Old engine for Continuous Time Bayesian Networks. Superseded by reCTBN. 🐍
https://github.com/madlabunimib/PyCTBN
You can not select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
459 lines
14 KiB
459 lines
14 KiB
4 years ago
|
"""
|
||
|
Unified interfaces to root finding algorithms for real or complex
|
||
|
scalar functions.
|
||
|
|
||
|
Functions
|
||
|
---------
|
||
|
- root : find a root of a scalar function.
|
||
|
"""
|
||
|
import numpy as np
|
||
|
|
||
|
from . import zeros as optzeros
|
||
|
|
||
|
__all__ = ['root_scalar']
|
||
|
|
||
|
|
||
|
class MemoizeDer(object):
|
||
|
"""Decorator that caches the value and derivative(s) of function each
|
||
|
time it is called.
|
||
|
|
||
|
This is a simplistic memoizer that calls and caches a single value
|
||
|
of `f(x, *args)`.
|
||
|
It assumes that `args` does not change between invocations.
|
||
|
It supports the use case of a root-finder where `args` is fixed,
|
||
|
`x` changes, and only rarely, if at all, does x assume the same value
|
||
|
more than once."""
|
||
|
def __init__(self, fun):
|
||
|
self.fun = fun
|
||
|
self.vals = None
|
||
|
self.x = None
|
||
|
self.n_calls = 0
|
||
|
|
||
|
def __call__(self, x, *args):
|
||
|
r"""Calculate f or use cached value if available"""
|
||
|
# Derivative may be requested before the function itself, always check
|
||
|
if self.vals is None or x != self.x:
|
||
|
fg = self.fun(x, *args)
|
||
|
self.x = x
|
||
|
self.n_calls += 1
|
||
|
self.vals = fg[:]
|
||
|
return self.vals[0]
|
||
|
|
||
|
def fprime(self, x, *args):
|
||
|
r"""Calculate f' or use a cached value if available"""
|
||
|
if self.vals is None or x != self.x:
|
||
|
self(x, *args)
|
||
|
return self.vals[1]
|
||
|
|
||
|
def fprime2(self, x, *args):
|
||
|
r"""Calculate f'' or use a cached value if available"""
|
||
|
if self.vals is None or x != self.x:
|
||
|
self(x, *args)
|
||
|
return self.vals[2]
|
||
|
|
||
|
def ncalls(self):
|
||
|
return self.n_calls
|
||
|
|
||
|
|
||
|
def root_scalar(f, args=(), method=None, bracket=None,
|
||
|
fprime=None, fprime2=None,
|
||
|
x0=None, x1=None,
|
||
|
xtol=None, rtol=None, maxiter=None,
|
||
|
options=None):
|
||
|
"""
|
||
|
Find a root of a scalar function.
|
||
|
|
||
|
Parameters
|
||
|
----------
|
||
|
f : callable
|
||
|
A function to find a root of.
|
||
|
args : tuple, optional
|
||
|
Extra arguments passed to the objective function and its derivative(s).
|
||
|
method : str, optional
|
||
|
Type of solver. Should be one of
|
||
|
|
||
|
- 'bisect' :ref:`(see here) <optimize.root_scalar-bisect>`
|
||
|
- 'brentq' :ref:`(see here) <optimize.root_scalar-brentq>`
|
||
|
- 'brenth' :ref:`(see here) <optimize.root_scalar-brenth>`
|
||
|
- 'ridder' :ref:`(see here) <optimize.root_scalar-ridder>`
|
||
|
- 'toms748' :ref:`(see here) <optimize.root_scalar-toms748>`
|
||
|
- 'newton' :ref:`(see here) <optimize.root_scalar-newton>`
|
||
|
- 'secant' :ref:`(see here) <optimize.root_scalar-secant>`
|
||
|
- 'halley' :ref:`(see here) <optimize.root_scalar-halley>`
|
||
|
|
||
|
bracket: A sequence of 2 floats, optional
|
||
|
An interval bracketing a root. `f(x, *args)` must have different
|
||
|
signs at the two endpoints.
