_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)