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Old engine for Continuous Time Bayesian Networks. Superseded by reCTBN. 🐍 https://github.com/madlabunimib/PyCTBN
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PyCTBN/venv/lib/python3.9/site-packages/scipy/optimize/optimize.py

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#__docformat__ = "restructuredtext en"
# ******NOTICE***************
# optimize.py module by Travis E. Oliphant
#
# You may copy and use this module as you see fit with no
# guarantee implied provided you keep this notice in all copies.
# *****END NOTICE************
# A collection of optimization algorithms. Version 0.5
# CHANGES
# Added fminbound (July 2001)
# Added brute (Aug. 2002)
# Finished line search satisfying strong Wolfe conditions (Mar. 2004)
# Updated strong Wolfe conditions line search to use
# cubic-interpolation (Mar. 2004)
# Minimization routines
__all__ = ['fmin', 'fmin_powell', 'fmin_bfgs', 'fmin_ncg', 'fmin_cg',
'fminbound', 'brent', 'golden', 'bracket', 'rosen', 'rosen_der',
'rosen_hess', 'rosen_hess_prod', 'brute', 'approx_fprime',
'line_search', 'check_grad', 'OptimizeResult', 'show_options',
'OptimizeWarning']
__docformat__ = "restructuredtext en"
import warnings
import sys
from numpy import (atleast_1d, eye, argmin, zeros, shape, squeeze,
asarray, sqrt, Inf, asfarray, isinf)
import numpy as np
from .linesearch import (line_search_wolfe1, line_search_wolfe2,
line_search_wolfe2 as line_search,
LineSearchWarning)
from ._numdiff import approx_derivative
from scipy._lib._util import getfullargspec_no_self as _getfullargspec
from scipy._lib._util import MapWrapper
from scipy.optimize._differentiable_functions import ScalarFunction, FD_METHODS
# standard status messages of optimizers
_status_message = {'success': 'Optimization terminated successfully.',
'maxfev': 'Maximum number of function evaluations has '
'been exceeded.',
'maxiter': 'Maximum number of iterations has been '
'exceeded.',
'pr_loss': 'Desired error not necessarily achieved due '
'to precision loss.',
'nan': 'NaN result encountered.',
'out_of_bounds': 'The result is outside of the provided '
'bounds.'}
class MemoizeJac(object):
""" Decorator that caches the return values of a function returning `(fun, grad)`
each time it is called. """
def __init__(self, fun):
self.fun = fun
self.jac = None
self._value = None
self.x = None
def _compute_if_needed(self, x, *args):
if not np.all(x == self.x) or self._value is None or self.jac is None:
self.x = np.asarray(x).copy()
fg = self.fun(x, *args)
self.jac = fg[1]
self._value = fg[0]
def __call__(self, x, *args):
""" returns the the function value """
self._compute_if_needed(x, *args)
return self._value
def derivative(self, x, *args):
self._compute_if_needed(x, *args)
return self.jac
class OptimizeResult(dict):
""" Represents the optimization result.
Attributes
----------
x : ndarray
The solution of the optimization.
success : bool
Whether or not the optimizer exited successfully.
status : int
Termination status of the optimizer. Its value depends on the
underlying solver. Refer to `message` for details.
message : str
Description of the cause of the termination.
fun, jac, hess: ndarray
Values of objective function, its Jacobian and its Hessian (if
available). The Hessians may be approximations, see the documentation
of the function in question.
hess_inv : object
Inverse of the objective function's Hessian; may be an approximation.
Not available for all solvers. The type of this attribute may be
either np.ndarray or scipy.sparse.linalg.LinearOperator.
nfev, njev, nhev : int
Number of evaluations of the objective functions and of its
Jacobian and Hessian.
nit : int
Number of iterations performed by the optimizer.
maxcv : float
The maximum constraint violation.
Notes
-----
There may be additional attributes not listed above depending of the
specific solver. Since this class is essentially a subclass of dict
with attribute accessors, one can see which attributes are available
using the `keys()` method.
"""
def __getattr__(self, name):
try:
return self[name]
except KeyError:
raise AttributeError(name)
__setattr__ = dict.__setitem__
__delattr__ = dict.__delitem__
def __repr__(self):
if self.keys():
m = max(map(len, list(self.keys()))) + 1
return '\n'.join([k.rjust(m) + ': ' + repr(v)
for k, v in sorted(self.items())])
else:
return self.__class__.__name__ + "()"
def __dir__(self):
return list(self.keys())
class OptimizeWarning(UserWarning):
pass
def _check_unknown_options(unknown_options):
if unknown_options:
msg = ", ".join(map(str, unknown_options.keys()))
# Stack level 4: this is called from _minimize_*, which is
# called from another function in SciPy. Level 4 is the first
# level in user code.
warnings.warn("Unknown solver options: %s" % msg, OptimizeWarning, 4)
def is_array_scalar(x):
"""Test whether `x` is either a scalar or an array scalar.
"""
return np.size(x) == 1
_epsilon = sqrt(np.finfo(float).eps)
def vecnorm(x, ord=2):
if ord == Inf:
return np.amax(np.abs(x))
elif ord == -Inf:
return np.amin(np.abs(x))
else:
return np.sum(np.abs(x)**ord, axis=0)**(1.0 / ord)
def _prepare_scalar_function(fun, x0, jac=None, args=(), bounds=None,
epsilon=None, finite_diff_rel_step=None,
hess=None):
"""
Creates a ScalarFunction object for use with scalar minimizers
(BFGS/LBFGSB/SLSQP/TNC/CG/etc).
Parameters
----------
fun : callable
The objective function to be minimized.
``fun(x, *args) -> float``
where ``x`` is an 1-D array with shape (n,) and ``args``
is a tuple of the fixed parameters needed to completely
specify the function.
x0 : ndarray, shape (n,)
Initial guess. Array of real elements of size (n,),
where 'n' is the number of independent variables.
jac : {callable, '2-point', '3-point', 'cs', None}, optional
Method for computing the gradient vector. If it is a callable, it
should be a function that returns the gradient vector:
``jac(x, *args) -> array_like, shape (n,)``
If one of `{'2-point', '3-point', 'cs'}` is selected then the gradient
is calculated with a relative step for finite differences. If `None`,
then two-point finite differences with an absolute step is used.
args : tuple, optional
Extra arguments passed to the objective function and its
derivatives (`fun`, `jac` functions).
bounds : sequence, optional
Bounds on variables. 'new-style' bounds are required.
eps : float or ndarray
If `jac is None` the absolute step size used for numerical
approximation of the jacobian via forward differences.
finite_diff_rel_step : None or array_like, optional
If `jac in ['2-point', '3-point', 'cs']` the relative step size to
use for numerical approximation of the jacobian. The absolute step
size is computed as ``h = rel_step * sign(x0) * max(1, abs(x0))``,
possibly adjusted to fit into the bounds. For ``method='3-point'``
the sign of `h` is ignored. If None (default) then step is selected
automatically.
hess : {callable, '2-point', '3-point', 'cs', None}
Computes the Hessian matrix. If it is callable, it should return the
Hessian matrix:
``hess(x, *args) -> {LinearOperator, spmatrix, array}, (n, n)``
Alternatively, the keywords {'2-point', '3-point', 'cs'} select a
finite difference scheme for numerical estimation.
Whenever the gradient is estimated via finite-differences, the Hessian
cannot be estimated with options {'2-point', '3-point', 'cs'} and needs
to be estimated using one of the quasi-Newton strategies.
Returns
-------
sf : ScalarFunction
"""
if callable(jac):
grad = jac
elif jac in FD_METHODS:
# epsilon is set to None so that ScalarFunction is made to use
# rel_step
epsilon = None
grad = jac
else:
# default (jac is None) is to do 2-point finite differences with
# absolute step size. ScalarFunction has to be provided an
# epsilon value that is not None to use absolute steps. This is
# normally the case from most _minimize* methods.
grad = '2-point'
epsilon = epsilon
if hess is None:
# ScalarFunction requires something for hess, so we give a dummy
# implementation here if nothing is provided, return a value of None
# so that downstream minimisers halt. The results of `fun.hess`
# should not be used.
def hess(x, *args):
return None
if bounds is None:
bounds = (-np.inf, np.inf)
# ScalarFunction caches. Reuse of fun(x) during grad
# calculation reduces overall function evaluations.
sf = ScalarFunction(fun, x0, args, grad, hess,
finite_diff_rel_step, bounds, epsilon=epsilon)
return sf
def rosen(x):
"""
The Rosenbrock function.
The function computed is::
sum(100.0*(x[1:] - x[:-1]**2.0)**2.0 + (1 - x[:-1])**2.0)
Parameters
----------
x : array_like
1-D array of points at which the Rosenbrock function is to be computed.
Returns
-------
f : float
The value of the Rosenbrock function.
See Also
--------
rosen_der, rosen_hess, rosen_hess_prod
Examples
--------
>>> from scipy.optimize import rosen
>>> X = 0.1 * np.arange(10)
>>> rosen(X)
76.56
"""
x = asarray(x)
r = np.sum(100.0 * (x[1:] - x[:-1]**2.0)**2.0 + (1 - x[:-1])**2.0,
axis=0)
return r
def rosen_der(x):
"""
The derivative (i.e. gradient) of the Rosenbrock function.
Parameters
----------
x : array_like
1-D array of points at which the derivative is to be computed.
Returns
-------
rosen_der : (N,) ndarray
The gradient of the Rosenbrock function at `x`.
See Also
--------
rosen, rosen_hess, rosen_hess_prod
Examples
--------
>>> from scipy.optimize import rosen_der
>>> X = 0.1 * np.arange(9)
>>> rosen_der(X)
array([ -2. , 10.6, 15.6, 13.4, 6.4, -3. , -12.4, -19.4, 62. ])
"""
x = asarray(x)
xm = x[1:-1]
xm_m1 = x[:-2]
xm_p1 = x[2:]
der = np.zeros_like(x)
der[1:-1] = (200 * (xm - xm_m1**2) -
400 * (xm_p1 - xm**2) * xm - 2 * (1 - xm))
der[0] = -400 * x[0] * (x[1] - x[0]**2) - 2 * (1 - x[0])
der[-1] = 200 * (x[-1] - x[-2]**2)
return der
def rosen_hess(x):
"""
The Hessian matrix of the Rosenbrock function.
Parameters
----------
x : array_like
1-D array of points at which the Hessian matrix is to be computed.
Returns
-------
rosen_hess : ndarray
The Hessian matrix of the Rosenbrock function at `x`.
See Also
--------
rosen, rosen_der, rosen_hess_prod
Examples
--------
>>> from scipy.optimize import rosen_hess
>>> X = 0.1 * np.arange(4)
>>> rosen_hess(X)
array([[-38., 0., 0., 0.],
[ 0., 134., -40., 0.],
[ 0., -40., 130., -80.],
[ 0., 0., -80., 200.]])
"""
x = atleast_1d(x)
H = np.diag(-400 * x[:-1], 1) - np.diag(400 * x[:-1], -1)
diagonal = np.zeros(len(x), dtype=x.dtype)
diagonal[0] = 1200 * x[0]**2 - 400 * x[1] + 2
diagonal[-1] = 200
diagonal[1:-1] = 202 + 1200 * x[1:-1]**2 - 400 * x[2:]
H = H + np.diag(diagonal)
return H
def rosen_hess_prod(x, p):
"""
Product of the Hessian matrix of the Rosenbrock function with a vector.
Parameters
----------
x : array_like
1-D array of points at which the Hessian matrix is to be computed.
p : array_like
1-D array, the vector to be multiplied by the Hessian matrix.
Returns
-------
rosen_hess_prod : ndarray
The Hessian matrix of the Rosenbrock function at `x` multiplied
by the vector `p`.
See Also
--------
rosen, rosen_der, rosen_hess
Examples
--------
>>> from scipy.optimize import rosen_hess_prod
>>> X = 0.1 * np.arange(9)
>>> p = 0.5 * np.arange(9)
>>> rosen_hess_prod(X, p)
array([ -0., 27., -10., -95., -192., -265., -278., -195., -180.])
"""
x = atleast_1d(x)
Hp = np.zeros(len(x), dtype=x.dtype)
Hp[0] = (1200 * x[0]**2 - 400 * x[1] + 2) * p[0] - 400 * x[0] * p[1]
Hp[1:-1] = (-400 * x[:-2] * p[:-2] +
(202 + 1200 * x[1:-1]**2 - 400 * x[2:]) * p[1:-1] -
400 * x[1:-1] * p[2:])
Hp[-1] = -400 * x[-2] * p[-2] + 200*p[-1]
return Hp
def wrap_function(function, args):
ncalls = [0]
if function is None:
return ncalls, None
def function_wrapper(*wrapper_args):
ncalls[0] += 1
return function(*(wrapper_args + args))
return ncalls, function_wrapper
def fmin(func, x0, args=(), xtol=1e-4, ftol=1e-4, maxiter=None, maxfun=None,
full_output=0, disp=1, retall=0, callback=None, initial_simplex=None):
"""
Minimize a function using the downhill simplex algorithm.
This algorithm only uses function values, not derivatives or second
derivatives.
Parameters
----------
func : callable func(x,*args)
The objective function to be minimized.
x0 : ndarray
Initial guess.
args : tuple, optional
Extra arguments passed to func, i.e., ``f(x,*args)``.
xtol : float, optional
Absolute error in xopt between iterations that is acceptable for
convergence.
ftol : number, optional
Absolute error in func(xopt) between iterations that is acceptable for
convergence.
maxiter : int, optional
Maximum number of iterations to perform.
maxfun : number, optional
Maximum number of function evaluations to make.
full_output : bool, optional
Set to True if fopt and warnflag outputs are desired.
disp : bool, optional
Set to True to print convergence messages.
retall : bool, optional
Set to True to return list of solutions at each iteration.
callback : callable, optional
Called after each iteration, as callback(xk), where xk is the
current parameter vector.
initial_simplex : array_like of shape (N + 1, N), optional
Initial simplex. If given, overrides `x0`.