|
||
|
x0 : float, optional
|
||
|
Initial guess.
|
||
|
x1 : float, optional
|
||
|
A second guess.
|
||
|
fprime : bool or callable, optional
|
||
|
If `fprime` is a boolean and is True, `f` is assumed to return the
|
||
|
value of the objective function and of the derivative.
|
||
|
`fprime` can also be a callable returning the derivative of `f`. In
|
||
|
this case, it must accept the same arguments as `f`.
|
||
|
fprime2 : bool or callable, optional
|
||
|
If `fprime2` is a boolean and is True, `f` is assumed to return the
|
||
|
value of the objective function and of the
|
||
|
first and second derivatives.
|
||
|
`fprime2` can also be a callable returning the second derivative of `f`.
|
||
|
In this case, it must accept the same arguments as `f`.
|
||
|
xtol : float, optional
|
||
|
Tolerance (absolute) for termination.
|
||
|
rtol : float, optional
|
||
|
Tolerance (relative) for termination.
|
||
|
maxiter : int, optional
|
||
|
Maximum number of iterations.
|
||
|
options : dict, optional
|
||
|
A dictionary of solver options. E.g., ``k``, see
|
||
|
:obj:`show_options()` for details.
|
||
|
|
||
|
Returns
|
||
|
-------
|
||
|
sol : RootResults
|
||
|
The solution represented as a ``RootResults`` object.
|
||
|
Important attributes are: ``root`` the solution , ``converged`` a
|
||
|
boolean flag indicating if the algorithm exited successfully and
|
||
|
``flag`` which describes the cause of the termination. See
|
||
|
`RootResults` for a description of other attributes.
|
||
|
|
||
|
See also
|
||
|
--------
|
||
|
show_options : Additional options accepted by the solvers
|
||
|
root : Find a root of a vector function.
|
||
|
|
||
|
Notes
|
||
|
-----
|
||
|
This section describes the available solvers that can be selected by the
|
||
|
'method' parameter.
|
||
|
|
||
|
The default is to use the best method available for the situation
|
||
|
presented.
|
||
|
If a bracket is provided, it may use one of the bracketing methods.
|
||
|
If a derivative and an initial value are specified, it may
|
||
|
select one of the derivative-based methods.
|
||
|
If no method is judged applicable, it will raise an Exception.
|
||
|
|
||
|
|
||
|
Examples
|
||
|
--------
|
||
|
|
||
|
Find the root of a simple cubic
|
||
|
|
||
|
>>> from scipy import optimize
|
||
|
>>> def f(x):
|
||
|
... return (x**3 - 1) # only one real root at x = 1
|
||
|
|
||
|
>>> def fprime(x):
|
||
|
... return 3*x**2
|
||
|
|
||
|
The `brentq` method takes as input a bracket
|
||
|
|
||
|
>>> sol = optimize.root_scalar(f, bracket=[0, 3], method='brentq')
|
||
|
>>> sol.root, sol.iterations, sol.function_calls
|
||
|
(1.0, 10, 11)
|
||
|
|
||
|
The `newton` method takes as input a single point and uses the derivative(s)
|
||
|
|
||
|
>>> sol = optimize.root_scalar(f, x0=0.2, fprime=fprime, method='newton')
|
||
|
>>> sol.root, sol.iterations, sol.function_calls
|
||
|
(1.0, 11, 22)
|
||
|
|
||
|
The function can provide the value and derivative(s) in a single call.
