# -*- 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 - initial API and implementation and/or initial
# documentation
# :author: Damien Guenot
# OTHER AUTHORS - MACROSCOPIC CHANGES
# Francois Gallard : refactoring for v1, May 2016
"""scipy.optimize optimization library wrapper."""
from __future__ import division, unicode_literals
import logging
from typing import Any, Dict, Optional, Union
from numpy import isfinite, ndarray, real
from scipy import optimize
from gemseo.algos.opt.opt_lib import OptimizationLibrary
from gemseo.algos.opt_result import OptimizationResult
LOGGER = logging.getLogger(__name__)
[docs]class ScipyOpt(OptimizationLibrary):
"""Scipy optimization library interface.
See OptimizationLibrary.
"""
LIB_COMPUTE_GRAD = True
OPTIONS_MAP = {
# Available only in the doc !
OptimizationLibrary.LS_STEP_NB_MAX: "maxls",
OptimizationLibrary.LS_STEP_SIZE_MAX: "stepmx",
OptimizationLibrary.MAX_FUN_EVAL: "maxfun",
OptimizationLibrary.PG_TOL: "gtol",
}
def __init__(self):
"""Constructor.
Generate the library dict, contains the list
of algorithms with their characteristics:
- does it require gradient
- does it handle equality constraints
- does it handle inequality constraints
"""
super(ScipyOpt, self).__init__()
doc = "https://docs.scipy.org/doc/scipy/reference/"
self.lib_dict = {
"SLSQP": {
self.INTERNAL_NAME: "SLSQP",
self.REQUIRE_GRAD: True,
self.POSITIVE_CONSTRAINTS: True,
self.HANDLE_EQ_CONS: True,
self.HANDLE_INEQ_CONS: True,
self.DESCRIPTION: "Sequential Least-Squares Quadratic "
"Programming (SLSQP) implemented in "
"the SciPy library",
self.WEBSITE: doc + "optimize.minimize-slsqp.html",
},
"L-BFGS-B": {
self.INTERNAL_NAME: "L-BFGS-B",
self.REQUIRE_GRAD: True,
self.HANDLE_EQ_CONS: False,
self.HANDLE_INEQ_CONS: False,
self.DESCRIPTION: "Limited-memory BFGS algorithm "
"implemented in SciPy library",
self.WEBSITE: doc + "generated/scipy.optimize.fmin_l_bfgs_b.html",
},
"TNC": {
self.INTERNAL_NAME: "TNC",
self.REQUIRE_GRAD: True,
self.HANDLE_EQ_CONS: False,
self.HANDLE_INEQ_CONS: False,
self.DESCRIPTION: "Truncated Newton (TNC) algorithm "
"implemented in SciPy library",
self.WEBSITE: doc + "optimize.minimize-tnc.html",
},
}
def _get_options(
self,
max_iter=999, # type: int
ftol_rel=1e-9, # type: float
ftol_abs=1e-9, # type: float
xtol_rel=1e-9, # type: float
xtol_abs=1e-9, # type: float
max_ls_step_size=0.0, # type: float
max_ls_step_nb=20, # type: int
max_fun_eval=999, # type: int
max_time=0, # type: float
pg_tol=1e-5, # type: float
disp=0, # type: int
maxCGit=-1, # type: int # noqa: N803
eta=-1.0, # type: float
factr=1e7, # type: float
maxcor=20, # type: int
normalize_design_space=True, # type: int
eq_tolerance=1e-2, # type: float
ineq_tolerance=1e-4, # type: float
stepmx=0.0, # type: float
minfev=0.0, # type: float
scale=None, # type: Optional[float]
rescale=-1, # type: float
offset=None, # type: Optional[float]
**kwargs # type: Any
): # type: (...) -> Dict[str, Any]
r"""Set the options default values.
To get the best and up to date information about algorithms options,
go to scipy.optimize documentation:
https://docs.scipy.org/doc/scipy/reference/tutorial/optimize.html
Args:
max_iter: The maximum number of iterations, i.e. unique calls to f(x).
ftol_rel: A stop criteria, the relative tolerance on the
objective function.
If abs(f(xk)-f(xk+1))/abs(f(xk))<= ftol_rel: stop.
ftol_abs: A stop criteria, the absolute tolerance on the objective
function. If abs(f(xk)-f(xk+1))<= ftol_rel: stop.
xtol_rel: A stop criteria, the relative tolerance on the
design variables. If norm(xk-xk+1)/norm(xk)<= xtol_rel: stop.
xtol_abs: A stop criteria, absolute tolerance on the
design variables.
