_differentiable_functions.py 18.1 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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531
import numpy as np
import scipy.sparse as sps
from ._numdiff import approx_derivative, group_columns
from ._hessian_update_strategy import HessianUpdateStrategy
from scipy.sparse.linalg import LinearOperator


FD_METHODS = ('2-point', '3-point', 'cs')


class ScalarFunction(object):
    """Scalar function and its derivatives.

    This class defines a scalar function F: R^n->R and methods for
    computing or approximating its first and second derivatives.

    Notes
    -----
    This class implements a memoization logic. There are methods `fun`,
    `grad`, hess` and corresponding attributes `f`, `g` and `H`. The following
    things should be considered:

        1. Use only public methods `fun`, `grad` and `hess`.
        2. After one of the methods is called, the corresponding attribute
           will be set. However, a subsequent call with a different argument
           of *any* of the methods may overwrite the attribute.
    """
    def __init__(self, fun, x0, args, grad, hess, finite_diff_rel_step,
                 finite_diff_bounds, epsilon=None):
        if not callable(grad) and grad not in FD_METHODS:
            raise ValueError("`grad` must be either callable or one of {}."
                             .format(FD_METHODS))

        if not (callable(hess) or hess in FD_METHODS
                or isinstance(hess, HessianUpdateStrategy)):
            raise ValueError("`hess` must be either callable,"
                             "HessianUpdateStrategy or one of {}."
                             .format(FD_METHODS))

        if grad in FD_METHODS and hess in FD_METHODS:
            raise ValueError("Whenever the gradient is estimated via "
                             "finite-differences, we require the Hessian "
                             "to be estimated using one of the "
                             "quasi-Newton strategies.")

        self.x = np.atleast_1d(x0).astype(float)
        self.n = self.x.size
        self.nfev = 0
        self.ngev = 0
        self.nhev = 0
        self.f_updated = False
        self.g_updated = False
        self.H_updated = False

        finite_diff_options = {}
        if grad in FD_METHODS:
            finite_diff_options["method"] = grad
            finite_diff_options["rel_step"] = finite_diff_rel_step
            finite_diff_options["abs_step"] = epsilon
            finite_diff_options["bounds"] = finite_diff_bounds
        if hess in FD_METHODS:
            finite_diff_options["method"] = hess
            finite_diff_options["rel_step"] = finite_diff_rel_step
            finite_diff_options["abs_step"] = epsilon
            finite_diff_options["as_linear_operator"] = True

        # Function evaluation
        def fun_wrapped(x):
            self.nfev += 1
            return fun(x, *args)

        def update_fun():
            self.f = fun_wrapped(self.x)

        self._update_fun_impl = update_fun
        self._update_fun()

        # Gradient evaluation
        if callable(grad):
            def grad_wrapped(x):
                self.ngev += 1
                return np.atleast_1d(grad(x, *args))

            def update_grad():
                self.g = grad_wrapped(self.x)

        elif grad in FD_METHODS:
            def update_grad():
                self._update_fun()
                self.ngev += 1
                self.g = approx_derivative(fun_wrapped, self.x, f0=self.f,
                                           **finite_diff_options)

        self._update_grad_impl = update_grad
        self._update_grad()

        # Hessian Evaluation
        if callable(hess):
            self.H = hess(x0, *args)
            self.H_updated = True
            self.nhev += 1

            if sps.issparse(self.H):
                def hess_wrapped(x):
                    self.nhev += 1
                    return sps.csr_matrix(hess(x, *args))
                self.H = sps.csr_matrix(self.H)

            elif isinstance(self.H, LinearOperator):
                def hess_wrapped(x):
                    self.nhev += 1
                    return hess(x, *args)

            else:
                def hess_wrapped(x):
                    self.nhev += 1
                    return np.atleast_2d(np.asarray(hess(x, *args)))
                self.H = np.atleast_2d(np.asarray(self.H))

            def update_hess():
                self.H = hess_wrapped(self.x)

        elif hess in FD_METHODS:
            def update_hess():
                self._update_grad()
                self.H = approx_derivative(grad_wrapped, self.x, f0=self.g,
                                           **finite_diff_options)
                return self.H