``initial_simplex[j,:]`` should contain the coordinates of
the jth vertex of the ``N+1`` vertices in the simplex, where
``N`` is the dimension.
Returns
-------
xopt : ndarray
Parameter that minimizes function.
fopt : float
Value of function at minimum: ``fopt = func(xopt)``.
iter : int
Number of iterations performed.
funcalls : int
Number of function calls made.
warnflag : int
1 : Maximum number of function evaluations made.
2 : Maximum number of iterations reached.
allvecs : list
Solution at each iteration.
See also
--------
minimize: Interface to minimization algorithms for multivariate
functions. See the 'Nelder-Mead' `method` in particular.
Notes
-----
Uses a Nelder-Mead simplex algorithm to find the minimum of function of
one or more variables.
This algorithm has a long history of successful use in applications.
But it will usually be slower than an algorithm that uses first or
second derivative information. In practice, it can have poor
performance in high-dimensional problems and is not robust to
minimizing complicated functions. Additionally, there currently is no
complete theory describing when the algorithm will successfully
converge to the minimum, or how fast it will if it does. Both the ftol and
xtol criteria must be met for convergence.
Examples
--------
>>> def f(x):
... return x**2
>>> from scipy import optimize
>>> minimum = optimize.fmin(f, 1)
Optimization terminated successfully.
Current function value: 0.000000
Iterations: 17
Function evaluations: 34
>>> minimum[0]
-8.8817841970012523e-16
References
----------
.. [1] Nelder, J.A. and Mead, R. (1965), "A simplex method for function
minimization", The Computer Journal, 7, pp. 308-313
.. [2] Wright, M.H. (1996), "Direct Search Methods: Once Scorned, Now
Respectable", in Numerical Analysis 1995, Proceedings of the
1995 Dundee Biennial Conference in Numerical Analysis, D.F.
Griffiths and G.A. Watson (Eds.), Addison Wesley Longman,
Harlow, UK, pp. 191-208.
"""
opts = {'xatol': xtol,
'fatol': ftol,
'maxiter': maxiter,
'maxfev': maxfun,
'disp': disp,
'return_all': retall,
'initial_simplex': initial_simplex}
res = _minimize_neldermead(func, x0, args, callback=callback, **opts)
if full_output:
retlist = res['x'], res['fun'], res['nit'], res['nfev'], res['status']
if retall:
retlist += (res['allvecs'], )
return retlist
else:
if retall:
return res['x'], res['allvecs']
else:
return res['x']
def _minimize_neldermead(func, x0, args=(), callback=None,
maxiter=None, maxfev=None, disp=False,
return_all=False, initial_simplex=None,
xatol=1e-4, fatol=1e-4, adaptive=False,
**unknown_options):
"""
Minimization of scalar function of one or more variables using the
Nelder-Mead algorithm.
Options
-------
disp : bool
Set to True to print convergence messages.
maxiter, maxfev : int
Maximum allowed number of iterations and function evaluations.
Will default to ``N*200``, where ``N`` is the number of
variables, if neither `maxiter` or `maxfev` is set. If both
`maxiter` and `maxfev` are set, minimization will stop at the
first reached.
return_all : bool, optional
Set to True to return a list of the best solution at each of the
iterations.
initial_simplex : array_like of shape (N + 1, N)
Initial simplex. If given, overrides `x0`.
``initial_simplex[j,:]`` should contain the coordinates of
the jth vertex of the ``N+1`` vertices in the simplex, where
``N`` is the dimension.
xatol : float, optional
Absolute error in xopt between iterations that is acceptable for
convergence.
fatol : number, optional
Absolute error in func(xopt) between iterations that is acceptable for
convergence.
adaptive : bool, optional
Adapt algorithm parameters to dimensionality of problem. Useful for
high-dimensional minimization [1]_.
References
----------
.. [1] Gao, F. and Han, L.
Implementing the Nelder-Mead simplex algorithm with adaptive
parameters. 2012. Computational Optimization and Applications.
51:1, pp. 259-277
"""
if 'ftol' in unknown_options:
warnings.warn("ftol is deprecated for Nelder-Mead,"
" use fatol instead. If you specified both, only"
" fatol is used.",
DeprecationWarning)
if (np.isclose(fatol, 1e-4) and
not np.isclose(unknown_options['ftol'], 1e-4)):
# only ftol was probably specified, use it.
fatol = unknown_options['ftol']
unknown_options.pop('ftol')
if 'xtol' in unknown_options:
warnings.warn("xtol is deprecated for Nelder-Mead,"
" use xatol instead. If you specified both, only"
" xatol is used.",
DeprecationWarning)
if (np.isclose(xatol, 1e-4) and
not np.isclose(unknown_options['xtol'], 1e-4)):
# only xtol was probably specified, use it.
xatol = unknown_options['xtol']
unknown_options.pop('xtol')
_check_unknown_options(unknown_options)
maxfun = maxfev
retall = return_all
fcalls, func = wrap_function(func, args)
if adaptive:
dim = float(len(x0))
rho = 1
chi = 1 + 2/dim
psi = 0.75 - 1/(2*dim)
sigma = 1 - 1/dim
else:
rho = 1
chi = 2
psi = 0.5
sigma = 0.5
nonzdelt = 0.05
zdelt = 0.00025
x0 = asfarray(x0).flatten()
if initial_simplex is None:
N = len(x0)
sim = np.zeros((N + 1, N), dtype=x0.dtype)
sim[0] = x0
for k in range(N):
y = np.array(x0, copy=True)
if y[k] != 0:
y[k] = (1 + nonzdelt)*y[k]
else:
y[k] = zdelt
sim[k + 1] = y
else:
sim = np.asfarray(initial_simplex).copy()
if sim.ndim != 2 or sim.shape[0] != sim.shape[1] + 1:
raise ValueError("`initial_simplex` should be an array of shape (N+1,N)")
if len(x0) != sim.shape[1]:
raise ValueError("Size of `initial_simplex` is not consistent with `x0`")
N = sim.shape[1]
if retall:
allvecs = [sim[0]]
# If neither are set, then set both to default
if maxiter is None and maxfun is None:
maxiter = N * 200
maxfun = N * 200
elif maxiter is None:
# Convert remaining Nones, to np.inf, unless the other is np.inf, in
# which case use the default to avoid unbounded iteration
if maxfun == np.inf:
maxiter = N * 200
else:
maxiter = np.inf
elif maxfun is None:
if maxiter == np.inf:
maxfun = N * 200
else:
maxfun = np.inf
one2np1 = list(range(1, N + 1))
fsim = np.zeros((N + 1,), float)
for k in range(N + 1):
fsim[k] = func(sim[k])
ind = np.argsort(fsim)
fsim = np.take(fsim, ind, 0)
# sort so sim[0,:] has the lowest function value
sim = np.take(sim, ind, 0)
iterations = 1
while (fcalls[0] < maxfun and iterations < maxiter):
if (np.max(np.ravel(np.abs(sim[1:] - sim[0]))) <= xatol and
np.max(np.abs(fsim[0] - fsim[1:])) <= fatol):
break
xbar = np.add.reduce(sim[:-1], 0) / N
xr = (1 + rho) * xbar - rho * sim[-1]
fxr = func(xr)
doshrink = 0
if fxr < fsim[0]:
xe = (1 + rho * chi) * xbar - rho * chi * sim[-1]
fxe = func(xe)
if fxe < fxr:
sim[-1] = xe
fsim[-1] = fxe
else:
sim[-1] = xr
fsim[-1] = fxr
else: # fsim[0] <= fxr
if fxr < fsim[-2]:
sim[-1] = xr
fsim[-1] = fxr
else: # fxr >= fsim[-2]
# Perform contraction
if fxr < fsim[-1]:
xc = (1 + psi * rho) * xbar - psi * rho * sim[-1]
fxc = func(xc)
if fxc <= fxr:
sim[-1] = xc
fsim[-1] = fxc
else:
doshrink = 1
else:
# Perform an inside contraction
xcc = (1 - psi) * xbar + psi * sim[-1]
fxcc = func(xcc)
if fxcc < fsim[-1]:
sim[-1] = xcc
fsim[-1] = fxcc
else:
doshrink = 1
if doshrink:
for j in one2np1:
sim[j] = sim[0] + sigma * (sim[j] - sim[0])
fsim[j] = func(sim[j])
ind = np.argsort(fsim)
sim = np.take(sim, ind, 0)
fsim = np.take(fsim, ind, 0)
if callback is not None:
callback(sim[0])
iterations += 1
if retall:
allvecs.append(sim[0])
x = sim[0]
fval = np.min(fsim)
warnflag = 0
if fcalls[0] >= maxfun:
warnflag = 1
msg = _status_message['maxfev']
if disp:
print('Warning: ' + msg)
elif iterations >= maxiter:
warnflag = 2
msg = _status_message['maxiter']
if disp:
print('Warning: ' + msg)
else:
msg = _status_message['success']
if disp:
print(msg)
print(" Current function value: %f" % fval)
print(" Iterations: %d" % iterations)
print(" Function evaluations: %d" % fcalls[0])
result = OptimizeResult(fun=fval, nit=iterations, nfev=fcalls[0],
status=warnflag, success=(warnflag == 0),
message=msg, x=x, final_simplex=(sim, fsim))
if retall:
result['allvecs'] = allvecs
return result
def approx_fprime(xk, f, epsilon, *args):
"""Finite-difference approximation of the gradient of a scalar function.
Parameters
----------
xk : array_like
The coordinate vector at which to determine the gradient of `f`.
f : callable
The function of which to determine the gradient (partial derivatives).
Should take `xk` as first argument, other arguments to `f` can be
supplied in ``*args``. Should return a scalar, the value of the
function at `xk`.
epsilon : array_like
Increment to `xk` to use for determining the function gradient.
If a scalar, uses the same finite difference delta for all partial
derivatives. If an array, should contain one value per element of
`xk`.
\\*args : args, optional
Any other arguments that are to be passed to `f`.
Returns
-------
grad : ndarray
The partial derivatives of `f` to `xk`.
See Also
--------
check_grad : Check correctness of gradient function against approx_fprime.
Notes
-----
The function gradient is determined by the forward finite difference
formula::
f(xk[i] + epsilon[i]) - f(xk[i])
f'[i] = ---------------------------------
epsilon[i]
The main use of `approx_fprime` is in scalar function optimizers like
`fmin_bfgs`, to determine numerically the Jacobian of a function.
Examples
--------
>>> from scipy import optimize
>>> def func(x, c0, c1):
... "Coordinate vector `x` should be an array of size two."
... return c0 * x[0]**2 + c1*x[1]**2
>>> x = np.ones(2)
>>> c0, c1 = (1, 200)
>>> eps = np.sqrt(np.finfo(float).eps)
>>> optimize.approx_fprime(x, func, [eps, np.sqrt(200) * eps], c0, c1)
array([ 2. , 400.00004198])
"""
xk = np.asarray(xk, float)
f0 = f(xk, *args)
if not np.isscalar(f0):
try:
f0 = f0.item()
except (ValueError, AttributeError):
raise ValueError("The user-provided "
"objective function must "
"return a scalar value.")
return approx_derivative(f, xk, method='2-point', abs_step=epsilon,
args=args, f0=f0)
def check_grad(func, grad, x0, *args, **kwargs):
"""Check the correctness of a gradient function by comparing it against a
(forward) finite-difference approximation of the gradient.
Parameters
----------
func : callable ``func(x0, *args)``
Function whose derivative is to be checked.
grad : callable ``grad(x0, *args)``
Gradient of `func`.
x0 : ndarray
Points to check `grad` against forward difference approximation of grad
using `func`.
args : \\*args, optional
Extra arguments passed to `func` and `grad`.
epsilon : float, optional
Step size used for the finite difference approximation. It defaults to
``sqrt(np.finfo(float).eps)``, which is approximately 1.49e-08.
Returns
-------
err : float
The square root of the sum of squares (i.e., the 2-norm) of the
difference between ``grad(x0, *args)`` and the finite difference
approximation of `grad` using func at the points `x0`.
See Also
--------
approx_fprime
Examples
--------
>>> def func(x):
... return x[0]**2 - 0.5 * x[1]**3
>>> def grad(x):
... return [2 * x[0], -1.5 * x[1]**2]
>>> from scipy.optimize import check_grad
>>> check_grad(func, grad, [1.5, -1.5])
2.9802322387695312e-08
"""
step = kwargs.pop('epsilon', _epsilon)
if kwargs:
raise ValueError("Unknown keyword arguments: %r" %
(list(kwargs.keys()),))
return sqrt(sum((grad(x0, *args) -
approx_fprime(x0, func, step, *args))**2))
def approx_fhess_p(x0, p, fprime, epsilon, *args):
# calculate fprime(x0) first, as this may be cached by ScalarFunction
f1 = fprime(*((x0,) + args))
f2 = fprime(*((x0 + epsilon*p,) + args))
return (f2 - f1) / epsilon
class _LineSearchError(RuntimeError):
pass
def _line_search_wolfe12(f, fprime, xk, pk, gfk, old_fval, old_old_fval,
**kwargs):
"""
Same as line_search_wolfe1, but fall back to line_search_wolfe2 if
suitable step length is not found, and raise an exception if a
suitable step length is not found.