|
||
|
|
||
|
>>> def f_p_pp(x):
|
||
|
... return (x**3 - 1), 3*x**2, 6*x
|
||
|
|
||
|
>>> sol = optimize.root_scalar(f_p_pp, x0=0.2, fprime=True, method='newton')
|
||
|
>>> sol.root, sol.iterations, sol.function_calls
|
||
|
(1.0, 11, 11)
|
||
|
|
||
|
>>> sol = optimize.root_scalar(f_p_pp, x0=0.2, fprime=True, fprime2=True, method='halley')
|
||
|
>>> sol.root, sol.iterations, sol.function_calls
|
||
|
(1.0, 7, 8)
|
||
|
|
||
|
|
||
|
"""
|
||
|
if not isinstance(args, tuple):
|
||
|
args = (args,)
|
||
|
|
||
|
if options is None:
|
||
|
options = {}
|
||
|
|
||
|
# fun also returns the derivative(s)
|
||
|
is_memoized = False
|
||
|
if fprime2 is not None and not callable(fprime2):
|
||
|
if bool(fprime2):
|
||
|
f = MemoizeDer(f)
|
||
|
is_memoized = True
|
||
|
fprime2 = f.fprime2
|
||
|
fprime = f.fprime
|
||
|
else:
|
||
|
fprime2 = None
|
||
|
if fprime is not None and not callable(fprime):
|
||
|
if bool(fprime):
|
||
|
f = MemoizeDer(f)
|
||
|
is_memoized = True
|
||
|
fprime = f.fprime
|
||
|
else:
|
||
|
fprime = None
|
||
|
|
||
|
# respect solver-specific default tolerances - only pass in if actually set
|
||
|
kwargs = {}
|
||
|
for k in ['xtol', 'rtol', 'maxiter']:
|
||
|
v = locals().get(k)
|
||
|
if v is not None:
|
||
|
kwargs[k] = v
|
||
|
|
||
|
# Set any solver-specific options
|
||
|
if options:
|
||
|
kwargs.update(options)
|
||
|
# Always request full_output from the underlying method as _root_scalar
|
||
|
# always returns a RootResults object
|
||
|
kwargs.update(full_output=True, disp=False)
|
||
|
|
||
|
# Pick a method if not specified.
|
||
|
# Use the "best" method available for the situation.
|
||
|
if not method:
|
||
|
if bracket:
|
||
|
method = 'brentq'
|
||
|
elif x0 is not None:
|
||
|
if fprime:
|
||
|
if fprime2:
|
||
|
method = 'halley'
|
||
|
else:
|
||
|
method = 'newton'
|
||
|
else:
|
||
|
method = 'secant'
|
||
|
if not method:
|
||
|
raise ValueError('Unable to select a solver as neither bracket '
|
||
|
'nor starting point provided.')
|
||
|
|
||
|
meth = method.lower()
|
||
|
map2underlying = {'halley': 'newton', 'secant': 'newton'}
|
||
|
|
||
|
try:
|
||
|
methodc = getattr(optzeros, map2underlying.get(meth, meth))
|
||
|
except AttributeError:
|
||
|
raise ValueError('Unknown solver %s' % meth)
|
||
|
|
||
|
if meth in ['bisect', 'ridder', 'brentq', 'brenth', 'toms748']:
|
||
|
if not isinstance(bracket, (list, tuple, np.ndarray)):
|
||
|
raise ValueError('Bracket needed for %s' % method)
|
||
|
|
||
|
a, b = bracket[:2]
|
||
|
r, sol = methodc(f, a, b, args=args, **kwargs)
|
||
|
elif meth in ['secant']:
|
||
|
if x0 is None:
|
||
|
raise ValueError('x0 must not be None for %s' % method)
|
||
|
if x1 is None:
|
||
|
raise ValueError('x1 must not be None for %s' % method)
|
||
|
if 'xtol' in kwargs:
|
||
|
kwargs['tol'] = kwargs.pop('xtol')
|
||
|
r, sol = methodc(f, x0, args=args, fprime=None, fprime2=None,
|
||
|
x1=x1, **kwargs)
|
||
|
elif meth in ['newton']:
|
||
|
if x0 is None:
|
||
|
raise ValueError('x0 must not be None for %s' % method)
|
||
|
if not fprime:
|
||
|
raise ValueError('fprime must be specified for %s' % method)
|
||
|
if 'xtol' in kwargs:
|
||
|
kwargs['tol'] = kwargs.pop('xtol')
|
||
|
r, sol = methodc(f, x0, args=args, fprime=fprime, fprime2=None,
|
||
|
**kwargs)
|
||
|
elif meth in ['halley']:
|
||
|
if x0 is None:
|
||
|
raise ValueError('x0 must not be None for %s' % method)
|
||
|
if not fprime:
|
||
|
raise ValueError('fprime must be specified for %s' % method)
|
||
|
if not fprime2:
|
||
|
raise ValueError('fprime2 must be specified for %s' % method)
|
||
|
if 'xtol' in kwargs:
|
||
|
kwargs['tol'] = kwargs.pop('xtol')
|
||
|
r, sol = methodc(f, x0, args=args, fprime=fprime, fprime2=fprime2, **kwargs)
|
||
|
else:
|
||
|
raise ValueError('Unknown solver %s' % method)
|
||
|
|
||
|
if is_memoized:
