Source code for gemseo.algos.lagrange_multipliers

# -*- coding: utf-8 -*-
# Copyright 2021 IRT Saint Exupéry, https://www.irt-saintexupery.com
#
# This program is free software; you can redistribute it and/or
# modify it under the terms of the GNU Lesser General Public
# License version 3 as published by the Free Software Foundation.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
# Lesser General Public License for more details.
#
# You should have received a copy of the GNU Lesser General Public License
# along with this program; if not, write to the Free Software Foundation,
# Inc., 51 Franklin Street, Fifth Floor, Boston, MA  02110-1301, USA.

# Contributors:
#    INITIAL AUTHORS - API and implementation and/or documentation
#       :author: Pierre-Jean Barjhoux
#       :author: Francois Gallard, integration and cleanup
#    OTHER AUTHORS   - MACROSCOPIC CHANGES
"""
Implementation of the Lagrange multipliers
******************************************
"""
from __future__ import division, unicode_literals

import logging

from numpy import arange, array, atleast_2d, concatenate, where, zeros
from numpy.linalg import lstsq, matrix_rank, norm
from scipy.optimize import linprog

from gemseo.algos.design_space import DesignSpace
from gemseo.algos.opt_problem import OptimizationProblem
from gemseo.third_party.prettytable import PrettyTable

LOGGER = logging.getLogger(__name__)