Raises
------
_LineSearchError
If no suitable step size is found
"""
extra_condition = kwargs.pop('extra_condition', None)
ret = line_search_wolfe1(f, fprime, xk, pk, gfk,
old_fval, old_old_fval,
**kwargs)
if ret[0] is not None and extra_condition is not None:
xp1 = xk + ret[0] * pk
if not extra_condition(ret[0], xp1, ret[3], ret[5]):
# Reject step if extra_condition fails
ret = (None,)
if ret[0] is None:
# line search failed: try different one.
with warnings.catch_warnings():
warnings.simplefilter('ignore', LineSearchWarning)
kwargs2 = {}
for key in ('c1', 'c2', 'amax'):
if key in kwargs:
kwargs2[key] = kwargs[key]
ret = line_search_wolfe2(f, fprime, xk, pk, gfk,
old_fval, old_old_fval,
extra_condition=extra_condition,
**kwargs2)
if ret[0] is None:
raise _LineSearchError()
return ret
def fmin_bfgs(f, x0, fprime=None, args=(), gtol=1e-5, norm=Inf,
epsilon=_epsilon, maxiter=None, full_output=0, disp=1,
retall=0, callback=None):
"""
Minimize a function using the BFGS algorithm.
Parameters
----------
f : callable f(x,*args)
Objective function to be minimized.
x0 : ndarray
Initial guess.
fprime : callable f'(x,*args), optional
Gradient of f.
args : tuple, optional
Extra arguments passed to f and fprime.
gtol : float, optional
Gradient norm must be less than gtol before successful termination.
norm : float, optional
Order of norm (Inf is max, -Inf is min)
epsilon : int or ndarray, optional
If fprime is approximated, use this value for the step size.
callback : callable, optional
An optional user-supplied function to call after each
iteration. Called as callback(xk), where xk is the
current parameter vector.
maxiter : int, optional
Maximum number of iterations to perform.
full_output : bool, optional
If True,return fopt, func_calls, grad_calls, and warnflag
in addition to xopt.
disp : bool, optional
Print convergence message if True.
retall : bool, optional
Return a list of results at each iteration if True.
Returns
-------
xopt : ndarray
Parameters which minimize f, i.e., f(xopt) == fopt.
fopt : float
Minimum value.
gopt : ndarray
Value of gradient at minimum, f'(xopt), which should be near 0.
Bopt : ndarray
Value of 1/f''(xopt), i.e., the inverse Hessian matrix.
func_calls : int
Number of function_calls made.
grad_calls : int
Number of gradient calls made.
warnflag : integer
1 : Maximum number of iterations exceeded.
2 : Gradient and/or function calls not changing.
3 : NaN result encountered.
allvecs : list
The value of xopt at each iteration. Only returned if retall is True.
See also
--------
minimize: Interface to minimization algorithms for multivariate
functions. See the 'BFGS' `method` in particular.
Notes
-----
Optimize the function, f, whose gradient is given by fprime
using the quasi-Newton method of Broyden, Fletcher, Goldfarb,
and Shanno (BFGS)
References
----------
Wright, and Nocedal 'Numerical Optimization', 1999, p. 198.
"""
opts = {'gtol': gtol,
'norm': norm,
'eps': epsilon,
'disp': disp,
'maxiter': maxiter,
'return_all': retall}
res = _minimize_bfgs(f, x0, args, fprime, callback=callback, **opts)
if full_output:
retlist = (res['x'], res['fun'], res['jac'], res['hess_inv'],
res['nfev'], res['njev'], res['status'])
if retall:
retlist += (res['allvecs'], )
return retlist
else:
if retall:
return res['x'], res['allvecs']
else:
return res['x']
def _minimize_bfgs(fun, x0, args=(), jac=None, callback=None,
gtol=1e-5, norm=Inf, eps=_epsilon, maxiter=None,
disp=False, return_all=False, finite_diff_rel_step=None,
**unknown_options):
"""
Minimization of scalar function of one or more variables using the
BFGS algorithm.
Options
-------
disp : bool
Set to True to print convergence messages.
maxiter : int
Maximum number of iterations to perform.
gtol : float
Gradient norm must be less than `gtol` before successful
termination.
norm : float
Order of norm (Inf is max, -Inf is min).
eps : float or ndarray
If `jac is None` the absolute step size used for numerical
approximation of the jacobian via forward differences.
return_all : bool, optional
Set to True to return a list of the best solution at each of the
iterations.
finite_diff_rel_step : None or array_like, optional
If `jac in ['2-point', '3-point', 'cs']` the relative step size to
use for numerical approximation of the jacobian. The absolute step
size is computed as ``h = rel_step * sign(x0) * max(1, abs(x0))``,
possibly adjusted to fit into the bounds. For ``method='3-point'``
the sign of `h` is ignored. If None (default) then step is selected
automatically.
"""
_check_unknown_options(unknown_options)
retall = return_all
x0 = asarray(x0).flatten()
if x0.ndim == 0:
x0.shape = (1,)
if maxiter is None:
maxiter = len(x0) * 200
sf = _prepare_scalar_function(fun, x0, jac, args=args, epsilon=eps,
finite_diff_rel_step=finite_diff_rel_step)
f = sf.fun
myfprime = sf.grad
old_fval = f(x0)
gfk = myfprime(x0)
if not np.isscalar(old_fval):
try:
old_fval = old_fval.item()
except (ValueError, AttributeError):
raise ValueError("The user-provided "
"objective function must "
"return a scalar value.")
k = 0
N = len(x0)
I = np.eye(N, dtype=int)
Hk = I
# Sets the initial step guess to dx ~ 1
old_old_fval = old_fval + np.linalg.norm(gfk) / 2
xk = x0
if retall:
allvecs = [x0]
warnflag = 0
gnorm = vecnorm(gfk, ord=norm)
while (gnorm > gtol) and (k < maxiter):
pk = -np.dot(Hk, gfk)
try:
alpha_k, fc, gc, old_fval, old_old_fval, gfkp1 = \
_line_search_wolfe12(f, myfprime, xk, pk, gfk,
old_fval, old_old_fval, amin=1e-100, amax=1e100)
except _LineSearchError:
# Line search failed to find a better solution.
warnflag = 2
break
xkp1 = xk + alpha_k * pk
if retall:
allvecs.append(xkp1)
sk = xkp1 - xk
xk = xkp1
if gfkp1 is None:
gfkp1 = myfprime(xkp1)
yk = gfkp1 - gfk
gfk = gfkp1
if callback is not None:
callback(xk)
k += 1
gnorm = vecnorm(gfk, ord=norm)
if (gnorm <= gtol):
break
if not np.isfinite(old_fval):
# We correctly found +-Inf as optimal value, or something went
# wrong.
warnflag = 2
break
try: # this was handled in numeric, let it remaines for more safety
rhok = 1.0 / (np.dot(yk, sk))
except ZeroDivisionError:
rhok = 1000.0
if disp:
print("Divide-by-zero encountered: rhok assumed large")
if isinf(rhok): # this is patch for NumPy
rhok = 1000.0
if disp:
print("Divide-by-zero encountered: rhok assumed large")
A1 = I - sk[:, np.newaxis] * yk[np.newaxis, :] * rhok
A2 = I - yk[:, np.newaxis] * sk[np.newaxis, :] * rhok
Hk = np.dot(A1, np.dot(Hk, A2)) + (rhok * sk[:, np.newaxis] *
sk[np.newaxis, :])
fval = old_fval
if warnflag == 2:
msg = _status_message['pr_loss']
elif k >= maxiter:
warnflag = 1
msg = _status_message['maxiter']
elif np.isnan(gnorm) or np.isnan(fval) or np.isnan(xk).any():
warnflag = 3
msg = _status_message['nan']
else:
msg = _status_message['success']
if disp:
print("%s%s" % ("Warning: " if warnflag != 0 else "", msg))
print(" Current function value: %f" % fval)
print(" Iterations: %d" % k)
print(" Function evaluations: %d" % sf.nfev)
print(" Gradient evaluations: %d" % sf.ngev)
result = OptimizeResult(fun=fval, jac=gfk, hess_inv=Hk, nfev=sf.nfev,
njev=sf.ngev, status=warnflag,
success=(warnflag == 0), message=msg, x=xk,
nit=k)
if retall:
result['allvecs'] = allvecs
return result
def fmin_cg(f, x0, fprime=None, args=(), gtol=1e-5, norm=Inf, epsilon=_epsilon,
maxiter=None, full_output=0, disp=1, retall=0, callback=None):
"""
Minimize a function using a nonlinear conjugate gradient algorithm.
Parameters
----------
f : callable, ``f(x, *args)``
Objective function to be minimized. Here `x` must be a 1-D array of
the variables that are to be changed in the search for a minimum, and
`args` are the other (fixed) parameters of `f`.
x0 : ndarray
A user-supplied initial estimate of `xopt`, the optimal value of `x`.
It must be a 1-D array of values.
fprime : callable, ``fprime(x, *args)``, optional
A function that returns the gradient of `f` at `x`. Here `x` and `args`
are as described above for `f`. The returned value must be a 1-D array.
Defaults to None, in which case the gradient is approximated
numerically (see `epsilon`, below).
args : tuple, optional
Parameter values passed to `f` and `fprime`. Must be supplied whenever
additional fixed parameters are needed to completely specify the
functions `f` and `fprime`.
gtol : float, optional
Stop when the norm of the gradient is less than `gtol`.
norm : float, optional
Order to use for the norm of the gradient
(``-np.Inf`` is min, ``np.Inf`` is max).
epsilon : float or ndarray, optional
Step size(s) to use when `fprime` is approximated numerically. Can be a
scalar or a 1-D array. Defaults to ``sqrt(eps)``, with eps the
floating point machine precision. Usually ``sqrt(eps)`` is about
1.5e-8.
maxiter : int, optional
Maximum number of iterations to perform. Default is ``200 * len(x0)``.
full_output : bool, optional
If True, return `fopt`, `func_calls`, `grad_calls`, and `warnflag` in
addition to `xopt`. See the Returns section below for additional
information on optional return values.
disp : bool, optional
If True, return a convergence message, followed by `xopt`.
retall : bool, optional
If True, add to the returned values the results of each iteration.
callback : callable, optional
An optional user-supplied function, called after each iteration.
Called as ``callback(xk)``, where ``xk`` is the current value of `x0`.
Returns
-------
xopt : ndarray
Parameters which minimize f, i.e., ``f(xopt) == fopt``.
fopt : float, optional
Minimum value found, f(xopt). Only returned if `full_output` is True.
func_calls : int, optional
The number of function_calls made. Only returned if `full_output`
is True.
grad_calls : int, optional
The number of gradient calls made. Only returned if `full_output` is
True.
warnflag : int, optional
Integer value with warning status, only returned if `full_output` is
True.
0 : Success.
1 : The maximum number of iterations was exceeded.
2 : Gradient and/or function calls were not changing. May indicate
that precision was lost, i.e., the routine did not converge.
3 : NaN result encountered.
allvecs : list of ndarray, optional
List of arrays, containing the results at each iteration.
Only returned if `retall` is True.
See Also
--------
minimize : common interface to all `scipy.optimize` algorithms for
unconstrained and constrained minimization of multivariate
functions. It provides an alternative way to call
``fmin_cg``, by specifying ``method='CG'``.
Notes
-----
This conjugate gradient algorithm is based on that of Polak and Ribiere
[1]_.
Conjugate gradient methods tend to work better when:
1. `f` has a unique global minimizing point, and no local minima or
other stationary points,
2. `f` is, at least locally, reasonably well approximated by a
quadratic function of the variables,
3. `f` is continuous and has a continuous gradient,
4. `fprime` is not too large, e.g., has a norm less than 1000,
5. The initial guess, `x0`, is reasonably close to `f` 's global
minimizing point, `xopt`.
References
----------
.. [1] Wright & Nocedal, "Numerical Optimization", 1999, pp. 120-122.
Examples
--------
Example 1: seek the minimum value of the expression
``a*u**2 + b*u*v + c*v**2 + d*u + e*v + f`` for given values
of the parameters and an initial guess ``(u, v) = (0, 0)``.
>>> args = (2, 3, 7, 8, 9, 10) # parameter values
>>> def f(x, *args):
... u, v = x
... a, b, c, d, e, f = args
... return a*u**2 + b*u*v + c*v**2 + d*u + e*v + f
>>> def gradf(x, *args):
... u, v = x
... a, b, c, d, e, f = args
... gu = 2*a*u + b*v + d # u-component of the gradient
... gv = b*u + 2*c*v + e # v-component of the gradient
... return np.asarray((gu, gv))
>>> x0 = np.asarray((0, 0)) # Initial guess.
>>> from scipy import optimize
>>> res1 = optimize.fmin_cg(f, x0, fprime=gradf, args=args)
Optimization terminated successfully.
Current function value: 1.617021
Iterations: 4
Function evaluations: 8
Gradient evaluations: 8
>>> res1
array([-1.80851064, -0.25531915])
Example 2: solve the same problem using the `minimize` function.
(This `myopts` dictionary shows all of the available options,
although in practice only non-default values would be needed.
The returned value will be a dictionary.)
>>> opts = {'maxiter' : None, # default value.
... 'disp' : True, # non-default value.
... 'gtol' : 1e-5, # default value.
... 'norm' : np.inf, # default value.
... 'eps' : 1.4901161193847656e-08} # default value.
>>> res2 = optimize.minimize(f, x0, jac=gradf, args=args,
... method='CG', options=opts)
Optimization terminated successfully.
