
||
|
|
assert_allclose(xs, 1.0, rtol=1e-4, atol=1e-4)
|
||
|
|
|
||
|
|
def test_l_bfgs_b(self):
|
||
|
|
# limited-memory bound-constrained BFGS algorithm
|
||
|
|
retval = optimize.fmin_l_bfgs_b(self.func, self.startparams,
|
||
|
|
self.grad, args=(),
|
||
|
|
maxiter=self.maxiter)
|
||
|
|
|
||
|
|
(params, fopt, d) = retval
|
||
|
|
|
||
|
|
assert_allclose(self.func(params), self.func(self.solution),
|
||
|
|
atol=1e-6)
|
||
|
|
|
||
|
|
# Ensure that function call counts are 'known good'; these are from
|
||
|
|
# Scipy 0.7.0. Don't allow them to increase.
|
||
|
|
assert_(self.funccalls == 7, self.funccalls)
|
||
|
|
assert_(self.gradcalls == 5, self.gradcalls)
|
||
|
|
|
||
|
|
# Ensure that the function behaves the same; this is from Scipy 0.7.0
|
||
|
|
assert_allclose(self.trace[3:5],
|
||
|
|
[[0., -0.52489628, 0.48753042],
|
||
|
|
[0., -0.52489628, 0.48753042]],
|
||
|
|
atol=1e-14, rtol=1e-7)
|
||
|
|
|
||
|
|
def test_l_bfgs_b_numjac(self):
|
||
|
|
# L-BFGS-B with numerical jacobian
|
||
|
|
retval = optimize.fmin_l_bfgs_b(self.func, self.startparams,
|
||
|
|
approx_grad=True,
|
||
|
|
maxiter=self.maxiter)
|
||
|
|
|
||
|
|
(params, fopt, d) = retval
|
||
|
|
|
||
|
|
assert_allclose(self.func(params), self.func(self.solution),
|
||
|
|
atol=1e-6)
|
||
|
|
|
||
|
|
def test_l_bfgs_b_funjac(self):
|
||
|
|
# L-BFGS-B with combined objective function and jacobian
|
||
|
|
def fun(x):
|
||
|
|
return self.func(x), self.grad(x)
|
||
|
|
|
||
|
|
retval = optimize.fmin_l_bfgs_b(fun, self.startparams,
|
||
|
|
maxiter=self.maxiter)
|
||
|
|
|
||
|
|
(params, fopt, d) = retval
|
||
|
|
|
||
|
|
assert_allclose(self.func(params), self.func(self.solution),
|
||
|
|
atol=1e-6)
|
||
|
|
|
||
|
|
def test_l_bfgs_b_maxiter(self):
|
||
|
|
# gh7854
|
||
|
|
# Ensure that not more than maxiters are ever run.
|
||
|
|
class Callback(object):
|
||
|
|
def __init__(self):
|
||
|
|
self.nit = 0
|
||
|
|
self.fun = None
|
||
|
|
self.x = None
|
||
|
|
|
||
|
|
def __call__(self, x):
|
||
|
|
self.x = x
|
||
|
|
self.fun = optimize.rosen(x)
|
||
|
|
self.nit += 1
|
||
|
|
|
||
|
|
c = Callback()
|
||
|
|
res = optimize.minimize(optimize.rosen, [0., 0.], method='l-bfgs-b',
|
||
|
|
callback=c, options={'maxiter': 5})
|
||
|
|
|
||
|
|
assert_equal(res.nit, 5)
|
||
|
|
assert_almost_equal(res.x, c.x)
|
||
|
|
assert_almost_equal(res.fun, c.fun)
|
||
|
|
assert_equal(res.status, 1)
|
||
|
|
assert_(res.success is False)
|
||
|
|
assert_equal(res.message.decode(), 'STOP: TOTAL NO. of ITERATIONS REACHED LIMIT')
|
||
|
|
|
||
|
|
def test_minimize_l_bfgs_b(self):
|
||
|
|
# Minimize with L-BFGS-B method
|
||
|
|
opts = {'disp': False, 'maxiter': self.maxiter}
|
||
|
|
r = optimize.minimize(self.func, self.startparams,
|
||
|
|
method='L-BFGS-B', jac=self.grad,
|
||
|
|
options=opts)
|
||
|
|
assert_allclose(self.func(r.x), self.func(self.solution),
|
||
|
|
atol=1e-6)
|
||
|
|
# approximate jacobian
|
||
|
|
ra = optimize.minimize(self.func, self.startparams,
|
||
|
|
method='L-BFGS-B', options=opts)
|
||
|
|
assert_allclose(self.func(ra.x), self.func(self.solution),
|
||
|
|
atol=1e-6)
|
||
|
|
# check that function evaluations in approximate jacobian are counted
|
||
|
|
assert_(ra.nfev > r.nfev)
|
||
|
|
|
||
|
|
def test_minimize_l_bfgs_b_ftol(self):
|
||
|
|
# Check that the `ftol` parameter in l_bfgs_b works as expected
|
||
|
|
v0 = None
|
||
|
|
for tol in [1e-1, 1e-4, 1e-7, 1e-10]:
|
||
|
|
opts = {'disp': False, 'maxiter': self.maxiter, 'ftol': tol}
|
||
|
|
sol = optimize.minimize(self.func, self.startparams,
|
||
|
|
method='L-BFGS-B', jac=self.grad,
|
||
|
|
options=opts)
|
||
|
|
v = self.func(sol.x)
|
||
|
|
|
||
|
|
if v0 is None:
|
||
|
|
v0 = v
|
||
|
|
else:
|
||
|
|
assert_(v < v0)
|
||
|
|
|
||
|
|
assert_allclose(v, self.func(self.solution), rtol=tol)
|
||
|
|
|
||
|
|
def test_minimize_l_bfgs_maxls(self):
|
||
|
|
# check that the maxls is passed down to the Fortran routine
|
||
|
|
sol = optimize.minimize(optimize.rosen, np.array([-1.2,1.0]),
|
||
|
|
method='L-BFGS-B', jac=optimize.rosen_der,
|
||
|
|
options={'disp': False, 'maxls': 1})
|
||
|
|
assert_(not sol.success)
|
||
|
|
|
||
|
|
def test_minimize_l_bfgs_b_maxfun_interruption(self):
|
||
|
|
# gh-6162
|
||
|
|
f = optimize.rosen
|
||
|
|
g = optimize.rosen_der
|
||
|
|
values = []
|
||
|
|
x0 = np.ones(7) * 1000
|
||
|
|
|
||
|
|
def objfun(x):
|
||
|
|
value = f(x)
|
||
|
|
values.append(value)