            update_hess()
            self.H_updated = True
        elif isinstance(hess, HessianUpdateStrategy):
            self.H = hess
            self.H.initialize(self.n, 'hess')
            self.H_updated = True
            self.x_prev = None
            self.g_prev = None

            def update_hess():
                self._update_grad()
                self.H.update(self.x - self.x_prev, self.g - self.g_prev)

        self._update_hess_impl = update_hess

        if isinstance(hess, HessianUpdateStrategy):
            def update_x(x):
                self._update_grad()
                self.x_prev = self.x
                self.g_prev = self.g

                self.x = np.atleast_1d(x).astype(float)
                self.f_updated = False
                self.g_updated = False
                self.H_updated = False
                self._update_hess()
        else:
            def update_x(x):
                self.x = np.atleast_1d(x).astype(float)
                self.f_updated = False
                self.g_updated = False
                self.H_updated = False
        self._update_x_impl = update_x

    def _update_fun(self):
        if not self.f_updated:
            self._update_fun_impl()
            self.f_updated = True

    def _update_grad(self):
        if not self.g_updated:
            self._update_grad_impl()
            self.g_updated = True

    def _update_hess(self):
        if not self.H_updated:
            self._update_hess_impl()
            self.H_updated = True

    def fun(self, x):
        if not np.array_equal(x, self.x):
            self._update_x_impl(x)
        self._update_fun()
        return self.f

    def grad(self, x):
        if not np.array_equal(x, self.x):
            self._update_x_impl(x)
        self._update_grad()
        return self.g

    def hess(self, x):
        if not np.array_equal(x, self.x):
            self._update_x_impl(x)
        self._update_hess()
        return self.H

    def fun_and_grad(self, x):
        if not np.array_equal(x, self.x):
            self._update_x_impl(x)
        self._update_fun()
        self._update_grad()
        return self.f, self.g


class VectorFunction(object):
    """Vector function and its derivatives.

    This class defines a vector function F: R^n->R^m and methods for
    computing or approximating its first and second derivatives.

    Notes
    -----
    This class implements a memoization logic. There are methods `fun`,
    `jac`, hess` and corresponding attributes `f`, `J` and `H`. The following
    things should be considered:

        1. Use only public methods `fun`, `jac` and `hess`.
        2. After one of the methods is called, the corresponding attribute
           will be set. However, a subsequent call with a different argument
           of *any* of the methods may overwrite the attribute.
    """
    def __init__(self, fun, x0, jac, hess,
                 finite_diff_rel_step, finite_diff_jac_sparsity,
                 finite_diff_bounds, sparse_jacobian):
        if not callable(jac) and jac not in FD_METHODS:
            raise ValueError("`jac` must be either callable or one of {}."
                             .format(FD_METHODS))

        if not (callable(hess) or hess in FD_METHODS
                or isinstance(hess, HessianUpdateStrategy)):
            raise ValueError("`hess` must be either callable,"
                             "HessianUpdateStrategy or one of {}."
                             .format(FD_METHODS))

        if jac in FD_METHODS and hess in FD_METHODS:
            raise ValueError("Whenever the Jacobian is estimated via "
                             "finite-differences, we require the Hessian to "
                             "be estimated using one of the quasi-Newton "
                             "strategies.")

        self.x = np.atleast_1d(x0).astype(float)
        self.n = self.x.size
        self.nfev = 0
        self.njev = 0
        self.nhev = 0
        self.f_updated = False
        self.J_updated = False
        self.H_updated = False

        finite_diff_options = {}
        if jac in FD_METHODS:
            finite_diff_options["method"] = jac
            finite_diff_options["rel_step"] = finite_diff_rel_step
            if finite_diff_jac_sparsity is not None:
                sparsity_groups = group_columns(finite_diff_jac_sparsity)
                finite_diff_options["sparsity"] = (finite_diff_jac_sparsity,
                                                   sparsity_groups)
            finite_diff_options["bounds"] = finite_diff_bounds
            self.x_diff = np.copy(self.x)
        if hess in FD_METHODS:
            finite_diff_options["method"] = hess
            finite_diff_options["rel_step"] = finite_diff_rel_step
            finite_diff_options["as_linear_operator"] = True
            self.x_diff = np.copy(self.x)
        if jac in FD_METHODS and hess in FD_METHODS:
            raise ValueError("Whenever the Jacobian is estimated via "
                             "finite-differences, we require the Hessian to "
                             "be estimated using one of the quasi-Newton "
                             "strategies.")