Current function value: 1.617021
Iterations: 4
Function evaluations: 8
Gradient evaluations: 8
>>> res2.x # minimum found
array([-1.80851064, -0.25531915])
"""
opts = {'gtol': gtol,
'norm': norm,
'eps': epsilon,
'disp': disp,
'maxiter': maxiter,
'return_all': retall}
res = _minimize_cg(f, x0, args, fprime, callback=callback, **opts)
if full_output:
retlist = res['x'], res['fun'], res['nfev'], res['njev'], res['status']
if retall:
retlist += (res['allvecs'], )
return retlist
else:
if retall:
return res['x'], res['allvecs']
else:
return res['x']
def _minimize_cg(fun, x0, args=(), jac=None, callback=None,
gtol=1e-5, norm=Inf, eps=_epsilon, maxiter=None,
disp=False, return_all=False, finite_diff_rel_step=None,
**unknown_options):
"""
Minimization of scalar function of one or more variables using the
conjugate gradient algorithm.
Options
-------
disp : bool
Set to True to print convergence messages.
maxiter : int
Maximum number of iterations to perform.
gtol : float
Gradient norm must be less than `gtol` before successful
termination.
norm : float
Order of norm (Inf is max, -Inf is min).
eps : float or ndarray
If `jac is None` the absolute step size used for numerical
approximation of the jacobian via forward differences.
return_all : bool, optional
Set to True to return a list of the best solution at each of the
iterations.
finite_diff_rel_step : None or array_like, optional
If `jac in ['2-point', '3-point', 'cs']` the relative step size to
use for numerical approximation of the jacobian. The absolute step
size is computed as ``h = rel_step * sign(x0) * max(1, abs(x0))``,
possibly adjusted to fit into the bounds. For ``method='3-point'``
the sign of `h` is ignored. If None (default) then step is selected
automatically.
"""
_check_unknown_options(unknown_options)
retall = return_all
x0 = asarray(x0).flatten()
if maxiter is None:
maxiter = len(x0) * 200
sf = _prepare_scalar_function(fun, x0, jac=jac, args=args, epsilon=eps,
finite_diff_rel_step=finite_diff_rel_step)
f = sf.fun
myfprime = sf.grad
old_fval = f(x0)
gfk = myfprime(x0)
if not np.isscalar(old_fval):
try:
old_fval = old_fval.item()
except (ValueError, AttributeError):
raise ValueError("The user-provided "
"objective function must "
"return a scalar value.")
k = 0
xk = x0
# Sets the initial step guess to dx ~ 1
old_old_fval = old_fval + np.linalg.norm(gfk) / 2
if retall:
allvecs = [xk]
warnflag = 0
pk = -gfk
gnorm = vecnorm(gfk, ord=norm)
sigma_3 = 0.01
while (gnorm > gtol) and (k < maxiter):
deltak = np.dot(gfk, gfk)
cached_step = [None]
def polak_ribiere_powell_step(alpha, gfkp1=None):
xkp1 = xk + alpha * pk
if gfkp1 is None:
gfkp1 = myfprime(xkp1)
yk = gfkp1 - gfk
beta_k = max(0, np.dot(yk, gfkp1) / deltak)
pkp1 = -gfkp1 + beta_k * pk
gnorm = vecnorm(gfkp1, ord=norm)
return (alpha, xkp1, pkp1, gfkp1, gnorm)
def descent_condition(alpha, xkp1, fp1, gfkp1):
# Polak-Ribiere+ needs an explicit check of a sufficient
# descent condition, which is not guaranteed by strong Wolfe.
#
# See Gilbert & Nocedal, "Global convergence properties of
# conjugate gradient methods for optimization",
# SIAM J. Optimization 2, 21 (1992).
cached_step[:] = polak_ribiere_powell_step(alpha, gfkp1)
alpha, xk, pk, gfk, gnorm = cached_step
# Accept step if it leads to convergence.
if gnorm <= gtol:
return True
# Accept step if sufficient descent condition applies.
return np.dot(pk, gfk) <= -sigma_3 * np.dot(gfk, gfk)
try:
alpha_k, fc, gc, old_fval, old_old_fval, gfkp1 = \
_line_search_wolfe12(f, myfprime, xk, pk, gfk, old_fval,
old_old_fval, c2=0.4, amin=1e-100, amax=1e100,
extra_condition=descent_condition)
except _LineSearchError:
# Line search failed to find a better solution.
warnflag = 2
break
# Reuse already computed results if possible
if alpha_k == cached_step[0]:
alpha_k, xk, pk, gfk, gnorm = cached_step
else:
alpha_k, xk, pk, gfk, gnorm = polak_ribiere_powell_step(alpha_k, gfkp1)
if retall:
allvecs.append(xk)
if callback is not None:
callback(xk)
k += 1
fval = old_fval
if warnflag == 2:
msg = _status_message['pr_loss']
elif k >= maxiter:
warnflag = 1
msg = _status_message['maxiter']
elif np.isnan(gnorm) or np.isnan(fval) or np.isnan(xk).any():
warnflag = 3
msg = _status_message['nan']
else:
msg = _status_message['success']
if disp:
print("%s%s" % ("Warning: " if warnflag != 0 else "", msg))
print(" Current function value: %f" % fval)
print(" Iterations: %d" % k)
print(" Function evaluations: %d" % sf.nfev)
print(" Gradient evaluations: %d" % sf.ngev)
result = OptimizeResult(fun=fval, jac=gfk, nfev=sf.nfev,
njev=sf.ngev, status=warnflag,
success=(warnflag == 0), message=msg, x=xk,
nit=k)
if retall:
result['allvecs'] = allvecs
return result
def fmin_ncg(f, x0, fprime, fhess_p=None, fhess=None, args=(), avextol=1e-5,
epsilon=_epsilon, maxiter=None, full_output=0, disp=1, retall=0,
callback=None):
"""
Unconstrained minimization of a function using the Newton-CG method.
Parameters
----------
f : callable ``f(x, *args)``
Objective function to be minimized.
x0 : ndarray
Initial guess.
fprime : callable ``f'(x, *args)``
Gradient of f.
fhess_p : callable ``fhess_p(x, p, *args)``, optional
Function which computes the Hessian of f times an
arbitrary vector, p.
fhess : callable ``fhess(x, *args)``, optional
Function to compute the Hessian matrix of f.
args : tuple, optional
Extra arguments passed to f, fprime, fhess_p, and fhess
(the same set of extra arguments is supplied to all of
these functions).
epsilon : float or ndarray, optional
If fhess is approximated, use this value for the step size.
callback : callable, optional
An optional user-supplied function which is called after
each iteration. Called as callback(xk), where xk is the
current parameter vector.
avextol : float, optional
Convergence is assumed when the average relative error in
the minimizer falls below this amount.
maxiter : int, optional
Maximum number of iterations to perform.
full_output : bool, optional
If True, return the optional outputs.
disp : bool, optional
If True, print convergence message.
retall : bool, optional
If True, return a list of results at each iteration.
Returns
-------
xopt : ndarray
Parameters which minimize f, i.e., ``f(xopt) == fopt``.
fopt : float
Value of the function at xopt, i.e., ``fopt = f(xopt)``.
fcalls : int
Number of function calls made.
gcalls : int
Number of gradient calls made.
hcalls : int
Number of Hessian calls made.
warnflag : int
Warnings generated by the algorithm.
1 : Maximum number of iterations exceeded.
2 : Line search failure (precision loss).
3 : NaN result encountered.
allvecs : list
The result at each iteration, if retall is True (see below).
See also
--------
minimize: Interface to minimization algorithms for multivariate
functions. See the 'Newton-CG' `method` in particular.
Notes
-----
Only one of `fhess_p` or `fhess` need to be given. If `fhess`
is provided, then `fhess_p` will be ignored. If neither `fhess`
nor `fhess_p` is provided, then the hessian product will be
approximated using finite differences on `fprime`. `fhess_p`
must compute the hessian times an arbitrary vector. If it is not
given, finite-differences on `fprime` are used to compute
it.
Newton-CG methods are also called truncated Newton methods. This
function differs from scipy.optimize.fmin_tnc because
1. scipy.optimize.fmin_ncg is written purely in Python using NumPy
and scipy while scipy.optimize.fmin_tnc calls a C function.
2. scipy.optimize.fmin_ncg is only for unconstrained minimization
while scipy.optimize.fmin_tnc is for unconstrained minimization
or box constrained minimization. (Box constraints give
lower and upper bounds for each variable separately.)
References
----------
Wright & Nocedal, 'Numerical Optimization', 1999, p. 140.
"""
opts = {'xtol': avextol,
'eps': epsilon,
'maxiter': maxiter,
'disp': disp,
'return_all': retall}
res = _minimize_newtoncg(f, x0, args, fprime, fhess, fhess_p,
callback=callback, **opts)
if full_output:
retlist = (res['x'], res['fun'], res['nfev'], res['njev'],
res['nhev'], res['status'])
if retall:
retlist += (res['allvecs'], )
return retlist
else:
if retall:
return res['x'], res['allvecs']
else:
return res['x']
def _minimize_newtoncg(fun, x0, args=(), jac=None, hess=None, hessp=None,
callback=None, xtol=1e-5, eps=_epsilon, maxiter=None,
disp=False, return_all=False,
**unknown_options):
"""
Minimization of scalar function of one or more variables using the
Newton-CG algorithm.
Note that the `jac` parameter (Jacobian) is required.
Options
-------
disp : bool
Set to True to print convergence messages.
xtol : float
Average relative error in solution `xopt` acceptable for
convergence.
maxiter : int
Maximum number of iterations to perform.
eps : float or ndarray
If `hessp` is approximated, use this value for the step size.
return_all : bool, optional
Set to True to return a list of the best solution at each of the
iterations.
"""
_check_unknown_options(unknown_options)
if jac is None:
raise ValueError('Jacobian is required for Newton-CG method')
fhess_p = hessp
fhess = hess
avextol = xtol
epsilon = eps
retall = return_all
x0 = asarray(x0).flatten()
# TODO: allow hess to be approximated by FD?
# TODO: add hessp (callable or FD) to ScalarFunction?
sf = _prepare_scalar_function(fun, x0, jac, args=args, epsilon=eps, hess=fhess)
f = sf.fun
fprime = sf.grad
def terminate(warnflag, msg):
if disp:
print(msg)
print(" Current function value: %f" % old_fval)
print(" Iterations: %d" % k)
print(" Function evaluations: %d" % sf.nfev)
print(" Gradient evaluations: %d" % sf.ngev)
print(" Hessian evaluations: %d" % hcalls)
fval = old_fval
result = OptimizeResult(fun=fval, jac=gfk, nfev=sf.nfev,
njev=sf.ngev, nhev=hcalls, status=warnflag,
success=(warnflag == 0), message=msg, x=xk,
nit=k)
if retall:
result['allvecs'] = allvecs
return result
hcalls = 0
if maxiter is None:
maxiter = len(x0)*200
cg_maxiter = 20*len(x0)
xtol = len(x0) * avextol
update = [2 * xtol]
xk = x0
if retall:
allvecs = [xk]
k = 0
gfk = None
old_fval = f(x0)
old_old_fval = None
float64eps = np.finfo(np.float64).eps
while np.add.reduce(np.abs(update)) > xtol:
if k >= maxiter:
msg = "Warning: " + _status_message['maxiter']
return terminate(1, msg)
# Compute a search direction pk by applying the CG method to
# del2 f(xk) p = - grad f(xk) starting from 0.
b = -fprime(xk)
maggrad = np.add.reduce(np.abs(b))
eta = np.min([0.5, np.sqrt(maggrad)])
termcond = eta * maggrad
xsupi = zeros(len(x0), dtype=x0.dtype)
ri = -b
psupi = -ri
i = 0
dri0 = np.dot(ri, ri)
if fhess is not None: # you want to compute hessian once.
A = sf.hess(xk)
hcalls = hcalls + 1
for k2 in range(cg_maxiter):
if np.add.reduce(np.abs(ri)) <= termcond:
break
if fhess is None:
if fhess_p is None:
Ap = approx_fhess_p(xk, psupi, fprime, epsilon)
else:
Ap = fhess_p(xk, psupi, *args)
hcalls = hcalls + 1
else:
Ap = np.dot(A, psupi)
# check curvature
Ap = asarray(Ap).squeeze() # get rid of matrices...
curv = np.dot(psupi, Ap)
if 0 <= curv <= 3 * float64eps:
break
elif curv < 0:
if (i > 0):
break
else:
# fall back to steepest descent direction
xsupi = dri0 / (-curv) * b
break
alphai = dri0 / curv
xsupi = xsupi + alphai * psupi
ri = ri + alphai * Ap
dri1 = np.dot(ri, ri)
betai = dri1 / dri0
psupi = -ri + betai * psupi
i = i + 1
dri0 = dri1 # update np.dot(ri,ri) for next time.
else:
# curvature keeps increasing, bail out
msg = ("Warning: CG iterations didn't converge. The Hessian is not "
"positive definite.")
return terminate(3, msg)
pk = xsupi # search direction is solution to system.
gfk = -b # gradient at xk
try:
alphak, fc, gc, old_fval, old_old_fval, gfkp1 = \
_line_search_wolfe12(f, fprime, xk, pk, gfk,
old_fval, old_old_fval)
except _LineSearchError:
# Line search failed to find a better solution.
msg = "Warning: " + _status_message['pr_loss']
return terminate(2, msg)
update = alphak * pk
xk = xk + update # upcast if necessary
if callback is not None:
callback(xk)
if retall:
allvecs.append(xk)
k += 1
else:
if np.isnan(old_fval) or np.isnan(update).any():
return terminate(3, _status_message['nan'])
msg = _status_message['success']
return terminate(0, msg)
def fminbound(func, x1, x2, args=(), xtol=1e-5, maxfun=500,
full_output=0, disp=1):
"""Bounded minimization for scalar functions.
