from __future__ import division, print_function, absolute_import import numpy as np from numpy.testing import (TestCase, assert_array_almost_equal, assert_array_equal, assert_) from scipy.sparse import csr_matrix from scipy.sparse.linalg import LinearOperator from scipy.optimize._differentiable_functions import (ScalarFunction, VectorFunction, LinearVectorFunction, IdentityVectorFunction) class ExScalarFunction: def __init__(self): self.nfev = 0 self.ngev = 0 self.nhev = 0 def fun(self, x): self.nfev += 1 return 2*(x[0]**2 + x[1]**2 - 1) - x[0] def grad(self, x): self.ngev += 1 return np.array([4*x[0]-1, 4*x[1]]) def hess(self, x): self.nhev += 1 return 4*np.eye(2) class TestScalarFunction(TestCase): def test_finite_difference_grad(self): ex = ExScalarFunction() nfev = 0 ngev = 0 x0 = [1.0, 0.0] analit = ScalarFunction(ex.fun, x0, (), ex.grad, ex.hess, None, (-np.inf, np.inf)) nfev += 1 ngev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev, nfev) approx = ScalarFunction(ex.fun, x0, (), '2-point', ex.hess, None, (-np.inf, np.inf)) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(analit.f, approx.f) assert_array_almost_equal(analit.g, approx.g) x = [10, 0.3] f_analit = analit.fun(x) g_analit = analit.grad(x) nfev += 1 ngev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) f_approx = approx.fun(x) g_approx = approx.grad(x) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_almost_equal(f_analit, f_approx) assert_array_almost_equal(g_analit, g_approx) x = [2.0, 1.0] g_analit = analit.grad(x) ngev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) g_approx = approx.grad(x) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_almost_equal(g_analit, g_approx) x = [2.5, 0.3] f_analit = analit.fun(x) g_analit = analit.grad(x) nfev += 1 ngev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) f_approx = approx.fun(x) g_approx = approx.grad(x) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_almost_equal(f_analit, f_approx) assert_array_almost_equal(g_analit, g_approx) x = [2, 0.3] f_analit = analit.fun(x) g_analit = analit.grad(x) nfev += 1 ngev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) f_approx = approx.fun(x) g_approx = approx.grad(x) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_almost_equal(f_analit, f_approx) assert_array_almost_equal(g_analit, g_approx) def test_finite_difference_hess_linear_operator(self): ex = ExScalarFunction() nfev = 0 ngev = 0 nhev = 0 x0 = [1.0, 0.0] analit = ScalarFunction(ex.fun, x0, (), ex.grad, ex.hess, None, (-np.inf, np.inf)) nfev += 1 ngev += 1 nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev, nhev) approx = ScalarFunction(ex.fun, x0, (), ex.grad, '2-point', None, (-np.inf, np.inf)) assert_(isinstance(approx.H, LinearOperator)) for v in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_equal(analit.f, approx.f) assert_array_almost_equal(analit.g, approx.g) assert_array_almost_equal(analit.H.dot(v), approx.H.dot(v)) nfev += 1 ngev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) x = [2.0, 1.0] H_analit = analit.hess(x) nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) H_approx = approx.hess(x) assert_(isinstance(H_approx, LinearOperator)) for v in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_almost_equal(H_analit.dot(v), H_approx.dot(v)) ngev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) x = [2.1, 1.2] H_analit = analit.hess(x) nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) H_approx = approx.hess(x) assert_(isinstance(H_approx, LinearOperator)) for v in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_almost_equal(H_analit.dot(v), H_approx.dot(v)) ngev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) x = [2.5, 0.3] _ = analit.grad(x) H_analit = analit.hess(x) ngev += 1 nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) _ = approx.grad(x) H_approx = approx.hess(x) assert_(isinstance(H_approx, LinearOperator)) for v in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_almost_equal(H_analit.dot(v), H_approx.dot(v)) ngev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) x = [5.2, 2.3] _ = analit.grad(x) H_analit = analit.hess(x) ngev += 1 nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) _ = approx.grad(x) H_approx = approx.hess(x) assert_(isinstance(H_approx, LinearOperator)) for v in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_almost_equal(H_analit.dot(v), H_approx.dot(v)) ngev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.ngev, ngev) assert_array_equal(analit.ngev+approx.ngev, ngev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) class ExVectorialFunction: def __init__(self): self.nfev = 0 self.njev = 0 self.nhev = 0 def fun(self, x): self.nfev += 1 return np.array([2*(x[0]**2 + x[1]**2 - 1) - x[0], 4*(x[0]**3 + x[1]**2 - 4) - 3*x[0]]) def jac(self, x): self.njev += 1 return np.array([[4*x[0]-1, 4*x[1]], [12*x[0]**2-3, 8*x[1]]]) def hess(self, x, v): self.nhev += 1 return v[0]*4*np.eye(2) + v[1]*np.array([[24*x[0], 0], [0, 8]]) class TestVectorialFunction(TestCase): def test_finite_difference_jac(self): ex = ExVectorialFunction() nfev = 0 njev = 0 x0 = [1.0, 0.0] v0 = [0.0, 1.0] analit = VectorFunction(ex.fun, x0, ex.jac, ex.hess, None, None, (-np.inf, np.inf), None) nfev += 1 njev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev, njev) approx = VectorFunction(ex.fun, x0, '2-point', ex.hess, None, None, (-np.inf, np.inf), None) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(analit.f, approx.f) assert_array_almost_equal(analit.J, approx.J) x = [10, 0.3] f_analit = analit.fun(x) J_analit = analit.jac(x) nfev += 1 njev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) f_approx = approx.fun(x) J_approx = approx.jac(x) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_almost_equal(f_analit, f_approx) assert_array_almost_equal(J_analit, J_approx, decimal=4) x = [2.0, 1.0] J_analit = analit.jac(x) njev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) J_approx = approx.jac(x) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_almost_equal(J_analit, J_approx) x = [2.5, 0.3] f_analit = analit.fun(x) J_analit = analit.jac(x) nfev += 1 njev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) f_approx = approx.fun(x) J_approx = approx.jac(x) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_almost_equal(f_analit, f_approx) assert_array_almost_equal(J_analit, J_approx) x = [2, 0.3] f_analit = analit.fun(x) J_analit = analit.jac(x) nfev += 1 njev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) f_approx = approx.fun(x) J_approx = approx.jac(x) nfev += 3 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_almost_equal(f_analit, f_approx) assert_array_almost_equal(J_analit, J_approx) def test_finite_difference_hess_linear_operator(self): ex = ExVectorialFunction() nfev = 0 njev = 0 nhev = 0 x0 = [1.0, 0.0] v0 = [1.0, 2.0] analit = VectorFunction(ex.fun, x0, ex.jac, ex.hess, None, None, (-np.inf, np.inf), None) nfev += 1 njev += 1 nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev, nhev) approx = VectorFunction(ex.fun, x0, ex.jac, '2-point', None, None, (-np.inf, np.inf), None) assert_(isinstance(approx.H, LinearOperator)) for p in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_equal(analit.f, approx.f) assert_array_almost_equal(analit.J, approx.J) assert_array_almost_equal(analit.H.dot(p), approx.H.dot(p)) nfev += 1 njev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) x = [2.0, 1.0] H_analit = analit.hess(x, v0) nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) H_approx = approx.hess(x, v0) assert_(isinstance(H_approx, LinearOperator)) for p in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_almost_equal(H_analit.dot(p), H_approx.dot(p), decimal=5) njev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) x = [2.1, 1.2] v = [1.0, 1.0] H_analit = analit.hess(x, v) nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) H_approx = approx.hess(x, v) assert_(isinstance(H_approx, LinearOperator)) for v in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_almost_equal(H_analit.dot(v), H_approx.dot(v)) njev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) x = [2.5, 0.3] _ = analit.jac(x) H_analit = analit.hess(x, v0) njev += 1 nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) _ = approx.jac(x) H_approx = approx.hess(x, v0) assert_(isinstance(H_approx, LinearOperator)) for v in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_almost_equal(H_analit.dot(v), H_approx.dot(v), decimal=4) njev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) x = [5.2, 2.3] v = [2.3, 5.2] _ = analit.jac(x) H_analit = analit.hess(x, v) njev += 1 nhev += 1 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) _ = approx.jac(x) H_approx = approx.hess(x, v) assert_(isinstance(H_approx, LinearOperator)) for v in ([1.0, 2.0], [3.0, 4.0], [5.0, 2.0]): assert_array_almost_equal(H_analit.dot(v), H_approx.dot(v), decimal=4) njev += 4 assert_array_equal(ex.nfev, nfev) assert_array_equal(analit.nfev+approx.nfev, nfev) assert_array_equal(ex.njev, njev) assert_array_equal(analit.njev+approx.njev, njev) assert_array_equal(ex.nhev, nhev) assert_array_equal(analit.nhev+approx.nhev, nhev) def test_LinearVectorFunction(): A_dense = np.array([ [-1, 2, 0], [0, 4, 2] ]) x0 = np.zeros(3) A_sparse = csr_matrix(A_dense) x = np.array([1, -1, 0]) v = np.array([-1, 1]) Ax = np.array([-3, -4]) f1 = LinearVectorFunction(A_dense, x0, None) assert_(not f1.sparse_jacobian) f2 = LinearVectorFunction(A_dense, x0, True) assert_(f2.sparse_jacobian) f3 = LinearVectorFunction(A_dense, x0, False) assert_(not f3.sparse_jacobian) f4 = LinearVectorFunction(A_sparse, x0, None) assert_(f4.sparse_jacobian) f5 = LinearVectorFunction(A_sparse, x0, True) assert_(f5.sparse_jacobian) f6 = LinearVectorFunction(A_sparse, x0, False) assert_(not f6.sparse_jacobian) assert_array_equal(f1.fun(x), Ax) assert_array_equal(f2.fun(x), Ax) assert_array_equal(f1.jac(x), A_dense) assert_array_equal(f2.jac(x).toarray(), A_sparse.toarray()) assert_array_equal(f1.hess(x, v).toarray(), np.zeros((3, 3))) def test_LinearVectorFunction_memoization(): A = np.array([[-1, 2, 0], [0, 4, 2]]) x0 = np.array([1, 2, -1]) fun = LinearVectorFunction(A, x0, False) assert_array_equal(x0, fun.x) assert_array_equal(A.dot(x0), fun.f) x1 = np.array([-1, 3, 10]) assert_array_equal(A, fun.jac(x1)) assert_array_equal(x1, fun.x) assert_array_equal(A.dot(x0), fun.f) assert_array_equal(A.dot(x1), fun.fun(x1)) assert_array_equal(A.dot(x1), fun.f) def test_IdentityVectorFunction(): x0 = np.zeros(3) f1 = IdentityVectorFunction(x0, None) f2 = IdentityVectorFunction(x0, False) f3 = IdentityVectorFunction(x0, True) assert_(f1.sparse_jacobian) assert_(not f2.sparse_jacobian) assert_(f3.sparse_jacobian) x = np.array([-1, 2, 1]) v = np.array([-2, 3, 0]) assert_array_equal(f1.fun(x), x) assert_array_equal(f2.fun(x), x) assert_array_equal(f1.jac(x).toarray(), np.eye(3)) assert_array_equal(f2.jac(x), np.eye(3)) assert_array_equal(f1.hess(x, v).toarray(), np.zeros((3, 3)))