        # Function evaluation
        def fun_wrapped(x):
            self.nfev += 1
            return np.atleast_1d(fun(x))

        def update_fun():
            self.f = fun_wrapped(self.x)

        self._update_fun_impl = update_fun
        update_fun()

        self.v = np.zeros_like(self.f)
        self.m = self.v.size

        # Jacobian Evaluation
        if callable(jac):
            self.J = jac(self.x)
            self.J_updated = True
            self.njev += 1

            if (sparse_jacobian or
                    sparse_jacobian is None and sps.issparse(self.J)):
                def jac_wrapped(x):
                    self.njev += 1
                    return sps.csr_matrix(jac(x))
                self.J = sps.csr_matrix(self.J)
                self.sparse_jacobian = True

            elif sps.issparse(self.J):
                def jac_wrapped(x):
                    self.njev += 1
                    return jac(x).toarray()
                self.J = self.J.toarray()
                self.sparse_jacobian = False

            else:
                def jac_wrapped(x):
                    self.njev += 1
                    return np.atleast_2d(jac(x))
                self.J = np.atleast_2d(self.J)
                self.sparse_jacobian = False

            def update_jac():
                self.J = jac_wrapped(self.x)

        elif jac in FD_METHODS:
            self.J = approx_derivative(fun_wrapped, self.x, f0=self.f,
                                       **finite_diff_options)
            self.J_updated = True

            if (sparse_jacobian or
                    sparse_jacobian is None and sps.issparse(self.J)):
                def update_jac():
                    self._update_fun()
                    self.J = sps.csr_matrix(
                        approx_derivative(fun_wrapped, self.x, f0=self.f,
                                          **finite_diff_options))
                self.J = sps.csr_matrix(self.J)
                self.sparse_jacobian = True

            elif sps.issparse(self.J):
                def update_jac():
                    self._update_fun()
                    self.J = approx_derivative(fun_wrapped, self.x, f0=self.f,
                                               **finite_diff_options).toarray()
                self.J = self.J.toarray()
                self.sparse_jacobian = False

            else:
                def update_jac():
                    self._update_fun()
                    self.J = np.atleast_2d(
                        approx_derivative(fun_wrapped, self.x, f0=self.f,
                                          **finite_diff_options))
                self.J = np.atleast_2d(self.J)
                self.sparse_jacobian = False

        self._update_jac_impl = update_jac

        # Define Hessian
        if callable(hess):
            self.H = hess(self.x, self.v)
            self.H_updated = True
            self.nhev += 1

            if sps.issparse(self.H):
                def hess_wrapped(x, v):
                    self.nhev += 1
                    return sps.csr_matrix(hess(x, v))
                self.H = sps.csr_matrix(self.H)

            elif isinstance(self.H, LinearOperator):
                def hess_wrapped(x, v):
                    self.nhev += 1
                    return hess(x, v)

            else:
                def hess_wrapped(x, v):
                    self.nhev += 1
                    return np.atleast_2d(np.asarray(hess(x, v)))
                self.H = np.atleast_2d(np.asarray(self.H))

            def update_hess():
                self.H = hess_wrapped(self.x, self.v)
        elif hess in FD_METHODS:
            def jac_dot_v(x, v):
                return jac_wrapped(x).T.dot(v)

            def update_hess():
                self._update_jac()
                self.H = approx_derivative(jac_dot_v, self.x,
                                           f0=self.J.T.dot(self.v),
                                           args=(self.v,),
                                           **finite_diff_options)
            update_hess()
            self.H_updated = True
        elif isinstance(hess, HessianUpdateStrategy):
            self.H = hess
            self.H.initialize(self.n, 'hess')
            self.H_updated = True
            self.x_prev = None
            self.J_prev = None

