#!/usr/bin/env python # encoding: utf-8 """ Author(s): Matthew Loper See LICENCE.txt for licensing and contact information. """ import time from numpy import * import unittest from . import ch from .optimization import minimize from .ch import Ch import numpy as np from scipy.optimize import rosen, rosen_der from .utils import row, col visualize = False def Rosen(): args = { 'x1': Ch(-120.), 'x2': Ch(-100.) } r1 = Ch(lambda x1, x2 : (x2 - x1**2.) * 10., args) r2 = Ch(lambda x1 : x1 * -1. + 1, args) func = [r1, r2] return func, [args['x1'], args['x2']] class Madsen(Ch): dterms = ('x',) def compute_r(self): x1 = self.x.r[0] x2 = self.x.r[1] result = np.array(( x1**2 + x2**2 + x1 * x2, np.sin(x1), np.cos(x2) )) return result def compute_dr_wrt(self, wrt): if wrt is not self.x: return None jac = np.zeros((3,2)) x1 = self.x.r[0] x2 = self.x.r[1] jac[0,0] = 2. * x1 + x2 jac[0,1] = 2. * x2 + x1 jac[1,0] = np.cos(x1) jac[1,1] = 0 jac[2,0] = 0 jac[2,1] = -np.sin(x2) return jac def set_and_get_r(self, x_in): self.x = Ch(x_in) return col(self.r) def set_and_get_dr(self, x_in): self.x = Ch(x_in) return self.dr_wrt(self.x) class RosenCh(Ch): dterms = ('x',) def compute_r(self): result = np.array((rosen(self.x.r) )) return result def set_and_get_r(self, x_in): self.x = Ch(x_in) return col(self.r) def set_and_get_dr(self, x_in): self.x = Ch(x_in) return self.dr_wrt(self.x).flatten() def compute_dr_wrt(self, wrt): if wrt is self.x: if visualize: import matplotlib.pyplot as plt residuals = np.sum(self.r**2) print('------> RESIDUALS %.2e' % (residuals,)) print('------> CURRENT GUESS %s' % (str(self.x.r),)) plt.figure(123) if not hasattr(self, 'vs'): self.vs = [] self.xs = [] self.ys = [] self.vs.append(residuals) self.xs.append(self.x.r[0]) self.ys.append(self.x.r[1]) plt.clf(); plt.subplot(1,2,1) plt.plot(self.vs) plt.subplot(1,2,2) plt.plot(self.xs, self.ys) plt.draw() return row(rosen_der(self.x.r)) class TestOptimization(unittest.TestCase): def test_dogleg_rosen(self): obj, freevars = Rosen() minimize(fun=obj, x0=freevars, method='dogleg', options={'maxiter': 337, 'disp': False}) self.assertTrue(freevars[0].r[0]==1.) self.assertTrue(freevars[1].r[0]==1.) def test_dogleg_madsen(self): obj = Madsen(x = Ch(np.array((3.,1.)))) minimize(fun=obj, x0=[obj.x], method='dogleg', options={'maxiter': 34, 'disp': False}) self.assertTrue(np.sum(obj.r**2)/2 < 0.386599528247) @unittest.skip('negative sign in exponent screws with reverse mode') def test_bfgs_rosen(self): from .optimization import minimize_bfgs_lsq obj, freevars = Rosen() minimize_bfgs_lsq(obj=obj, niters=421, verbose=False, free_variables=freevars) self.assertTrue(freevars[0].r[0]==1.) self.assertTrue(freevars[1].r[0]==1.) def test_bfgs_madsen(self): from .ch import SumOfSquares import scipy.optimize obj = Ch(lambda x : SumOfSquares(Madsen(x = x)) ) def errfunc(x): obj.x = Ch(x) return obj.r def gradfunc(x): obj.x = Ch(x) return obj.dr_wrt(obj.x).ravel() x0 = np.array((3., 1.)) # Optimize with built-in bfgs. # Note: with 8 iters, this actually requires 14 gradient evaluations. # This can be verified by setting "disp" to 1. #tm = time.time() x1 = scipy.optimize.fmin_bfgs(errfunc, x0, fprime=gradfunc, maxiter=8, disp=0) #print 'forward: took %.es' % (time.time() - tm,) self.assertLess(obj.r/2., 0.4) # Optimize with chumpy's minimize (which uses scipy's bfgs). obj.x = x0 minimize(fun=obj, x0=[obj.x], method='bfgs', options={'maxiter': 8, 'disp': False}) self.assertLess(obj.r/2., 0.4) def test_nested_select(self): def beales(x, y): e1 = 1.5 - x + x*y e2 = 2.25 - x + x*(y**2) e3 = 2.625 - x + x*(y**3) return {'e1': e1, 'e2': e2, 'e3': e3} x1 = ch.zeros(10) y1 = ch.zeros(10) # With a single select this worked minimize(beales(x1, y1), x0=[x1[1:4], y1], method='dogleg', options={'disp': False}) x2 = ch.zeros(10) y2 = ch.zeros(10) # But this used to raise `AttributeError: 'Select' object has no attribute 'x'` minimize(beales(x2, y2), x0=[x2[1:8][:3], y2], method='dogleg', options={'disp': False}) np.testing.assert_array_equal(x1, x2) np.testing.assert_array_equal(y1, y2) suite = unittest.TestLoader().loadTestsFromTestCase(TestOptimization) if __name__ == '__main__': if False: # show rosen import matplotlib.pyplot as plt visualize = True plt.ion() unittest.main() import pdb; pdb.set_trace() else: unittest.main()