|
||
|
|
return value
|
||
|
|
|
||
|
|
# Look for an interesting test case.
|
||
|
|
# Request a maxfun that stops at a particularly bad function
|
||
|
|
# evaluation somewhere between 100 and 300 evaluations.
|
||
|
|
low, medium, high = 30, 100, 300
|
||
|
|
optimize.fmin_l_bfgs_b(objfun, x0, fprime=g, maxfun=high)
|
||
|
|
v, k = max((y, i) for i, y in enumerate(values[medium:]))
|
||
|
|
maxfun = medium + k
|
||
|
|
# If the minimization strategy is reasonable,
|
||
|
|
# the minimize() result should not be worse than the best
|
||
|
|
# of the first 30 function evaluations.
|
||
|
|
target = min(values[:low])
|
||
|
|
xmin, fmin, d = optimize.fmin_l_bfgs_b(f, x0, fprime=g, maxfun=maxfun)
|
||
|
|
assert_array_less(fmin, target)
|
||
|
|
|
||
|
|
def test_custom(self):
|
||
|
|
# This function comes from the documentation example.
|
||
|
|
def custmin(fun, x0, args=(), maxfev=None, stepsize=0.1,
|
||
|
|
maxiter=100, callback=None, **options):
|
||
|
|
bestx = x0
|
||
|
|
besty = fun(x0)
|
||
|
|
funcalls = 1
|
||
|
|
niter = 0
|
||
|
|
improved = True
|
||
|
|
stop = False
|
||
|
|
|
||
|
|
while improved and not stop and niter < maxiter:
|
||
|
|
improved = False
|
||
|
|
niter += 1
|
||
|
|
for dim in range(np.size(x0)):
|
||
|
|
for s in [bestx[dim] - stepsize, bestx[dim] + stepsize]:
|
||
|
|
testx = np.copy(bestx)
|
||
|
|
testx[dim] = s
|
||
|
|
testy = fun(testx, *args)
|
||
|
|
funcalls += 1
|
||
|
|
if testy < besty:
|
||
|
|
besty = testy
|
||
|
|
bestx = testx
|
||
|
|
improved = True
|
||
|
|
if callback is not None:
|
||
|
|
callback(bestx)
|
||
|
|
if maxfev is not None and funcalls >= maxfev:
|
||
|
|
stop = True
|
||
|
|
break
|
||
|
|
|
||
|
|
return optimize.OptimizeResult(fun=besty, x=bestx, nit=niter,
|
||
|
|
nfev=funcalls, success=(niter > 1))
|
||
|
|
|
||
|
|
x0 = [1.35, 0.9, 0.8, 1.1, 1.2]
|
||
|
|
res = optimize.minimize(optimize.rosen, x0, method=custmin,
|
||
|
|
options=dict(stepsize=0.05))
|
||
|
|
assert_allclose(res.x, 1.0, rtol=1e-4, atol=1e-4)
|
||
|
|
|
||
|
|
def test_minimize_tol_parameter(self):
|
||
|
|
# Check that the minimize() tol= argument does something
|
||
|
|
def func(z):
|
||
|
|
x, y = z
|
||
|
|
return x**2*y**2 + x**4 + 1
|
||
|
|
|
||
|
|
def dfunc(z):
|
||
|
|
x, y = z
|
||
|
|
return np.array([2*x*y**2 + 4*x**3, 2*x**2*y])
|
||
|
|
|
||
|
|
for method in ['nelder-mead', 'powell', 'cg', 'bfgs',
|
||
|
|
'newton-cg', 'l-bfgs-b', 'tnc',
|
||
|
|
'cobyla', 'slsqp']:
|
||
|
|
if method in ('nelder-mead', 'powell', 'cobyla'):
|
||
|
|
jac = None
|
||
|
|
else:
|
||
|
|
jac = dfunc
|
||
|
|
|
||
|
|
sol1 = optimize.minimize(func, [1, 1], jac=jac, tol=1e-10,
|
||
|
|
method=method)
|
||
|
|
sol2 = optimize.minimize(func, [1, 1], jac=jac, tol=1.0,
|
||
|
|
method=method)
|
||
|
|
assert_(func(sol1.x) < func(sol2.x),
|
||
|
|
"%s: %s vs. %s" % (method, func(sol1.x), func(sol2.x)))
|
||
|
|
|
||
|
|
@pytest.mark.parametrize('method', ['fmin', 'fmin_powell', 'fmin_cg', 'fmin_bfgs',
|
||
|
|
'fmin_ncg', 'fmin_l_bfgs_b', 'fmin_tnc',
|
||
|
|
'fmin_slsqp',
|
||
|
|
'Nelder-Mead', 'Powell', 'CG', 'BFGS', 'Newton-CG', 'L-BFGS-B',
|
||
|
|
'TNC', 'SLSQP', 'trust-constr', 'dogleg', 'trust-ncg',
|
||
|
|
'trust-exact', 'trust-krylov'])