Parameters
----------
func : callable f(x,*args)
Objective function to be minimized (must accept and return scalars).
x1, x2 : float or array scalar
The optimization bounds.
args : tuple, optional
Extra arguments passed to function.
xtol : float, optional
The convergence tolerance.
maxfun : int, optional
Maximum number of function evaluations allowed.
full_output : bool, optional
If True, return optional outputs.
disp : int, optional
If non-zero, print messages.
0 : no message printing.
1 : non-convergence notification messages only.
2 : print a message on convergence too.
3 : print iteration results.
Returns
-------
xopt : ndarray
Parameters (over given interval) which minimize the
objective function.
fval : number
The function value at the minimum point.
ierr : int
An error flag (0 if converged, 1 if maximum number of
function calls reached).
numfunc : int
The number of function calls made.
See also
--------
minimize_scalar: Interface to minimization algorithms for scalar
univariate functions. See the 'Bounded' `method` in particular.
Notes
-----
Finds a local minimizer of the scalar function `func` in the
interval x1 < xopt < x2 using Brent's method. (See `brent`
for auto-bracketing.)
Examples
--------
`fminbound` finds the minimum of the function in the given range.
The following examples illustrate the same
>>> def f(x):
... return x**2
>>> from scipy import optimize
>>> minimum = optimize.fminbound(f, -1, 2)
>>> minimum
0.0
>>> minimum = optimize.fminbound(f, 1, 2)
>>> minimum
1.0000059608609866
"""
options = {'xatol': xtol,
'maxiter': maxfun,
'disp': disp}
res = _minimize_scalar_bounded(func, (x1, x2), args, **options)
if full_output:
return res['x'], res['fun'], res['status'], res['nfev']
else:
return res['x']
def _minimize_scalar_bounded(func, bounds, args=(),
xatol=1e-5, maxiter=500, disp=0,
**unknown_options):
"""
Options
-------
maxiter : int
Maximum number of iterations to perform.
disp: int, optional
If non-zero, print messages.
0 : no message printing.
1 : non-convergence notification messages only.
2 : print a message on convergence too.
3 : print iteration results.
xatol : float
Absolute error in solution `xopt` acceptable for convergence.
"""
_check_unknown_options(unknown_options)
maxfun = maxiter
# Test bounds are of correct form
if len(bounds) != 2:
raise ValueError('bounds must have two elements.')
x1, x2 = bounds
if not (is_array_scalar(x1) and is_array_scalar(x2)):
raise ValueError("Optimization bounds must be scalars"
" or array scalars.")
if x1 > x2:
raise ValueError("The lower bound exceeds the upper bound.")
flag = 0
header = ' Func-count x f(x) Procedure'
step = ' initial'
sqrt_eps = sqrt(2.2e-16)
golden_mean = 0.5 * (3.0 - sqrt(5.0))
a, b = x1, x2
fulc = a + golden_mean * (b - a)
nfc, xf = fulc, fulc
rat = e = 0.0
x = xf
fx = func(x, *args)
num = 1
fmin_data = (1, xf, fx)
fu = np.inf
ffulc = fnfc = fx
xm = 0.5 * (a + b)
tol1 = sqrt_eps * np.abs(xf) + xatol / 3.0
tol2 = 2.0 * tol1
if disp > 2:
print(" ")
print(header)
print("%5.0f %12.6g %12.6g %s" % (fmin_data + (step,)))
while (np.abs(xf - xm) > (tol2 - 0.5 * (b - a))):
golden = 1
# Check for parabolic fit
if np.abs(e) > tol1:
golden = 0
r = (xf - nfc) * (fx - ffulc)
q = (xf - fulc) * (fx - fnfc)
p = (xf - fulc) * q - (xf - nfc) * r
q = 2.0 * (q - r)
if q > 0.0:
p = -p
q = np.abs(q)
r = e
e = rat
# Check for acceptability of parabola
if ((np.abs(p) < np.abs(0.5*q*r)) and (p > q*(a - xf)) and
(p < q * (b - xf))):
rat = (p + 0.0) / q
x = xf + rat
step = ' parabolic'
if ((x - a) < tol2) or ((b - x) < tol2):
si = np.sign(xm - xf) + ((xm - xf) == 0)
rat = tol1 * si
else: # do a golden-section step
golden = 1
if golden: # do a golden-section step
if xf >= xm:
e = a - xf
else:
e = b - xf
rat = golden_mean*e
step = ' golden'
si = np.sign(rat) + (rat == 0)
x = xf + si * np.max([np.abs(rat), tol1])
fu = func(x, *args)
num += 1
fmin_data = (num, x, fu)
if disp > 2:
print("%5.0f %12.6g %12.6g %s" % (fmin_data + (step,)))
if fu <= fx:
if x >= xf:
a = xf
else:
b = xf
fulc, ffulc = nfc, fnfc
nfc, fnfc = xf, fx
xf, fx = x, fu
else:
if x < xf:
a = x
else:
b = x
if (fu <= fnfc) or (nfc == xf):
fulc, ffulc = nfc, fnfc
nfc, fnfc = x, fu
elif (fu <= ffulc) or (fulc == xf) or (fulc == nfc):
fulc, ffulc = x, fu
xm = 0.5 * (a + b)
tol1 = sqrt_eps * np.abs(xf) + xatol / 3.0
tol2 = 2.0 * tol1
if num >= maxfun:
flag = 1
break
if np.isnan(xf) or np.isnan(fx) or np.isnan(fu):
flag = 2
fval = fx
if disp > 0:
_endprint(x, flag, fval, maxfun, xatol, disp)
result = OptimizeResult(fun=fval, status=flag, success=(flag == 0),
message={0: 'Solution found.',
1: 'Maximum number of function calls '
'reached.',
2: _status_message['nan']}.get(flag, ''),
x=xf, nfev=num)
return result
class Brent:
#need to rethink design of __init__
def __init__(self, func, args=(), tol=1.48e-8, maxiter=500,
full_output=0):
self.func = func
self.args = args
self.tol = tol
self.maxiter = maxiter
self._mintol = 1.0e-11
self._cg = 0.3819660
self.xmin = None
self.fval = None
self.iter = 0
self.funcalls = 0
# need to rethink design of set_bracket (new options, etc.)
def set_bracket(self, brack=None):
self.brack = brack
def get_bracket_info(self):
#set up
func = self.func
args = self.args
brack = self.brack
### BEGIN core bracket_info code ###
### carefully DOCUMENT any CHANGES in core ##
if brack is None:
xa, xb, xc, fa, fb, fc, funcalls = bracket(func, args=args)
elif len(brack) == 2:
xa, xb, xc, fa, fb, fc, funcalls = bracket(func, xa=brack[0],
xb=brack[1], args=args)
elif len(brack) == 3:
xa, xb, xc = brack
if (xa > xc): # swap so xa < xc can be assumed
xc, xa = xa, xc
if not ((xa < xb) and (xb < xc)):
raise ValueError("Not a bracketing interval.")
fa = func(*((xa,) + args))
fb = func(*((xb,) + args))
fc = func(*((xc,) + args))
if not ((fb < fa) and (fb < fc)):
raise ValueError("Not a bracketing interval.")
funcalls = 3
else:
raise ValueError("Bracketing interval must be "
"length 2 or 3 sequence.")
### END core bracket_info code ###
return xa, xb, xc, fa, fb, fc, funcalls
def optimize(self):
# set up for optimization
func = self.func
xa, xb, xc, fa, fb, fc, funcalls = self.get_bracket_info()
_mintol = self._mintol
_cg = self._cg
#################################
#BEGIN CORE ALGORITHM
#################################
x = w = v = xb
fw = fv = fx = func(*((x,) + self.args))
if (xa < xc):
a = xa
b = xc
else:
a = xc
b = xa
deltax = 0.0
funcalls += 1
iter = 0
while (iter < self.maxiter):
tol1 = self.tol * np.abs(x) + _mintol
tol2 = 2.0 * tol1
xmid = 0.5 * (a + b)
# check for convergence
if np.abs(x - xmid) < (tol2 - 0.5 * (b - a)):
break
# XXX In the first iteration, rat is only bound in the true case
# of this conditional. This used to cause an UnboundLocalError
# (gh-4140). It should be set before the if (but to what?).
if (np.abs(deltax) <= tol1):
if (x >= xmid):
deltax = a - x # do a golden section step
else:
deltax = b - x
rat = _cg * deltax
else: # do a parabolic step
tmp1 = (x - w) * (fx - fv)
tmp2 = (x - v) * (fx - fw)
p = (x - v) * tmp2 - (x - w) * tmp1
tmp2 = 2.0 * (tmp2 - tmp1)
if (tmp2 > 0.0):
p = -p
tmp2 = np.abs(tmp2)
dx_temp = deltax
deltax = rat
# check parabolic fit
if ((p > tmp2 * (a - x)) and (p < tmp2 * (b - x)) and
(np.abs(p) < np.abs(0.5 * tmp2 * dx_temp))):
rat = p * 1.0 / tmp2 # if parabolic step is useful.
u = x + rat
if ((u - a) < tol2 or (b - u) < tol2):
if xmid - x >= 0:
rat = tol1
else:
rat = -tol1
else:
if (x >= xmid):
deltax = a - x # if it's not do a golden section step
else:
deltax = b - x
rat = _cg * deltax
if (np.abs(rat) < tol1): # update by at least tol1
if rat >= 0:
u = x + tol1
else:
u = x - tol1
else:
u = x + rat
fu = func(*((u,) + self.args)) # calculate new output value
funcalls += 1
if (fu > fx): # if it's bigger than current
if (u < x):
a = u
else:
b = u
if (fu <= fw) or (w == x):
v = w
w = u
fv = fw
fw = fu
elif (fu <= fv) or (v == x) or (v == w):
v = u
fv = fu
else:
if (u >= x):
a = x
else:
b = x
v = w
w = x
x = u
fv = fw
fw = fx
fx = fu
iter += 1
#################################
#END CORE ALGORITHM
#################################
self.xmin = x
self.fval = fx
self.iter = iter
self.funcalls = funcalls
def get_result(self, full_output=False):
if full_output:
return self.xmin, self.fval, self.iter, self.funcalls
else:
return self.xmin
def brent(func, args=(), brack=None, tol=1.48e-8, full_output=0, maxiter=500):
"""
Given a function of one variable and a possible bracket, return
the local minimum of the function isolated to a fractional precision
of tol.
Parameters
----------
func : callable f(x,*args)
Objective function.
args : tuple, optional
Additional arguments (if present).
brack : tuple, optional
Either a triple (xa,xb,xc) where xa<xb<xc and func(xb) <
func(xa), func(xc) or a pair (xa,xb) which are used as a
starting interval for a downhill bracket search (see
`bracket`). Providing the pair (xa,xb) does not always mean
the obtained solution will satisfy xa<=x<=xb.
tol : float, optional
Stop if between iteration change is less than `tol`.
full_output : bool, optional
If True, return all output args (xmin, fval, iter,
funcalls).
maxiter : int, optional
Maximum number of iterations in solution.
Returns
-------
xmin : ndarray
Optimum point.
fval : float
Optimum value.
iter : int
Number of iterations.
funcalls : int
Number of objective function evaluations made.
See also
--------
minimize_scalar: Interface to minimization algorithms for scalar
univariate functions. See the 'Brent' `method` in particular.
Notes
-----
Uses inverse parabolic interpolation when possible to speed up
convergence of golden section method.
Does not ensure that the minimum lies in the range specified by
`brack`. See `fminbound`.
Examples
--------
We illustrate the behaviour of the function when `brack` is of
size 2 and 3 respectively. In the case where `brack` is of the
form (xa,xb), we can see for the given values, the output need
not necessarily lie in the range (xa,xb).
>>> def f(x):
... return x**2
>>> from scipy import optimize
>>> minimum = optimize.brent(f,brack=(1,2))
>>> minimum
0.0
>>> minimum = optimize.brent(f,brack=(-1,0.5,2))
>>> minimum
-2.7755575615628914e-17
"""
options = {'xtol': tol,
'maxiter': maxiter}
res = _minimize_scalar_brent(func, brack, args, **options)
if full_output:
return res['x'], res['fun'], res['nit'], res['nfev']
else:
return res['x']
def _minimize_scalar_brent(func, brack=None, args=(),
xtol=1.48e-8, maxiter=500,
**unknown_options):
"""
Options
-------
maxiter : int
Maximum number of iterations to perform.
xtol : float
Relative error in solution `xopt` acceptable for convergence.
Notes
-----
Uses inverse parabolic interpolation when possible to speed up
convergence of golden section method.
"""
_check_unknown_options(unknown_options)
tol = xtol
if tol < 0:
raise ValueError('tolerance should be >= 0, got %r' % tol)
brent = Brent(func=func, args=args, tol=tol,
full_output=True, maxiter=maxiter)
brent.set_bracket(brack)
brent.optimize()
x, fval, nit, nfev = brent.get_result(full_output=True)
success = nit < maxiter and not (np.isnan(x) or np.isnan(fval))
return OptimizeResult(fun=fval, x=x, nit=nit, nfev=nfev,
success=success)
def golden(func, args=(), brack=None, tol=_epsilon,
full_output=0, maxiter=5000):
"""
Return the minimum of a function of one variable using golden section
method.
Given a function of one variable and a possible bracketing interval,
return the minimum of the function isolated to a fractional precision of
tol.
