peacock-data-public-datasets-idc-cronscript
/
venv
/lib
/python3.10
/site-packages
/scipy
/optimize
/tests
/test_optimize.py
""" | |
Unit tests for optimization routines from optimize.py | |
Authors: | |
Ed Schofield, Nov 2005 | |
Andrew Straw, April 2008 | |
To run it in its simplest form:: | |
nosetests test_optimize.py | |
""" | |
import itertools | |
import platform | |
import numpy as np | |
from numpy.testing import (assert_allclose, assert_equal, | |
assert_almost_equal, | |
assert_no_warnings, assert_warns, | |
assert_array_less, suppress_warnings) | |
import pytest | |
from pytest import raises as assert_raises | |
from scipy import optimize | |
from scipy.optimize._minimize import Bounds, NonlinearConstraint | |
from scipy.optimize._minimize import (MINIMIZE_METHODS, | |
MINIMIZE_METHODS_NEW_CB, | |
MINIMIZE_SCALAR_METHODS) | |
from scipy.optimize._linprog import LINPROG_METHODS | |
from scipy.optimize._root import ROOT_METHODS | |
from scipy.optimize._root_scalar import ROOT_SCALAR_METHODS | |
from scipy.optimize._qap import QUADRATIC_ASSIGNMENT_METHODS | |
from scipy.optimize._differentiable_functions import ScalarFunction, FD_METHODS | |
from scipy.optimize._optimize import MemoizeJac, show_options, OptimizeResult | |
from scipy.optimize import rosen, rosen_der, rosen_hess | |
from scipy.sparse import (coo_matrix, csc_matrix, csr_matrix, coo_array, | |
csr_array, csc_array) | |
def test_check_grad(): | |
# Verify if check_grad is able to estimate the derivative of the | |
# expit (logistic sigmoid) function. | |
def expit(x): | |
return 1 / (1 + np.exp(-x)) | |
def der_expit(x): | |
return np.exp(-x) / (1 + np.exp(-x))**2 | |
x0 = np.array([1.5]) | |
r = optimize.check_grad(expit, der_expit, x0) | |
assert_almost_equal(r, 0) | |
r = optimize.check_grad(expit, der_expit, x0, | |
direction='random', seed=1234) | |
assert_almost_equal(r, 0) | |
r = optimize.check_grad(expit, der_expit, x0, epsilon=1e-6) | |
assert_almost_equal(r, 0) | |
r = optimize.check_grad(expit, der_expit, x0, epsilon=1e-6, | |
direction='random', seed=1234) | |
assert_almost_equal(r, 0) | |
# Check if the epsilon parameter is being considered. | |
r = abs(optimize.check_grad(expit, der_expit, x0, epsilon=1e-1) - 0) | |
assert r > 1e-7 | |
r = abs(optimize.check_grad(expit, der_expit, x0, epsilon=1e-1, | |
direction='random', seed=1234) - 0) | |
assert r > 1e-7 | |
def x_sinx(x): | |
return (x*np.sin(x)).sum() | |
def der_x_sinx(x): | |
return np.sin(x) + x*np.cos(x) | |
x0 = np.arange(0, 2, 0.2) | |
r = optimize.check_grad(x_sinx, der_x_sinx, x0, | |
direction='random', seed=1234) | |
assert_almost_equal(r, 0) | |
assert_raises(ValueError, optimize.check_grad, | |
x_sinx, der_x_sinx, x0, | |
direction='random_projection', seed=1234) | |
# checking can be done for derivatives of vector valued functions | |
r = optimize.check_grad(himmelblau_grad, himmelblau_hess, himmelblau_x0, | |
direction='all', seed=1234) | |
assert r < 5e-7 | |
class CheckOptimize: | |
""" Base test case for a simple constrained entropy maximization problem | |
(the machine translation example of Berger et al in | |
Computational Linguistics, vol 22, num 1, pp 39--72, 1996.) | |
""" | |
def setup_method(self): | |
self.F = np.array([[1, 1, 1], | |
[1, 1, 0], | |
[1, 0, 1], | |
[1, 0, 0], | |
[1, 0, 0]]) | |
self.K = np.array([1., 0.3, 0.5]) | |
self.startparams = np.zeros(3, np.float64) | |
self.solution = np.array([0., -0.524869316, 0.487525860]) | |
self.maxiter = 1000 | |
self.funccalls = 0 | |
self.gradcalls = 0 | |
self.trace = [] | |
def func(self, x): | |
self.funccalls += 1 | |
if self.funccalls > 6000: | |
raise RuntimeError("too many iterations in optimization routine") | |
log_pdot = np.dot(self.F, x) | |
logZ = np.log(sum(np.exp(log_pdot))) | |
f = logZ - np.dot(self.K, x) | |
self.trace.append(np.copy(x)) | |
return f | |
def grad(self, x): | |
self.gradcalls += 1 | |
log_pdot = np.dot(self.F, x) | |
logZ = np.log(sum(np.exp(log_pdot))) | |
p = np.exp(log_pdot - logZ) | |
return np.dot(self.F.transpose(), p) - self.K | |
def hess(self, x): | |
log_pdot = np.dot(self.F, x) | |
logZ = np.log(sum(np.exp(log_pdot))) | |
p = np.exp(log_pdot - logZ) | |
return np.dot(self.F.T, | |
np.dot(np.diag(p), self.F - np.dot(self.F.T, p))) | |
def hessp(self, x, p): | |
return np.dot(self.hess(x), p) | |
class CheckOptimizeParameterized(CheckOptimize): | |
def test_cg(self): | |
# conjugate gradient optimization routine | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': self.disp, | |
'return_all': False} | |
res = optimize.minimize(self.func, self.startparams, args=(), | |
method='CG', jac=self.grad, | |
options=opts) | |
params, fopt, func_calls, grad_calls, warnflag = \ | |
res['x'], res['fun'], res['nfev'], res['njev'], res['status'] | |
else: | |
retval = optimize.fmin_cg(self.func, self.startparams, | |
self.grad, (), maxiter=self.maxiter, | |
full_output=True, disp=self.disp, | |
retall=False) | |
(params, fopt, func_calls, grad_calls, warnflag) = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
# Ensure that function call counts are 'known good'; these are from | |
# SciPy 0.7.0. Don't allow them to increase. | |
assert self.funccalls == 9, self.funccalls | |
assert self.gradcalls == 7, self.gradcalls | |
# Ensure that the function behaves the same; this is from SciPy 0.7.0 | |
assert_allclose(self.trace[2:4], | |
[[0, -0.5, 0.5], | |
[0, -5.05700028e-01, 4.95985862e-01]], | |
atol=1e-14, rtol=1e-7) | |
def test_cg_cornercase(self): | |
def f(r): | |
return 2.5 * (1 - np.exp(-1.5*(r - 0.5)))**2 | |
# Check several initial guesses. (Too far away from the | |
# minimum, the function ends up in the flat region of exp.) | |
for x0 in np.linspace(-0.75, 3, 71): | |
sol = optimize.minimize(f, [x0], method='CG') | |
assert sol.success | |
assert_allclose(sol.x, [0.5], rtol=1e-5) | |
def test_bfgs(self): | |
# Broyden-Fletcher-Goldfarb-Shanno optimization routine | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': self.disp, | |
'return_all': False} | |
res = optimize.minimize(self.func, self.startparams, | |
jac=self.grad, method='BFGS', args=(), | |
options=opts) | |
params, fopt, gopt, Hopt, func_calls, grad_calls, warnflag = ( | |
res['x'], res['fun'], res['jac'], res['hess_inv'], | |
res['nfev'], res['njev'], res['status']) | |
else: | |
retval = optimize.fmin_bfgs(self.func, self.startparams, self.grad, | |
args=(), maxiter=self.maxiter, | |
full_output=True, disp=self.disp, | |
retall=False) | |
(params, fopt, gopt, Hopt, | |
func_calls, grad_calls, warnflag) = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
# Ensure that function call counts are 'known good'; these are from | |
# SciPy 0.7.0. Don't allow them to increase. | |
assert self.funccalls == 10, self.funccalls | |
assert self.gradcalls == 8, self.gradcalls | |
# Ensure that the function behaves the same; this is from SciPy 0.7.0 | |
assert_allclose(self.trace[6:8], | |
[[0, -5.25060743e-01, 4.87748473e-01], | |
[0, -5.24885582e-01, 4.87530347e-01]], | |
atol=1e-14, rtol=1e-7) | |
def test_bfgs_hess_inv0_neg(self): | |
# Ensure that BFGS does not accept neg. def. initial inverse | |
# Hessian estimate. | |
with pytest.raises(ValueError, match="'hess_inv0' matrix isn't " | |
"positive definite."): | |
x0 = np.array([1.3, 0.7, 0.8, 1.9, 1.2]) | |
opts = {'disp': self.disp, 'hess_inv0': -np.eye(5)} | |
optimize.minimize(optimize.rosen, x0=x0, method='BFGS', args=(), | |
options=opts) | |
def test_bfgs_hess_inv0_semipos(self): | |
# Ensure that BFGS does not accept semi pos. def. initial inverse | |
# Hessian estimate. | |
with pytest.raises(ValueError, match="'hess_inv0' matrix isn't " | |
"positive definite."): | |
x0 = np.array([1.3, 0.7, 0.8, 1.9, 1.2]) | |
hess_inv0 = np.eye(5) | |
hess_inv0[0, 0] = 0 | |
opts = {'disp': self.disp, 'hess_inv0': hess_inv0} | |
optimize.minimize(optimize.rosen, x0=x0, method='BFGS', args=(), | |
options=opts) | |
def test_bfgs_hess_inv0_sanity(self): | |
# Ensure that BFGS handles `hess_inv0` parameter correctly. | |
fun = optimize.rosen | |
x0 = np.array([1.3, 0.7, 0.8, 1.9, 1.2]) | |
opts = {'disp': self.disp, 'hess_inv0': 1e-2 * np.eye(5)} | |
res = optimize.minimize(fun, x0=x0, method='BFGS', args=(), | |
options=opts) | |
res_true = optimize.minimize(fun, x0=x0, method='BFGS', args=(), | |
options={'disp': self.disp}) | |
assert_allclose(res.fun, res_true.fun, atol=1e-6) | |
def test_bfgs_infinite(self): | |
# Test corner case where -Inf is the minimum. See gh-2019. | |
def func(x): | |
return -np.e ** (-x) | |
def fprime(x): | |
return -func(x) | |
x0 = [0] | |
with np.errstate(over='ignore'): | |
if self.use_wrapper: | |
opts = {'disp': self.disp} | |
x = optimize.minimize(func, x0, jac=fprime, method='BFGS', | |
args=(), options=opts)['x'] | |
else: | |
x = optimize.fmin_bfgs(func, x0, fprime, disp=self.disp) | |
assert not np.isfinite(func(x)) | |
def test_bfgs_xrtol(self): | |
# test for #17345 to test xrtol parameter | |
x0 = [1.3, 0.7, 0.8, 1.9, 1.2] | |
res = optimize.minimize(optimize.rosen, | |
x0, method='bfgs', options={'xrtol': 1e-3}) | |
ref = optimize.minimize(optimize.rosen, | |
x0, method='bfgs', options={'gtol': 1e-3}) | |
assert res.nit != ref.nit | |
def test_bfgs_c1(self): | |
# test for #18977 insufficiently low value of c1 leads to precision loss | |
# for poor starting parameters | |
x0 = [10.3, 20.7, 10.8, 1.9, -1.2] | |
res_c1_small = optimize.minimize(optimize.rosen, | |
x0, method='bfgs', options={'c1': 1e-8}) | |
res_c1_big = optimize.minimize(optimize.rosen, | |
x0, method='bfgs', options={'c1': 1e-1}) | |
assert res_c1_small.nfev > res_c1_big.nfev | |
def test_bfgs_c2(self): | |
# test that modification of c2 parameter | |
# results in different number of iterations | |
x0 = [1.3, 0.7, 0.8, 1.9, 1.2] | |
res_default = optimize.minimize(optimize.rosen, | |
x0, method='bfgs', options={'c2': .9}) | |
res_mod = optimize.minimize(optimize.rosen, | |
x0, method='bfgs', options={'c2': 1e-2}) | |
assert res_default.nit > res_mod.nit | |
def test_invalid_c1_c2(self, c1, c2): | |
with pytest.raises(ValueError, match="'c1' and 'c2'"): | |
x0 = [10.3, 20.7, 10.8, 1.9, -1.2] | |
optimize.minimize(optimize.rosen, x0, method='cg', | |
options={'c1': c1, 'c2': c2}) | |
def test_powell(self): | |
# Powell (direction set) optimization routine | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': self.disp, | |
'return_all': False} | |
res = optimize.minimize(self.func, self.startparams, args=(), | |
method='Powell', options=opts) | |
params, fopt, direc, numiter, func_calls, warnflag = ( | |
res['x'], res['fun'], res['direc'], res['nit'], | |
res['nfev'], res['status']) | |
else: | |
retval = optimize.fmin_powell(self.func, self.startparams, | |
args=(), maxiter=self.maxiter, | |
full_output=True, disp=self.disp, | |
retall=False) | |
(params, fopt, direc, numiter, func_calls, warnflag) = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
# params[0] does not affect the objective function | |
assert_allclose(params[1:], self.solution[1:], atol=5e-6) | |
# Ensure that function call counts are 'known good'; these are from | |
# SciPy 0.7.0. Don't allow them to increase. | |
# | |
# However, some leeway must be added: the exact evaluation | |
# count is sensitive to numerical error, and floating-point | |
# computations are not bit-for-bit reproducible across | |
# machines, and when using e.g., MKL, data alignment | |
# etc., affect the rounding error. | |
# | |
assert self.funccalls <= 116 + 20, self.funccalls | |
assert self.gradcalls == 0, self.gradcalls | |
def test_powell_gh14014(self): | |
# This part of test_powell started failing on some CI platforms; | |
# see gh-14014. Since the solution is still correct and the comments | |
# in test_powell suggest that small differences in the bits are known | |
# to change the "trace" of the solution, seems safe to xfail to get CI | |
# green now and investigate later. | |
# Powell (direction set) optimization routine | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': self.disp, | |
'return_all': False} | |
res = optimize.minimize(self.func, self.startparams, args=(), | |
method='Powell', options=opts) | |
params, fopt, direc, numiter, func_calls, warnflag = ( | |
res['x'], res['fun'], res['direc'], res['nit'], | |
res['nfev'], res['status']) | |
else: | |
retval = optimize.fmin_powell(self.func, self.startparams, | |