|
||
|
|
def test_minimize_callback_copies_array(self, method):
|
||
|
|
# Check that arrays passed to callbacks are not modified
|
||
|
|
# inplace by the optimizer afterward
|
||
|
|
|
||
|
|
if method in ('fmin_tnc', 'fmin_l_bfgs_b'):
|
||
|
|
func = lambda x: (optimize.rosen(x), optimize.rosen_der(x))
|
||
|
|
else:
|
||
|
|
func = optimize.rosen
|
||
|
|
jac = optimize.rosen_der
|
||
|
|
hess = optimize.rosen_hess
|
||
|
|
|
||
|
|
x0 = np.zeros(10)
|
||
|
|
|
||
|
|
# Set options
|
||
|
|
kwargs = {}
|
||
|
|
if method.startswith('fmin'):
|
||
|
|
routine = getattr(optimize, method)
|
||
|
|
if method == 'fmin_slsqp':
|
||
|
|
kwargs['iter'] = 5
|
||
|
|
elif method == 'fmin_tnc':
|
||
|
|
kwargs['maxfun'] = 100
|
||
|
|
else:
|
||
|
|
kwargs['maxiter'] = 5
|
||
|
|
else:
|
||
|
|
def routine(*a, **kw):
|
||
|
|
kw['method'] = method
|
||
|
|
return optimize.minimize(*a, **kw)
|
||
|
|
|
||
|
|
if method == 'TNC':
|
||
|
|
kwargs['options'] = dict(maxiter=100)
|
||
|
|
else:
|
||
|
|
kwargs['options'] = dict(maxiter=5)
|
||
|
|
|
||
|
|
if method in ('fmin_ncg',):
|
||
|
|
kwargs['fprime'] = jac
|
||
|
|
elif method in ('Newton-CG',):
|
||
|
|
kwargs['jac'] = jac
|
||
|
|
elif method in ('trust-krylov', 'trust-exact', 'trust-ncg', 'dogleg',
|
||
|
|
'trust-constr'):
|
||
|
|
kwargs['jac'] = jac
|
||
|
|
kwargs['hess'] = hess
|
||
|
|
|
||
|
|
# Run with callback
|
||
|
|
results = []
|
||
|
|
|
||
|
|
def callback(x, *args, **kwargs):
|
||
|
|
results.append((x, np.copy(x)))
|
||
|
|
|
||
|
|
sol = routine(func, x0, callback=callback, **kwargs)
|
||
|
|
|
||
|
|
# Check returned arrays coincide with their copies and have no memory overlap
|
||
|
|
assert_(len(results) > 2)
|
||
|
|
assert_(all(np.all(x == y) for x, y in results))
|
||
|
|
assert_(not any(np.may_share_memory(x[0], y[0]) for x, y in itertools.combinations(results, 2)))
|
||
|
|
|
||
|
|
@pytest.mark.parametrize('method', ['nelder-mead', 'powell', 'cg', 'bfgs', 'newton-cg',
|
||
|
|
'l-bfgs-b', 'tnc', 'cobyla', 'slsqp'])
|
||
|
|
def test_no_increase(self, method):
|
||
|
|
# Check that the solver doesn't return a value worse than the
|
||
|
|
# initial point.
|
||
|
|
|
||
|
|
def func(x):
|
||
|
|
return (x - 1)**2
|
||
|
|
|
||
|
|
def bad_grad(x):
|
||
|
|
# purposefully invalid gradient function, simulates a case
|
||
|
|
# where line searches start failing
|
||
|
|
return 2*(x - 1) * (-1) - 2
|
||
|
|
|
||
|
|
x0 = np.array([2.0])
|
||
|
|
f0 = func(x0)
|
||
|
|
jac = bad_grad
|
||
|
|
if method in ['nelder-mead', 'powell', 'cobyla']:
|
||
|
|
jac = None
|
||
|
|
sol = optimize.minimize(func, x0, jac=jac, method=method,
|
||
|
|
options=dict(maxiter=20))
|
||
|
|
assert_equal(func(sol.x), sol.fun)
|
||
|
|
|
||
|
|
if method == 'slsqp':
|
||
|
|
pytest.xfail("SLSQP returns slightly worse")
|
||
|
|
assert_(func(sol.x) <= f0)
|
||
|
|
|
||
|
|
def test_slsqp_respect_bounds(self):
|
||
|
|
# Regression test for gh-3108
|
||
|
|
def f(x):
|
||
|
|
return sum((x - np.array([1., 2., 3., 4.]))**2)
|
||
|
|
|
||
|
|
def cons(x):
|
||
|
|
a = np.array([[-1, -1, -1, -1], [-3, -3, -2, -1]])
|
||
|
|
return np.concatenate([np.dot(a, x) + np.array([5, 10]), x])
|
||
|
|
|
||
|
|
x0 = np.array([0.5, 1., 1.5, 2.])