            def update_hess():
                self._update_jac()
                # When v is updated before x was updated, then x_prev and
                # J_prev are None and we need this check.
                if self.x_prev is not None and self.J_prev is not None:
                    delta_x = self.x - self.x_prev
                    delta_g = self.J.T.dot(self.v) - self.J_prev.T.dot(self.v)
                    self.H.update(delta_x, delta_g)

        self._update_hess_impl = update_hess

        if isinstance(hess, HessianUpdateStrategy):
            def update_x(x):
                self._update_jac()
                self.x_prev = self.x
                self.J_prev = self.J
                self.x = np.atleast_1d(x).astype(float)
                self.f_updated = False
                self.J_updated = False
                self.H_updated = False
                self._update_hess()
        else:
            def update_x(x):
                self.x = np.atleast_1d(x).astype(float)
                self.f_updated = False
                self.J_updated = False
                self.H_updated = False

        self._update_x_impl = update_x

    def _update_v(self, v):
        if not np.array_equal(v, self.v):
            self.v = v
            self.H_updated = False

    def _update_x(self, x):
        if not np.array_equal(x, self.x):
            self._update_x_impl(x)

    def _update_fun(self):
        if not self.f_updated:
            self._update_fun_impl()
            self.f_updated = True

    def _update_jac(self):
        if not self.J_updated:
            self._update_jac_impl()
            self.J_updated = True

    def _update_hess(self):
        if not self.H_updated:
            self._update_hess_impl()
            self.H_updated = True

    def fun(self, x):
        self._update_x(x)
        self._update_fun()
        return self.f

    def jac(self, x):
        self._update_x(x)
        self._update_jac()
        return self.J

    def hess(self, x, v):
        # v should be updated before x.
        self._update_v(v)
        self._update_x(x)
        self._update_hess()
        return self.H


class LinearVectorFunction(object):
    """Linear vector function and its derivatives.

    Defines a linear function F = A x, where x is N-D vector and
    A is m-by-n matrix. The Jacobian is constant and equals to A. The Hessian
    is identically zero and it is returned as a csr matrix.
    """
    def __init__(self, A, x0, sparse_jacobian):
        if sparse_jacobian or sparse_jacobian is None and sps.issparse(A):
            self.J = sps.csr_matrix(A)
            self.sparse_jacobian = True
        elif sps.issparse(A):
            self.J = A.toarray()
            self.sparse_jacobian = False
        else:
            # np.asarray makes sure A is ndarray and not matrix
            self.J = np.atleast_2d(np.asarray(A))
            self.sparse_jacobian = False

        self.m, self.n = self.J.shape

        self.x = np.atleast_1d(x0).astype(float)
        self.f = self.J.dot(self.x)
        self.f_updated = True

        self.v = np.zeros(self.m, dtype=float)
        self.H = sps.csr_matrix((self.n, self.n))

    def _update_x(self, x):
        if not np.array_equal(x, self.x):
            self.x = np.atleast_1d(x).astype(float)
            self.f_updated = False

    def fun(self, x):
        self._update_x(x)
        if not self.f_updated:
            self.f = self.J.dot(x)
            self.f_updated = True
        return self.f

    def jac(self, x):
        self._update_x(x)
        return self.J

    def hess(self, x, v):
        self._update_x(x)
        self.v = v
        return self.H


class IdentityVectorFunction(LinearVectorFunction):
    """Identity vector function and its derivatives.

    The Jacobian is the identity matrix, returned as a dense array when
    `sparse_jacobian=False` and as a csr matrix otherwise. The Hessian is
    identically zero and it is returned as a csr matrix.
    """
    def __init__(self, x0, sparse_jacobian):
        n = len(x0)
        if sparse_jacobian or sparse_jacobian is None:
            A = sps.eye(n, format='csr')
            sparse_jacobian = True
        else:
            A = np.eye(n)
            sparse_jacobian = False
        super(IdentityVectorFunction, self).__init__(A, x0, sparse_jacobian)