_constraints.py 18.2 KB
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475
"""Constraints definition for minimize."""
import numpy as np
from ._hessian_update_strategy import BFGS
from ._differentiable_functions import (
    VectorFunction, LinearVectorFunction, IdentityVectorFunction)
from .optimize import OptimizeWarning
from warnings import warn
from numpy.testing import suppress_warnings
from scipy.sparse import issparse


def _arr_to_scalar(x):
    # If x is a numpy array, return x.item().  This will
    # fail if the array has more than one element.
    return x.item() if isinstance(x, np.ndarray) else x


class NonlinearConstraint(object):
    """Nonlinear constraint on the variables.

    The constraint has the general inequality form::

        lb <= fun(x) <= ub

    Here the vector of independent variables x is passed as ndarray of shape
    (n,) and ``fun`` returns a vector with m components.

    It is possible to use equal bounds to represent an equality constraint or
    infinite bounds to represent a one-sided constraint.

    Parameters
    ----------
    fun : callable
        The function defining the constraint.
        The signature is ``fun(x) -> array_like, shape (m,)``.
    lb, ub : array_like
        Lower and upper bounds on the constraint. Each array must have the
        shape (m,) or be a scalar, in the latter case a bound will be the same
        for all components of the constraint. Use ``np.inf`` with an
        appropriate sign to specify a one-sided constraint.
        Set components of `lb` and `ub` equal to represent an equality
        constraint. Note that you can mix constraints of different types:
        interval, one-sided or equality, by setting different components of
        `lb` and `ub` as  necessary.
    jac : {callable,  '2-point', '3-point', 'cs'}, optional
        Method of computing the Jacobian matrix (an m-by-n matrix,
        where element (i, j) is the partial derivative of f[i] with
        respect to x[j]).  The keywords {'2-point', '3-point',
        'cs'} select a finite difference scheme for the numerical estimation.
        A callable must have the following signature:
        ``jac(x) -> {ndarray, sparse matrix}, shape (m, n)``.
        Default is '2-point'.
    hess : {callable, '2-point', '3-point', 'cs', HessianUpdateStrategy, None}, optional
        Method for computing the Hessian matrix. The keywords
        {'2-point', '3-point', 'cs'} select a finite difference scheme for
        numerical  estimation.  Alternatively, objects implementing
        `HessianUpdateStrategy` interface can be used to approximate the
        Hessian. Currently available implementations are:

            - `BFGS` (default option)
            - `SR1`

        A callable must return the Hessian matrix of ``dot(fun, v)`` and
        must have the following signature:
        ``hess(x, v) -> {LinearOperator, sparse matrix, array_like}, shape (n, n)``.
        Here ``v`` is ndarray with shape (m,) containing Lagrange multipliers.
    keep_feasible : array_like of bool, optional
        Whether to keep the constraint components feasible throughout
        iterations. A single value set this property for all components.
        Default is False. Has no effect for equality constraints.
    finite_diff_rel_step: None or array_like, optional
        Relative step size for the finite difference approximation. Default is
        None, which will select a reasonable value automatically depending
        on a finite difference scheme.
    finite_diff_jac_sparsity: {None, array_like, sparse matrix}, optional
        Defines the sparsity structure of the Jacobian matrix for finite
        difference estimation, its shape must be (m, n). If the Jacobian has
        only few non-zero elements in *each* row, providing the sparsity
        structure will greatly speed up the computations. A zero entry means
        that a corresponding element in the Jacobian is identically zero.
        If provided, forces the use of 'lsmr' trust-region solver.
        If None (default) then dense differencing will be used.

    Notes
    -----
    Finite difference schemes {'2-point', '3-point', 'cs'} may be used for
    approximating either the Jacobian or the Hessian. We, however, do not allow
    its use for approximating both simultaneously. Hence whenever the Jacobian
    is estimated via finite-differences, we require the Hessian to be estimated
    using one of the quasi-Newton strategies.

    The scheme 'cs' is potentially the most accurate, but requires the function
    to correctly handles complex inputs and be analytically continuable to the
    complex plane. The scheme '3-point' is more accurate than '2-point' but
    requires twice as many operations.