|
||
|
|
res = optimize.minimize(f, x0, method='slsqp',
|
||
|
|
constraints={'type': 'ineq', 'fun': cons})
|
||
|
|
assert_allclose(res.x, np.array([0., 2, 5, 8])/3, atol=1e-12)
|
||
|
|
|
||
|
|
def test_minimize_automethod(self):
|
||
|
|
def f(x):
|
||
|
|
return x**2
|
||
|
|
|
||
|
|
def cons(x):
|
||
|
|
return x - 2
|
||
|
|
|
||
|
|
x0 = np.array([10.])
|
||
|
|
sol_0 = optimize.minimize(f, x0)
|
||
|
|
sol_1 = optimize.minimize(f, x0, constraints=[{'type': 'ineq', 'fun': cons}])
|
||
|
|
sol_2 = optimize.minimize(f, x0, bounds=[(5, 10)])
|
||
|
|
sol_3 = optimize.minimize(f, x0, constraints=[{'type': 'ineq', 'fun': cons}], bounds=[(5, 10)])
|
||
|
|
sol_4 = optimize.minimize(f, x0, constraints=[{'type': 'ineq', 'fun': cons}], bounds=[(1, 10)])
|
||
|
|
for sol in [sol_0, sol_1, sol_2, sol_3, sol_4]:
|
||
|
|
assert_(sol.success)
|
||
|
|
assert_allclose(sol_0.x, 0, atol=1e-7)
|
||
|
|
assert_allclose(sol_1.x, 2, atol=1e-7)
|
||
|
|
assert_allclose(sol_2.x, 5, atol=1e-7)
|
||
|
|
assert_allclose(sol_3.x, 5, atol=1e-7)
|
||
|
|
assert_allclose(sol_4.x, 2, atol=1e-7)
|
||
|
|
|
||
|
|
def test_minimize_coerce_args_param(self):
|
||
|
|
# Regression test for gh-3503
|
||
|
|
def Y(x, c):
|
||
|
|
return np.sum((x-c)**2)
|
||
|
|
|
||
|
|
def dY_dx(x, c=None):
|
||
|
|
return 2*(x-c)
|
||
|
|
|
||
|
|
c = np.array([3, 1, 4, 1, 5, 9, 2, 6, 5, 3, 5])
|
||
|
|
xinit = np.random.randn(len(c))
|
||
|
|
optimize.minimize(Y, xinit, jac=dY_dx, args=(c), method="BFGS")
|
||
|
|
|
||
|
|
def test_initial_step_scaling(self):
|
||
|
|
# Check that optimizer initial step is not huge even if the
|
||
|
|
# function and gradients are
|
||
|
|
|
||
|
|
scales = [1e-50, 1, 1e50]
|
||
|
|
methods = ['CG', 'BFGS', 'L-BFGS-B', 'Newton-CG']
|
||
|
|
|
||
|
|
def f(x):
|
||
|
|
if first_step_size[0] is None and x[0] != x0[0]:
|
||
|
|
first_step_size[0] = abs(x[0] - x0[0])
|
||
|
|
if abs(x).max() > 1e4:
|
||
|
|
raise AssertionError("Optimization stepped far away!")
|
||
|
|
return scale*(x[0] - 1)**2
|
||
|
|
|
||
|
|
def g(x):
|
||
|
|
return np.array([scale*(x[0] - 1)])
|
||
|
|
|
||
|
|
for scale, method in itertools.product(scales, methods):
|
||
|
|
if method in ('CG', 'BFGS'):
|
||
|
|
options = dict(gtol=scale*1e-8)
|
||
|
|
else:
|
||
|
|
options = dict()
|
||
|
|
|
||
|
|
if scale < 1e-10 and method in ('L-BFGS-B', 'Newton-CG'):
|
||
|
|
# XXX: return initial point if they see small gradient
|
||
|
|
continue
|
||
|
|
|
||
|
|
x0 = [-1.0]
|
||
|
|
first_step_size = [None]
|
||
|
|
res = optimize.minimize(f, x0, jac=g, method=method,
|
||
|
|
options=options)
|
||
|
|
|
||
|
|
err_msg = "{0} {1}: {2}: {3}".format(method, scale, first_step_size,
|
||
|
|
res)
|
||
|
|
|
||
|
|
assert_(res.success, err_msg)
|
||
|
|
assert_allclose(res.x, [1.0], err_msg=err_msg)
|
||
|
|
assert_(res.nit <= 3, err_msg)
|
||
|
|
|
||
|
|
if scale > 1e-10:
|
||
|
|
if method in ('CG', 'BFGS'):
|
||
|
|
assert_allclose(first_step_size[0], 1.01, err_msg=err_msg)
|
||
|
|
else:
|
||
|
|
# Newton-CG and L-BFGS-B use different logic for the first step,
|
||
|
|
# but are both scaling invariant with step sizes ~ 1
|
||
|
|
assert_(first_step_size[0] > 0.5 and first_step_size[0] < 3,
|
||
|
|
err_msg)
|
||
|
|
else:
|
||
|
|
# step size has upper bound of ||grad||, so line
|
||
|
|
# search makes many small steps
|
||
|
|
pass
|
||
|
|
|
||
|
|
|
||
|
|
class TestLBFGSBBounds(object):
|
||
|
|
def setup_method(self):
|
||
|
|
self.bounds = ((1, None), (None, None))
|
||
|
|
self.solution = (1, 0)
|
||
|
|
|
||
|
|
def fun(self, x, p=2.0):
|
||
|
|
return 1.0 / p * (x[0]**p + x[1]**p)
|
||
|
|
|
||
|
|
def jac(self, x, p=2.0):
|
||
|
|
return x**(p - 1)
|
||
|
|
|
||
|
|
def fj(self, x, p=2.0):
|
||
|
|
return self.fun(x, p), self.jac(x, p)
|
||
|
|
|
||
|
|
def test_l_bfgs_b_bounds(self):
|
||
|
|
x, f, d = optimize.fmin_l_bfgs_b(self.fun, [0, -1],
|
||
|
|
fprime=self.jac,
|
||
|
|
bounds=self.bounds)
|
||
|
|
assert_(d['warnflag'] == 0, d['task'])
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
def test_l_bfgs_b_funjac(self):
|
||
|
|
# L-BFGS-B with fun and jac combined and extra arguments
|
||
|
|
x, f, d = optimize.fmin_l_bfgs_b(self.fj, [0, -1], args=(2.0, ),
|
||
|
|
bounds=self.bounds)
|
||
|
|
assert_(d['warnflag'] == 0, d['task'])
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
def test_minimize_l_bfgs_b_bounds(self):
|
||
|
|
# Minimize with method='L-BFGS-B' with bounds
|