|
||
|
# Replace the function_calls count with the memoized count.
|
||
|
# Avoids double and triple-counting.
|
||
|
n_calls = f.n_calls
|
||
|
sol.function_calls = n_calls
|
||
|
|
||
|
return sol
|
||
|
|
||
|
|
||
|
def _root_scalar_brentq_doc():
|
||
|
r"""
|
||
|
Options
|
||
|
-------
|
||
|
args : tuple, optional
|
||
|
Extra arguments passed to the objective function.
|
||
|
xtol : float, optional
|
||
|
Tolerance (absolute) for termination.
|
||
|
rtol : float, optional
|
||
|
Tolerance (relative) for termination.
|
||
|
maxiter : int, optional
|
||
|
Maximum number of iterations.
|
||
|
options: dict, optional
|
||
|
Specifies any method-specific options not covered above
|
||
|
|
||
|
"""
|
||
|
pass
|
||
|
|
||
|
|
||
|
def _root_scalar_brenth_doc():
|
||
|
r"""
|
||
|
Options
|
||
|
-------
|
||
|
args : tuple, optional
|
||
|
Extra arguments passed to the objective function.
|
||
|
xtol : float, optional
|
||
|
Tolerance (absolute) for termination.
|
||
|
rtol : float, optional
|
||
|
Tolerance (relative) for termination.
|
||
|
maxiter : int, optional
|
||
|
Maximum number of iterations.
|
||
|
options: dict, optional
|
||
|
Specifies any method-specific options not covered above.
|
||
|
|
||
|
"""
|
||
|
pass
|
||
|
|
||
|
def _root_scalar_toms748_doc():
|
||
|
r"""
|
||
|
Options
|
||
|
-------
|
||
|
args : tuple, optional
|
||
|
Extra arguments passed to the objective function.
|
||
|
xtol : float, optional
|
||
|
Tolerance (absolute) for termination.
|
||
|
rtol : float, optional
|
||
|
Tolerance (relative) for termination.
|
||
|
maxiter : int, optional
|
||
|
Maximum number of iterations.
|
||
|
options: dict, optional
|
||
|
Specifies any method-specific options not covered above.
|
||
|
|
||
|
"""
|
||
|
pass
|
||
|
|
||
|
|
||
|
def _root_scalar_secant_doc():
|
||
|
r"""
|
||
|
Options
|
||
|
-------
|
||
|
args : tuple, optional
|
||
|
Extra arguments passed to the objective function.
|
||
|
xtol : float, optional
|
||
|
Tolerance (absolute) for termination.
|
||
|
rtol : float, optional
|
||
|
Tolerance (relative) for termination.
|
||
|
maxiter : int, optional
|
||
|
Maximum number of iterations.
|
||
|
x0 : float, required
|
||
|
Initial guess.
|
||
|
x1 : float, required
|
||
|
A second guess.