    Examples
    --------
    Constrain ``x[0] < sin(x[1]) + 1.9``

    >>> from scipy.optimize import NonlinearConstraint
    >>> con = lambda x: x[0] - np.sin(x[1])
    >>> nlc = NonlinearConstraint(con, -np.inf, 1.9)

    """
    def __init__(self, fun, lb, ub, jac='2-point', hess=BFGS(),
                 keep_feasible=False, finite_diff_rel_step=None,
                 finite_diff_jac_sparsity=None):
        self.fun = fun
        self.lb = lb
        self.ub = ub
        self.finite_diff_rel_step = finite_diff_rel_step
        self.finite_diff_jac_sparsity = finite_diff_jac_sparsity
        self.jac = jac
        self.hess = hess
        self.keep_feasible = keep_feasible


class LinearConstraint(object):
    """Linear constraint on the variables.

    The constraint has the general inequality form::

        lb <= A.dot(x) <= ub

    Here the vector of independent variables x is passed as ndarray of shape
    (n,) and the matrix A has shape (m, n).

    It is possible to use equal bounds to represent an equality constraint or
    infinite bounds to represent a one-sided constraint.

    Parameters
    ----------
    A : {array_like, sparse matrix}, shape (m, n)
        Matrix defining the constraint.
    lb, ub : array_like
        Lower and upper bounds on the constraint. Each array must have the
        shape (m,) or be a scalar, in the latter case a bound will be the same
        for all components of the constraint. Use ``np.inf`` with an
        appropriate sign to specify a one-sided constraint.
        Set components of `lb` and `ub` equal to represent an equality
        constraint. Note that you can mix constraints of different types:
        interval, one-sided or equality, by setting different components of
        `lb` and `ub` as  necessary.
    keep_feasible : array_like of bool, optional
        Whether to keep the constraint components feasible throughout
        iterations. A single value set this property for all components.
        Default is False. Has no effect for equality constraints.
    """
    def __init__(self, A, lb, ub, keep_feasible=False):
        self.A = A
        self.lb = lb
        self.ub = ub
        self.keep_feasible = keep_feasible


class Bounds(object):
    """Bounds constraint on the variables.

    The constraint has the general inequality form::

        lb <= x <= ub

    It is possible to use equal bounds to represent an equality constraint or
    infinite bounds to represent a one-sided constraint.

    Parameters
    ----------
    lb, ub : array_like, optional
        Lower and upper bounds on independent variables. Each array must
        have the same size as x or be a scalar, in which case a bound will be
        the same for all the variables. Set components of `lb` and `ub` equal
        to fix a variable. Use ``np.inf`` with an appropriate sign to disable
        bounds on all or some variables. Note that you can mix constraints of
        different types: interval, one-sided or equality, by setting different
        components of `lb` and `ub` as necessary.
    keep_feasible : array_like of bool, optional
        Whether to keep the constraint components feasible throughout
        iterations. A single value set this property for all components.
        Default is False. Has no effect for equality constraints.
    """
    def __init__(self, lb, ub, keep_feasible=False):
        self.lb = lb
        self.ub = ub
        self.keep_feasible = keep_feasible

    def __repr__(self):
        if np.any(self.keep_feasible):
            return "{}({!r}, {!r}, keep_feasible={!r})".format(type(self).__name__, self.lb, self.ub, self.keep_feasible)
        else:
            return "{}({!r}, {!r})".format(type(self).__name__, self.lb, self.ub)


class PreparedConstraint(object):
    """Constraint prepared from a user defined constraint.

    On creation it will check whether a constraint definition is valid and
    the initial point is feasible. If created successfully, it will contain
    the attributes listed below.

    Parameters
    ----------
    constraint : {NonlinearConstraint, LinearConstraint`, Bounds}
        Constraint to check and prepare.
    x0 : array_like
        Initial vector of independent variables.
    sparse_jacobian : bool or None, optional
        If bool, then the Jacobian of the constraint will be converted
        to the corresponded format if necessary. If None (default), such
        conversion is not made.
    finite_diff_bounds : 2-tuple, optional
        Lower and upper bounds on the independent variables for the finite
        difference approximation, if applicable. Defaults to no bounds.