||
|
|
res = optimize.minimize(self.fun, [0, -1], method='L-BFGS-B',
|
||
|
|
jac=self.jac, bounds=self.bounds)
|
||
|
|
assert_(res['success'], res['message'])
|
||
|
|
assert_allclose(res.x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
|
||
|
|
class TestOptimizeScalar(object):
|
||
|
|
def setup_method(self):
|
||
|
|
self.solution = 1.5
|
||
|
|
|
||
|
|
def fun(self, x, a=1.5):
|
||
|
|
"""Objective function"""
|
||
|
|
return (x - a)**2 - 0.8
|
||
|
|
|
||
|
|
def test_brent(self):
|
||
|
|
x = optimize.brent(self.fun)
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.brent(self.fun, brack=(-3, -2))
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.brent(self.fun, full_output=True)
|
||
|
|
assert_allclose(x[0], self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.brent(self.fun, brack=(-15, -1, 15))
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
def test_golden(self):
|
||
|
|
x = optimize.golden(self.fun)
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.golden(self.fun, brack=(-3, -2))
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.golden(self.fun, full_output=True)
|
||
|
|
assert_allclose(x[0], self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.golden(self.fun, brack=(-15, -1, 15))
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.golden(self.fun, tol=0)
|
||
|
|
assert_allclose(x, self.solution)
|
||
|
|
|
||
|
|
maxiter_test_cases = [0, 1, 5]
|
||
|
|
for maxiter in maxiter_test_cases:
|
||
|
|
x0 = optimize.golden(self.fun, maxiter=0, full_output=True)
|
||
|
|
x = optimize.golden(self.fun, maxiter=maxiter, full_output=True)
|
||
|
|
nfev0, nfev = x0[2], x[2]
|
||
|
|
assert_equal(nfev - nfev0, maxiter)
|
||
|
|
|
||
|
|
def test_fminbound(self):
|
||
|
|
x = optimize.fminbound(self.fun, 0, 1)
|
||
|
|
assert_allclose(x, 1, atol=1e-4)
|
||
|
|
|
||
|
|
x = optimize.fminbound(self.fun, 1, 5)
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.fminbound(self.fun, np.array([1]), np.array([5]))
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
assert_raises(ValueError, optimize.fminbound, self.fun, 5, 1)
|
||
|
|
|
||
|
|
def test_fminbound_scalar(self):
|
||
|
|
with pytest.raises(ValueError, match='.*must be scalar.*'):
|
||
|
|
optimize.fminbound(self.fun, np.zeros((1, 2)), 1)
|
||
|
|
|
||
|
|
x = optimize.fminbound(self.fun, 1, np.array(5))
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
def test_minimize_scalar(self):
|
||
|
|
# combine all tests above for the minimize_scalar wrapper
|
||
|
|
x = optimize.minimize_scalar(self.fun).x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, method='Brent')
|
||
|
|
assert_(x.success)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, method='Brent',
|
||
|
|
options=dict(maxiter=3))
|
||
|
|
assert_(not x.success)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, bracket=(-3, -2),
|
||
|
|
args=(1.5, ), method='Brent').x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, method='Brent',
|
||
|
|
args=(1.5,)).x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, bracket=(-15, -1, 15),
|
||
|
|
args=(1.5, ), method='Brent').x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, bracket=(-3, -2),
|
||
|
|
args=(1.5, ), method='golden').x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, method='golden',
|
||
|
|
args=(1.5,)).x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, bracket=(-15, -1, 15),
|
||
|
|
args=(1.5, ), method='golden').x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, bounds=(0, 1), args=(1.5,),
|
||
|
|
method='Bounded').x
|
||
|
|
assert_allclose(x, 1, atol=1e-4)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, bounds=(1, 5), args=(1.5, ),
|
||
|
|
method='bounded').x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, bounds=(np.array([1]),
|
||
|
|
np.array([5])),
|
||
|
|
args=(np.array([1.5]), ),
|
||
|
|
method='bounded').x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
assert_raises(ValueError, optimize.minimize_scalar, self.fun,
|
||
|
|
bounds=(5, 1), method='bounded', args=(1.5, ))
|
||
|
|
|
||
|
|
assert_raises(ValueError, optimize.minimize_scalar, self.fun,
|
||
|
|
bounds=(np.zeros(2), 1), method='bounded', args=(1.5, ))
|
||
|
|
|
||
|
|
x = optimize.minimize_scalar(self.fun, bounds=(1, np.array(5)),
|
||
|
|
method='bounded').x
|
||
|
|
assert_allclose(x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
def test_minimize_scalar_custom(self):