[docs]class LagrangeMultipliers(object): r""" Class that implements the computation of Lagrange Multipliers Denote :math:`x^\ast` an optimal solution of the optimization problem below. .. math:: \begin{aligned} & \text{Minimize} & & f(x) \\ & \text{relative to} & & x \\ & \text{subject to} & & \left\{\begin{aligned} & g(x)\le0, \\ & h(x)=0, \\ & \ell\le x\le u. \end{aligned}\right. \end{aligned} If the constraints are qualified at :math:`x^\ast` then the Lagrange multipliers of :math:`x^\ast` are the vectors :math:`\lambda_g`, :math:`\lambda_h`, :math:`\lambda_\ell` and :math:`\lambda_u` satisfying .. math:: \left\{\begin{aligned} &\frac{\partial f}{\partial x}(x^\ast) +\lambda_g^\top\frac{\partial g}{\partial x}(x^\ast) +\lambda_h^\top\frac{\partial h}{\partial x}(x^\ast) +\sum_j\lambda_{\ell,j}+\sum_j\lambda_{u,j} =0,\\ &\lambda_{g,i}\ge0\text{ if }g_i(x^\ast)=0, \text{ otherwise }\lambda_{g,i}=0,\\ &\lambda_{\ell,j}\le0\text{ if }x^\ast_j=\ell_j, \text{ otherwise }\lambda_{\ell,j}=0,\\ &\lambda_{u,j}\ge0\text{ if }x^\ast_j=u_j, \text{ otherwise }\lambda_{u,j}=0. \end{aligned}\right. """ LOWER_BOUNDS = "lower_bounds" UPPER_BOUNDS = "upper_bounds" INEQUALITY = "inequality" EQUALITY = "equality" CSTR_LABELS = [LOWER_BOUNDS, UPPER_BOUNDS, INEQUALITY, EQUALITY] def __init__(self, opt_problem): """Constructor. :param opt_problem: optimization problem on which Lagrange multipliers shall be computed """ self._check_inputs(opt_problem) self.opt_problem = opt_problem self.active_lb_names = [] self.active_ub_names = [] self.active_ineq_names = [] self.active_eq_names = [] self.lagrange_multipliers = None self.__normalized = opt_problem.preprocess_options.get("normalize", False) @staticmethod def _check_inputs(opt_problem): """ Checks inputs : verify that opt_problem is an instance of OptimizationProblem :param opt_problem: optimization problem on which Lagrange multipliers shall be computed """ if not isinstance(opt_problem, OptimizationProblem): raise ValueError( "Argument of LagrangeMultiplier class" + " has to be an instance of OptimizationProblem" ) if opt_problem.solution is None: raise ValueError("Optimization problem was not solved !")
[docs] def compute(self, x_vect, ineq_tolerance=1e-6, rcond=-1): """Computes and returns the Lagrange multipliers, as a post-processing of the optimal point. This solves : (d ActiveConstraints)' d Objective (-------------------) . Lambda = - ----------- (d X ) d X :param x_vect: x point on which the multipliers shall be computed :param ineq_tolerance: tolerance on inequality constraints :param rcond: float, optional Cut-off ratio for small singular values of the jacobian. see sipy.linalg.lsq """ LOGGER.info("Computation of Lagrange multipliers") # Check feasibility self._check_feasibility(x_vect) # get jacobian of all active constraints, and an # ordered list of their name jac_act, _ = self._get_jac_act(x_vect, ineq_tolerance) if jac_act is None: # There is no active constraint multipliers = [] self._store_multipliers(multipliers) return self.lagrange_multipliers lhs = jac_act.T act_constr_nb = lhs.shape[1] rank = matrix_rank(lhs) LOGGER.info("Found %s active constraints", str(act_constr_nb)) LOGGER.info("Rank of jacobian = %s", str(rank)) if act_constr_nb > rank: LOGGER.warning("Number of active constraints > rank !") # get jacobian of objective obj_jac = self._get_obj_jac(x_vect) rhs = -obj_jac.T # Compute the Lagrange multipliers as a feasible solution of a # linear optimization problem act_eq_constr_nb = len(self.active_eq_names) bounds = [(0, None)] * (act_constr_nb - act_eq_constr_nb) + [ (None, None) ] * act_eq_constr_nb optim_result = linprog(zeros(act_constr_nb), A_eq=lhs, b_eq=rhs, bounds=bounds) if optim_result.status == 2: LOGGER.warning("Lagrange multipliers appear not to exist") if optim_result.success: mul = optim_result.x else: # If the linear optimization failed then obtain the Lagrange # multipliers as a solution of a least-square problem mul, residuals, _, sval = lstsq(lhs, rhs, rcond=rcond) LOGGER.info("Min singular values of jacobian = %s", str(sval.min())) LOGGER.info("Residuals norm = %s", str(norm(residuals))) # stores multipliers in a dictionary self._store_multipliers(mul) return self.lagrange_multipliers
