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Python

"""Bounded-Variable Least-Squares algorithm."""
from __future__ import division, print_function, absolute_import
import numpy as np
from numpy.linalg import norm, lstsq
from scipy.optimize import OptimizeResult
from .common import print_header_linear, print_iteration_linear
def compute_kkt_optimality(g, on_bound):
"""Compute the maximum violation of KKT conditions."""
g_kkt = g * on_bound
free_set = on_bound == 0
g_kkt[free_set] = np.abs(g[free_set])
return np.max(g_kkt)
def bvls(A, b, x_lsq, lb, ub, tol, max_iter, verbose):
m, n = A.shape
x = x_lsq.copy()
on_bound = np.zeros(n)
mask = x < lb
x[mask] = lb[mask]
on_bound[mask] = -1
mask = x > ub
x[mask] = ub[mask]
on_bound[mask] = 1
free_set = on_bound == 0
active_set = ~free_set
free_set, = np.nonzero(free_set)
r = A.dot(x) - b
cost = 0.5 * np.dot(r, r)
initial_cost = cost
g = A.T.dot(r)
cost_change = None
step_norm = None
iteration = 0
if verbose == 2:
print_header_linear()
# This is the initialization loop. The requirement is that the
# least-squares solution on free variables is feasible before BVLS starts.
# One possible initialization is to set all variables to lower or upper
# bounds, but many iterations may be required from this state later on.
# The implemented ad-hoc procedure which intuitively should give a better
# initial state: find the least-squares solution on current free variables,
# if its feasible then stop, otherwise set violating variables to
# corresponding bounds and continue on the reduced set of free variables.
while free_set.size > 0:
if verbose == 2:
optimality = compute_kkt_optimality(g, on_bound)
print_iteration_linear(iteration, cost, cost_change, step_norm,
optimality)
iteration += 1
x_free_old = x[free_set].copy()
A_free = A[:, free_set]
b_free = b - A.dot(x * active_set)
z = lstsq(A_free, b_free, rcond=-1)[0]
lbv = z < lb[free_set]
ubv = z > ub[free_set]
v = lbv | ubv
if np.any(lbv):
ind = free_set[lbv]
x[ind] = lb[ind]
active_set[ind] = True
on_bound[ind] = -1
if np.any(ubv):
ind = free_set[ubv]
x[ind] = ub[ind]
active_set[ind] = True
on_bound[ind] = 1
ind = free_set[~v]
x[ind] = z[~v]
r = A.dot(x) - b
cost_new = 0.5 * np.dot(r, r)
cost_change = cost - cost_new
cost = cost_new
g = A.T.dot(r)
step_norm = norm(x[free_set] - x_free_old)
if np.any(v):
free_set = free_set[~v]
else:
break
if max_iter is None:
max_iter = n
max_iter += iteration
termination_status = None
# Main BVLS loop.
optimality = compute_kkt_optimality(g, on_bound)
for iteration in range(iteration, max_iter):
if verbose == 2:
print_iteration_linear(iteration, cost, cost_change,
step_norm, optimality)
if optimality < tol:
termination_status = 1
if termination_status is not None:
break
move_to_free = np.argmax(g * on_bound)
on_bound[move_to_free] = 0
free_set = on_bound == 0
active_set = ~free_set
free_set, = np.nonzero(free_set)
x_free = x[free_set]
x_free_old = x_free.copy()
lb_free = lb[free_set]
ub_free = ub[free_set]
A_free = A[:, free_set]
b_free = b - A.dot(x * active_set)
z = lstsq(A_free, b_free, rcond=-1)[0]
lbv, = np.nonzero(z < lb_free)
ubv, = np.nonzero(z > ub_free)
v = np.hstack((lbv, ubv))
if v.size > 0:
alphas = np.hstack((
lb_free[lbv] - x_free[lbv],
ub_free[ubv] - x_free[ubv])) / (z[v] - x_free[v])
i = np.argmin(alphas)
i_free = v[i]
alpha = alphas[i]
x_free *= 1 - alpha
x_free += alpha * z
if i < lbv.size:
on_bound[free_set[i_free]] = -1
else:
on_bound[free_set[i_free]] = 1
else:
x_free = z
x[free_set] = x_free
step_norm = norm(x_free - x_free_old)
r = A.dot(x) - b
cost_new = 0.5 * np.dot(r, r)
cost_change = cost - cost_new
if cost_change < tol * cost:
termination_status = 2
cost = cost_new
g = A.T.dot(r)
optimality = compute_kkt_optimality(g, on_bound)
if termination_status is None:
termination_status = 0
return OptimizeResult(
x=x, fun=r, cost=cost, optimality=optimality, active_mask=on_bound,
nit=iteration + 1, status=termination_status,
initial_cost=initial_cost)