args=(), maxiter=self.maxiter, | |
full_output=True, disp=self.disp, | |
retall=False) | |
(params, fopt, direc, numiter, func_calls, warnflag) = retval | |
# Ensure that the function behaves the same; this is from SciPy 0.7.0 | |
assert_allclose(self.trace[34:39], | |
[[0.72949016, -0.44156936, 0.47100962], | |
[0.72949016, -0.44156936, 0.48052496], | |
[1.45898031, -0.88313872, 0.95153458], | |
[0.72949016, -0.44156936, 0.47576729], | |
[1.72949016, -0.44156936, 0.47576729]], | |
atol=1e-14, rtol=1e-7) | |
def test_powell_bounded(self): | |
# Powell (direction set) optimization routine | |
# same as test_powell above, but with bounds | |
bounds = [(-np.pi, np.pi) for _ in self.startparams] | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': self.disp, | |
'return_all': False} | |
res = optimize.minimize(self.func, self.startparams, args=(), | |
bounds=bounds, | |
method='Powell', options=opts) | |
params, func_calls = (res['x'], res['nfev']) | |
assert func_calls == self.funccalls | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6, rtol=1e-5) | |
# The exact evaluation count is sensitive to numerical error, and | |
# floating-point computations are not bit-for-bit reproducible | |
# across machines, and when using e.g. MKL, data alignment etc. | |
# affect the rounding error. | |
# It takes 155 calls on my machine, but we can add the same +20 | |
# margin as is used in `test_powell` | |
assert self.funccalls <= 155 + 20 | |
assert self.gradcalls == 0 | |
def test_neldermead(self): | |
# Nelder-Mead simplex algorithm | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': self.disp, | |
'return_all': False} | |
res = optimize.minimize(self.func, self.startparams, args=(), | |
method='Nelder-mead', options=opts) | |
params, fopt, numiter, func_calls, warnflag = ( | |
res['x'], res['fun'], res['nit'], res['nfev'], | |
res['status']) | |
else: | |
retval = optimize.fmin(self.func, self.startparams, | |
args=(), maxiter=self.maxiter, | |
full_output=True, disp=self.disp, | |
retall=False) | |
(params, fopt, numiter, func_calls, warnflag) = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
# Ensure that function call counts are 'known good'; these are from | |
# SciPy 0.7.0. Don't allow them to increase. | |
assert self.funccalls == 167, self.funccalls | |
assert self.gradcalls == 0, self.gradcalls | |
# Ensure that the function behaves the same; this is from SciPy 0.7.0 | |
assert_allclose(self.trace[76:78], | |
[[0.1928968, -0.62780447, 0.35166118], | |
[0.19572515, -0.63648426, 0.35838135]], | |
atol=1e-14, rtol=1e-7) | |
def test_neldermead_initial_simplex(self): | |
# Nelder-Mead simplex algorithm | |
simplex = np.zeros((4, 3)) | |
simplex[...] = self.startparams | |
for j in range(3): | |
simplex[j+1, j] += 0.1 | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': False, | |
'return_all': True, 'initial_simplex': simplex} | |
res = optimize.minimize(self.func, self.startparams, args=(), | |
method='Nelder-mead', options=opts) | |
params, fopt, numiter, func_calls, warnflag = (res['x'], | |
res['fun'], | |
res['nit'], | |
res['nfev'], | |
res['status']) | |
assert_allclose(res['allvecs'][0], simplex[0]) | |
else: | |
retval = optimize.fmin(self.func, self.startparams, | |
args=(), maxiter=self.maxiter, | |
full_output=True, disp=False, retall=False, | |
initial_simplex=simplex) | |
(params, fopt, numiter, func_calls, warnflag) = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
# Ensure that function call counts are 'known good'; these are from | |
# SciPy 0.17.0. Don't allow them to increase. | |
assert self.funccalls == 100, self.funccalls | |
assert self.gradcalls == 0, self.gradcalls | |
# Ensure that the function behaves the same; this is from SciPy 0.15.0 | |
assert_allclose(self.trace[50:52], | |
[[0.14687474, -0.5103282, 0.48252111], | |
[0.14474003, -0.5282084, 0.48743951]], | |
atol=1e-14, rtol=1e-7) | |
def test_neldermead_initial_simplex_bad(self): | |
# Check it fails with a bad simplices | |
bad_simplices = [] | |
simplex = np.zeros((3, 2)) | |
simplex[...] = self.startparams[:2] | |
for j in range(2): | |
simplex[j+1, j] += 0.1 | |
bad_simplices.append(simplex) | |
simplex = np.zeros((3, 3)) | |
bad_simplices.append(simplex) | |
for simplex in bad_simplices: | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': False, | |
'return_all': False, 'initial_simplex': simplex} | |
assert_raises(ValueError, | |
optimize.minimize, | |
self.func, | |
self.startparams, | |
args=(), | |
method='Nelder-mead', | |
options=opts) | |
else: | |
assert_raises(ValueError, optimize.fmin, | |
self.func, self.startparams, | |
args=(), maxiter=self.maxiter, | |
full_output=True, disp=False, retall=False, | |
initial_simplex=simplex) | |
def test_neldermead_x0_ub(self): | |
# checks whether minimisation occurs correctly for entries where | |
# x0 == ub | |
# gh19991 | |
def quad(x): | |
return np.sum(x**2) | |
res = optimize.minimize( | |
quad, | |
[1], | |
bounds=[(0, 1.)], | |
method='nelder-mead' | |
) | |
assert_allclose(res.x, [0]) | |
res = optimize.minimize( | |
quad, | |
[1, 2], | |
bounds=[(0, 1.), (1, 3.)], | |
method='nelder-mead' | |
) | |
assert_allclose(res.x, [0, 1]) | |
def test_ncg_negative_maxiter(self): | |
# Regression test for gh-8241 | |
opts = {'maxiter': -1} | |
result = optimize.minimize(self.func, self.startparams, | |
method='Newton-CG', jac=self.grad, | |
args=(), options=opts) | |
assert result.status == 1 | |
def test_ncg_zero_xtol(self): | |
# Regression test for gh-20214 | |
def cosine(x): | |
return np.cos(x[0]) | |
def jac(x): | |
return -np.sin(x[0]) | |
x0 = [0.1] | |
xtol = 0 | |
result = optimize.minimize(cosine, | |
x0=x0, | |
jac=jac, | |
method="newton-cg", | |
options=dict(xtol=xtol)) | |
assert result.status == 0 | |
assert_almost_equal(result.x[0], np.pi) | |
def test_ncg(self): | |
# line-search Newton conjugate gradient optimization routine | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': self.disp, | |
'return_all': False} | |
retval = optimize.minimize(self.func, self.startparams, | |
method='Newton-CG', jac=self.grad, | |
args=(), options=opts)['x'] | |
else: | |
retval = optimize.fmin_ncg(self.func, self.startparams, self.grad, | |
args=(), maxiter=self.maxiter, | |
full_output=False, disp=self.disp, | |
retall=False) | |
params = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
# Ensure that function call counts are 'known good'; these are from | |
# SciPy 0.7.0. Don't allow them to increase. | |
assert self.funccalls == 7, self.funccalls | |
assert self.gradcalls <= 22, self.gradcalls # 0.13.0 | |
# assert self.gradcalls <= 18, self.gradcalls # 0.9.0 | |
# assert self.gradcalls == 18, self.gradcalls # 0.8.0 | |
# assert self.gradcalls == 22, self.gradcalls # 0.7.0 | |
# Ensure that the function behaves the same; this is from SciPy 0.7.0 | |
assert_allclose(self.trace[3:5], | |
[[-4.35700753e-07, -5.24869435e-01, 4.87527480e-01], | |
[-4.35700753e-07, -5.24869401e-01, 4.87527774e-01]], | |
atol=1e-6, rtol=1e-7) | |
def test_ncg_hess(self): | |
# Newton conjugate gradient with Hessian | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': self.disp, | |
'return_all': False} | |
retval = optimize.minimize(self.func, self.startparams, | |
method='Newton-CG', jac=self.grad, | |
hess=self.hess, | |
args=(), options=opts)['x'] | |
else: | |
retval = optimize.fmin_ncg(self.func, self.startparams, self.grad, | |
fhess=self.hess, | |
args=(), maxiter=self.maxiter, | |
full_output=False, disp=self.disp, | |
retall=False) | |
params = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
# Ensure that function call counts are 'known good'; these are from | |
# SciPy 0.7.0. Don't allow them to increase. | |
assert self.funccalls <= 7, self.funccalls # gh10673 | |
assert self.gradcalls <= 18, self.gradcalls # 0.9.0 | |
# assert self.gradcalls == 18, self.gradcalls # 0.8.0 | |
# assert self.gradcalls == 22, self.gradcalls # 0.7.0 | |
# Ensure that the function behaves the same; this is from SciPy 0.7.0 | |
assert_allclose(self.trace[3:5], | |
[[-4.35700753e-07, -5.24869435e-01, 4.87527480e-01], | |
[-4.35700753e-07, -5.24869401e-01, 4.87527774e-01]], | |
atol=1e-6, rtol=1e-7) | |
def test_ncg_hessp(self): | |
# Newton conjugate gradient with Hessian times a vector p. | |
if self.use_wrapper: | |
opts = {'maxiter': self.maxiter, 'disp': self.disp, | |
'return_all': False} | |
retval = optimize.minimize(self.func, self.startparams, | |
method='Newton-CG', jac=self.grad, | |
hessp=self.hessp, | |
args=(), options=opts)['x'] | |
else: | |
retval = optimize.fmin_ncg(self.func, self.startparams, self.grad, | |
fhess_p=self.hessp, | |
args=(), maxiter=self.maxiter, | |
full_output=False, disp=self.disp, | |
retall=False) | |
params = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
# Ensure that function call counts are 'known good'; these are from | |
# SciPy 0.7.0. Don't allow them to increase. | |
assert self.funccalls <= 7, self.funccalls # gh10673 | |
assert self.gradcalls <= 18, self.gradcalls # 0.9.0 | |
# assert self.gradcalls == 18, self.gradcalls # 0.8.0 | |
# assert self.gradcalls == 22, self.gradcalls # 0.7.0 | |
# Ensure that the function behaves the same; this is from SciPy 0.7.0 | |
assert_allclose(self.trace[3:5], | |
[[-4.35700753e-07, -5.24869435e-01, 4.87527480e-01], | |
[-4.35700753e-07, -5.24869401e-01, 4.87527774e-01]], | |
atol=1e-6, rtol=1e-7) | |
def test_maxfev_test(): | |
rng = np.random.default_rng(271707100830272976862395227613146332411) | |
def cost(x): | |
return rng.random(1) * 1000 # never converged problem | |
for imaxfev in [1, 10, 50]: | |
# "TNC" and "L-BFGS-B" also supports max function evaluation, but | |
# these may violate the limit because of evaluating gradients | |
# by numerical differentiation. See the discussion in PR #14805. | |
for method in ['Powell', 'Nelder-Mead']: | |
result = optimize.minimize(cost, rng.random(10), | |
method=method, | |
options={'maxfev': imaxfev}) | |
assert result["nfev"] == imaxfev | |
def test_wrap_scalar_function_with_validation(): | |
def func_(x): | |
return x | |
fcalls, func = optimize._optimize.\ | |
_wrap_scalar_function_maxfun_validation(func_, np.asarray(1), 5) | |
for i in range(5): | |
func(np.asarray(i)) | |
assert fcalls[0] == i+1 | |
msg = "Too many function calls" | |
with assert_raises(optimize._optimize._MaxFuncCallError, match=msg): | |
func(np.asarray(i)) # exceeded maximum function call | |
fcalls, func = optimize._optimize.\ | |
_wrap_scalar_function_maxfun_validation(func_, np.asarray(1), 5) | |
msg = "The user-provided objective function must return a scalar value." | |
with assert_raises(ValueError, match=msg): | |
func(np.array([1, 1])) | |
def test_obj_func_returns_scalar(): | |
match = ("The user-provided " | |
"objective function must " | |
"return a scalar value.") | |
with assert_raises(ValueError, match=match): | |
optimize.minimize(lambda x: x, np.array([1, 1]), method='BFGS') | |
def test_neldermead_iteration_num(): | |
x0 = np.array([1.3, 0.7, 0.8, 1.9, 1.2]) | |
res = optimize._minimize._minimize_neldermead(optimize.rosen, x0, | |
xatol=1e-8) | |
assert res.nit <= 339 | |
def test_neldermead_respect_fp(): | |
# Nelder-Mead should respect the fp type of the input + function | |
x0 = np.array([5.0, 4.0]).astype(np.float32) | |
def rosen_(x): | |
assert x.dtype == np.float32 | |
return optimize.rosen(x) | |
optimize.minimize(rosen_, x0, method='Nelder-Mead') | |
def test_neldermead_xatol_fatol(): | |
# gh4484 | |
# test we can call with fatol, xatol specified | |
def func(x): | |
return x[0] ** 2 + x[1] ** 2 | |
optimize._minimize._minimize_neldermead(func, [1, 1], maxiter=2, | |
xatol=1e-3, fatol=1e-3) | |
def test_neldermead_adaptive(): | |
def func(x): | |
return np.sum(x ** 2) | |
p0 = [0.15746215, 0.48087031, 0.44519198, 0.4223638, 0.61505159, | |
0.32308456, 0.9692297, 0.4471682, 0.77411992, 0.80441652, | |
0.35994957, 0.75487856, 0.99973421, 0.65063887, 0.09626474] | |
res = optimize.minimize(func, p0, method='Nelder-Mead') | |
assert_equal(res.success, False) | |
res = optimize.minimize(func, p0, method='Nelder-Mead', | |
options={'adaptive': True}) | |
assert_equal(res.success, True) | |
def test_bounded_powell_outsidebounds(): | |
# With the bounded Powell method if you start outside the bounds the final | |
# should still be within the bounds (provided that the user doesn't make a | |
# bad choice for the `direc` argument). | |
def func(x): | |