    Attributes
    ----------
    fun : {VectorFunction, LinearVectorFunction, IdentityVectorFunction}
        Function defining the constraint wrapped by one of the convenience
        classes.
    bounds : 2-tuple
        Contains lower and upper bounds for the constraints --- lb and ub.
        These are converted to ndarray and have a size equal to the number of
        the constraints.
    keep_feasible : ndarray
         Array indicating which components must be kept feasible with a size
         equal to the number of the constraints.
    """
    def __init__(self, constraint, x0, sparse_jacobian=None,
                 finite_diff_bounds=(-np.inf, np.inf)):
        if isinstance(constraint, NonlinearConstraint):
            fun = VectorFunction(constraint.fun, x0,
                                 constraint.jac, constraint.hess,
                                 constraint.finite_diff_rel_step,
                                 constraint.finite_diff_jac_sparsity,
                                 finite_diff_bounds, sparse_jacobian)
        elif isinstance(constraint, LinearConstraint):
            fun = LinearVectorFunction(constraint.A, x0, sparse_jacobian)
        elif isinstance(constraint, Bounds):
            fun = IdentityVectorFunction(x0, sparse_jacobian)
        else:
            raise ValueError("`constraint` of an unknown type is passed.")

        m = fun.m
        lb = np.asarray(constraint.lb, dtype=float)
        ub = np.asarray(constraint.ub, dtype=float)
        if lb.ndim == 0:
            lb = np.resize(lb, m)
        if ub.ndim == 0:
            ub = np.resize(ub, m)

        keep_feasible = np.asarray(constraint.keep_feasible, dtype=bool)
        if keep_feasible.ndim == 0:
            keep_feasible = np.resize(keep_feasible, m)
        if keep_feasible.shape != (m,):
            raise ValueError("`keep_feasible` has a wrong shape.")

        mask = keep_feasible & (lb != ub)
        f0 = fun.f
        if np.any(f0[mask] < lb[mask]) or np.any(f0[mask] > ub[mask]):
            raise ValueError("`x0` is infeasible with respect to some "
                             "inequality constraint with `keep_feasible` "
                             "set to True.")

        self.fun = fun
        self.bounds = (lb, ub)
        self.keep_feasible = keep_feasible

    def violation(self, x):
        """How much the constraint is exceeded by.

        Parameters
        ----------
        x : array-like
            Vector of independent variables

        Returns
        -------
        excess : array-like
            How much the constraint is exceeded by, for each of the
            constraints specified by `PreparedConstraint.fun`.
        """
        with suppress_warnings() as sup:
            sup.filter(UserWarning)
            ev = self.fun.fun(np.asarray(x))

        excess_lb = np.maximum(self.bounds[0] - ev, 0)
        excess_ub = np.maximum(ev - self.bounds[1], 0)

        return excess_lb + excess_ub


def new_bounds_to_old(lb, ub, n):
    """Convert the new bounds representation to the old one.

    The new representation is a tuple (lb, ub) and the old one is a list
    containing n tuples, ith containing lower and upper bound on a ith
    variable.
    If any of the entries in lb/ub are -np.inf/np.inf they are replaced by
    None.
    """
    lb = np.asarray(lb)
    ub = np.asarray(ub)
    if lb.ndim == 0:
        lb = np.resize(lb, n)
    if ub.ndim == 0:
        ub = np.resize(ub, n)

    lb = [float(x) if x > -np.inf else None for x in lb]
    ub = [float(x) if x < np.inf else None for x in ub]

    return list(zip(lb, ub))


def old_bound_to_new(bounds):
    """Convert the old bounds representation to the new one.

    The new representation is a tuple (lb, ub) and the old one is a list
    containing n tuples, ith containing lower and upper bound on a ith
    variable.
    If any of the entries in lb/ub are None they are replaced by
    -np.inf/np.inf.
    """
    lb, ub = zip(*bounds)

    # Convert occurrences of None to -inf or inf, and replace occurrences of
    # any numpy array x with x.item(). Then wrap the results in numpy arrays.
    lb = np.array([float(_arr_to_scalar(x)) if x is not None else -np.inf
                   for x in lb])
    ub = np.array([float(_arr_to_scalar(x)) if x is not None else np.inf
                   for x in ub])

    return lb, ub


def strict_bounds(lb, ub, keep_feasible, n_vars):
    """Remove bounds which are not asked to be kept feasible."""
    strict_lb = np.resize(lb, n_vars).astype(float)
    strict_ub = np.resize(ub, n_vars).astype(float)
    keep_feasible = np.resize(keep_feasible, n_vars)
    strict_lb[~keep_feasible] = -np.inf
    strict_ub[~keep_feasible] = np.inf
    return strict_lb, strict_ub


def new_constraint_to_old(con, x0):
    """
    Converts new-style constraint objects to old-style constraint dictionaries.
    """
    if isinstance(con, NonlinearConstraint):
        if (con.finite_diff_jac_sparsity is not None or
                con.finite_diff_rel_step is not None or
                not isinstance(con.hess, BFGS) or  # misses user specified BFGS
                con.keep_feasible):
            warn("Constraint options `finite_diff_jac_sparsity`, "
                 "`finite_diff_rel_step`, `keep_feasible`, and `hess`"
                 "are ignored by this method.", OptimizeWarning)

        fun = con.fun
        if callable(con.jac):
            jac = con.jac
        else:
            jac = None

    else:  # LinearConstraint
        if con.keep_feasible:
            warn("Constraint option `keep_feasible` is ignored by this "
                 "method.", OptimizeWarning)