|
||
|
|
# This function comes from the documentation example.
|
||
|
|
def custmin(fun, bracket, args=(), maxfev=None, stepsize=0.1,
|
||
|
|
maxiter=100, callback=None, **options):
|
||
|
|
bestx = (bracket[1] + bracket[0]) / 2.0
|
||
|
|
besty = fun(bestx)
|
||
|
|
funcalls = 1
|
||
|
|
niter = 0
|
||
|
|
improved = True
|
||
|
|
stop = False
|
||
|
|
|
||
|
|
while improved and not stop and niter < maxiter:
|
||
|
|
improved = False
|
||
|
|
niter += 1
|
||
|
|
for testx in [bestx - stepsize, bestx + stepsize]:
|
||
|
|
testy = fun(testx, *args)
|
||
|
|
funcalls += 1
|
||
|
|
if testy < besty:
|
||
|
|
besty = testy
|
||
|
|
bestx = testx
|
||
|
|
improved = True
|
||
|
|
if callback is not None:
|
||
|
|
callback(bestx)
|
||
|
|
if maxfev is not None and funcalls >= maxfev:
|
||
|
|
stop = True
|
||
|
|
break
|
||
|
|
|
||
|
|
return optimize.OptimizeResult(fun=besty, x=bestx, nit=niter,
|
||
|
|
nfev=funcalls, success=(niter > 1))
|
||
|
|
|
||
|
|
res = optimize.minimize_scalar(self.fun, bracket=(0, 4), method=custmin,
|
||
|
|
options=dict(stepsize=0.05))
|
||
|
|
assert_allclose(res.x, self.solution, atol=1e-6)
|
||
|
|
|
||
|
|
def test_minimize_scalar_coerce_args_param(self):
|
||
|
|
# Regression test for gh-3503
|
||
|
|
optimize.minimize_scalar(self.fun, args=1.5)
|
||
|
|
|
||
|
|
|
||
|
|
def test_brent_negative_tolerance():
|
||
|
|
assert_raises(ValueError, optimize.brent, np.cos, tol=-.01)
|
||
|
|
|
||
|
|
|
||
|
|
class TestNewtonCg(object):
|
||
|
|
def test_rosenbrock(self):
|
||
|
|
x0 = np.array([-1.2, 1.0])
|
||
|
|
sol = optimize.minimize(optimize.rosen, x0,
|
||
|
|
jac=optimize.rosen_der,
|
||
|
|
hess=optimize.rosen_hess,
|
||
|
|
tol=1e-5,
|
||
|
|
method='Newton-CG')
|
||
|
|
assert_(sol.success, sol.message)
|
||
|
|
assert_allclose(sol.x, np.array([1, 1]), rtol=1e-4)
|
||
|
|
|
||
|
|
def test_himmelblau(self):
|
||
|
|
x0 = np.array(himmelblau_x0)
|
||
|
|
sol = optimize.minimize(himmelblau,
|
||
|
|
x0,
|
||
|
|
jac=himmelblau_grad,
|
||
|
|
hess=himmelblau_hess,
|
||
|
|
method='Newton-CG',
|
||
|
|
tol=1e-6)
|
||
|
|
assert_(sol.success, sol.message)
|
||
|
|
assert_allclose(sol.x, himmelblau_xopt, rtol=1e-4)
|
||
|
|
assert_allclose(sol.fun, himmelblau_min, atol=1e-4)
|
||
|
|
|
||
|
|
|
||
|
|
class TestRosen(object):
|
||
|
|
|
||
|
|
def test_hess(self):
|
||
|
|
# Compare rosen_hess(x) times p with rosen_hess_prod(x,p). See gh-1775
|
||
|
|
x = np.array([3, 4, 5])
|
||
|
|
p = np.array([2, 2, 2])
|
||
|
|
hp = optimize.rosen_hess_prod(x, p)
|
||
|
|
dothp = np.dot(optimize.rosen_hess(x), p)
|
||
|
|
assert_equal(hp, dothp)
|
||
|
|
|
||
|
|
|
||
|
|
def himmelblau(p):
|
||
|
|
"""
|
||
|
|
R^2 -> R^1 test function for optimization. The function has four local
|
||
|
|
minima where himmelblau(xopt) == 0.