return np.sum(x ** 2) | |
bounds = (-1, 1), (-1, 1), (-1, 1) | |
x0 = [-4, .5, -.8] | |
# we're starting outside the bounds, so we should get a warning | |
with assert_warns(optimize.OptimizeWarning): | |
res = optimize.minimize(func, x0, bounds=bounds, method="Powell") | |
assert_allclose(res.x, np.array([0.] * len(x0)), atol=1e-6) | |
assert_equal(res.success, True) | |
assert_equal(res.status, 0) | |
# However, now if we change the `direc` argument such that the | |
# set of vectors does not span the parameter space, then we may | |
# not end up back within the bounds. Here we see that the first | |
# parameter cannot be updated! | |
direc = [[0, 0, 0], [0, 1, 0], [0, 0, 1]] | |
# we're starting outside the bounds, so we should get a warning | |
with assert_warns(optimize.OptimizeWarning): | |
res = optimize.minimize(func, x0, | |
bounds=bounds, method="Powell", | |
options={'direc': direc}) | |
assert_allclose(res.x, np.array([-4., 0, 0]), atol=1e-6) | |
assert_equal(res.success, False) | |
assert_equal(res.status, 4) | |
def test_bounded_powell_vs_powell(): | |
# here we test an example where the bounded Powell method | |
# will return a different result than the standard Powell | |
# method. | |
# first we test a simple example where the minimum is at | |
# the origin and the minimum that is within the bounds is | |
# larger than the minimum at the origin. | |
def func(x): | |
return np.sum(x ** 2) | |
bounds = (-5, -1), (-10, -0.1), (1, 9.2), (-4, 7.6), (-15.9, -2) | |
x0 = [-2.1, -5.2, 1.9, 0, -2] | |
options = {'ftol': 1e-10, 'xtol': 1e-10} | |
res_powell = optimize.minimize(func, x0, method="Powell", options=options) | |
assert_allclose(res_powell.x, 0., atol=1e-6) | |
assert_allclose(res_powell.fun, 0., atol=1e-6) | |
res_bounded_powell = optimize.minimize(func, x0, options=options, | |
bounds=bounds, | |
method="Powell") | |
p = np.array([-1, -0.1, 1, 0, -2]) | |
assert_allclose(res_bounded_powell.x, p, atol=1e-6) | |
assert_allclose(res_bounded_powell.fun, func(p), atol=1e-6) | |
# now we test bounded Powell but with a mix of inf bounds. | |
bounds = (None, -1), (-np.inf, -.1), (1, np.inf), (-4, None), (-15.9, -2) | |
res_bounded_powell = optimize.minimize(func, x0, options=options, | |
bounds=bounds, | |
method="Powell") | |
p = np.array([-1, -0.1, 1, 0, -2]) | |
assert_allclose(res_bounded_powell.x, p, atol=1e-6) | |
assert_allclose(res_bounded_powell.fun, func(p), atol=1e-6) | |
# next we test an example where the global minimum is within | |
# the bounds, but the bounded Powell method performs better | |
# than the standard Powell method. | |
def func(x): | |
t = np.sin(-x[0]) * np.cos(x[1]) * np.sin(-x[0] * x[1]) * np.cos(x[1]) | |
t -= np.cos(np.sin(x[1] * x[2]) * np.cos(x[2])) | |
return t**2 | |
bounds = [(-2, 5)] * 3 | |
x0 = [-0.5, -0.5, -0.5] | |
res_powell = optimize.minimize(func, x0, method="Powell") | |
res_bounded_powell = optimize.minimize(func, x0, | |
bounds=bounds, | |
method="Powell") | |
assert_allclose(res_powell.fun, 0.007136253919761627, atol=1e-6) | |
assert_allclose(res_bounded_powell.fun, 0, atol=1e-6) | |
# next we test the previous example where the we provide Powell | |
# with (-inf, inf) bounds, and compare it to providing Powell | |
# with no bounds. They should end up the same. | |
bounds = [(-np.inf, np.inf)] * 3 | |
res_bounded_powell = optimize.minimize(func, x0, | |
bounds=bounds, | |
method="Powell") | |
assert_allclose(res_powell.fun, res_bounded_powell.fun, atol=1e-6) | |
assert_allclose(res_powell.nfev, res_bounded_powell.nfev, atol=1e-6) | |
assert_allclose(res_powell.x, res_bounded_powell.x, atol=1e-6) | |
# now test when x0 starts outside of the bounds. | |
x0 = [45.46254415, -26.52351498, 31.74830248] | |
bounds = [(-2, 5)] * 3 | |
# we're starting outside the bounds, so we should get a warning | |
with assert_warns(optimize.OptimizeWarning): | |
res_bounded_powell = optimize.minimize(func, x0, | |
bounds=bounds, | |
method="Powell") | |
assert_allclose(res_bounded_powell.fun, 0, atol=1e-6) | |
def test_onesided_bounded_powell_stability(): | |
# When the Powell method is bounded on only one side, a | |
# np.tan transform is done in order to convert it into a | |
# completely bounded problem. Here we do some simple tests | |
# of one-sided bounded Powell where the optimal solutions | |
# are large to test the stability of the transformation. | |
kwargs = {'method': 'Powell', | |
'bounds': [(-np.inf, 1e6)] * 3, | |
'options': {'ftol': 1e-8, 'xtol': 1e-8}} | |
x0 = [1, 1, 1] | |
# df/dx is constant. | |
def f(x): | |
return -np.sum(x) | |
res = optimize.minimize(f, x0, **kwargs) | |
assert_allclose(res.fun, -3e6, atol=1e-4) | |
# df/dx gets smaller and smaller. | |
def f(x): | |
return -np.abs(np.sum(x)) ** (0.1) * (1 if np.all(x > 0) else -1) | |
res = optimize.minimize(f, x0, **kwargs) | |
assert_allclose(res.fun, -(3e6) ** (0.1)) | |
# df/dx gets larger and larger. | |
def f(x): | |
return -np.abs(np.sum(x)) ** 10 * (1 if np.all(x > 0) else -1) | |
res = optimize.minimize(f, x0, **kwargs) | |
assert_allclose(res.fun, -(3e6) ** 10, rtol=1e-7) | |
# df/dx gets larger for some of the variables and smaller for others. | |
def f(x): | |
t = -np.abs(np.sum(x[:2])) ** 5 - np.abs(np.sum(x[2:])) ** (0.1) | |
t *= (1 if np.all(x > 0) else -1) | |
return t | |
kwargs['bounds'] = [(-np.inf, 1e3)] * 3 | |
res = optimize.minimize(f, x0, **kwargs) | |
assert_allclose(res.fun, -(2e3) ** 5 - (1e6) ** (0.1), rtol=1e-7) | |
class TestOptimizeWrapperDisp(CheckOptimizeParameterized): | |
use_wrapper = True | |
disp = True | |
class TestOptimizeWrapperNoDisp(CheckOptimizeParameterized): | |
use_wrapper = True | |
disp = False | |
class TestOptimizeNoWrapperDisp(CheckOptimizeParameterized): | |
use_wrapper = False | |
disp = True | |
class TestOptimizeNoWrapperNoDisp(CheckOptimizeParameterized): | |
use_wrapper = False | |
disp = False | |
class TestOptimizeSimple(CheckOptimize): | |
def test_bfgs_nan(self): | |
# Test corner case where nan is fed to optimizer. See gh-2067. | |
def func(x): | |
return x | |
def fprime(x): | |
return np.ones_like(x) | |
x0 = [np.nan] | |
with np.errstate(over='ignore', invalid='ignore'): | |
x = optimize.fmin_bfgs(func, x0, fprime, disp=False) | |
assert np.isnan(func(x)) | |
def test_bfgs_nan_return(self): | |
# Test corner cases where fun returns NaN. See gh-4793. | |
# First case: NaN from first call. | |
def func(x): | |
return np.nan | |
with np.errstate(invalid='ignore'): | |
result = optimize.minimize(func, 0) | |
assert np.isnan(result['fun']) | |
assert result['success'] is False | |
# Second case: NaN from second call. | |
def func(x): | |
return 0 if x == 0 else np.nan | |
def fprime(x): | |
return np.ones_like(x) # Steer away from zero. | |
with np.errstate(invalid='ignore'): | |
result = optimize.minimize(func, 0, jac=fprime) | |
assert np.isnan(result['fun']) | |
assert result['success'] is False | |
def test_bfgs_numerical_jacobian(self): | |
# BFGS with numerical Jacobian and a vector epsilon parameter. | |
# define the epsilon parameter using a random vector | |
epsilon = np.sqrt(np.spacing(1.)) * np.random.rand(len(self.solution)) | |
params = optimize.fmin_bfgs(self.func, self.startparams, | |
epsilon=epsilon, args=(), | |
maxiter=self.maxiter, disp=False) | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
def test_finite_differences_jac(self): | |
methods = ['BFGS', 'CG', 'TNC'] | |
jacs = ['2-point', '3-point', None] | |
for method, jac in itertools.product(methods, jacs): | |
result = optimize.minimize(self.func, self.startparams, | |
method=method, jac=jac) | |
assert_allclose(self.func(result.x), self.func(self.solution), | |
atol=1e-6) | |
def test_finite_differences_hess(self): | |
# test that all the methods that require hess can use finite-difference | |
# For Newton-CG, trust-ncg, trust-krylov the FD estimated hessian is | |
# wrapped in a hessp function | |
# dogleg, trust-exact actually require true hessians at the moment, so | |
# they're excluded. | |
methods = ['trust-constr', 'Newton-CG', 'trust-ncg', 'trust-krylov'] | |
hesses = FD_METHODS + (optimize.BFGS,) | |
for method, hess in itertools.product(methods, hesses): | |
if hess is optimize.BFGS: | |
hess = hess() | |
result = optimize.minimize(self.func, self.startparams, | |
method=method, jac=self.grad, | |
hess=hess) | |
assert result.success | |
# check that the methods demand some sort of Hessian specification | |
# Newton-CG creates its own hessp, and trust-constr doesn't need a hess | |
# specified either | |
methods = ['trust-ncg', 'trust-krylov', 'dogleg', 'trust-exact'] | |
for method in methods: | |
with pytest.raises(ValueError): | |
optimize.minimize(self.func, self.startparams, | |
method=method, jac=self.grad, | |
hess=None) | |
def test_bfgs_gh_2169(self): | |
def f(x): | |
if x < 0: | |
return 1.79769313e+308 | |
else: | |
return x + 1./x | |
xs = optimize.fmin_bfgs(f, [10.], disp=False) | |
assert_allclose(xs, 1.0, rtol=1e-4, atol=1e-4) | |
def test_bfgs_double_evaluations(self): | |
# check BFGS does not evaluate twice in a row at same point | |
def f(x): | |
xp = x[0] | |
assert xp not in seen | |
seen.add(xp) | |
return 10*x**2, 20*x | |
seen = set() | |
optimize.minimize(f, -100, method='bfgs', jac=True, tol=1e-7) | |
def test_l_bfgs_b(self): | |
# limited-memory bound-constrained BFGS algorithm | |
retval = optimize.fmin_l_bfgs_b(self.func, self.startparams, | |
self.grad, args=(), | |
maxiter=self.maxiter) | |
(params, fopt, d) = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
# Ensure that function call counts are 'known good'; these are from | |
# SciPy 0.7.0. Don't allow them to increase. | |
assert self.funccalls == 7, self.funccalls | |
assert self.gradcalls == 5, self.gradcalls | |
# Ensure that the function behaves the same; this is from SciPy 0.7.0 | |
# test fixed in gh10673 | |
assert_allclose(self.trace[3:5], | |
[[8.117083e-16, -5.196198e-01, 4.897617e-01], | |
[0., -0.52489628, 0.48753042]], | |
atol=1e-14, rtol=1e-7) | |
def test_l_bfgs_b_numjac(self): | |
# L-BFGS-B with numerical Jacobian | |
retval = optimize.fmin_l_bfgs_b(self.func, self.startparams, | |
approx_grad=True, | |
maxiter=self.maxiter) | |
(params, fopt, d) = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
def test_l_bfgs_b_funjac(self): | |
# L-BFGS-B with combined objective function and Jacobian | |
def fun(x): | |
return self.func(x), self.grad(x) | |
retval = optimize.fmin_l_bfgs_b(fun, self.startparams, | |
maxiter=self.maxiter) | |
(params, fopt, d) = retval | |
assert_allclose(self.func(params), self.func(self.solution), | |
atol=1e-6) | |
def test_l_bfgs_b_maxiter(self): | |
# gh7854 | |
# Ensure that not more than maxiters are ever run. | |
class Callback: | |
def __init__(self): | |
self.nit = 0 | |
self.fun = None | |
self.x = None | |
def __call__(self, x): | |
self.x = x | |
self.fun = optimize.rosen(x) | |
self.nit += 1 | |
c = Callback() | |
res = optimize.minimize(optimize.rosen, [0., 0.], method='l-bfgs-b', | |
callback=c, options={'maxiter': 5}) | |
assert_equal(res.nit, 5) | |
assert_almost_equal(res.x, c.x) | |
assert_almost_equal(res.fun, c.fun) | |
assert_equal(res.status, 1) | |
assert res.success is False | |
assert_equal(res.message, | |
'STOP: TOTAL NO. of ITERATIONS REACHED LIMIT') | |
def test_minimize_l_bfgs_b(self): | |
# Minimize with L-BFGS-B method | |
opts = {'disp': False, 'maxiter': self.maxiter} | |
r = optimize.minimize(self.func, self.startparams, | |
method='L-BFGS-B', jac=self.grad, | |
options=opts) | |
assert_allclose(self.func(r.x), self.func(self.solution), | |
atol=1e-6) | |
assert self.gradcalls == r.njev | |
self.funccalls = self.gradcalls = 0 | |
# approximate jacobian | |
ra = optimize.minimize(self.func, self.startparams, | |
method='L-BFGS-B', options=opts) | |
# check that function evaluations in approximate jacobian are counted | |
# assert_(ra.nfev > r.nfev) | |
assert self.funccalls == ra.nfev | |
assert_allclose(self.func(ra.x), self.func(self.solution), | |
atol=1e-6) | |
self.funccalls = self.gradcalls = 0 | |
# approximate jacobian | |
ra = optimize.minimize(self.func, self.startparams, jac='3-point', | |
method='L-BFGS-B', options=opts) | |
assert self.funccalls == ra.nfev | |
assert_allclose(self.func(ra.x), self.func(self.solution), | |