|
||
|
options: dict, optional
|
||
|
Specifies any method-specific options not covered above.
|
||
|
|
||
|
"""
|
||
|
pass
|
||
|
|
||
|
|
||
|
def _root_scalar_newton_doc():
|
||
|
r"""
|
||
|
Options
|
||
|
-------
|
||
|
args : tuple, optional
|
||
|
Extra arguments passed to the objective function and its derivative.
|
||
|
xtol : float, optional
|
||
|
Tolerance (absolute) for termination.
|
||
|
rtol : float, optional
|
||
|
Tolerance (relative) for termination.
|
||
|
maxiter : int, optional
|
||
|
Maximum number of iterations.
|
||
|
x0 : float, required
|
||
|
Initial guess.
|
||
|
fprime : bool or callable, optional
|
||
|
If `fprime` is a boolean and is True, `f` is assumed to return the
|
||
|
value of derivative along with the objective function.
|
||
|
`fprime` can also be a callable returning the derivative of `f`. In
|
||
|
this case, it must accept the same arguments as `f`.
|
||
|
options: dict, optional
|
||
|
Specifies any method-specific options not covered above.
|
||
|
|
||
|
"""
|
||
|
pass
|
||
|
|
||
|
|
||
|
def _root_scalar_halley_doc():
|
||
|
r"""
|
||
|
Options
|
||
|
-------
|
||
|
args : tuple, optional
|
||
|
Extra arguments passed to the objective function and its derivatives.
|
||
|
xtol : float, optional
|
||
|
Tolerance (absolute) for termination.
|
||
|
rtol : float, optional
|
||
|
Tolerance (relative) for termination.
|
||
|
maxiter : int, optional
|
||
|
Maximum number of iterations.
|
||
|
x0 : float, required
|
||
|
Initial guess.
|
||
|
fprime : bool or callable, required
|
||
|
If `fprime` is a boolean and is True, `f` is assumed to return the
|
||
|
value of derivative along with the objective function.
|
||
|
`fprime` can also be a callable returning the derivative of `f`. In
|
||
|
this case, it must accept the same arguments as `f`.
|
||
|
fprime2 : bool or callable, required
|
||
|
If `fprime2` is a boolean and is True, `f` is assumed to return the
|
||
|
value of 1st and 2nd derivatives along with the objective function.
|
||
|
`fprime2` can also be a callable returning the 2nd derivative of `f`.
|
||
|
In this case, it must accept the same arguments as `f`.
|
||
|
options: dict, optional
|
||
|
Specifies any method-specific options not covered above.
|
||
|
|
||
|
"""
|
||
|
pass
|
||
|
|
||
|
|
||
|
def _root_scalar_ridder_doc():
|
||
|
r"""
|
||
|
Options
|
||
|
-------
|
||
|
args : tuple, optional
|
||
|
Extra arguments passed to the objective function.
|
||
|
xtol : float, optional
|
||
|
Tolerance (absolute) for termination.
|
||
|
rtol : float, optional
|
||
|
Tolerance (relative) for termination.
|
||
|
maxiter : int, optional
|
||
|
Maximum number of iterations.
|
||
|
options: dict, optional
|
||
|
Specifies any method-specific options not covered above.
|
||
|
|
||
|
"""
|
||
|
pass
|
||
|
|
||
|
|
||
|
def _root_scalar_bisect_doc():
|
||
|
r"""
|
||
|
Options
|
||
|
-------
|
||
|
args : tuple, optional
|
||
|
Extra arguments passed to the objective function.
|
||
|
xtol : float, optional
|
||
|
Tolerance (absolute) for termination.
|
||
|
rtol : float, optional
|
||
|
Tolerance (relative) for termination.
|
||
|
maxiter : int, optional
|
||
|
Maximum number of iterations.
|
||
|
options: dict, optional
|
||
|
Specifies any method-specific options not covered above.
|
||
|
|
||
|
"""
|
||
|
pass
|