def _check_feasibility(self, x_vect): """Checks that the given point is in the design space and satisfies all constraints. :param x_vect: point at which the Lagrange multipliers are to be computed :type x_vect: ndarray """ problem = self.opt_problem # Check that the point is within bounds problem.design_space.check_membership(x_vect) # Check that the point satisfies other constraints values, _ = problem.evaluate_functions( x_vect, eval_obj=False, normalize=False, no_db_no_norm=True ) feasible = problem.is_point_feasible(values) if not feasible: LOGGER.warning("Infeasible point, Lagrange multipliers may not" " exist") def _get_act_bound_jac(self, act_bounds): """Returns the jacobian of active bounds constraints sign is not taken into account (matrix is made of 0 and 1)""" dspace = self.opt_problem.design_space x_dim = dspace.dimension dim_act = sum(len(where(bnd)[0]) for bnd in act_bounds.values()) if dim_act == 0: return None, [] act_array = concatenate([act_bounds[var] for var in dspace.variables_names]) bnd_jac = zeros((dim_act, x_dim)) if self.__normalized: norm_factor = dspace.get_upper_bounds() - dspace.get_lower_bounds() act_jac = norm_factor[act_array] else: act_jac = 1.0 bnd_jac[arange(dim_act), act_array] = act_jac indexed_varnames = array(dspace.get_indexed_variables_names()) act_b_names = indexed_varnames[act_array].tolist() return bnd_jac, act_b_names def __get_act_ineq_jac(self, x_vect, ineq_tolerance=1e-6): """Returns the jacobian of active inequality constraints defined by user in the optimization problem.""" # retrieves the active functions and the indices : # a function is active if at least # one of its component (in case of multidimensional constraints) is # active act_func = self.opt_problem.get_active_ineq_constraints(x_vect, ineq_tolerance) dspace = self.opt_problem.design_space if self.__normalized: x_vect = dspace.normalize_vect(x_vect) jac = [] names = [] for func, act_set in act_func.items(): if True in act_set: ineq_jac = func.jac(x_vect) if len(ineq_jac.shape) == 1: # Make sure the Jacobian is a 2-dimensional array ineq_jac = ineq_jac.reshape((1, x_vect.size)) else: ineq_jac = ineq_jac[act_set, :] jac.append(ineq_jac) if func.dim == 1: names.append(func.name) else: names += [ self._get_component_name(func.name, i) for i, active in enumerate(act_set) if active ] if jac: jac = concatenate(jac) else: jac = None return jac, names def _get_act_eq_jac(self, x_vect): """Returns jacobian of active equality constraints defined by user in the optimization problem.""" eq_functions = self.opt_problem.get_eq_constraints() # loop on equality functions # NB: as the solution (x_vect) is supposed to be feasible, # all functions (on all dimensions) are supposed to be active jac = [] names = [] dspace = self.opt_problem.design_space if self.__normalized: x_vect = dspace.normalize_vect(x_vect) for eq_function in eq_functions: eq_jac = atleast_2d(eq_function.jac(x_vect)) jac.append(eq_jac) if eq_function.dim == 1: names.append(eq_function.name) else: names += [ self._get_component_name(eq_function.name, i) for i in range(eq_jac.shape[0]) ] if jac: jac = concatenate(jac) else: jac = None return jac, names def _get_obj_jac(self, x_vect): """Returns objective jacobian.""" if self.__normalized: x_vect = self.opt_problem.design_space.normalize_vect(x_vect) return self.opt_problem.objective.jac(x_vect) def _get_jac_act(self, x_vect, ineq_tolerance=1e-6): """Returns active constraints jacobian, and the name of each component of each function.""" # Bounds jacobian dspace = self.opt_problem.design_space act_lb, act_ub = dspace.get_active_bounds(x_vect, tol=ineq_tolerance) lb_jac_act, self.active_lb_names = self._get_act_bound_jac(act_lb) if lb_jac_act is not None: lb_jac_act *= -1 ub_jac_act, self.active_ub_names = self._get_act_bound_jac(act_ub) # inequality names tol = ineq_tolerance ineq_jac, self.active_ineq_names = self.__get_act_ineq_jac(x_vect, tol) # equality names eq_jac, eq_names_act = self._get_act_eq_jac(x_vect) self.active_eq_names = eq_names_act names_list = ( self.active_lb_names + self.active_ub_names + self.active_ineq_names + eq_names_act ) jac_list = [lb_jac_act, ub_jac_act, ineq_jac, eq_jac] jac_list = [jac for jac in jac_list if jac is not None] if jac_list: jac_act_arr = concatenate(jac_list, axis=0) else: # There no active constraint jac_act_arr = None return jac_act_arr, names_list def _store_multipliers(self, multipliers): """Stores multipliers in a dictionary.""" lag = {} i_min = 0 n_act = len(self.active_lb_names) if n_act > 0: l_b_mult = multipliers[i_min : i_min + n_act] lag[self.LOWER_BOUNDS] = (self.active_lb_names, l_b_mult) i_min += n_act wrong_inds = where(l_b_mult < 0.0)[0] if wrong_inds.size > 0: names_neg = array(self.active_lb_names)[wrong_inds] LOGGER.warning( "Negative Lagrange multipliers for " "lower bounds