atol=1e-6) | |
def test_minimize_l_bfgs_b_ftol(self): | |
# Check that the `ftol` parameter in l_bfgs_b works as expected | |
v0 = None | |
for tol in [1e-1, 1e-4, 1e-7, 1e-10]: | |
opts = {'disp': False, 'maxiter': self.maxiter, 'ftol': tol} | |
sol = optimize.minimize(self.func, self.startparams, | |
method='L-BFGS-B', jac=self.grad, | |
options=opts) | |
v = self.func(sol.x) | |
if v0 is None: | |
v0 = v | |
else: | |
assert v < v0 | |
assert_allclose(v, self.func(self.solution), rtol=tol) | |
def test_minimize_l_bfgs_maxls(self): | |
# check that the maxls is passed down to the Fortran routine | |
sol = optimize.minimize(optimize.rosen, np.array([-1.2, 1.0]), | |
method='L-BFGS-B', jac=optimize.rosen_der, | |
options={'disp': False, 'maxls': 1}) | |
assert not sol.success | |
def test_minimize_l_bfgs_b_maxfun_interruption(self): | |
# gh-6162 | |
f = optimize.rosen | |
g = optimize.rosen_der | |
values = [] | |
x0 = np.full(7, 1000) | |
def objfun(x): | |
value = f(x) | |
values.append(value) | |
return value | |
# Look for an interesting test case. | |
# Request a maxfun that stops at a particularly bad function | |
# evaluation somewhere between 100 and 300 evaluations. | |
low, medium, high = 30, 100, 300 | |
optimize.fmin_l_bfgs_b(objfun, x0, fprime=g, maxfun=high) | |
v, k = max((y, i) for i, y in enumerate(values[medium:])) | |
maxfun = medium + k | |
# If the minimization strategy is reasonable, | |
# the minimize() result should not be worse than the best | |
# of the first 30 function evaluations. | |
target = min(values[:low]) | |
xmin, fmin, d = optimize.fmin_l_bfgs_b(f, x0, fprime=g, maxfun=maxfun) | |
assert_array_less(fmin, target) | |
def test_custom(self): | |
# This function comes from the documentation example. | |
def custmin(fun, x0, args=(), maxfev=None, stepsize=0.1, | |
maxiter=100, callback=None, **options): | |
bestx = x0 | |
besty = fun(x0) | |
funcalls = 1 | |
niter = 0 | |
improved = True | |
stop = False | |
while improved and not stop and niter < maxiter: | |
improved = False | |
niter += 1 | |
for dim in range(np.size(x0)): | |
for s in [bestx[dim] - stepsize, bestx[dim] + stepsize]: | |
testx = np.copy(bestx) | |
testx[dim] = s | |
testy = fun(testx, *args) | |
funcalls += 1 | |
if testy < besty: | |
besty = testy | |
bestx = testx | |
improved = True | |
if callback is not None: | |
callback(bestx) | |
if maxfev is not None and funcalls >= maxfev: | |
stop = True | |
break | |
return optimize.OptimizeResult(fun=besty, x=bestx, nit=niter, | |
nfev=funcalls, success=(niter > 1)) | |
x0 = [1.35, 0.9, 0.8, 1.1, 1.2] | |
res = optimize.minimize(optimize.rosen, x0, method=custmin, | |
options=dict(stepsize=0.05)) | |
assert_allclose(res.x, 1.0, rtol=1e-4, atol=1e-4) | |
def test_gh10771(self): | |
# check that minimize passes bounds and constraints to a custom | |
# minimizer without altering them. | |
bounds = [(-2, 2), (0, 3)] | |
constraints = 'constraints' | |
def custmin(fun, x0, **options): | |
assert options['bounds'] is bounds | |
assert options['constraints'] is constraints | |
return optimize.OptimizeResult() | |
x0 = [1, 1] | |
optimize.minimize(optimize.rosen, x0, method=custmin, | |
bounds=bounds, constraints=constraints) | |
def test_minimize_tol_parameter(self): | |
# Check that the minimize() tol= argument does something | |
def func(z): | |
x, y = z | |
return x**2*y**2 + x**4 + 1 | |
def dfunc(z): | |
x, y = z | |
return np.array([2*x*y**2 + 4*x**3, 2*x**2*y]) | |
for method in ['nelder-mead', 'powell', 'cg', 'bfgs', | |
'newton-cg', 'l-bfgs-b', 'tnc', | |
'cobyla', 'slsqp']: | |
if method in ('nelder-mead', 'powell', 'cobyla'): | |
jac = None | |
else: | |
jac = dfunc | |
sol1 = optimize.minimize(func, [1, 1], jac=jac, tol=1e-10, | |
method=method) | |
sol2 = optimize.minimize(func, [1, 1], jac=jac, tol=1.0, | |
method=method) | |
assert func(sol1.x) < func(sol2.x), \ | |
f"{method}: {func(sol1.x)} vs. {func(sol2.x)}" | |
# See gh-18547 | |
def test_minimize_callback_copies_array(self, method): | |
# Check that arrays passed to callbacks are not modified | |
# inplace by the optimizer afterward | |
if method in ('fmin_tnc', 'fmin_l_bfgs_b'): | |
def func(x): | |
return optimize.rosen(x), optimize.rosen_der(x) | |
else: | |
func = optimize.rosen | |
jac = optimize.rosen_der | |
hess = optimize.rosen_hess | |
x0 = np.zeros(10) | |
# Set options | |
kwargs = {} | |
if method.startswith('fmin'): | |
routine = getattr(optimize, method) | |
if method == 'fmin_slsqp': | |
kwargs['iter'] = 5 | |
elif method == 'fmin_tnc': | |
kwargs['maxfun'] = 100 | |
elif method in ('fmin', 'fmin_powell'): | |
kwargs['maxiter'] = 3500 | |
else: | |
kwargs['maxiter'] = 5 | |
else: | |
def routine(*a, **kw): | |
kw['method'] = method | |
return optimize.minimize(*a, **kw) | |
if method == 'tnc': | |
kwargs['options'] = dict(maxfun=100) | |
else: | |
kwargs['options'] = dict(maxiter=5) | |
if method in ('fmin_ncg',): | |
kwargs['fprime'] = jac | |
elif method in ('newton-cg',): | |
kwargs['jac'] = jac | |
elif method in ('trust-krylov', 'trust-exact', 'trust-ncg', 'dogleg', | |
'trust-constr'): | |
kwargs['jac'] = jac | |
kwargs['hess'] = hess | |
# Run with callback | |
results = [] | |
def callback(x, *args, **kwargs): | |
assert not isinstance(x, optimize.OptimizeResult) | |
results.append((x, np.copy(x))) | |
routine(func, x0, callback=callback, **kwargs) | |
# Check returned arrays coincide with their copies | |
# and have no memory overlap | |
assert len(results) > 2 | |
assert all(np.all(x == y) for x, y in results) | |
combinations = itertools.combinations(results, 2) | |
assert not any(np.may_share_memory(x[0], y[0]) for x, y in combinations) | |
def test_no_increase(self, method): | |
# Check that the solver doesn't return a value worse than the | |
# initial point. | |
def func(x): | |
return (x - 1)**2 | |
def bad_grad(x): | |
# purposefully invalid gradient function, simulates a case | |
# where line searches start failing | |
return 2*(x - 1) * (-1) - 2 | |
x0 = np.array([2.0]) | |
f0 = func(x0) | |
jac = bad_grad | |
options = dict(maxfun=20) if method == 'tnc' else dict(maxiter=20) | |
if method in ['nelder-mead', 'powell', 'cobyla']: | |
jac = None | |
sol = optimize.minimize(func, x0, jac=jac, method=method, | |
options=options) | |
assert_equal(func(sol.x), sol.fun) | |
if method == 'slsqp': | |
pytest.xfail("SLSQP returns slightly worse") | |
assert func(sol.x) <= f0 | |
def test_slsqp_respect_bounds(self): | |
# Regression test for gh-3108 | |
def f(x): | |
return sum((x - np.array([1., 2., 3., 4.]))**2) | |
def cons(x): | |
a = np.array([[-1, -1, -1, -1], [-3, -3, -2, -1]]) | |
return np.concatenate([np.dot(a, x) + np.array([5, 10]), x]) | |
x0 = np.array([0.5, 1., 1.5, 2.]) | |
res = optimize.minimize(f, x0, method='slsqp', | |
constraints={'type': 'ineq', 'fun': cons}) | |
assert_allclose(res.x, np.array([0., 2, 5, 8])/3, atol=1e-12) | |
def test_respect_maxiter(self, method): | |
# Check that the number of iterations equals max_iter, assuming | |
# convergence doesn't establish before | |
MAXITER = 4 | |
x0 = np.zeros(10) | |
sf = ScalarFunction(optimize.rosen, x0, (), optimize.rosen_der, | |
optimize.rosen_hess, None, None) | |
# Set options | |
kwargs = {'method': method, 'options': dict(maxiter=MAXITER)} | |
if method in ('Newton-CG',): | |
kwargs['jac'] = sf.grad | |
elif method in ('trust-krylov', 'trust-exact', 'trust-ncg', 'dogleg', | |
'trust-constr'): | |
kwargs['jac'] = sf.grad | |
kwargs['hess'] = sf.hess | |
sol = optimize.minimize(sf.fun, x0, **kwargs) | |
assert sol.nit == MAXITER | |
assert sol.nfev >= sf.nfev | |
if hasattr(sol, 'njev'): | |
assert sol.njev >= sf.ngev | |
# method specific tests | |
if method == 'SLSQP': | |
assert sol.status == 9 # Iteration limit reached | |
def test_runtime_warning(self, method): | |
x0 = np.zeros(10) | |
sf = ScalarFunction(optimize.rosen, x0, (), optimize.rosen_der, | |
optimize.rosen_hess, None, None) | |
options = {"maxiter": 1, "disp": True} | |
with pytest.warns(RuntimeWarning, | |
match=r'Maximum number of iterations'): | |
if method.startswith('fmin'): | |
routine = getattr(optimize, method) | |
routine(sf.fun, x0, **options) | |
else: | |
optimize.minimize(sf.fun, x0, method=method, options=options) | |
def test_respect_maxiter_trust_constr_ineq_constraints(self): | |
# special case of minimization with trust-constr and inequality | |
# constraints to check maxiter limit is obeyed when using internal | |
# method 'tr_interior_point' | |
MAXITER = 4 | |
f = optimize.rosen | |
jac = optimize.rosen_der | |
hess = optimize.rosen_hess | |
def fun(x): | |
return np.array([0.2 * x[0] - 0.4 * x[1] - 0.33 * x[2]]) | |
cons = ({'type': 'ineq', | |
'fun': fun},) | |
x0 = np.zeros(10) | |
sol = optimize.minimize(f, x0, constraints=cons, jac=jac, hess=hess, | |
method='trust-constr', | |
options=dict(maxiter=MAXITER)) | |
assert sol.nit == MAXITER | |
def test_minimize_automethod(self): | |
def f(x): | |
return x**2 | |
def cons(x): | |
return x - 2 | |
x0 = np.array([10.]) | |
sol_0 = optimize.minimize(f, x0) | |
sol_1 = optimize.minimize(f, x0, constraints=[{'type': 'ineq', | |
'fun': cons}]) | |
sol_2 = optimize.minimize(f, x0, bounds=[(5, 10)]) | |
sol_3 = optimize.minimize(f, x0, | |
constraints=[{'type': 'ineq', 'fun': cons}], | |
bounds=[(5, 10)]) | |
sol_4 = optimize.minimize(f, x0, | |
constraints=[{'type': 'ineq', 'fun': cons}], | |
bounds=[(1, 10)]) | |
for sol in [sol_0, sol_1, sol_2, sol_3, sol_4]: | |
assert sol.success | |
assert_allclose(sol_0.x, 0, atol=1e-7) | |
assert_allclose(sol_1.x, 2, atol=1e-7) | |
assert_allclose(sol_2.x, 5, atol=1e-7) | |
assert_allclose(sol_3.x, 5, atol=1e-7) | |
assert_allclose(sol_4.x, 2, atol=1e-7) | |
def test_minimize_coerce_args_param(self): | |
# Regression test for gh-3503 | |
def Y(x, c): | |
return np.sum((x-c)**2) | |
def dY_dx(x, c=None): | |
return 2*(x-c) | |
c = np.array([3, 1, 4, 1, 5, 9, 2, 6, 5, 3, 5]) | |
xinit = np.random.randn(len(c)) | |
optimize.minimize(Y, xinit, jac=dY_dx, args=(c), method="BFGS") | |
def test_initial_step_scaling(self): | |
# Check that optimizer initial step is not huge even if the | |
# function and gradients are | |
scales = [1e-50, 1, 1e50] | |
methods = ['CG', 'BFGS', 'L-BFGS-B', 'Newton-CG'] | |
def f(x): | |
if first_step_size[0] is None and x[0] != x0[0]: | |
first_step_size[0] = abs(x[0] - x0[0]) | |
if abs(x).max() > 1e4: | |
raise AssertionError("Optimization stepped far away!") | |
return scale*(x[0] - 1)**2 | |
def g(x): | |
return np.array([scale*(x[0] - 1)]) | |
for scale, method in itertools.product(scales, methods): | |
if method in ('CG', 'BFGS'): | |
options = dict(gtol=scale*1e-8) | |
else: | |
options = dict() | |
if scale < 1e-10 and method in ('L-BFGS-B', 'Newton-CG'): | |
# XXX: return initial point if they see small gradient | |
continue | |
x0 = [-1.0] | |
first_step_size = [None] | |
res = optimize.minimize(f, x0, jac=g, method=method, | |
options=options) | |
err_msg = f"{method} {scale}: {first_step_size}: {res}" | |
assert res.success, err_msg | |
assert_allclose(res.x, [1.0], err_msg=err_msg) | |
assert res.nit <= 3, err_msg | |
if scale > 1e-10: | |
if method in ('CG', 'BFGS'): | |
assert_allclose(first_step_size[0], 1.01, err_msg=err_msg) | |
else: | |
# Newton-CG and L-BFGS-B use different logic for the first | |
# step, but are both scaling invariant with step sizes ~ 1 | |
assert first_step_size[0] > 0.5 and first_step_size[0] < 3, err_msg | |
else: | |
# step size has upper bound of ||grad||, so line | |
# search makes many small steps | |
pass | |
def test_nan_values(self, method): | |
# Check nan values result to failed exit status | |
np.random.seed(1234) | |
count = [0] | |
def func(x): | |
return np.nan | |
def func2(x): | |
count[0] += 1 | |
if count[0] > 2: | |
return np.nan | |
else: | |
return np.random.rand() | |
def grad(x): | |
return np.array([1.0]) | |
def hess(x): | |
return np.array([[1.0]]) | |
x0 = np.array([1.0]) | |
needs_grad = method in ('newton-cg', 'trust-krylov', 'trust-exact', | |
'trust-ncg', 'dogleg') | |
needs_hess = method in ('trust-krylov', 'trust-exact', 'trust-ncg', | |
'dogleg') | |
funcs = [func, func2] | |
grads = [grad] if needs_grad else [grad, None] | |
hesss = [hess] if needs_hess else [hess, None] | |
options = dict(maxfun=20) if method == 'tnc' else dict(maxiter=20) | |
