#!/usr/bin/env python """ Author(s): Matthew Loper See LICENCE.txt for licensing and contact information. """ __all__ = ['minimize'] import numpy as np from . import ch import scipy.sparse as sp import scipy.optimize from .optimization_internal import minimize_dogleg #from memory_profiler import profile, memory_usage # def disable_cache_for_single_parent_node(node): # if hasattr(node, '_parents') and len(node._parents.keys()) == 1: # node.want_cache = False # Nelder-Mead # Powell # CG # BFGS # Newton-CG # Anneal # L-BFGS-B # TNC # COBYLA # SLSQP # dogleg # trust-ncg def minimize(fun, x0, method='dogleg', bounds=None, constraints=(), tol=None, callback=None, options=None): if method == 'dogleg': if options is None: options = {} return minimize_dogleg(fun, free_variables=x0, on_step=callback, **options) if isinstance(fun, list) or isinstance(fun, tuple): fun = ch.concatenate([f.ravel() for f in fun]) if isinstance(fun, dict): fun = ch.concatenate([f.ravel() for f in list(fun.values())]) obj = fun free_variables = x0 from .ch import SumOfSquares hessp = None hess = None if obj.size == 1: obj_scalar = obj else: obj_scalar = SumOfSquares(obj) def hessp(vs, p,obj, obj_scalar, free_variables): changevars(vs,obj,obj_scalar,free_variables) if not hasattr(hessp, 'vs'): hessp.vs = vs*0+1e16 if np.max(np.abs(vs-hessp.vs)) > 0: J = ns_jacfunc(vs,obj,obj_scalar,free_variables) hessp.J = J hessp.H = 2. * J.T.dot(J) hessp.vs = vs return np.array(hessp.H.dot(p)).ravel() #return 2*np.array(hessp.J.T.dot(hessp.J.dot(p))).ravel() if method.lower() != 'newton-cg': def hess(vs, obj, obj_scalar, free_variables): changevars(vs,obj,obj_scalar,free_variables) if not hasattr(hessp, 'vs'): hessp.vs = vs*0+1e16 if np.max(np.abs(vs-hessp.vs)) > 0: J = ns_jacfunc(vs,obj,obj_scalar,free_variables) hessp.H = 2. * J.T.dot(J) return hessp.H def changevars(vs, obj, obj_scalar, free_variables): cur = 0 changed = False for idx, freevar in enumerate(free_variables): sz = freevar.r.size newvals = vs[cur:cur+sz].copy().reshape(free_variables[idx].shape) if np.max(np.abs(newvals-free_variables[idx]).ravel()) > 0: free_variables[idx][:] = newvals changed = True cur += sz methods_without_callback = ('anneal', 'powell', 'cobyla', 'slsqp') if callback is not None and changed and method.lower() in methods_without_callback: callback(None) return changed def residuals(vs,obj, obj_scalar, free_variables): changevars(vs, obj, obj_scalar, free_variables) residuals = obj_scalar.r.ravel()[0] return residuals def scalar_jacfunc(vs,obj, obj_scalar, free_variables): if not hasattr(scalar_jacfunc, 'vs'): scalar_jacfunc.vs = vs*0+1e16 if np.max(np.abs(vs-scalar_jacfunc.vs)) == 0: return scalar_jacfunc.J changevars(vs, obj, obj_scalar, free_variables) if True: # faster, at least on some problems result = np.concatenate([np.array(obj_scalar.lop(wrt, np.array([[1]]))).ravel() for wrt in free_variables]) else: jacs = [obj_scalar.dr_wrt(wrt) for wrt in free_variables] for idx, jac in enumerate(jacs): if sp.issparse(jac): jacs[idx] = jacs[idx].todense() result = np.concatenate([jac.ravel() for jac in jacs]) scalar_jacfunc.J = result scalar_jacfunc.vs = vs return result.ravel() def ns_jacfunc(vs,obj, obj_scalar, free_variables): if not hasattr(ns_jacfunc, 'vs'): ns_jacfunc.vs = vs*0+1e16 if np.max(np.abs(vs-ns_jacfunc.vs)) == 0: return ns_jacfunc.J changevars(vs, obj, obj_scalar, free_variables) jacs = [obj.dr_wrt(wrt) for wrt in free_variables] result = hstack(jacs) ns_jacfunc.J = result ns_jacfunc.vs = vs return result x1 = scipy.optimize.minimize( method=method, fun=residuals, callback=callback, x0=np.concatenate([free_variable.r.ravel() for free_variable in free_variables]), jac=scalar_jacfunc, hessp=hessp, hess=hess, args=(obj, obj_scalar, free_variables), bounds=bounds, constraints=constraints, tol=tol, options=options).x changevars(x1, obj, obj_scalar, free_variables) return free_variables def main(): pass if __name__ == '__main__': main()