Parameters
----------
func : callable func(x,*args)
Objective function to minimize.
args : tuple, optional
Additional arguments (if present), passed to func.
brack : tuple, optional
Triple (a,b,c), where (a<b<c) and func(b) <
func(a),func(c). If bracket consists of two numbers (a,
c), then they are assumed to be a starting interval for a
downhill bracket search (see `bracket`); it doesn't always
mean that obtained solution will satisfy a<=x<=c.
tol : float, optional
x tolerance stop criterion
full_output : bool, optional
If True, return optional outputs.
maxiter : int
Maximum number of iterations to perform.
See also
--------
minimize_scalar: Interface to minimization algorithms for scalar
univariate functions. See the 'Golden' `method` in particular.
Notes
-----
Uses analog of bisection method to decrease the bracketed
interval.
Examples
--------
We illustrate the behaviour of the function when `brack` is of
size 2 and 3, respectively. In the case where `brack` is of the
form (xa,xb), we can see for the given values, the output need
not necessarily lie in the range ``(xa, xb)``.
>>> def f(x):
... return x**2
>>> from scipy import optimize
>>> minimum = optimize.golden(f, brack=(1, 2))
>>> minimum
1.5717277788484873e-162
>>> minimum = optimize.golden(f, brack=(-1, 0.5, 2))
>>> minimum
-1.5717277788484873e-162
"""
options = {'xtol': tol, 'maxiter': maxiter}
res = _minimize_scalar_golden(func, brack, args, **options)
if full_output:
return res['x'], res['fun'], res['nfev']
else:
return res['x']
def _minimize_scalar_golden(func, brack=None, args=(),
xtol=_epsilon, maxiter=5000, **unknown_options):
"""
Options
-------
maxiter : int
Maximum number of iterations to perform.
xtol : float
Relative error in solution `xopt` acceptable for convergence.
"""
_check_unknown_options(unknown_options)
tol = xtol
if brack is None:
xa, xb, xc, fa, fb, fc, funcalls = bracket(func, args=args)
elif len(brack) == 2:
xa, xb, xc, fa, fb, fc, funcalls = bracket(func, xa=brack[0],
xb=brack[1], args=args)
elif len(brack) == 3:
xa, xb, xc = brack
if (xa > xc): # swap so xa < xc can be assumed
xc, xa = xa, xc
if not ((xa < xb) and (xb < xc)):
raise ValueError("Not a bracketing interval.")
fa = func(*((xa,) + args))
fb = func(*((xb,) + args))
fc = func(*((xc,) + args))
if not ((fb < fa) and (fb < fc)):
raise ValueError("Not a bracketing interval.")
funcalls = 3
else:
raise ValueError("Bracketing interval must be length 2 or 3 sequence.")
_gR = 0.61803399 # golden ratio conjugate: 2.0/(1.0+sqrt(5.0))
_gC = 1.0 - _gR
x3 = xc
x0 = xa
if (np.abs(xc - xb) > np.abs(xb - xa)):
x1 = xb
x2 = xb + _gC * (xc - xb)
else:
x2 = xb
x1 = xb - _gC * (xb - xa)
f1 = func(*((x1,) + args))
f2 = func(*((x2,) + args))
funcalls += 2
nit = 0
for i in range(maxiter):
if np.abs(x3 - x0) <= tol * (np.abs(x1) + np.abs(x2)):
break
if (f2 < f1):
x0 = x1
x1 = x2
x2 = _gR * x1 + _gC * x3
f1 = f2
f2 = func(*((x2,) + args))
else:
x3 = x2
x2 = x1
x1 = _gR * x2 + _gC * x0
f2 = f1
f1 = func(*((x1,) + args))
funcalls += 1
nit += 1
if (f1 < f2):
xmin = x1
fval = f1
else:
xmin = x2
fval = f2
success = nit < maxiter and not (np.isnan(fval) or np.isnan(xmin))
return OptimizeResult(fun=fval, nfev=funcalls, x=xmin, nit=nit,
success=success)
def bracket(func, xa=0.0, xb=1.0, args=(), grow_limit=110.0, maxiter=1000):
"""
Bracket the minimum of the function.
Given a function and distinct initial points, search in the
downhill direction (as defined by the initial points) and return
new points xa, xb, xc that bracket the minimum of the function
f(xa) > f(xb) < f(xc). It doesn't always mean that obtained
solution will satisfy xa<=x<=xb.
Parameters
----------
func : callable f(x,*args)
Objective function to minimize.
xa, xb : float, optional
Bracketing interval. Defaults `xa` to 0.0, and `xb` to 1.0.
args : tuple, optional
Additional arguments (if present), passed to `func`.
grow_limit : float, optional
Maximum grow limit. Defaults to 110.0
maxiter : int, optional
Maximum number of iterations to perform. Defaults to 1000.
Returns
-------
xa, xb, xc : float
Bracket.
fa, fb, fc : float
Objective function values in bracket.
funcalls : int
Number of function evaluations made.
Examples
--------
This function can find a downward convex region of a function:
>>> import matplotlib.pyplot as plt
>>> from scipy.optimize import bracket
>>> def f(x):
... return 10*x**2 + 3*x + 5
>>> x = np.linspace(-2, 2)
>>> y = f(x)
>>> init_xa, init_xb = 0, 1
>>> xa, xb, xc, fa, fb, fc, funcalls = bracket(f, xa=init_xa, xb=init_xb)
>>> plt.axvline(x=init_xa, color="k", linestyle="--")
>>> plt.axvline(x=init_xb, color="k", linestyle="--")
>>> plt.plot(x, y, "-k")
>>> plt.plot(xa, fa, "bx")
>>> plt.plot(xb, fb, "rx")
>>> plt.plot(xc, fc, "bx")
>>> plt.show()
"""
_gold = 1.618034 # golden ratio: (1.0+sqrt(5.0))/2.0
_verysmall_num = 1e-21
fa = func(*(xa,) + args)
fb = func(*(xb,) + args)
if (fa < fb): # Switch so fa > fb
xa, xb = xb, xa
fa, fb = fb, fa
xc = xb + _gold * (xb - xa)
fc = func(*((xc,) + args))
funcalls = 3
iter = 0
while (fc < fb):
tmp1 = (xb - xa) * (fb - fc)
tmp2 = (xb - xc) * (fb - fa)
val = tmp2 - tmp1
if np.abs(val) < _verysmall_num:
denom = 2.0 * _verysmall_num
else:
denom = 2.0 * val
w = xb - ((xb - xc) * tmp2 - (xb - xa) * tmp1) / denom
wlim = xb + grow_limit * (xc - xb)
if iter > maxiter:
raise RuntimeError("Too many iterations.")
iter += 1
if (w - xc) * (xb - w) > 0.0:
fw = func(*((w,) + args))
funcalls += 1
if (fw < fc):
xa = xb
xb = w
fa = fb
fb = fw
return xa, xb, xc, fa, fb, fc, funcalls
elif (fw > fb):
xc = w
fc = fw
return xa, xb, xc, fa, fb, fc, funcalls
w = xc + _gold * (xc - xb)
fw = func(*((w,) + args))
funcalls += 1
elif (w - wlim)*(wlim - xc) >= 0.0:
w = wlim
fw = func(*((w,) + args))
funcalls += 1
elif (w - wlim)*(xc - w) > 0.0:
fw = func(*((w,) + args))
funcalls += 1
if (fw < fc):
xb = xc
xc = w
w = xc + _gold * (xc - xb)
fb = fc
fc = fw
fw = func(*((w,) + args))
funcalls += 1
else:
w = xc + _gold * (xc - xb)
fw = func(*((w,) + args))
funcalls += 1
xa = xb
xb = xc
xc = w
fa = fb
fb = fc
fc = fw
return xa, xb, xc, fa, fb, fc, funcalls
def _line_for_search(x0, alpha, lower_bound, upper_bound):
"""
Given a parameter vector ``x0`` with length ``n`` and a direction
vector ``alpha`` with length ``n``, and lower and upper bounds on
each of the ``n`` parameters, what are the bounds on a scalar
``l`` such that ``lower_bound <= x0 + alpha * l <= upper_bound``.
Parameters
----------
x0 : np.array.
The vector representing the current location.
Note ``np.shape(x0) == (n,)``.
alpha : np.array.
The vector representing the direction.
Note ``np.shape(alpha) == (n,)``.
lower_bound : np.array.
The lower bounds for each parameter in ``x0``. If the ``i``th
parameter in ``x0`` is unbounded below, then ``lower_bound[i]``
should be ``-np.inf``.
Note ``np.shape(lower_bound) == (n,)``.
upper_bound : np.array.
The upper bounds for each parameter in ``x0``. If the ``i``th
parameter in ``x0`` is unbounded above, then ``upper_bound[i]``
should be ``np.inf``.
Note ``np.shape(upper_bound) == (n,)``.
Returns
-------
res : tuple ``(lmin, lmax)``
The bounds for ``l`` such that
``lower_bound[i] <= x0[i] + alpha[i] * l <= upper_bound[i]``
for all ``i``.
"""
# get nonzero indices of alpha so we don't get any zero division errors.
# alpha will not be all zero, since it is called from _linesearch_powell
# where we have a check for this.
nonzero, = alpha.nonzero()
lower_bound, upper_bound = lower_bound[nonzero], upper_bound[nonzero]
x0, alpha = x0[nonzero], alpha[nonzero]
low = (lower_bound - x0) / alpha
high = (upper_bound - x0) / alpha
# positive and negative indices
pos = alpha > 0
lmin_pos = np.where(pos, low, 0)
lmin_neg = np.where(pos, 0, high)
lmax_pos = np.where(pos, high, 0)
lmax_neg = np.where(pos, 0, low)
lmin = np.max(lmin_pos + lmin_neg)
lmax = np.min(lmax_pos + lmax_neg)
# if x0 is outside the bounds, then it is possible that there is
# no way to get back in the bounds for the parameters being updated
# with the current direction alpha.
# when this happens, lmax < lmin.
# If this is the case, then we can just return (0, 0)
return (lmin, lmax) if lmax >= lmin else (0, 0)
def _linesearch_powell(func, p, xi, tol=1e-3,
lower_bound=None, upper_bound=None, fval=None):
"""Line-search algorithm using fminbound.
Find the minimium of the function ``func(x0 + alpha*direc)``.
lower_bound : np.array.
The lower bounds for each parameter in ``x0``. If the ``i``th
parameter in ``x0`` is unbounded below, then ``lower_bound[i]``
should be ``-np.inf``.
Note ``np.shape(lower_bound) == (n,)``.
upper_bound : np.array.
The upper bounds for each parameter in ``x0``. If the ``i``th
parameter in ``x0`` is unbounded above, then ``upper_bound[i]``
should be ``np.inf``.
Note ``np.shape(upper_bound) == (n,)``.
fval : number.
``fval`` is equal to ``func(p)``, the idea is just to avoid
recomputing it so we can limit the ``fevals``.
"""
def myfunc(alpha):
return func(p + alpha*xi)
# if xi is zero, then don't optimize
if not np.any(xi):
return ((fval, p, xi) if fval is not None else (func(p), p, xi))
elif lower_bound is None and upper_bound is None:
# non-bounded minimization
alpha_min, fret, _, _ = brent(myfunc, full_output=1, tol=tol)
xi = alpha_min * xi
return squeeze(fret), p + xi, xi
else:
bound = _line_for_search(p, xi, lower_bound, upper_bound)
if np.isneginf(bound[0]) and np.isposinf(bound[1]):
# equivalent to unbounded
return _linesearch_powell(func, p, xi, fval=fval, tol=tol)
elif not np.isneginf(bound[0]) and not np.isposinf(bound[1]):
# we can use a bounded scalar minimization
res = _minimize_scalar_bounded(myfunc, bound, xatol=tol / 100)
xi = res.x * xi
return squeeze(res.fun), p + xi, xi
else:
# only bounded on one side. use the tangent function to convert
# the infinity bound to a finite bound. The new bounded region
# is a subregion of the region bounded by -np.pi/2 and np.pi/2.
bound = np.arctan(bound[0]), np.arctan(bound[1])
res = _minimize_scalar_bounded(
lambda x: myfunc(np.tan(x)),
bound,
xatol=tol / 100)
xi = np.tan(res.x) * xi
return squeeze(res.fun), p + xi, xi
def fmin_powell(func, x0, args=(), xtol=1e-4, ftol=1e-4, maxiter=None,
maxfun=None, full_output=0, disp=1, retall=0, callback=None,
direc=None):
"""
Minimize a function using modified Powell's method.
This method only uses function values, not derivatives.
Parameters
----------
func : callable f(x,*args)
Objective function to be minimized.
x0 : ndarray
Initial guess.
args : tuple, optional
Extra arguments passed to func.
xtol : float, optional
Line-search error tolerance.
ftol : float, optional
Relative error in ``func(xopt)`` acceptable for convergence.
maxiter : int, optional
Maximum number of iterations to perform.
maxfun : int, optional
Maximum number of function evaluations to make.
full_output : bool, optional
If True, ``fopt``, ``xi``, ``direc``, ``iter``, ``funcalls``, and
``warnflag`` are returned.
disp : bool, optional
If True, print convergence messages.
retall : bool, optional
If True, return a list of the solution at each iteration.
callback : callable, optional
An optional user-supplied function, called after each
iteration. Called as ``callback(xk)``, where ``xk`` is the
current parameter vector.
direc : ndarray, optional
Initial fitting step and parameter order set as an (N, N) array, where N
is the number of fitting parameters in `x0`. Defaults to step size 1.0
fitting all parameters simultaneously (``np.ones((N, N))``). To
prevent initial consideration of values in a step or to change initial
step size, set to 0 or desired step size in the Jth position in the Mth
block, where J is the position in `x0` and M is the desired evaluation
step, with steps being evaluated in index order. Step size and ordering
will change freely as minimization proceeds.