|
||
|
|
"""
|
||
|
|
x, y = p
|
||
|
|
a = x*x + y - 11
|
||
|
|
b = x + y*y - 7
|
||
|
|
return a*a + b*b
|
||
|
|
|
||
|
|
|
||
|
|
def himmelblau_grad(p):
|
||
|
|
x, y = p
|
||
|
|
return np.array([4*x**3 + 4*x*y - 42*x + 2*y**2 - 14,
|
||
|
|
2*x**2 + 4*x*y + 4*y**3 - 26*y - 22])
|
||
|
|
|
||
|
|
|
||
|
|
def himmelblau_hess(p):
|
||
|
|
x, y = p
|
||
|
|
return np.array([[12*x**2 + 4*y - 42, 4*x + 4*y],
|
||
|
|
[4*x + 4*y, 4*x + 12*y**2 - 26]])
|
||
|
|
|
||
|
|
|
||
|
|
himmelblau_x0 = [-0.27, -0.9]
|
||
|
|
himmelblau_xopt = [3, 2]
|
||
|
|
himmelblau_min = 0.0
|
||
|
|
|
||
|
|
|
||
|
|
def test_minimize_multiple_constraints():
|
||
|
|
# Regression test for gh-4240.
|
||
|
|
def func(x):
|
||
|
|
return np.array([25 - 0.2 * x[0] - 0.4 * x[1] - 0.33 * x[2]])
|
||
|
|
|
||
|
|
def func1(x):
|
||
|
|
return np.array([x[1]])
|
||
|
|
|
||
|
|
def func2(x):
|
||
|
|
return np.array([x[2]])
|
||
|
|
|
||
|
|
cons = ({'type': 'ineq', 'fun': func},
|
||
|
|
{'type': 'ineq', 'fun': func1},
|
||
|
|
{'type': 'ineq', 'fun': func2})
|
||
|
|
|
||
|
|
f = lambda x: -1 * (x[0] + x[1] + x[2])
|
||
|
|
|
||
|
|
res = optimize.minimize(f, [0, 0, 0], method='SLSQP', constraints=cons)
|
||
|
|
assert_allclose(res.x, [125, 0, 0], atol=1e-10)
|
||
|
|
|
||
|
|
|
||
|
|
class TestOptimizeResultAttributes(object):
|
||
|
|
# Test that all minimizers return an OptimizeResult containing
|
||
|
|
# all the OptimizeResult attributes
|
||
|
|
def setup_method(self):
|
||
|
|
self.x0 = [5, 5]
|
||
|
|
self.func = optimize.rosen
|
||
|
|
self.jac = optimize.rosen_der
|
||
|
|
self.hess = optimize.rosen_hess
|
||
|
|
self.hessp = optimize.rosen_hess_prod
|
||
|
|
self.bounds = [(0., 10.), (0., 10.)]
|
||
|
|
|
||
|
|
def test_attributes_present(self):
|
||
|
|
methods = ['Nelder-Mead', 'Powell', 'CG', 'BFGS', 'Newton-CG',
|
||
|
|
'L-BFGS-B', 'TNC', 'COBYLA', 'SLSQP', 'dogleg',
|
||
|
|
'trust-ncg']
|
||
|
|
attributes = ['nit', 'nfev', 'x', 'success', 'status', 'fun',
|
||
|
|
'message']
|
||
|
|
skip = {'COBYLA': ['nit']}
|
||
|
|
for method in methods:
|
||
|
|
with suppress_warnings() as sup:
|
||
|
|
sup.filter(RuntimeWarning,
|
||
|
|
"Method .+ does not use (gradient|Hessian.*) information")
|
||
|
|
res = optimize.minimize(self.func, self.x0, method=method,
|
||
|
|
jac=self.jac, hess=self.hess,
|
||
|
|
hessp=self.hessp)
|
||
|
|
for attribute in attributes:
|
||
|
|
if method in skip and attribute in skip[method]:
|
||
|
|
continue
|
||
|
|
|
||
|
|
assert_(hasattr(res, attribute))
|
||
|
|
assert_(attribute in dir(res))
|
||
|
|
|
||
|
|
|
||
|
|
class TestBrute:
|
||
|
|
# Test the "brute force" method
|
||
|
|
def setup_method(self):
|
||
|
|
self.params = (2, 3, 7, 8, 9, 10, 44, -1, 2, 26, 1, -2, 0.5)
|
||
|
|
self.rranges = (slice(-4, 4, 0.25), slice(-4, 4, 0.25))
|
||
|
|
self.solution = np.array([-1.05665192, 1.80834843])
|
||
|
|
|
||
|
|
def f1(self, z, *params):
|
||
|
|
x, y = z
|
||
|
|
a, b, c, d, e, f, g, h, i, j, k, l, scale = params
|
||
|
|
return (a * x**2 + b * x * y + c * y**2 + d*x + e*y + f)
|
||
|
|
|
||
|
|
def f2(self, z, *params):
|
||
|
|
x, y = z
|
||
|
|
a, b, c, d, e, f, g, h, i, j, k, l, scale = params
|
||
|
|
return (-g*np.exp(-((x-h)**2 + (y-i)**2) / scale))
|
||
|
|
|
||
|
|
def f3(self, z, *params):
|
||
|
|
x, y = z
|
||
|
|
a, b, c, d, e, f, g, h, i, j, k, l, scale = params
|
||
|
|
return (-j*np.exp(-((x-k)**2 + (y-l)**2) / scale))
|
||
|
|
|
||
|
|
def func(self, z, *params):
|
||
|
|
return self.f1(z, *params) + self.f2(z, *params) + self.f3(z, *params)
|
||
|
|
|
||
|
|
def test_brute(self):
|
||
|
|
# test fmin
|
||
|
|
resbrute = optimize.brute(self.func, self.rranges, args=self.params,
|
||
|
|
full_output=True, finish=optimize.fmin)
|
||
|
|
assert_allclose(resbrute[0], self.solution, atol=1e-3)
|
||
|
|
assert_allclose(resbrute[1], self.func(self.solution, *self.params),
|
||
|
|
atol=1e-3)
|
||
|
|
|
||
|
|
# test minimize
|
||
|
|
resbrute = optimize.brute(self.func, self.rranges, args=self.params,
|
||
|
|
full_output=True,
|
||
|
|
finish=optimize.minimize)
|
||
|
|
assert_allclose(resbrute[0], self.solution, atol=1e-3)
|
||
|
|
assert_allclose(resbrute[1], self.func(self.solution, *self.params),
|
||
|
|
atol=1e-3)
|
||
|
|
|
||
|
|
def test_1D(self):