with np.errstate(invalid='ignore'), suppress_warnings() as sup: | |
sup.filter(UserWarning, "delta_grad == 0.*") | |
sup.filter(RuntimeWarning, ".*does not use Hessian.*") | |
sup.filter(RuntimeWarning, ".*does not use gradient.*") | |
for f, g, h in itertools.product(funcs, grads, hesss): | |
count = [0] | |
sol = optimize.minimize(f, x0, jac=g, hess=h, method=method, | |
options=options) | |
assert_equal(sol.success, False) | |
def test_duplicate_evaluations(self, method): | |
# check that there are no duplicate evaluations for any methods | |
jac = hess = None | |
if method in ('newton-cg', 'trust-krylov', 'trust-exact', | |
'trust-ncg', 'dogleg'): | |
jac = self.grad | |
if method in ('trust-krylov', 'trust-exact', 'trust-ncg', | |
'dogleg'): | |
hess = self.hess | |
with np.errstate(invalid='ignore'), suppress_warnings() as sup: | |
# for trust-constr | |
sup.filter(UserWarning, "delta_grad == 0.*") | |
optimize.minimize(self.func, self.startparams, | |
method=method, jac=jac, hess=hess) | |
for i in range(1, len(self.trace)): | |
if np.array_equal(self.trace[i - 1], self.trace[i]): | |
raise RuntimeError( | |
f"Duplicate evaluations made by {method}") | |
def test_callback_stopiteration(self, method, new_cb_interface): | |
# Check that if callback raises StopIteration, optimization | |
# terminates with the same result as if iterations were limited | |
def f(x): | |
f.flag = False # check that f isn't called after StopIteration | |
return optimize.rosen(x) | |
f.flag = False | |
def g(x): | |
f.flag = False | |
return optimize.rosen_der(x) | |
def h(x): | |
f.flag = False | |
return optimize.rosen_hess(x) | |
maxiter = 5 | |
if new_cb_interface == 1: | |
def callback_interface(*, intermediate_result): | |
assert intermediate_result.fun == f(intermediate_result.x) | |
callback() | |
elif new_cb_interface == 2: | |
class Callback: | |
def __call__(self, intermediate_result: OptimizeResult): | |
assert intermediate_result.fun == f(intermediate_result.x) | |
callback() | |
callback_interface = Callback() | |
else: | |
def callback_interface(xk, *args): # type: ignore[misc] | |
callback() | |
def callback(): | |
callback.i += 1 | |
callback.flag = False | |
if callback.i == maxiter: | |
callback.flag = True | |
raise StopIteration() | |
callback.i = 0 | |
callback.flag = False | |
kwargs = {'x0': [1.1]*5, 'method': method, | |
'fun': f, 'jac': g, 'hess': h} | |
res = optimize.minimize(**kwargs, callback=callback_interface) | |
if method == 'nelder-mead': | |
maxiter = maxiter + 1 # nelder-mead counts differently | |
ref = optimize.minimize(**kwargs, options={'maxiter': maxiter}) | |
assert res.fun == ref.fun | |
assert_equal(res.x, ref.x) | |
assert res.nit == ref.nit == maxiter | |
assert res.status == (3 if method == 'trust-constr' else 99) | |
def test_ndim_error(self): | |
msg = "'x0' must only have one dimension." | |
with assert_raises(ValueError, match=msg): | |
optimize.minimize(lambda x: x, np.ones((2, 1))) | |
def test_minimize_invalid_bounds(self, method): | |
def f(x): | |
return np.sum(x**2) | |
bounds = Bounds([1, 2], [3, 4]) | |
msg = 'The number of bounds is not compatible with the length of `x0`.' | |
with pytest.raises(ValueError, match=msg): | |
optimize.minimize(f, x0=[1, 2, 3], method=method, bounds=bounds) | |
bounds = Bounds([1, 6, 1], [3, 4, 2]) | |
msg = 'An upper bound is less than the corresponding lower bound.' | |
with pytest.raises(ValueError, match=msg): | |
optimize.minimize(f, x0=[1, 2, 3], method=method, bounds=bounds) | |
def test_minimize_warnings_gh1953(self, method): | |
# test that minimize methods produce warnings rather than just using | |
# `print`; see gh-1953. | |
kwargs = {} if method=='powell' else {'jac': optimize.rosen_der} | |
warning_type = (RuntimeWarning if method=='powell' | |
else optimize.OptimizeWarning) | |
options = {'disp': True, 'maxiter': 10} | |
with pytest.warns(warning_type, match='Maximum number'): | |
optimize.minimize(lambda x: optimize.rosen(x), [0, 0], | |
method=method, options=options, **kwargs) | |
options['disp'] = False | |
optimize.minimize(lambda x: optimize.rosen(x), [0, 0], | |
method=method, options=options, **kwargs) | |
def test_minimize_with_scalar(method): | |
# checks that minimize works with a scalar being provided to it. | |
def f(x): | |
return np.sum(x ** 2) | |
res = optimize.minimize(f, 17, bounds=[(-100, 100)], method=method) | |
assert res.success | |
assert_allclose(res.x, [0.0], atol=1e-5) | |
class TestLBFGSBBounds: | |
def setup_method(self): | |
self.bounds = ((1, None), (None, None)) | |
self.solution = (1, 0) | |
def fun(self, x, p=2.0): | |
return 1.0 / p * (x[0]**p + x[1]**p) | |
def jac(self, x, p=2.0): | |
return x**(p - 1) | |
def fj(self, x, p=2.0): | |
return self.fun(x, p), self.jac(x, p) | |
def test_l_bfgs_b_bounds(self): | |
x, f, d = optimize.fmin_l_bfgs_b(self.fun, [0, -1], | |
fprime=self.jac, | |
bounds=self.bounds) | |
assert d['warnflag'] == 0, d['task'] | |
assert_allclose(x, self.solution, atol=1e-6) | |
def test_l_bfgs_b_funjac(self): | |
# L-BFGS-B with fun and jac combined and extra arguments | |
x, f, d = optimize.fmin_l_bfgs_b(self.fj, [0, -1], args=(2.0, ), | |
bounds=self.bounds) | |
assert d['warnflag'] == 0, d['task'] | |
assert_allclose(x, self.solution, atol=1e-6) | |
def test_minimize_l_bfgs_b_bounds(self): | |
# Minimize with method='L-BFGS-B' with bounds | |
res = optimize.minimize(self.fun, [0, -1], method='L-BFGS-B', | |
jac=self.jac, bounds=self.bounds) | |
assert res['success'], res['message'] | |
assert_allclose(res.x, self.solution, atol=1e-6) | |
def test_minimize_l_bfgs_b_incorrect_bounds(self, bounds): | |
with pytest.raises(ValueError, match='.*bound.*'): | |
optimize.minimize(self.fun, [0, -1], method='L-BFGS-B', | |
jac=self.jac, bounds=bounds) | |
def test_minimize_l_bfgs_b_bounds_FD(self): | |
# test that initial starting value outside bounds doesn't raise | |
# an error (done with clipping). | |
# test all different finite differences combos, with and without args | |
jacs = ['2-point', '3-point', None] | |
argss = [(2.,), ()] | |
for jac, args in itertools.product(jacs, argss): | |
res = optimize.minimize(self.fun, [0, -1], args=args, | |
method='L-BFGS-B', | |
jac=jac, bounds=self.bounds, | |
options={'finite_diff_rel_step': None}) | |
assert res['success'], res['message'] | |
assert_allclose(res.x, self.solution, atol=1e-6) | |
class TestOptimizeScalar: | |
def setup_method(self): | |
self.solution = 1.5 | |
def fun(self, x, a=1.5): | |
"""Objective function""" | |
return (x - a)**2 - 0.8 | |
def test_brent(self): | |
x = optimize.brent(self.fun) | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.brent(self.fun, brack=(-3, -2)) | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.brent(self.fun, full_output=True) | |
assert_allclose(x[0], self.solution, atol=1e-6) | |
x = optimize.brent(self.fun, brack=(-15, -1, 15)) | |
assert_allclose(x, self.solution, atol=1e-6) | |
message = r"\(f\(xb\) < f\(xa\)\) and \(f\(xb\) < f\(xc\)\)" | |
with pytest.raises(ValueError, match=message): | |
optimize.brent(self.fun, brack=(-1, 0, 1)) | |
message = r"\(xa < xb\) and \(xb < xc\)" | |
with pytest.raises(ValueError, match=message): | |
optimize.brent(self.fun, brack=(0, -1, 1)) | |
def test_golden(self): | |
x = optimize.golden(self.fun) | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.golden(self.fun, brack=(-3, -2)) | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.golden(self.fun, full_output=True) | |
assert_allclose(x[0], self.solution, atol=1e-6) | |
x = optimize.golden(self.fun, brack=(-15, -1, 15)) | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.golden(self.fun, tol=0) | |
assert_allclose(x, self.solution) | |
maxiter_test_cases = [0, 1, 5] | |
for maxiter in maxiter_test_cases: | |
x0 = optimize.golden(self.fun, maxiter=0, full_output=True) | |
x = optimize.golden(self.fun, maxiter=maxiter, full_output=True) | |
nfev0, nfev = x0[2], x[2] | |
assert_equal(nfev - nfev0, maxiter) | |
message = r"\(f\(xb\) < f\(xa\)\) and \(f\(xb\) < f\(xc\)\)" | |
with pytest.raises(ValueError, match=message): | |
optimize.golden(self.fun, brack=(-1, 0, 1)) | |
message = r"\(xa < xb\) and \(xb < xc\)" | |
with pytest.raises(ValueError, match=message): | |
optimize.golden(self.fun, brack=(0, -1, 1)) | |
def test_fminbound(self): | |
x = optimize.fminbound(self.fun, 0, 1) | |
assert_allclose(x, 1, atol=1e-4) | |
x = optimize.fminbound(self.fun, 1, 5) | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.fminbound(self.fun, np.array([1]), np.array([5])) | |
assert_allclose(x, self.solution, atol=1e-6) | |
assert_raises(ValueError, optimize.fminbound, self.fun, 5, 1) | |
def test_fminbound_scalar(self): | |
with pytest.raises(ValueError, match='.*must be finite scalars.*'): | |
optimize.fminbound(self.fun, np.zeros((1, 2)), 1) | |
x = optimize.fminbound(self.fun, 1, np.array(5)) | |
assert_allclose(x, self.solution, atol=1e-6) | |
def test_gh11207(self): | |
def fun(x): | |
return x**2 | |
optimize.fminbound(fun, 0, 0) | |
def test_minimize_scalar(self): | |
# combine all tests above for the minimize_scalar wrapper | |
x = optimize.minimize_scalar(self.fun).x | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.minimize_scalar(self.fun, method='Brent') | |
assert x.success | |
x = optimize.minimize_scalar(self.fun, method='Brent', | |
options=dict(maxiter=3)) | |
assert not x.success | |
x = optimize.minimize_scalar(self.fun, bracket=(-3, -2), | |
args=(1.5, ), method='Brent').x | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.minimize_scalar(self.fun, method='Brent', | |
args=(1.5,)).x | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.minimize_scalar(self.fun, bracket=(-15, -1, 15), | |
args=(1.5, ), method='Brent').x | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.minimize_scalar(self.fun, bracket=(-3, -2), | |
args=(1.5, ), method='golden').x | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.minimize_scalar(self.fun, method='golden', | |
args=(1.5,)).x | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.minimize_scalar(self.fun, bracket=(-15, -1, 15), | |
args=(1.5, ), method='golden').x | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.minimize_scalar(self.fun, bounds=(0, 1), args=(1.5,), | |
method='Bounded').x | |
assert_allclose(x, 1, atol=1e-4) | |
x = optimize.minimize_scalar(self.fun, bounds=(1, 5), args=(1.5, ), | |
method='bounded').x | |
assert_allclose(x, self.solution, atol=1e-6) | |
x = optimize.minimize_scalar(self.fun, bounds=(np.array([1]), | |
np.array([5])), | |
args=(np.array([1.5]), ), | |
method='bounded').x | |
assert_allclose(x, self.solution, atol=1e-6) | |
assert_raises(ValueError, optimize.minimize_scalar, self.fun, | |
bounds=(5, 1), method='bounded', args=(1.5, )) | |
assert_raises(ValueError, optimize.minimize_scalar, self.fun, | |
bounds=(np.zeros(2), 1), method='bounded', args=(1.5, )) | |
x = optimize.minimize_scalar(self.fun, bounds=(1, np.array(5)), | |
method='bounded').x | |
assert_allclose(x, self.solution, atol=1e-6) | |
def test_minimize_scalar_custom(self): | |
# This function comes from the documentation example. | |
def custmin(fun, bracket, args=(), maxfev=None, stepsize=0.1, | |
maxiter=100, callback=None, **options): | |
bestx = (bracket[1] + bracket[0]) / 2.0 | |
besty = fun(bestx) | |
funcalls = 1 | |
niter = 0 | |
improved = True | |
stop = False | |
while improved and not stop and niter < maxiter: | |
improved = False | |
niter += 1 | |
for testx in [bestx - stepsize, bestx + stepsize]: | |
testy = fun(testx, *args) | |
funcalls += 1 | |
if testy < besty: | |
besty = testy | |
bestx = testx | |
improved = True | |
if callback is not None: | |
callback(bestx) | |
if maxfev is not None and funcalls >= maxfev: | |
stop = True | |
break | |
return optimize.OptimizeResult(fun=besty, x=bestx, nit=niter, | |
nfev=funcalls, success=(niter > 1)) | |
res = optimize.minimize_scalar(self.fun, bracket=(0, 4), | |
method=custmin, | |
options=dict(stepsize=0.05)) | |
assert_allclose(res.x, self.solution, atol=1e-6) | |
def test_minimize_scalar_coerce_args_param(self): | |
# Regression test for gh-3503 | |
optimize.minimize_scalar(self.fun, args=1.5) | |
def test_disp(self, method): | |
# test that all minimize_scalar methods accept a disp option. | |
for disp in [0, 1, 2, 3]: | |
optimize.minimize_scalar(self.fun, options={"disp": disp}) | |