        A = con.A
        if issparse(A):
            A = A.todense()
        fun = lambda x: np.dot(A, x)
        jac = lambda x: A

    # FIXME: when bugs in VectorFunction/LinearVectorFunction are worked out,
    # use pcon.fun.fun and pcon.fun.jac. Until then, get fun/jac above.
    pcon = PreparedConstraint(con, x0)
    lb, ub = pcon.bounds

    i_eq = lb == ub
    i_bound_below = np.logical_xor(lb != -np.inf, i_eq)
    i_bound_above = np.logical_xor(ub != np.inf, i_eq)
    i_unbounded = np.logical_and(lb == -np.inf, ub == np.inf)

    if np.any(i_unbounded):
        warn("At least one constraint is unbounded above and below. Such "
             "constraints are ignored.", OptimizeWarning)

    ceq = []
    if np.any(i_eq):
        def f_eq(x):
            y = np.array(fun(x)).flatten()
            return y[i_eq] - lb[i_eq]
        ceq = [{"type": "eq", "fun": f_eq}]

        if jac is not None:
            def j_eq(x):
                dy = jac(x)
                if issparse(dy):
                    dy = dy.todense()
                dy = np.atleast_2d(dy)
                return dy[i_eq, :]
            ceq[0]["jac"] = j_eq

    cineq = []
    n_bound_below = np.sum(i_bound_below)
    n_bound_above = np.sum(i_bound_above)
    if n_bound_below + n_bound_above:
        def f_ineq(x):
            y = np.zeros(n_bound_below + n_bound_above)
            y_all = np.array(fun(x)).flatten()
            y[:n_bound_below] = y_all[i_bound_below] - lb[i_bound_below]
            y[n_bound_below:] = -(y_all[i_bound_above] - ub[i_bound_above])
            return y
        cineq = [{"type": "ineq", "fun": f_ineq}]

        if jac is not None:
            def j_ineq(x):
                dy = np.zeros((n_bound_below + n_bound_above, len(x0)))
                dy_all = jac(x)
                if issparse(dy_all):
                    dy_all = dy_all.todense()
                dy_all = np.atleast_2d(dy_all)
                dy[:n_bound_below, :] = dy_all[i_bound_below]
                dy[n_bound_below:, :] = -dy_all[i_bound_above]
                return dy
            cineq[0]["jac"] = j_ineq

    old_constraints = ceq + cineq

    if len(old_constraints) > 1:
        warn("Equality and inequality constraints are specified in the same "
             "element of the constraint list. For efficient use with this "
             "method, equality and inequality constraints should be specified "
             "in separate elements of the constraint list. ", OptimizeWarning)
    return old_constraints


def old_constraint_to_new(ic, con):
    """
    Converts old-style constraint dictionaries to new-style constraint objects.
    """
    # check type
    try:
        ctype = con['type'].lower()
    except KeyError:
        raise KeyError('Constraint %d has no type defined.' % ic)
    except TypeError:
        raise TypeError('Constraints must be a sequence of dictionaries.')
    except AttributeError:
        raise TypeError("Constraint's type must be a string.")
    else:
        if ctype not in ['eq', 'ineq']:
            raise ValueError("Unknown constraint type '%s'." % con['type'])
    if 'fun' not in con:
        raise ValueError('Constraint %d has no function defined.' % ic)

    lb = 0
    if ctype == 'eq':
        ub = 0
    else:
        ub = np.inf

    jac = '2-point'
    if 'args' in con:
        args = con['args']
        fun = lambda x: con['fun'](x, *args)
        if 'jac' in con:
            jac = lambda x: con['jac'](x, *args)
    else:
        fun = con['fun']
        if 'jac' in con:
            jac = con['jac']

    return NonlinearConstraint(fun, lb, ub, jac)