If norm(xk-xk+1)<= xtol_abs: stop.
max_ls_step_size: The maximum step for the line search.
max_ls_step_nb: The maximum number of line search steps
per iteration.
max_fun_eval: The internal stop criteria on the
number of algorithm outer iterations.
max_time: The maximum runtime in seconds, disabled if 0.
pg_tol: A stop criteria on the projected gradient norm.
disp: The display information flag.
maxCGit: The maximum Conjugate Gradient internal solver
iterations.
eta: The severity of the line search, specific to the
TNC algorithm.
factr: A stop criteria on the projected gradient norm,
stop if max_i (grad_i)<eps_mach \* factr, where eps_mach is the
machine precision.
maxcor: The maximum BFGS updates.
normalize_design_space: If True, scales variables to [0, 1].
eq_tolerance: The equality tolerance.
ineq_tolerance: The inequality tolerance.
stepmx: The maximum step for the line search.
minfev: The minimum function value estimate.
scale: The scaling factor to apply to each variable.
If None, the factors are up-low for interval bounded variables
and 1+|x| for the others.
rescale: The scaling factor (in log10) used to trigger f value
rescaling.
offset: Value to subtract from each variable. If None, the offsets are
(up+low)/2 for interval bounded variables and x for the others.
**kwargs: The other algorithm options.
"""
nds = normalize_design_space
popts = self._process_options(
max_iter=max_iter,
ftol_rel=ftol_rel,
ftol_abs=ftol_abs,
xtol_rel=xtol_rel,
xtol_abs=xtol_abs,
max_time=max_time,
max_ls_step_size=max_ls_step_size,
max_ls_step_nb=max_ls_step_nb,
max_fun_eval=max_fun_eval,
pg_tol=pg_tol,
disp=disp,
maxCGit=maxCGit, # noqa: N803
eta=eta,
factr=factr,
maxcor=maxcor,
normalize_design_space=nds,
ineq_tolerance=ineq_tolerance,
eq_tolerance=eq_tolerance,
stepmx=stepmx,
minfev=minfev,
scale=scale,
rescale=rescale,
offset=offset,
**kwargs
)
return popts
def _run(
self, **options # type: Any
): # type: (...) -> OptimizationResult
"""Run the algorithm, to be overloaded by subclasses.
Args:
**options: The options for the algorithm.
Returns:
The optimization result.
"""
# remove normalization from options for algo
normalize_ds = options.pop(self.NORMALIZE_DESIGN_SPACE_OPTION, True)
# Get the normalized bounds:
x_0, l_b, u_b = self.get_x0_and_bounds_vects(normalize_ds)
# Replace infinite values with None:
l_b = [val if isfinite(val) else None for val in l_b]
u_b = [val if isfinite(val) else None for val in u_b]
bounds = list(zip(l_b, u_b))
def real_part_fun(
x, # type: ndarray
): # type: (...) -> Union[int, float]
"""Wrap the function and return the real part.
Args:
x: The values to be given to the function.
Returns:
The real part of the evaluation of the objective function.
"""
return real(self.problem.objective.func(x))
fun = real_part_fun
constraints = self.get_right_sign_constraints()
cstr_scipy = []
for cstr in constraints:
c_scipy = {"type": cstr.f_type, "fun": cstr.func, "jac": cstr.jac}
cstr_scipy.append(c_scipy)
jac = self.problem.objective.jac
# |g| is in charge of ensuring max iterations, and
# xtol, ftol, since it may
# have a different definition of iterations, such as for SLSQP
# for instance which counts duplicate calls to x as a new iteration
options["maxiter"] = 10000000
# Deactivate scipy stop criteria to use |g|' ones
options["ftol"] = 0.0
options["xtol"] = 0.0
options.pop(self.F_TOL_ABS)
options.pop(self.X_TOL_ABS)
options.pop(self.F_TOL_REL)
options.pop(self.X_TOL_REL)
options.pop(self.MAX_TIME)
options.pop(self.MAX_ITER)
if self.algo_name != "TNC":
options.pop("xtol")
opt_result = optimize.minimize(
fun=fun,
x0=x_0,
method=self.internal_algo_name,
jac=jac,
bounds=bounds,
constraints=cstr_scipy,
tol=None,
options=options,
)
return self.get_optimum_from_database(opt_result.message, opt_result.status)