Returns
-------
xopt : ndarray
Parameter which minimizes `func`.
fopt : number
Value of function at minimum: ``fopt = func(xopt)``.
direc : ndarray
Current direction set.
iter : int
Number of iterations.
funcalls : int
Number of function calls made.
warnflag : int
Integer warning flag:
1 : Maximum number of function evaluations.
2 : Maximum number of iterations.
3 : NaN result encountered.
4 : The result is out of the provided bounds.
allvecs : list
List of solutions at each iteration.
See also
--------
minimize: Interface to unconstrained minimization algorithms for
multivariate functions. See the 'Powell' method in particular.
Notes
-----
Uses a modification of Powell's method to find the minimum of
a function of N variables. Powell's method is a conjugate
direction method.
The algorithm has two loops. The outer loop merely iterates over the inner
loop. The inner loop minimizes over each current direction in the direction
set. At the end of the inner loop, if certain conditions are met, the
direction that gave the largest decrease is dropped and replaced with the
difference between the current estimated x and the estimated x from the
beginning of the inner-loop.
The technical conditions for replacing the direction of greatest
increase amount to checking that
1. No further gain can be made along the direction of greatest increase
from that iteration.
2. The direction of greatest increase accounted for a large sufficient
fraction of the decrease in the function value from that iteration of
the inner loop.
References
----------
Powell M.J.D. (1964) An efficient method for finding the minimum of a
function of several variables without calculating derivatives,
Computer Journal, 7 (2):155-162.
Press W., Teukolsky S.A., Vetterling W.T., and Flannery B.P.:
Numerical Recipes (any edition), Cambridge University Press
Examples
--------
>>> def f(x):
... return x**2
>>> from scipy import optimize
>>> minimum = optimize.fmin_powell(f, -1)
Optimization terminated successfully.
Current function value: 0.000000
Iterations: 2
Function evaluations: 18
>>> minimum
array(0.0)
"""
opts = {'xtol': xtol,
'ftol': ftol,
'maxiter': maxiter,
'maxfev': maxfun,
'disp': disp,
'direc': direc,
'return_all': retall}
res = _minimize_powell(func, x0, args, callback=callback, **opts)
if full_output:
retlist = (res['x'], res['fun'], res['direc'], res['nit'],
res['nfev'], res['status'])
if retall:
retlist += (res['allvecs'], )
return retlist
else:
if retall:
return res['x'], res['allvecs']
else:
return res['x']
def _minimize_powell(func, x0, args=(), callback=None, bounds=None,
xtol=1e-4, ftol=1e-4, maxiter=None, maxfev=None,
disp=False, direc=None, return_all=False,
**unknown_options):
"""
Minimization of scalar function of one or more variables using the
modified Powell algorithm.
Options
-------
disp : bool
Set to True to print convergence messages.
xtol : float
Relative error in solution `xopt` acceptable for convergence.
ftol : float
Relative error in ``fun(xopt)`` acceptable for convergence.
maxiter, maxfev : int
Maximum allowed number of iterations and function evaluations.
Will default to ``N*1000``, where ``N`` is the number of
variables, if neither `maxiter` or `maxfev` is set. If both
`maxiter` and `maxfev` are set, minimization will stop at the
first reached.
direc : ndarray
Initial set of direction vectors for the Powell method.
return_all : bool, optional
Set to True to return a list of the best solution at each of the
iterations.
bounds : `Bounds`
If bounds are not provided, then an unbounded line search will be used.
If bounds are provided and the initial guess is within the bounds, then
every function evaluation throughout the minimization procedure will be
within the bounds. If bounds are provided, the initial guess is outside
the bounds, and `direc` is full rank (or left to default), then some
function evaluations during the first iteration may be outside the
bounds, but every function evaluation after the first iteration will be
within the bounds. If `direc` is not full rank, then some parameters may
not be optimized and the solution is not guaranteed to be within the
bounds.
return_all : bool, optional
Set to True to return a list of the best solution at each of the
iterations.
"""
_check_unknown_options(unknown_options)
maxfun = maxfev
retall = return_all
# we need to use a mutable object here that we can update in the
# wrapper function
fcalls, func = wrap_function(func, args)
x = asarray(x0).flatten()
if retall:
allvecs = [x]
N = len(x)
# If neither are set, then set both to default
if maxiter is None and maxfun is None:
maxiter = N * 1000
maxfun = N * 1000
elif maxiter is None:
# Convert remaining Nones, to np.inf, unless the other is np.inf, in
# which case use the default to avoid unbounded iteration
if maxfun == np.inf:
maxiter = N * 1000
else:
maxiter = np.inf
elif maxfun is None:
if maxiter == np.inf:
maxfun = N * 1000
else:
maxfun = np.inf
if direc is None:
direc = eye(N, dtype=float)
else:
direc = asarray(direc, dtype=float)
if np.linalg.matrix_rank(direc) != direc.shape[0]:
warnings.warn("direc input is not full rank, some parameters may "
"not be optimized",
OptimizeWarning, 3)
if bounds is None:
# don't make these arrays of all +/- inf. because
# _linesearch_powell will do an unnecessary check of all the elements.
# just keep them None, _linesearch_powell will not have to check
# all the elements.
lower_bound, upper_bound = None, None
else:
# bounds is standardized in _minimize.py.
lower_bound, upper_bound = bounds.lb, bounds.ub
if np.any(lower_bound > x0) or np.any(x0 > upper_bound):
warnings.warn("Initial guess is not within the specified bounds",
OptimizeWarning, 3)
fval = squeeze(func(x))
x1 = x.copy()
iter = 0
ilist = list(range(N))
while True:
fx = fval
bigind = 0
delta = 0.0
for i in ilist:
direc1 = direc[i]
fx2 = fval
fval, x, direc1 = _linesearch_powell(func, x, direc1,
tol=xtol * 100,
lower_bound=lower_bound,
upper_bound=upper_bound,
fval=fval)
if (fx2 - fval) > delta:
delta = fx2 - fval
bigind = i
iter += 1
if callback is not None:
callback(x)
if retall:
allvecs.append(x)
bnd = ftol * (np.abs(fx) + np.abs(fval)) + 1e-20
if 2.0 * (fx - fval) <= bnd:
break
if fcalls[0] >= maxfun:
break
if iter >= maxiter:
break
if np.isnan(fx) and np.isnan(fval):
# Ended up in a nan-region: bail out
break
# Construct the extrapolated point
direc1 = x - x1
x2 = 2*x - x1
x1 = x.copy()
fx2 = squeeze(func(x2))
if (fx > fx2):
t = 2.0*(fx + fx2 - 2.0*fval)
temp = (fx - fval - delta)
t *= temp*temp
temp = fx - fx2
t -= delta*temp*temp
if t < 0.0:
fval, x, direc1 = _linesearch_powell(func, x, direc1,
tol=xtol * 100,
lower_bound=lower_bound,
upper_bound=upper_bound,
fval=fval)
if np.any(direc1):
direc[bigind] = direc[-1]
direc[-1] = direc1
warnflag = 0
# out of bounds is more urgent than exceeding function evals or iters,
# but I don't want to cause inconsistencies by changing the
# established warning flags for maxfev and maxiter, so the out of bounds
# warning flag becomes 3, but is checked for first.
if bounds and (np.any(lower_bound > x) or np.any(x > upper_bound)):
warnflag = 4
msg = _status_message['out_of_bounds']
elif fcalls[0] >= maxfun:
warnflag = 1
msg = _status_message['maxfev']
if disp:
print("Warning: " + msg)
elif iter >= maxiter:
warnflag = 2
msg = _status_message['maxiter']
if disp:
print("Warning: " + msg)
elif np.isnan(fval) or np.isnan(x).any():
warnflag = 3
msg = _status_message['nan']
if disp:
print("Warning: " + msg)
else:
msg = _status_message['success']
if disp:
print(msg)
print(" Current function value: %f" % fval)
print(" Iterations: %d" % iter)
print(" Function evaluations: %d" % fcalls[0])
result = OptimizeResult(fun=fval, direc=direc, nit=iter, nfev=fcalls[0],
status=warnflag, success=(warnflag == 0),
message=msg, x=x)
if retall:
result['allvecs'] = allvecs
return result
def _endprint(x, flag, fval, maxfun, xtol, disp):
if flag == 0:
if disp > 1:
print("\nOptimization terminated successfully;\n"
"The returned value satisfies the termination criteria\n"
"(using xtol = ", xtol, ")")
if flag == 1:
if disp:
print("\nMaximum number of function evaluations exceeded --- "
"increase maxfun argument.\n")
if flag == 2:
if disp:
print("\n{}".format(_status_message['nan']))
return
def brute(func, ranges, args=(), Ns=20, full_output=0, finish=fmin,
disp=False, workers=1):
"""Minimize a function over a given range by brute force.
Uses the "brute force" method, i.e., computes the function's value
at each point of a multidimensional grid of points, to find the global
minimum of the function.
The function is evaluated everywhere in the range with the datatype of the
first call to the function, as enforced by the ``vectorize`` NumPy
function. The value and type of the function evaluation returned when
``full_output=True`` are affected in addition by the ``finish`` argument
(see Notes).
The brute force approach is inefficient because the number of grid points
increases exponentially - the number of grid points to evaluate is
``Ns ** len(x)``. Consequently, even with coarse grid spacing, even
moderately sized problems can take a long time to run, and/or run into
memory limitations.
Parameters
----------
func : callable
The objective function to be minimized. Must be in the
form ``f(x, *args)``, where ``x`` is the argument in
the form of a 1-D array and ``args`` is a tuple of any
additional fixed parameters needed to completely specify
the function.
ranges : tuple
Each component of the `ranges` tuple must be either a
"slice object" or a range tuple of the form ``(low, high)``.
The program uses these to create the grid of points on which
the objective function will be computed. See `Note 2` for
more detail.
args : tuple, optional
Any additional fixed parameters needed to completely specify
the function.
Ns : int, optional
Number of grid points along the axes, if not otherwise
specified. See `Note2`.
full_output : bool, optional
If True, return the evaluation grid and the objective function's
values on it.
finish : callable, optional
An optimization function that is called with the result of brute force
minimization as initial guess. `finish` should take `func` and
the initial guess as positional arguments, and take `args` as
keyword arguments. It may additionally take `full_output`
and/or `disp` as keyword arguments. Use None if no "polishing"
function is to be used. See Notes for more details.
disp : bool, optional
Set to True to print convergence messages from the `finish` callable.
workers : int or map-like callable, optional
If `workers` is an int the grid is subdivided into `workers`
sections and evaluated in parallel (uses
`multiprocessing.Pool <multiprocessing>`).
Supply `-1` to use all cores available to the Process.
Alternatively supply a map-like callable, such as
`multiprocessing.Pool.map` for evaluating the grid in parallel.
This evaluation is carried out as ``workers(func, iterable)``.
Requires that `func` be pickleable.
.. versionadded:: 1.3.0
Returns
-------
x0 : ndarray
A 1-D array containing the coordinates of a point at which the
objective function had its minimum value. (See `Note 1` for
which point is returned.)
fval : float
Function value at the point `x0`. (Returned when `full_output` is
True.)
grid : tuple
Representation of the evaluation grid. It has the same
length as `x0`. (Returned when `full_output` is True.)
Jout : ndarray
Function values at each point of the evaluation
grid, i.e., ``Jout = func(*grid)``. (Returned
when `full_output` is True.)
See Also
--------
basinhopping, differential_evolution
Notes
-----
*Note 1*: The program finds the gridpoint at which the lowest value
of the objective function occurs. If `finish` is None, that is the
point returned. When the global minimum occurs within (or not very far
outside) the grid's boundaries, and the grid is fine enough, that
point will be in the neighborhood of the global minimum.
However, users often employ some other optimization program to
"polish" the gridpoint values, i.e., to seek a more precise
(local) minimum near `brute's` best gridpoint.
The `brute` function's `finish` option provides a convenient way to do
that. Any polishing program used must take `brute's` output as its
initial guess as a positional argument, and take `brute's` input values
for `args` as keyword arguments, otherwise an error will be raised.
It may additionally take `full_output` and/or `disp` as keyword arguments.
`brute` assumes that the `finish` function returns either an
`OptimizeResult` object or a tuple in the form:
``(xmin, Jmin, ... , statuscode)``, where ``xmin`` is the minimizing
value of the argument, ``Jmin`` is the minimum value of the objective
function, "..." may be some other returned values (which are not used
by `brute`), and ``statuscode`` is the status code of the `finish` program.
Note that when `finish` is not None, the values returned are those
of the `finish` program, *not* the gridpoint ones. Consequently,
while `brute` confines its search to the input grid points,
the `finish` program's results usually will not coincide with any
gridpoint, and may fall outside the grid's boundary. Thus, if a
minimum only needs to be found over the provided grid points, make
sure to pass in `finish=None`.
*Note 2*: The grid of points is a `numpy.mgrid` object.
For `brute` the `ranges` and `Ns` inputs have the following effect.
Each component of the `ranges` tuple can be either a slice object or a
two-tuple giving a range of values, such as (0, 5). If the component is a
slice object, `brute` uses it directly. If the component is a two-tuple
range, `brute` internally converts it to a slice object that interpolates
`Ns` points from its low-value to its high-value, inclusive.