on variables" "%s !", str(names_neg), ) n_act = len(self.active_ub_names) if n_act > 0: u_b_mult = multipliers[i_min : i_min + n_act] lag[self.UPPER_BOUNDS] = (self.active_ub_names, u_b_mult) i_min += n_act wrong_inds = where(u_b_mult < 0.0)[0] if wrong_inds.size > 0: names_neg = array(self.active_ub_names)[wrong_inds] LOGGER.warning( "Negative Lagrange multipliers for " "upper bounds on variables" "%s !", str(names_neg), ) n_act = len(self.active_ineq_names) if n_act > 0: ineq_mult = multipliers[i_min : i_min + n_act] lag[self.INEQUALITY] = (self.active_ineq_names, ineq_mult) i_min += n_act wrong_inds = where(ineq_mult < 0.0)[0] if wrong_inds.size > 0: names_neg = array(self.active_ineq_names)[wrong_inds] LOGGER.warning( "Negative Lagrange multipliers for " "inequality constraints" "%s !", str(names_neg), ) if self.active_eq_names: lag[self.EQUALITY] = ( self.active_eq_names, multipliers[i_min : i_min + n_act], ) i_min += n_act self.lagrange_multipliers = lag def _initialize_multipliers(self): """Initialize the Lagrange multipliers with zeros. :returns: Lagrange multipliers :rtype: dict(dict(float64)) """ problem = self.opt_problem multipliers = dict() # Bound-constraints indexed_varnames = problem.design_space.get_indexed_variables_names() multipliers[self.LOWER_BOUNDS] = dict.fromkeys(indexed_varnames, 0.0) multipliers[self.UPPER_BOUNDS] = dict.fromkeys(indexed_varnames, 0.0) # Inequality-constraints multipliers[self.INEQUALITY] = { func.name if func.dim == 1 else self._get_component_name(func.name, i): 0.0 for func in problem.get_ineq_constraints() for i in range(func.dim) } # Equality-constraints multipliers[self.EQUALITY] = { func.name if func.dim == 1 else self._get_component_name(func.name, i): 0.0 for func in problem.get_eq_constraints() for i in range(func.dim) } return multipliers
[docs] def get_multipliers_arrays(self): """Return the Lagrange multipliers (zero and nonzero) as arrays. :returns: Lagrange multipliers :rtype: dict(dict(ndarray)) """ problem = self.opt_problem design_space = problem.design_space # Convert to dictionaries multipliers = dict() for label in self.CSTR_LABELS: names, mults = self.lagrange_multipliers.get(label, ([], array([]))) multipliers[label] = dict(zip(names, mults)) # Add the Lagrange multipliers equal to zero multipliers_init = self._initialize_multipliers() for label in self.CSTR_LABELS: multipliers_init[label].update(multipliers[label]) # Cast the multipliers as arrays mult_arrays = dict() # Bound-constraints multipliers mult_arrays[self.LOWER_BOUNDS] = dict() mult_arrays[self.UPPER_BOUNDS] = dict() for name in design_space.variables_names: indexed_varnames = design_space.get_indexed_variables_names() var_low_mult = array( [ multipliers_init[self.LOWER_BOUNDS][comp_name] for comp_name in indexed_varnames ] ) mult_arrays[self.LOWER_BOUNDS][name] = var_low_mult var_upp_mult = array( [ multipliers_init[self.UPPER_BOUNDS][comp_name] for comp_name in indexed_varnames ] ) mult_arrays[self.UPPER_BOUNDS][name] = var_upp_mult # Inequality-constraints multipliers ineq_mult = multipliers_init[self.INEQUALITY] mult_arrays[self.INEQUALITY] = dict() for func in problem.get_ineq_constraints(): func_mult = array( [ ineq_mult[ func.name if func.dim == 1 else self._get_component_name(func.name, index) ] for index in range(func.dim) ] ) mult_arrays[self.INEQUALITY][func.name] = func_mult # Equality-constraints multipliers eq_mult = multipliers_init[self.EQUALITY] mult_arrays[self.EQUALITY] = dict() for func in problem.get_eq_constraints(): func_mult = array( [ eq_mult[ func.name if func.dim == 1 else self._get_component_name(func.name, index) ] for index in range(func.dim) ] ) mult_arrays[self.EQUALITY][func.name] = func_mult return mult_arrays
@staticmethod def _get_component_name(name, index): """Return the name of a variable component. :param name: the variable name :type name: str :param index: the component index :type index: int :returns: name of the variable component :rtype: str """ return name + DesignSpace.SEP + str(index) def _get_pretty_table(self): """Displays Lagrange Multipliers.""" table = PrettyTable( ["Constraint type", "Constraint name", "Lagrange Multiplier"] ) for cstr_type, nam_val in self.lagrange_multipliers.items(): for name, value in zip(nam_val[0], nam_val[1]): table.add_row([cstr_type, name, value]) return table def __str__(self, *args, **kwargs): """Textual representation of the design space.""" desc = "Lagrange multipliers : " desc += "\n" + str(self._get_pretty_table().get_string()) return desc