def test_result_attributes(self, method): | |
kwargs = {"bounds": [-10, 10]} if method == 'bounded' else {} | |
result = optimize.minimize_scalar(self.fun, method=method, **kwargs) | |
assert hasattr(result, "x") | |
assert hasattr(result, "success") | |
assert hasattr(result, "message") | |
assert hasattr(result, "fun") | |
assert hasattr(result, "nfev") | |
assert hasattr(result, "nit") | |
def test_nan_values(self, method): | |
# Check nan values result to failed exit status | |
np.random.seed(1234) | |
count = [0] | |
def func(x): | |
count[0] += 1 | |
if count[0] > 4: | |
return np.nan | |
else: | |
return x**2 + 0.1 * np.sin(x) | |
bracket = (-1, 0, 1) | |
bounds = (-1, 1) | |
with np.errstate(invalid='ignore'), suppress_warnings() as sup: | |
sup.filter(UserWarning, "delta_grad == 0.*") | |
sup.filter(RuntimeWarning, ".*does not use Hessian.*") | |
sup.filter(RuntimeWarning, ".*does not use gradient.*") | |
count = [0] | |
kwargs = {"bounds": bounds} if method == 'bounded' else {} | |
sol = optimize.minimize_scalar(func, bracket=bracket, | |
**kwargs, method=method, | |
options=dict(maxiter=20)) | |
assert_equal(sol.success, False) | |
def test_minimize_scalar_defaults_gh10911(self): | |
# Previously, bounds were silently ignored unless `method='bounds'` | |
# was chosen. See gh-10911. Check that this is no longer the case. | |
def f(x): | |
return x**2 | |
res = optimize.minimize_scalar(f) | |
assert_allclose(res.x, 0, atol=1e-8) | |
res = optimize.minimize_scalar(f, bounds=(1, 100), | |
options={'xatol': 1e-10}) | |
assert_allclose(res.x, 1) | |
def test_minimize_non_finite_bounds_gh10911(self): | |
# Previously, minimize_scalar misbehaved with infinite bounds. | |
# See gh-10911. Check that it now raises an error, instead. | |
msg = "Optimization bounds must be finite scalars." | |
with pytest.raises(ValueError, match=msg): | |
optimize.minimize_scalar(np.sin, bounds=(1, np.inf)) | |
with pytest.raises(ValueError, match=msg): | |
optimize.minimize_scalar(np.sin, bounds=(np.nan, 1)) | |
def test_minimize_unbounded_method_with_bounds_gh10911(self, method): | |
# Previously, `bounds` were silently ignored when `method='brent'` or | |
# `method='golden'`. See gh-10911. Check that error is now raised. | |
msg = "Use of `bounds` is incompatible with..." | |
with pytest.raises(ValueError, match=msg): | |
optimize.minimize_scalar(np.sin, method=method, bounds=(1, 2)) | |
def test_minimize_scalar_dimensionality_gh16196(self, method, tol, fshape): | |
# gh-16196 reported that the output shape of `minimize_scalar` was not | |
# consistent when an objective function returned an array. Check that | |
# `res.fun` and `res.x` are now consistent. | |
def f(x): | |
return np.array(x**4).reshape(fshape) | |
a, b = -0.1, 0.2 | |
kwargs = (dict(bracket=(a, b)) if method != "bounded" | |
else dict(bounds=(a, b))) | |
kwargs.update(dict(method=method, tol=tol)) | |
res = optimize.minimize_scalar(f, **kwargs) | |
assert res.x.shape == res.fun.shape == f(res.x).shape == fshape | |
def test_minimize_scalar_warnings_gh1953(self, method): | |
# test that minimize_scalar methods produce warnings rather than just | |
# using `print`; see gh-1953. | |
def f(x): | |
return (x - 1)**2 | |
kwargs = {} | |
kwd = 'bounds' if method == 'bounded' else 'bracket' | |
kwargs[kwd] = [-2, 10] | |
options = {'disp': True, 'maxiter': 3} | |
with pytest.warns(optimize.OptimizeWarning, match='Maximum number'): | |
optimize.minimize_scalar(f, method=method, options=options, | |
**kwargs) | |
options['disp'] = False | |
optimize.minimize_scalar(f, method=method, options=options, **kwargs) | |
class TestBracket: | |
def test_errors_and_status_false(self): | |
# Check that `bracket` raises the errors it is supposed to | |
def f(x): # gh-14858 | |
return x**2 if ((-1 < x) & (x < 1)) else 100.0 | |
message = "The algorithm terminated without finding a valid bracket." | |
with pytest.raises(RuntimeError, match=message): | |
optimize.bracket(f, -1, 1) | |
with pytest.raises(RuntimeError, match=message): | |
optimize.bracket(f, -1, np.inf) | |
with pytest.raises(RuntimeError, match=message): | |
optimize.brent(f, brack=(-1, 1)) | |
with pytest.raises(RuntimeError, match=message): | |
optimize.golden(f, brack=(-1, 1)) | |
def f(x): # gh-5899 | |
return -5 * x**5 + 4 * x**4 - 12 * x**3 + 11 * x**2 - 2 * x + 1 | |
message = "No valid bracket was found before the iteration limit..." | |
with pytest.raises(RuntimeError, match=message): | |
optimize.bracket(f, -0.5, 0.5, maxiter=10) | |
def test_minimize_scalar_success_false(self, method): | |
# Check that status information from `bracket` gets to minimize_scalar | |
def f(x): # gh-14858 | |
return x**2 if ((-1 < x) & (x < 1)) else 100.0 | |
message = "The algorithm terminated without finding a valid bracket." | |
res = optimize.minimize_scalar(f, bracket=(-1, 1), method=method) | |
assert not res.success | |
assert message in res.message | |
assert res.nfev == 3 | |
assert res.nit == 0 | |
assert res.fun == 100 | |
def test_brent_negative_tolerance(): | |
assert_raises(ValueError, optimize.brent, np.cos, tol=-.01) | |
class TestNewtonCg: | |
def test_rosenbrock(self): | |
x0 = np.array([-1.2, 1.0]) | |
sol = optimize.minimize(optimize.rosen, x0, | |
jac=optimize.rosen_der, | |
hess=optimize.rosen_hess, | |
tol=1e-5, | |
method='Newton-CG') | |
assert sol.success, sol.message | |
assert_allclose(sol.x, np.array([1, 1]), rtol=1e-4) | |
def test_himmelblau(self): | |
x0 = np.array(himmelblau_x0) | |
sol = optimize.minimize(himmelblau, | |
x0, | |
jac=himmelblau_grad, | |
hess=himmelblau_hess, | |
method='Newton-CG', | |
tol=1e-6) | |
assert sol.success, sol.message | |
assert_allclose(sol.x, himmelblau_xopt, rtol=1e-4) | |
assert_allclose(sol.fun, himmelblau_min, atol=1e-4) | |
def test_finite_difference(self): | |
x0 = np.array([-1.2, 1.0]) | |
sol = optimize.minimize(optimize.rosen, x0, | |
jac=optimize.rosen_der, | |
hess='2-point', | |
tol=1e-5, | |
method='Newton-CG') | |
assert sol.success, sol.message | |
assert_allclose(sol.x, np.array([1, 1]), rtol=1e-4) | |
def test_hessian_update_strategy(self): | |
x0 = np.array([-1.2, 1.0]) | |
sol = optimize.minimize(optimize.rosen, x0, | |
jac=optimize.rosen_der, | |
hess=optimize.BFGS(), | |
tol=1e-5, | |
method='Newton-CG') | |
assert sol.success, sol.message | |
assert_allclose(sol.x, np.array([1, 1]), rtol=1e-4) | |
def test_line_for_search(): | |
# _line_for_search is only used in _linesearch_powell, which is also | |
# tested below. Thus there are more tests of _line_for_search in the | |
# test_linesearch_powell_bounded function. | |
line_for_search = optimize._optimize._line_for_search | |
# args are x0, alpha, lower_bound, upper_bound | |
# returns lmin, lmax | |
lower_bound = np.array([-5.3, -1, -1.5, -3]) | |
upper_bound = np.array([1.9, 1, 2.8, 3]) | |
# test when starting in the bounds | |
x0 = np.array([0., 0, 0, 0]) | |
# and when starting outside of the bounds | |
x1 = np.array([0., 2, -3, 0]) | |
all_tests = ( | |
(x0, np.array([1., 0, 0, 0]), -5.3, 1.9), | |
(x0, np.array([0., 1, 0, 0]), -1, 1), | |
(x0, np.array([0., 0, 1, 0]), -1.5, 2.8), | |
(x0, np.array([0., 0, 0, 1]), -3, 3), | |
(x0, np.array([1., 1, 0, 0]), -1, 1), | |
(x0, np.array([1., 0, -1, 2]), -1.5, 1.5), | |
(x0, np.array([2., 0, -1, 2]), -1.5, 0.95), | |
(x1, np.array([1., 0, 0, 0]), -5.3, 1.9), | |
(x1, np.array([0., 1, 0, 0]), -3, -1), | |
(x1, np.array([0., 0, 1, 0]), 1.5, 5.8), | |
(x1, np.array([0., 0, 0, 1]), -3, 3), | |
(x1, np.array([1., 1, 0, 0]), -3, -1), | |
(x1, np.array([1., 0, -1, 0]), -5.3, -1.5), | |
) | |
for x, alpha, lmin, lmax in all_tests: | |
mi, ma = line_for_search(x, alpha, lower_bound, upper_bound) | |
assert_allclose(mi, lmin, atol=1e-6) | |
assert_allclose(ma, lmax, atol=1e-6) | |
# now with infinite bounds | |
lower_bound = np.array([-np.inf, -1, -np.inf, -3]) | |
upper_bound = np.array([np.inf, 1, 2.8, np.inf]) | |
all_tests = ( | |
(x0, np.array([1., 0, 0, 0]), -np.inf, np.inf), | |
(x0, np.array([0., 1, 0, 0]), -1, 1), | |
(x0, np.array([0., 0, 1, 0]), -np.inf, 2.8), | |
(x0, np.array([0., 0, 0, 1]), -3, np.inf), | |
(x0, np.array([1., 1, 0, 0]), -1, 1), | |
(x0, np.array([1., 0, -1, 2]), -1.5, np.inf), | |
(x1, np.array([1., 0, 0, 0]), -np.inf, np.inf), | |
(x1, np.array([0., 1, 0, 0]), -3, -1), | |
(x1, np.array([0., 0, 1, 0]), -np.inf, 5.8), | |
(x1, np.array([0., 0, 0, 1]), -3, np.inf), | |
(x1, np.array([1., 1, 0, 0]), -3, -1), | |
(x1, np.array([1., 0, -1, 0]), -5.8, np.inf), | |
) | |
for x, alpha, lmin, lmax in all_tests: | |
mi, ma = line_for_search(x, alpha, lower_bound, upper_bound) | |
assert_allclose(mi, lmin, atol=1e-6) | |
assert_allclose(ma, lmax, atol=1e-6) | |
def test_linesearch_powell(): | |
# helper function in optimize.py, not a public function. | |
linesearch_powell = optimize._optimize._linesearch_powell | |
# args are func, p, xi, fval, lower_bound=None, upper_bound=None, tol=1e-3 | |
# returns new_fval, p + direction, direction | |
def func(x): | |
return np.sum((x - np.array([-1.0, 2.0, 1.5, -0.4])) ** 2) | |
p0 = np.array([0., 0, 0, 0]) | |
fval = func(p0) | |
lower_bound = np.array([-np.inf] * 4) | |
upper_bound = np.array([np.inf] * 4) | |
all_tests = ( | |
(np.array([1., 0, 0, 0]), -1), | |
(np.array([0., 1, 0, 0]), 2), | |
(np.array([0., 0, 1, 0]), 1.5), | |
(np.array([0., 0, 0, 1]), -.4), | |
(np.array([-1., 0, 1, 0]), 1.25), | |
(np.array([0., 0, 1, 1]), .55), | |
(np.array([2., 0, -1, 1]), -.65), | |
) | |
for xi, l in all_tests: | |
f, p, direction = linesearch_powell(func, p0, xi, | |
fval=fval, tol=1e-5) | |
assert_allclose(f, func(l * xi), atol=1e-6) | |
assert_allclose(p, l * xi, atol=1e-6) | |
assert_allclose(direction, l * xi, atol=1e-6) | |
f, p, direction = linesearch_powell(func, p0, xi, tol=1e-5, | |
lower_bound=lower_bound, | |
upper_bound=upper_bound, | |
fval=fval) | |
assert_allclose(f, func(l * xi), atol=1e-6) | |
assert_allclose(p, l * xi, atol=1e-6) | |
assert_allclose(direction, l * xi, atol=1e-6) | |
def test_linesearch_powell_bounded(): | |
# helper function in optimize.py, not a public function. | |
linesearch_powell = optimize._optimize._linesearch_powell | |
# args are func, p, xi, fval, lower_bound=None, upper_bound=None, tol=1e-3 | |
# returns new_fval, p+direction, direction | |
def func(x): | |
return np.sum((x - np.array([-1.0, 2.0, 1.5, -0.4])) ** 2) | |
p0 = np.array([0., 0, 0, 0]) | |
fval = func(p0) | |
# first choose bounds such that the same tests from | |
# test_linesearch_powell should pass. | |
lower_bound = np.array([-2.]*4) | |
upper_bound = np.array([2.]*4) | |
all_tests = ( | |
(np.array([1., 0, 0, 0]), -1), | |
(np.array([0., 1, 0, 0]), 2), | |
(np.array([0., 0, 1, 0]), 1.5), | |
(np.array([0., 0, 0, 1]), -.4), | |
(np.array([-1., 0, 1, 0]), 1.25), | |
(np.array([0., 0, 1, 1]), .55), | |
(np.array([2., 0, -1, 1]), -.65), | |
) | |
for xi, l in all_tests: | |
f, p, direction = linesearch_powell(func, p0, xi, tol=1e-5, | |
lower_bound=lower_bound, | |
upper_bound=upper_bound, | |
fval=fval) | |
assert_allclose(f, func(l * xi), atol=1e-6) | |
assert_allclose(p, l * xi, atol=1e-6) | |
assert_allclose(direction, l * xi, atol=1e-6) | |
# now choose bounds such that unbounded vs bounded gives different results | |
lower_bound = np.array([-.3]*3 + [-1]) | |
upper_bound = np.array([.45]*3 + [.9]) | |
all_tests = ( | |
(np.array([1., 0, 0, 0]), -.3), | |
(np.array([0., 1, 0, 0]), .45), | |
(np.array([0., 0, 1, 0]), .45), | |
(np.array([0., 0, 0, 1]), -.4), | |
(np.array([-1., 0, 1, 0]), .3), | |
(np.array([0., 0, 1, 1]), .45), | |
(np.array([2., 0, -1, 1]), -.15), | |
) | |
for xi, l in all_tests: | |
f, p, direction = linesearch_powell(func, p0, xi, tol=1e-5, | |
lower_bound=lower_bound, | |
upper_bound=upper_bound, | |
fval=fval) | |
assert_allclose(f, func(l * xi), atol=1e-6) | |
assert_allclose(p, l * xi, atol=1e-6) | |
assert_allclose(direction, l * xi, atol=1e-6) | |
# now choose as above but start outside the bounds | |
p0 = np.array([-1., 0, 0, 2]) | |
fval = func(p0) | |
all_tests = ( | |
(np.array([1., 0, 0, 0]), .7), | |
(np.array([0., 1, 0, 0]), .45), | |
(np.array([0., 0, 1, 0]), .45), | |
(np.array([0., 0, 0, 1]), -2.4), | |
) | |
for xi, l in all_tests: | |
f, p, direction = linesearch_powell(func, p0, xi, tol=1e-5, | |
lower_bound=lower_bound, | |
upper_bound=upper_bound, | |
fval=fval) | |
assert_allclose(f, func(p0 + l * xi), atol=1e-6) | |