|
||
|
|
# test that for a 1D problem the test function is passed an array,
|
||
|
|
# not a scalar.
|
||
|
|
def f(x):
|
||
|
|
assert_(len(x.shape) == 1)
|
||
|
|
assert_(x.shape[0] == 1)
|
||
|
|
return x ** 2
|
||
|
|
|
||
|
|
optimize.brute(f, [(-1, 1)], Ns=3, finish=None)
|
||
|
|
|
||
|
|
|
||
|
|
class TestIterationLimits(object):
|
||
|
|
# Tests that optimisation does not give up before trying requested
|
||
|
|
# number of iterations or evaluations. And that it does not succeed
|
||
|
|
# by exceeding the limits.
|
||
|
|
def setup_method(self):
|
||
|
|
self.funcalls = 0
|
||
|
|
|
||
|
|
def slow_func(self, v):
|
||
|
|
self.funcalls += 1
|
||
|
|
r,t = np.sqrt(v[0]**2+v[1]**2), np.arctan2(v[0],v[1])
|
||
|
|
return np.sin(r*20 + t)+r*0.5
|
||
|
|
|
||
|
|
def test_neldermead_limit(self):
|
||
|
|
self.check_limits("Nelder-Mead", 200)
|
||
|
|
|
||
|
|
def test_powell_limit(self):
|
||
|
|
self.check_limits("powell", 1000)
|
||
|
|
|
||
|
|
def check_limits(self, method, default_iters):
|
||
|
|
for start_v in [[0.1,0.1], [1,1], [2,2]]:
|
||
|
|
for mfev in [50, 500, 5000]:
|
||
|
|
self.funcalls = 0
|
||
|
|
res = optimize.minimize(self.slow_func, start_v,
|
||
|
|
method=method, options={"maxfev":mfev})
|
||
|
|
assert_(self.funcalls == res["nfev"])
|
||
|
|
if res["success"]:
|
||
|
|
assert_(res["nfev"] < mfev)
|
||
|
|
else:
|
||
|
|
assert_(res["nfev"] >= mfev)
|
||
|
|
for mit in [50, 500,5000]:
|
||
|
|
res = optimize.minimize(self.slow_func, start_v,
|
||
|
|
method=method, options={"maxiter":mit})
|
||
|
|
if res["success"]:
|
||
|
|
assert_(res["nit"] <= mit)
|
||
|
|
else:
|
||
|
|
assert_(res["nit"] >= mit)
|
||
|
|
for mfev,mit in [[50,50], [5000,5000],[5000,np.inf]]:
|
||
|
|
self.funcalls = 0
|
||
|
|
res = optimize.minimize(self.slow_func, start_v,
|
||
|
|
method=method, options={"maxiter":mit, "maxfev":mfev})
|
||
|
|
assert_(self.funcalls == res["nfev"])
|
||
|
|
if res["success"]:
|
||
|
|
assert_(res["nfev"] < mfev and res["nit"] <= mit)
|
||
|
|
else:
|
||
|
|
assert_(res["nfev"] >= mfev or res["nit"] >= mit)
|
||
|
|
for mfev,mit in [[np.inf,None], [None,np.inf]]:
|
||
|
|
self.funcalls = 0
|
||
|
|
res = optimize.minimize(self.slow_func, start_v,
|
||
|
|
method=method, options={"maxiter":mit, "maxfev":mfev})
|
||
|
|
assert_(self.funcalls == res["nfev"])
|
||
|
|
if res["success"]:
|
||
|
|
if mfev is None:
|
||
|
|
assert_(res["nfev"] < default_iters*2)
|
||
|
|
else:
|
||
|
|
assert_(res["nit"] <= default_iters*2)
|
||
|
|
else:
|
||
|
|
assert_(res["nfev"] >= default_iters*2 or
|
||
|
|
res["nit"] >= default_iters*2)
|