Examples
--------
We illustrate the use of `brute` to seek the global minimum of a function
of two variables that is given as the sum of a positive-definite
quadratic and two deep "Gaussian-shaped" craters. Specifically, define
the objective function `f` as the sum of three other functions,
``f = f1 + f2 + f3``. We suppose each of these has a signature
``(z, *params)``, where ``z = (x, y)``, and ``params`` and the functions
are as defined below.
>>> params = (2, 3, 7, 8, 9, 10, 44, -1, 2, 26, 1, -2, 0.5)
>>> def f1(z, *params):
... x, y = z
... a, b, c, d, e, f, g, h, i, j, k, l, scale = params
... return (a * x**2 + b * x * y + c * y**2 + d*x + e*y + f)
>>> def f2(z, *params):
... x, y = z
... a, b, c, d, e, f, g, h, i, j, k, l, scale = params
... return (-g*np.exp(-((x-h)**2 + (y-i)**2) / scale))
>>> def f3(z, *params):
... x, y = z
... a, b, c, d, e, f, g, h, i, j, k, l, scale = params
... return (-j*np.exp(-((x-k)**2 + (y-l)**2) / scale))
>>> def f(z, *params):
... return f1(z, *params) + f2(z, *params) + f3(z, *params)
Thus, the objective function may have local minima near the minimum
of each of the three functions of which it is composed. To
use `fmin` to polish its gridpoint result, we may then continue as
follows:
>>> rranges = (slice(-4, 4, 0.25), slice(-4, 4, 0.25))
>>> from scipy import optimize
>>> resbrute = optimize.brute(f, rranges, args=params, full_output=True,
... finish=optimize.fmin)
>>> resbrute[0] # global minimum
array([-1.05665192, 1.80834843])
>>> resbrute[1] # function value at global minimum
-3.4085818767
Note that if `finish` had been set to None, we would have gotten the
gridpoint [-1.0 1.75] where the rounded function value is -2.892.
"""
N = len(ranges)
if N > 40:
raise ValueError("Brute Force not possible with more "
"than 40 variables.")
lrange = list(ranges)
for k in range(N):
if type(lrange[k]) is not type(slice(None)):
if len(lrange[k]) < 3:
lrange[k] = tuple(lrange[k]) + (complex(Ns),)
lrange[k] = slice(*lrange[k])
if (N == 1):
lrange = lrange[0]
grid = np.mgrid[lrange]
# obtain an array of parameters that is iterable by a map-like callable
inpt_shape = grid.shape
if (N > 1):
grid = np.reshape(grid, (inpt_shape[0], np.prod(inpt_shape[1:]))).T
wrapped_func = _Brute_Wrapper(func, args)
# iterate over input arrays, possibly in parallel
with MapWrapper(pool=workers) as mapper:
Jout = np.array(list(mapper(wrapped_func, grid)))
if (N == 1):
grid = (grid,)
Jout = np.squeeze(Jout)
elif (N > 1):
Jout = np.reshape(Jout, inpt_shape[1:])
grid = np.reshape(grid.T, inpt_shape)
Nshape = shape(Jout)
indx = argmin(Jout.ravel(), axis=-1)
Nindx = zeros(N, int)
xmin = zeros(N, float)
for k in range(N - 1, -1, -1):
thisN = Nshape[k]
Nindx[k] = indx % Nshape[k]
indx = indx // thisN
for k in range(N):
xmin[k] = grid[k][tuple(Nindx)]
Jmin = Jout[tuple(Nindx)]
if (N == 1):
grid = grid[0]
xmin = xmin[0]
if callable(finish):
# set up kwargs for `finish` function
finish_args = _getfullargspec(finish).args
finish_kwargs = dict()
if 'full_output' in finish_args:
finish_kwargs['full_output'] = 1
if 'disp' in finish_args:
finish_kwargs['disp'] = disp
elif 'options' in finish_args:
# pass 'disp' as `options`
# (e.g., if `finish` is `minimize`)
finish_kwargs['options'] = {'disp': disp}
# run minimizer
res = finish(func, xmin, args=args, **finish_kwargs)
if isinstance(res, OptimizeResult):
xmin = res.x
Jmin = res.fun
success = res.success
else:
xmin = res[0]
Jmin = res[1]
success = res[-1] == 0
if not success:
if disp:
print("Warning: Either final optimization did not succeed "
"or `finish` does not return `statuscode` as its last "
"argument.")
if full_output:
return xmin, Jmin, grid, Jout
else:
return xmin
class _Brute_Wrapper(object):
"""
Object to wrap user cost function for optimize.brute, allowing picklability
"""
def __init__(self, f, args):
self.f = f
self.args = [] if args is None else args
def __call__(self, x):
# flatten needed for one dimensional case.
return self.f(np.asarray(x).flatten(), *self.args)
def show_options(solver=None, method=None, disp=True):
"""
Show documentation for additional options of optimization solvers.
These are method-specific options that can be supplied through the
``options`` dict.
Parameters
----------
solver : str
Type of optimization solver. One of 'minimize', 'minimize_scalar',
'root', or 'linprog'.
method : str, optional
If not given, shows all methods of the specified solver. Otherwise,
show only the options for the specified method. Valid values
corresponds to methods' names of respective solver (e.g., 'BFGS' for
'minimize').
disp : bool, optional
Whether to print the result rather than returning it.
Returns
-------
text
Either None (for disp=True) or the text string (disp=False)
Notes
-----
The solver-specific methods are:
`scipy.optimize.minimize`
- :ref:`Nelder-Mead <optimize.minimize-neldermead>`
- :ref:`Powell <optimize.minimize-powell>`
- :ref:`CG <optimize.minimize-cg>`
- :ref:`BFGS <optimize.minimize-bfgs>`
- :ref:`Newton-CG <optimize.minimize-newtoncg>`
- :ref:`L-BFGS-B <optimize.minimize-lbfgsb>`
- :ref:`TNC <optimize.minimize-tnc>`
- :ref:`COBYLA <optimize.minimize-cobyla>`
- :ref:`SLSQP <optimize.minimize-slsqp>`
- :ref:`dogleg <optimize.minimize-dogleg>`
- :ref:`trust-ncg <optimize.minimize-trustncg>`
`scipy.optimize.root`
- :ref:`hybr <optimize.root-hybr>`
- :ref:`lm <optimize.root-lm>`
- :ref:`broyden1 <optimize.root-broyden1>`
- :ref:`broyden2 <optimize.root-broyden2>`
- :ref:`anderson <optimize.root-anderson>`
- :ref:`linearmixing <optimize.root-linearmixing>`
- :ref:`diagbroyden <optimize.root-diagbroyden>`
- :ref:`excitingmixing <optimize.root-excitingmixing>`
- :ref:`krylov <optimize.root-krylov>`
- :ref:`df-sane <optimize.root-dfsane>`
`scipy.optimize.minimize_scalar`
- :ref:`brent <optimize.minimize_scalar-brent>`
- :ref:`golden <optimize.minimize_scalar-golden>`
- :ref:`bounded <optimize.minimize_scalar-bounded>`
`scipy.optimize.linprog`
- :ref:`simplex <optimize.linprog-simplex>`
- :ref:`interior-point <optimize.linprog-interior-point>`
Examples
--------
We can print documentations of a solver in stdout:
>>> from scipy.optimize import show_options
>>> show_options(solver="minimize")
...
Specifying a method is possible:
>>> show_options(solver="minimize", method="Nelder-Mead")
...
We can also get the documentations as a string:
>>> show_options(solver="minimize", method="Nelder-Mead", disp=False)
Minimization of scalar function of one or more variables using the ...
"""
import textwrap
doc_routines = {
'minimize': (
('bfgs', 'scipy.optimize.optimize._minimize_bfgs'),
('cg', 'scipy.optimize.optimize._minimize_cg'),
('cobyla', 'scipy.optimize.cobyla._minimize_cobyla'),
('dogleg', 'scipy.optimize._trustregion_dogleg._minimize_dogleg'),
('l-bfgs-b', 'scipy.optimize.lbfgsb._minimize_lbfgsb'),
('nelder-mead', 'scipy.optimize.optimize._minimize_neldermead'),
('newton-cg', 'scipy.optimize.optimize._minimize_newtoncg'),
('powell', 'scipy.optimize.optimize._minimize_powell'),
('slsqp', 'scipy.optimize.slsqp._minimize_slsqp'),
('tnc', 'scipy.optimize.tnc._minimize_tnc'),
('trust-ncg', 'scipy.optimize._trustregion_ncg._minimize_trust_ncg'),
),
'root': (
('hybr', 'scipy.optimize.minpack._root_hybr'),
('lm', 'scipy.optimize._root._root_leastsq'),
('broyden1', 'scipy.optimize._root._root_broyden1_doc'),
('broyden2', 'scipy.optimize._root._root_broyden2_doc'),
('anderson', 'scipy.optimize._root._root_anderson_doc'),
('diagbroyden', 'scipy.optimize._root._root_diagbroyden_doc'),
('excitingmixing', 'scipy.optimize._root._root_excitingmixing_doc'),
('linearmixing', 'scipy.optimize._root._root_linearmixing_doc'),
('krylov', 'scipy.optimize._root._root_krylov_doc'),
('df-sane', 'scipy.optimize._spectral._root_df_sane'),
),
'root_scalar': (
('bisect', 'scipy.optimize._root_scalar._root_scalar_bisect_doc'),
('brentq', 'scipy.optimize._root_scalar._root_scalar_brentq_doc'),
('brenth', 'scipy.optimize._root_scalar._root_scalar_brenth_doc'),
('ridder', 'scipy.optimize._root_scalar._root_scalar_ridder_doc'),
('toms748', 'scipy.optimize._root_scalar._root_scalar_toms748_doc'),
('secant', 'scipy.optimize._root_scalar._root_scalar_secant_doc'),
('newton', 'scipy.optimize._root_scalar._root_scalar_newton_doc'),
('halley', 'scipy.optimize._root_scalar._root_scalar_halley_doc'),
),
'linprog': (
('simplex', 'scipy.optimize._linprog._linprog_simplex'),
('interior-point', 'scipy.optimize._linprog._linprog_ip'),
),
'minimize_scalar': (
('brent', 'scipy.optimize.optimize._minimize_scalar_brent'),
('bounded', 'scipy.optimize.optimize._minimize_scalar_bounded'),
('golden', 'scipy.optimize.optimize._minimize_scalar_golden'),
),
}
if solver is None:
text = ["\n\n\n========\n", "minimize\n", "========\n"]
text.append(show_options('minimize', disp=False))
text.extend(["\n\n===============\n", "minimize_scalar\n",
"===============\n"])
text.append(show_options('minimize_scalar', disp=False))
text.extend(["\n\n\n====\n", "root\n",
"====\n"])
text.append(show_options('root', disp=False))
text.extend(['\n\n\n=======\n', 'linprog\n',
'=======\n'])
text.append(show_options('linprog', disp=False))
text = "".join(text)
else:
solver = solver.lower()
if solver not in doc_routines:
raise ValueError('Unknown solver %r' % (solver,))
if method is None:
text = []
for name, _ in doc_routines[solver]:
text.extend(["\n\n" + name, "\n" + "="*len(name) + "\n\n"])
text.append(show_options(solver, name, disp=False))
text = "".join(text)
else:
method = method.lower()
methods = dict(doc_routines[solver])
if method not in methods:
raise ValueError("Unknown method %r" % (method,))
name = methods[method]
# Import function object
parts = name.split('.')
mod_name = ".".join(parts[:-1])
__import__(mod_name)
obj = getattr(sys.modules[mod_name], parts[-1])
# Get doc
doc = obj.__doc__
if doc is not None:
text = textwrap.dedent(doc).strip()
else:
text = ""
if disp:
print(text)
return
else:
return text
def main():
import time
times = []
algor = []
x0 = [0.8, 1.2, 0.7]
print("Nelder-Mead Simplex")
print("===================")
start = time.time()
x = fmin(rosen, x0)
print(x)
times.append(time.time() - start)
algor.append('Nelder-Mead Simplex\t')
print()
print("Powell Direction Set Method")
print("===========================")
start = time.time()
x = fmin_powell(rosen, x0)
print(x)
times.append(time.time() - start)
algor.append('Powell Direction Set Method.')
print()
print("Nonlinear CG")
print("============")
start = time.time()
x = fmin_cg(rosen, x0, fprime=rosen_der, maxiter=200)
print(x)
times.append(time.time() - start)
algor.append('Nonlinear CG \t')
print()
print("BFGS Quasi-Newton")
print("=================")
start = time.time()
x = fmin_bfgs(rosen, x0, fprime=rosen_der, maxiter=80)
print(x)
times.append(time.time() - start)
algor.append('BFGS Quasi-Newton\t')
print()
print("BFGS approximate gradient")
print("=========================")
start = time.time()
x = fmin_bfgs(rosen, x0, gtol=1e-4, maxiter=100)
print(x)
times.append(time.time() - start)
algor.append('BFGS without gradient\t')
print()
print("Newton-CG with Hessian product")
print("==============================")
start = time.time()
x = fmin_ncg(rosen, x0, rosen_der, fhess_p=rosen_hess_prod, maxiter=80)
print(x)
times.append(time.time() - start)
algor.append('Newton-CG with hessian product')
print()
print("Newton-CG with full Hessian")
print("===========================")
start = time.time()
x = fmin_ncg(rosen, x0, rosen_der, fhess=rosen_hess, maxiter=80)
print(x)
times.append(time.time() - start)
algor.append('Newton-CG with full Hessian')
print()
print("\nMinimizing the Rosenbrock function of order 3\n")
print(" Algorithm \t\t\t Seconds")
print("===========\t\t\t =========")
for k in range(len(algor)):
print(algor[k], "\t -- ", times[k])
if __name__ == "__main__":
main()