assert_allclose(p, p0 + l * xi, atol=1e-6) | |
assert_allclose(direction, l * xi, atol=1e-6) | |
# now mix in inf | |
p0 = np.array([0., 0, 0, 0]) | |
fval = func(p0) | |
# now choose bounds that mix inf | |
lower_bound = np.array([-.3, -np.inf, -np.inf, -1]) | |
upper_bound = np.array([np.inf, .45, np.inf, .9]) | |
all_tests = ( | |
(np.array([1., 0, 0, 0]), -.3), | |
(np.array([0., 1, 0, 0]), .45), | |
(np.array([0., 0, 1, 0]), 1.5), | |
(np.array([0., 0, 0, 1]), -.4), | |
(np.array([-1., 0, 1, 0]), .3), | |
(np.array([0., 0, 1, 1]), .55), | |
(np.array([2., 0, -1, 1]), -.15), | |
) | |
for xi, l in all_tests: | |
f, p, direction = linesearch_powell(func, p0, xi, tol=1e-5, | |
lower_bound=lower_bound, | |
upper_bound=upper_bound, | |
fval=fval) | |
assert_allclose(f, func(l * xi), atol=1e-6) | |
assert_allclose(p, l * xi, atol=1e-6) | |
assert_allclose(direction, l * xi, atol=1e-6) | |
# now choose as above but start outside the bounds | |
p0 = np.array([-1., 0, 0, 2]) | |
fval = func(p0) | |
all_tests = ( | |
(np.array([1., 0, 0, 0]), .7), | |
(np.array([0., 1, 0, 0]), .45), | |
(np.array([0., 0, 1, 0]), 1.5), | |
(np.array([0., 0, 0, 1]), -2.4), | |
) | |
for xi, l in all_tests: | |
f, p, direction = linesearch_powell(func, p0, xi, tol=1e-5, | |
lower_bound=lower_bound, | |
upper_bound=upper_bound, | |
fval=fval) | |
assert_allclose(f, func(p0 + l * xi), atol=1e-6) | |
assert_allclose(p, p0 + l * xi, atol=1e-6) | |
assert_allclose(direction, l * xi, atol=1e-6) | |
def test_powell_limits(): | |
# gh15342 - powell was going outside bounds for some function evaluations. | |
bounds = optimize.Bounds([0, 0], [0.6, 20]) | |
def fun(x): | |
a, b = x | |
assert (x >= bounds.lb).all() and (x <= bounds.ub).all() | |
return a ** 2 + b ** 2 | |
optimize.minimize(fun, x0=[0.6, 20], method='Powell', bounds=bounds) | |
# Another test from the original report - gh-13411 | |
bounds = optimize.Bounds(lb=[0,], ub=[1,], keep_feasible=[True,]) | |
def func(x): | |
assert x >= 0 and x <= 1 | |
return np.exp(x) | |
optimize.minimize(fun=func, x0=[0.5], method='powell', bounds=bounds) | |
class TestRosen: | |
def test_hess(self): | |
# Compare rosen_hess(x) times p with rosen_hess_prod(x,p). See gh-1775. | |
x = np.array([3, 4, 5]) | |
p = np.array([2, 2, 2]) | |
hp = optimize.rosen_hess_prod(x, p) | |
dothp = np.dot(optimize.rosen_hess(x), p) | |
assert_equal(hp, dothp) | |
def himmelblau(p): | |
""" | |
R^2 -> R^1 test function for optimization. The function has four local | |
minima where himmelblau(xopt) == 0. | |
""" | |
x, y = p | |
a = x*x + y - 11 | |
b = x + y*y - 7 | |
return a*a + b*b | |
def himmelblau_grad(p): | |
x, y = p | |
return np.array([4*x**3 + 4*x*y - 42*x + 2*y**2 - 14, | |
2*x**2 + 4*x*y + 4*y**3 - 26*y - 22]) | |
def himmelblau_hess(p): | |
x, y = p | |
return np.array([[12*x**2 + 4*y - 42, 4*x + 4*y], | |
[4*x + 4*y, 4*x + 12*y**2 - 26]]) | |
himmelblau_x0 = [-0.27, -0.9] | |
himmelblau_xopt = [3, 2] | |
himmelblau_min = 0.0 | |
def test_minimize_multiple_constraints(): | |
# Regression test for gh-4240. | |
def func(x): | |
return np.array([25 - 0.2 * x[0] - 0.4 * x[1] - 0.33 * x[2]]) | |
def func1(x): | |
return np.array([x[1]]) | |
def func2(x): | |
return np.array([x[2]]) | |
cons = ({'type': 'ineq', 'fun': func}, | |
{'type': 'ineq', 'fun': func1}, | |
{'type': 'ineq', 'fun': func2}) | |
def f(x): | |
return -1 * (x[0] + x[1] + x[2]) | |
res = optimize.minimize(f, [0, 0, 0], method='SLSQP', constraints=cons) | |
assert_allclose(res.x, [125, 0, 0], atol=1e-10) | |
class TestOptimizeResultAttributes: | |
# Test that all minimizers return an OptimizeResult containing | |
# all the OptimizeResult attributes | |
def setup_method(self): | |
self.x0 = [5, 5] | |
self.func = optimize.rosen | |
self.jac = optimize.rosen_der | |
self.hess = optimize.rosen_hess | |
self.hessp = optimize.rosen_hess_prod | |
self.bounds = [(0., 10.), (0., 10.)] | |
def test_attributes_present(self): | |
attributes = ['nit', 'nfev', 'x', 'success', 'status', 'fun', | |
'message'] | |
skip = {'cobyla': ['nit']} | |
for method in MINIMIZE_METHODS: | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning, | |
("Method .+ does not use (gradient|Hessian.*)" | |
" information")) | |
res = optimize.minimize(self.func, self.x0, method=method, | |
jac=self.jac, hess=self.hess, | |
hessp=self.hessp) | |
for attribute in attributes: | |
if method in skip and attribute in skip[method]: | |
continue | |
assert hasattr(res, attribute) | |
assert attribute in dir(res) | |
# gh13001, OptimizeResult.message should be a str | |
assert isinstance(res.message, str) | |
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 brute_func(z, *params): | |
return f1(z, *params) + f2(z, *params) + f3(z, *params) | |
class TestBrute: | |
# Test the "brute force" method | |
def setup_method(self): | |
self.params = (2, 3, 7, 8, 9, 10, 44, -1, 2, 26, 1, -2, 0.5) | |
self.rranges = (slice(-4, 4, 0.25), slice(-4, 4, 0.25)) | |
self.solution = np.array([-1.05665192, 1.80834843]) | |
def brute_func(self, z, *params): | |
# an instance method optimizing | |
return brute_func(z, *params) | |
def test_brute(self): | |
# test fmin | |
resbrute = optimize.brute(brute_func, self.rranges, args=self.params, | |
full_output=True, finish=optimize.fmin) | |
assert_allclose(resbrute[0], self.solution, atol=1e-3) | |
assert_allclose(resbrute[1], brute_func(self.solution, *self.params), | |
atol=1e-3) | |
# test minimize | |
resbrute = optimize.brute(brute_func, self.rranges, args=self.params, | |
full_output=True, | |
finish=optimize.minimize) | |
assert_allclose(resbrute[0], self.solution, atol=1e-3) | |
assert_allclose(resbrute[1], brute_func(self.solution, *self.params), | |
atol=1e-3) | |
# test that brute can optimize an instance method (the other tests use | |
# a non-class based function | |
resbrute = optimize.brute(self.brute_func, self.rranges, | |
args=self.params, full_output=True, | |
finish=optimize.minimize) | |
assert_allclose(resbrute[0], self.solution, atol=1e-3) | |
def test_1D(self): | |
# test that for a 1-D problem the test function is passed an array, | |
# not a scalar. | |
def f(x): | |
assert len(x.shape) == 1 | |
assert x.shape[0] == 1 | |
return x ** 2 | |
optimize.brute(f, [(-1, 1)], Ns=3, finish=None) | |
def test_workers(self): | |
# check that parallel evaluation works | |
resbrute = optimize.brute(brute_func, self.rranges, args=self.params, | |
full_output=True, finish=None) | |
resbrute1 = optimize.brute(brute_func, self.rranges, args=self.params, | |
full_output=True, finish=None, workers=2) | |
assert_allclose(resbrute1[-1], resbrute[-1]) | |
assert_allclose(resbrute1[0], resbrute[0]) | |
def test_runtime_warning(self, capsys): | |
rng = np.random.default_rng(1234) | |
def func(z, *params): | |
return rng.random(1) * 1000 # never converged problem | |
msg = "final optimization did not succeed.*|Maximum number of function eval.*" | |
with pytest.warns(RuntimeWarning, match=msg): | |
optimize.brute(func, self.rranges, args=self.params, disp=True) | |
def test_coerce_args_param(self): | |
# optimize.brute should coerce non-iterable args to a tuple. | |
def f(x, *args): | |
return x ** args[0] | |
resbrute = optimize.brute(f, (slice(-4, 4, .25),), args=2) | |
assert_allclose(resbrute, 0) | |
def test_cobyla_threadsafe(): | |
# Verify that cobyla is threadsafe. Will segfault if it is not. | |
import concurrent.futures | |
import time | |
def objective1(x): | |
time.sleep(0.1) | |
return x[0]**2 | |
def objective2(x): | |
time.sleep(0.1) | |
return (x[0]-1)**2 | |
min_method = "COBYLA" | |
def minimizer1(): | |
return optimize.minimize(objective1, | |
[0.0], | |
method=min_method) | |
def minimizer2(): | |
return optimize.minimize(objective2, | |
[0.0], | |
method=min_method) | |
with concurrent.futures.ThreadPoolExecutor() as pool: | |
tasks = [] | |
tasks.append(pool.submit(minimizer1)) | |
tasks.append(pool.submit(minimizer2)) | |
for t in tasks: | |
t.result() | |
class TestIterationLimits: | |
# Tests that optimisation does not give up before trying requested | |
# number of iterations or evaluations. And that it does not succeed | |
# by exceeding the limits. | |
def setup_method(self): | |
self.funcalls = 0 | |
def slow_func(self, v): | |
self.funcalls += 1 | |
r, t = np.sqrt(v[0]**2+v[1]**2), np.arctan2(v[0], v[1]) | |
return np.sin(r*20 + t)+r*0.5 | |
def test_neldermead_limit(self): | |
self.check_limits("Nelder-Mead", 200) | |
def test_powell_limit(self): | |
self.check_limits("powell", 1000) | |
def check_limits(self, method, default_iters): | |
for start_v in [[0.1, 0.1], [1, 1], [2, 2]]: | |
for mfev in [50, 500, 5000]: | |
self.funcalls = 0 | |
res = optimize.minimize(self.slow_func, start_v, | |
method=method, | |
options={"maxfev": mfev}) | |
assert self.funcalls == res["nfev"] | |
if res["success"]: | |
assert res["nfev"] < mfev | |
else: | |
assert res["nfev"] >= mfev | |
for mit in [50, 500, 5000]: | |
res = optimize.minimize(self.slow_func, start_v, | |
method=method, | |
options={"maxiter": mit}) | |
if res["success"]: | |
assert res["nit"] <= mit | |
else: | |
assert res["nit"] >= mit | |
for mfev, mit in [[50, 50], [5000, 5000], [5000, np.inf]]: | |
self.funcalls = 0 | |
res = optimize.minimize(self.slow_func, start_v, | |
method=method, | |
options={"maxiter": mit, | |
"maxfev": mfev}) | |
assert self.funcalls == res["nfev"] | |
if res["success"]: | |
assert res["nfev"] < mfev and res["nit"] <= mit | |
else: | |
assert res["nfev"] >= mfev or res["nit"] >= mit | |
for mfev, mit in [[np.inf, None], [None, np.inf]]: | |
self.funcalls = 0 | |
res = optimize.minimize(self.slow_func, start_v, | |
method=method, | |
options={"maxiter": mit, | |
"maxfev": mfev}) | |
assert self.funcalls == res["nfev"] | |
if res["success"]: | |
if mfev is None: | |
assert res["nfev"] < default_iters*2 | |
else: | |
assert res["nit"] <= default_iters*2 | |
else: | |
assert (res["nfev"] >= default_iters*2 | |
or res["nit"] >= default_iters*2) | |
def test_result_x_shape_when_len_x_is_one(): | |
def fun(x): | |
return x * x | |
def jac(x): | |
return 2. * x | |
def hess(x): | |
return np.array([[2.]]) | |
methods = ['Nelder-Mead', 'Powell', 'CG', 'BFGS', 'L-BFGS-B', 'TNC', | |
'COBYLA', 'SLSQP'] | |
for method in methods: | |
res = optimize.minimize(fun, np.array([0.1]), method=method) | |
assert res.x.shape == (1,) | |
# use jac + hess | |
methods = ['trust-constr', 'dogleg', 'trust-ncg', 'trust-exact', | |
'trust-krylov', 'Newton-CG'] | |
for method in methods: | |
res = optimize.minimize(fun, np.array([0.1]), method=method, jac=jac, | |
hess=hess) | |
assert res.x.shape == (1,) | |
class FunctionWithGradient: | |
def __init__(self): | |
self.number_of_calls = 0 | |
def __call__(self, x): | |
self.number_of_calls += 1 | |
return np.sum(x**2), 2 * x | |
def function_with_gradient(): | |
return FunctionWithGradient() | |
def test_memoize_jac_function_before_gradient(function_with_gradient): | |
memoized_function = MemoizeJac(function_with_gradient) | |
x0 = np.array([1.0, 2.0]) | |
assert_allclose(memoized_function(x0), 5.0) | |
assert function_with_gradient.number_of_calls == 1 | |
assert_allclose(memoized_function.derivative(x0), 2 * x0) | |
assert function_with_gradient.number_of_calls == 1, \ | |
"function is not recomputed " \ | |
"if gradient is requested after function value" | |
assert_allclose( | |
memoized_function(2 * x0), 20.0, | |
err_msg="different input triggers new computation") | |
assert function_with_gradient.number_of_calls == 2, \ | |
"different input triggers new computation" | |
def test_memoize_jac_gradient_before_function(function_with_gradient): | |
memoized_function = MemoizeJac(function_with_gradient) | |
x0 = np.array([1.0, 2.0]) | |
assert_allclose(memoized_function.derivative(x0), 2 * x0) | |
assert function_with_gradient.number_of_calls == 1 | |
assert_allclose(memoized_function(x0), 5.0) | |
assert function_with_gradient.number_of_calls == 1, \ | |
"function is not recomputed " \ | |
"if function value is requested after gradient" | |
assert_allclose( | |
memoized_function.derivative(2 * x0), 4 * x0, | |
err_msg="different input triggers new computation") | |
assert function_with_gradient.number_of_calls == 2, \ | |
"different input triggers new computation" | |
def test_memoize_jac_with_bfgs(function_with_gradient): | |
""" Tests that using MemoizedJac in combination with ScalarFunction | |
and BFGS does not lead to repeated function evaluations. | |
Tests changes made in response to GH11868. | |
""" | |
memoized_function = MemoizeJac(function_with_gradient) | |
jac = memoized_function.derivative | |
hess = optimize.BFGS() | |
x0 = np.array([1.0, 0.5]) | |
scalar_function = ScalarFunction( | |
memoized_function, x0, (), jac, hess, None, None) | |
assert function_with_gradient.number_of_calls == 1 | |
scalar_function.fun(x0 + 0.1) | |
assert function_with_gradient.number_of_calls == 2 | |
scalar_function.fun(x0 + 0.2) | |
assert function_with_gradient.number_of_calls == 3 | |
def test_gh12696(): | |
# Test that optimize doesn't throw warning gh-12696 | |
with assert_no_warnings(): | |
optimize.fminbound( | |
lambda x: np.array([x**2]), -np.pi, np.pi, disp=False) | |
# --- Test minimize with equal upper and lower bounds --- # | |
def setup_test_equal_bounds(): | |
np.random.seed(0) | |
x0 = np.random.rand(4) | |
lb = np.array([0, 2, -1, -1.0]) | |
ub = np.array([3, 2, 2, -1.0]) | |
i_eb = (lb == ub) | |
def check_x(x, check_size=True, check_values=True): | |
if check_size: | |
assert x.size == 4 | |
if check_values: | |
assert_allclose(x[i_eb], lb[i_eb]) | |
def func(x): | |
check_x(x) | |
return optimize.rosen(x) | |
def grad(x): | |
check_x(x) | |
return optimize.rosen_der(x) | |
def callback(x, *args): | |
check_x(x) | |
def constraint1(x): | |
check_x(x, check_values=False) | |
return x[0:1] - 1 | |
def jacobian1(x): | |
check_x(x, check_values=False) | |
dc = np.zeros_like(x) | |
dc[0] = 1 | |
return dc | |
def constraint2(x): | |
check_x(x, check_values=False) | |
return x[2:3] - 0.5 | |
def jacobian2(x): | |
check_x(x, check_values=False) | |
dc = np.zeros_like(x) | |
dc[2] = 1 | |
return dc | |
c1a = NonlinearConstraint(constraint1, -np.inf, 0) | |
c1b = NonlinearConstraint(constraint1, -np.inf, 0, jacobian1) | |
c2a = NonlinearConstraint(constraint2, -np.inf, 0) | |
c2b = NonlinearConstraint(constraint2, -np.inf, 0, jacobian2) | |
# test using the three methods that accept bounds, use derivatives, and | |
# have some trouble when bounds fix variables | |
methods = ('L-BFGS-B', 'SLSQP', 'TNC') | |
# test w/out gradient, w/ gradient, and w/ combined objective/gradient | |
kwds = ({"fun": func, "jac": False}, | |
{"fun": func, "jac": grad}, | |
{"fun": (lambda x: (func(x), grad(x))), | |
"jac": True}) | |
# test with both old- and new-style bounds | |
bound_types = (lambda lb, ub: list(zip(lb, ub)), | |
Bounds) | |
# Test for many combinations of constraints w/ and w/out jacobian | |
# Pairs in format: (test constraints, reference constraints) | |
# (always use analytical jacobian in reference) | |
constraints = ((None, None), ([], []), | |
(c1a, c1b), (c2b, c2b), | |
([c1b], [c1b]), ([c2a], [c2b]), | |
([c1a, c2a], [c1b, c2b]), | |
([c1a, c2b], [c1b, c2b]), | |
([c1b, c2b], [c1b, c2b])) | |
# test with and without callback function | |
callbacks = (None, callback) | |
data = {"methods": methods, "kwds": kwds, "bound_types": bound_types, | |
"constraints": constraints, "callbacks": callbacks, | |
"lb": lb, "ub": ub, "x0": x0, "i_eb": i_eb} | |
return data | |
eb_data = setup_test_equal_bounds() | |
# This test is about handling fixed variables, not the accuracy of the solvers | |
def test_equal_bounds(method, kwds, bound_type, constraints, callback): | |
""" | |
Tests that minimizers still work if (bounds.lb == bounds.ub).any() | |
gh12502 - Divide by zero in Jacobian numerical differentiation when | |
equality bounds constraints are used | |
""" | |
# GH-15051; slightly more skips than necessary; hopefully fixed by GH-14882 | |
if (platform.machine() == 'aarch64' and method == "TNC" | |
and kwds["jac"] is False and callback is not None): | |
pytest.skip('Tolerance violation on aarch') | |
lb, ub = eb_data["lb"], eb_data["ub"] | |
x0, i_eb = eb_data["x0"], eb_data["i_eb"] | |
test_constraints, reference_constraints = constraints | |
if test_constraints and not method == 'SLSQP': | |
pytest.skip('Only SLSQP supports nonlinear constraints') | |
# reference constraints always have analytical jacobian | |
# if test constraints are not the same, we'll need finite differences | |
fd_needed = (test_constraints != reference_constraints) | |
bounds = bound_type(lb, ub) # old- or new-style | |
kwds.update({"x0": x0, "method": method, "bounds": bounds, | |
"constraints": test_constraints, "callback": callback}) | |
res = optimize.minimize(**kwds) | |
expected = optimize.minimize(optimize.rosen, x0, method=method, | |
jac=optimize.rosen_der, bounds=bounds, | |
constraints=reference_constraints) | |
# compare the output of a solution with FD vs that of an analytic grad | |
assert res.success | |
assert_allclose(res.fun, expected.fun, rtol=1.5e-6) | |
assert_allclose(res.x, expected.x, rtol=5e-4) | |
if fd_needed or kwds['jac'] is False: | |
expected.jac[i_eb] = np.nan | |
assert res.jac.shape[0] == 4 | |
assert_allclose(res.jac[i_eb], expected.jac[i_eb], rtol=1e-6) | |
if not (kwds['jac'] or test_constraints or isinstance(bounds, Bounds)): | |
# compare the output to an equivalent FD minimization that doesn't | |
# need factorization | |
def fun(x): | |
new_x = np.array([np.nan, 2, np.nan, -1]) | |
new_x[[0, 2]] = x | |
return optimize.rosen(new_x) | |
fd_res = optimize.minimize(fun, | |
x0[[0, 2]], | |
method=method, | |
bounds=bounds[::2]) | |
assert_allclose(res.fun, fd_res.fun) | |
# TODO this test should really be equivalent to factorized version | |
# above, down to res.nfev. However, testing found that when TNC is | |
# called with or without a callback the output is different. The two | |
# should be the same! This indicates that the TNC callback may be | |
# mutating something when it shouldn't. | |
assert_allclose(res.x[[0, 2]], fd_res.x, rtol=2e-6) | |
def test_all_bounds_equal(method): | |
# this only tests methods that have parameters factored out when lb==ub | |
# it does not test other methods that work with bounds | |
def f(x, p1=1): | |
return np.linalg.norm(x) + p1 | |
bounds = [(1, 1), (2, 2)] | |
x0 = (1.0, 3.0) | |
res = optimize.minimize(f, x0, bounds=bounds, method=method) | |
assert res.success | |
assert_allclose(res.fun, f([1.0, 2.0])) | |
assert res.nfev == 1 | |
assert res.message == 'All independent variables were fixed by bounds.' | |
args = (2,) | |
res = optimize.minimize(f, x0, bounds=bounds, method=method, args=args) | |
assert res.success | |
assert_allclose(res.fun, f([1.0, 2.0], 2)) | |
if method.upper() == 'SLSQP': | |
def con(x): | |
return np.sum(x) | |
nlc = NonlinearConstraint(con, -np.inf, 0.0) | |
res = optimize.minimize( | |
f, x0, bounds=bounds, method=method, constraints=[nlc] | |
) | |
assert res.success is False | |
assert_allclose(res.fun, f([1.0, 2.0])) | |
assert res.nfev == 1 | |
message = "All independent variables were fixed by bounds, but" | |
assert res.message.startswith(message) | |
nlc = NonlinearConstraint(con, -np.inf, 4) | |
res = optimize.minimize( | |
f, x0, bounds=bounds, method=method, constraints=[nlc] | |
) | |
assert res.success is True | |
assert_allclose(res.fun, f([1.0, 2.0])) | |
assert res.nfev == 1 | |
message = "All independent variables were fixed by bounds at values" | |
assert res.message.startswith(message) | |
def test_eb_constraints(): | |
# make sure constraint functions aren't overwritten when equal bounds | |
# are employed, and a parameter is factored out. GH14859 | |
def f(x): | |
return x[0]**3 + x[1]**2 + x[2]*x[3] | |
def cfun(x): | |
return x[0] + x[1] + x[2] + x[3] - 40 | |
constraints = [{'type': 'ineq', 'fun': cfun}] | |
bounds = [(0, 20)] * 4 | |
bounds[1] = (5, 5) | |
optimize.minimize( | |
f, | |
x0=[1, 2, 3, 4], | |
method='SLSQP', | |
bounds=bounds, | |
constraints=constraints, | |
) | |
assert constraints[0]['fun'] == cfun | |
def test_show_options(): | |
solver_methods = { | |
'minimize': MINIMIZE_METHODS, | |
'minimize_scalar': MINIMIZE_SCALAR_METHODS, | |
'root': ROOT_METHODS, | |
'root_scalar': ROOT_SCALAR_METHODS, | |
'linprog': LINPROG_METHODS, | |
'quadratic_assignment': QUADRATIC_ASSIGNMENT_METHODS, | |
} | |
for solver, methods in solver_methods.items(): | |
for method in methods: | |
# testing that `show_options` works without error | |
show_options(solver, method) | |
unknown_solver_method = { | |
'minimize': "ekki", # unknown method | |
'maximize': "cg", # unknown solver | |
'maximize_scalar': "ekki", # unknown solver and method | |
} | |
for solver, method in unknown_solver_method.items(): | |
# testing that `show_options` raises ValueError | |
assert_raises(ValueError, show_options, solver, method) | |
def test_bounds_with_list(): | |
# gh13501. Bounds created with lists weren't working for Powell. | |
bounds = optimize.Bounds(lb=[5., 5.], ub=[10., 10.]) | |
optimize.minimize( | |
optimize.rosen, x0=np.array([9, 9]), method='Powell', bounds=bounds | |
) | |
def test_x_overwritten_user_function(): | |
# if the user overwrites the x-array in the user function it's likely | |
# that the minimizer stops working properly. | |
# gh13740 | |
def fquad(x): | |
a = np.arange(np.size(x)) | |
x -= a | |
x *= x | |
return np.sum(x) | |
def fquad_jac(x): | |
a = np.arange(np.size(x)) | |
x *= 2 | |
x -= 2 * a | |
return x | |
def fquad_hess(x): | |
return np.eye(np.size(x)) * 2.0 | |
meth_jac = [ | |
'newton-cg', 'dogleg', 'trust-ncg', 'trust-exact', | |
'trust-krylov', 'trust-constr' | |
] | |
meth_hess = [ | |
'dogleg', 'trust-ncg', 'trust-exact', 'trust-krylov', 'trust-constr' | |
] | |
x0 = np.ones(5) * 1.5 | |
for meth in MINIMIZE_METHODS: | |
jac = None | |
hess = None | |
if meth in meth_jac: | |
jac = fquad_jac | |
if meth in meth_hess: | |
hess = fquad_hess | |
res = optimize.minimize(fquad, x0, method=meth, jac=jac, hess=hess) | |
assert_allclose(res.x, np.arange(np.size(x0)), atol=2e-4) | |
class TestGlobalOptimization: | |
def test_optimize_result_attributes(self): | |
def func(x): | |
return x ** 2 | |
# Note that `brute` solver does not return `OptimizeResult` | |
results = [optimize.basinhopping(func, x0=1), | |
optimize.differential_evolution(func, [(-4, 4)]), | |
optimize.shgo(func, [(-4, 4)]), | |
optimize.dual_annealing(func, [(-4, 4)]), | |
optimize.direct(func, [(-4, 4)]), | |
] | |
for result in results: | |
assert isinstance(result, optimize.OptimizeResult) | |
assert hasattr(result, "x") | |
assert hasattr(result, "success") | |
assert hasattr(result, "message") | |
assert hasattr(result, "fun") | |
assert hasattr(result, "nfev") | |
assert hasattr(result, "nit") | |
def test_approx_fprime(): | |
# check that approx_fprime (serviced by approx_derivative) works for | |
# jac and hess | |
g = optimize.approx_fprime(himmelblau_x0, himmelblau) | |
assert_allclose(g, himmelblau_grad(himmelblau_x0), rtol=5e-6) | |
h = optimize.approx_fprime(himmelblau_x0, himmelblau_grad) | |
assert_allclose(h, himmelblau_hess(himmelblau_x0), rtol=5e-6) | |
def test_gh12594(): | |
# gh-12594 reported an error in `_linesearch_powell` and | |
# `_line_for_search` when `Bounds` was passed lists instead of arrays. | |
# Check that results are the same whether the inputs are lists or arrays. | |
def f(x): | |
return x[0]**2 + (x[1] - 1)**2 | |
bounds = Bounds(lb=[-10, -10], ub=[10, 10]) | |
res = optimize.minimize(f, x0=(0, 0), method='Powell', bounds=bounds) | |
bounds = Bounds(lb=np.array([-10, -10]), ub=np.array([10, 10])) | |
ref = optimize.minimize(f, x0=(0, 0), method='Powell', bounds=bounds) | |
assert_allclose(res.fun, ref.fun) | |
assert_allclose(res.x, ref.x) | |
def test_sparse_hessian(method, sparse_type): | |
# gh-8792 reported an error for minimization with `newton_cg` when `hess` | |
# returns a sparse matrix. Check that results are the same whether `hess` | |
# returns a dense or sparse matrix for optimization methods that accept | |
# sparse Hessian matrices. | |
def sparse_rosen_hess(x): | |
return sparse_type(rosen_hess(x)) | |
x0 = [2., 2.] | |
res_sparse = optimize.minimize(rosen, x0, method=method, | |
jac=rosen_der, hess=sparse_rosen_hess) | |
res_dense = optimize.minimize(rosen, x0, method=method, | |
jac=rosen_der, hess=rosen_hess) | |
assert_allclose(res_dense.fun, res_sparse.fun) | |
assert_allclose(res_dense.x, res_sparse.x) | |
assert res_dense.nfev == res_sparse.nfev | |
assert res_dense.njev == res_sparse.njev | |
assert res_dense.nhev == res_sparse.nhev | |