desdeo 1.1.3__py3-none-any.whl → 2.0.0__py3-none-any.whl

desdeo/tools/scipy_solver_interfaces.py

@@ -0,0 +1,454 @@
+"""Solver interfaces to the optimization routines found in scipy.
+
+These solvers can solve various scalarized problems of multiobjective optimization problems.
+"""
+
+from collections.abc import Callable
+from enum import Enum
+
+import numpy as np
+from scipy.optimize import NonlinearConstraint
+from scipy.optimize import OptimizeResult as _ScipyOptimizeResult
+from scipy.optimize import differential_evolution as _scipy_de
+from scipy.optimize import minimize as _scipy_minimize
+
+from pydantic import BaseModel, Field
+
+from desdeo.problem import ConstraintTypeEnum, PolarsEvaluator, Problem, variable_dimension_enumerate
+from desdeo.tools.generics import BaseSolver, SolverError, SolverResults
+
+SUPPORTED_VAR_DIMENSIONS = ["scalar"]
+
+
+class ScipyDeOptions(BaseModel):
+    """
+    Defines a pydantic model to store and pass options to the Scipy differential evolution solver.
+    """
+
+    initial_guess: dict[str, float | None] | None = Field(
+        description="The initial guess to be utilized in the solver. For variables with a None as their initial "
+                    "guess, the mid-point of the variable's lower and upper bound is utilized as the initial"
+                    "guess. If None, it is assumed that there are no initial guesses for any of the variables.",
+        default=None
+    )
+    de_kwargs: dict | None = Field(
+        description="Custom keyword arguments to be forwarded to `scipy.optimize.differential_evolution`.",
+        default=None
+    )
+
+
+class ScipyMinimizeOptions(BaseModel):
+    """
+    Defines a pydantic model to store and pass options to the Scipy Minimize solver.
+    """
+
+    initial_guess: dict[str, float | None] | None = Field(
+        description="The initial guess to be utilized in the solver. For variables with a None as their"
+                    "initial guess, the mid-point of the variable's lower and upper bound is utilized as the "
+                    "initial guess. If None, it is assumed that there are no initial guesses for any of the variables.",
+        default=None
+    )
+    method: str | None = Field(
+        description="The scipy.optimize.minimize method to beused. If None, a method is selected "
+                    "automatically based on the properties of the objective (does it have constraints?).",
+        default=None
+    )
+    method_kwargs: dict | None = Field(
+        description="The keyword arguments passed to the scipy.optimize.minimize method.",
+        default=None
+    )
+    tol: float | None = Field(
+        description="Tolerance for termination.",
+        default=None
+    )
+    additional_options: dict | None = Field(
+        description="Additional solver options.",
+        default=None
+    )
+
+
+class EvalTargetEnum(str, Enum):
+    """An enum that describe whether the evaluator target is an objective or a constraint."""
+
+    objective = "objective"
+    constraint = "constraint"
+
+
+def get_variable_bounds_pairs(problem: Problem) -> list[tuple[float | int, float | int]]:
+    """Returns the variable bounds defined in a Problem as a list of tuples.
+
+    Args:
+        problem (Problem): the problem with the variables of interest.
+
+    Returns:
+        list[tuple[float | int, float | int]]: a list of tuples, the first
+            element of each tuple is the lower bound of a variable and the second
+            its upper bound. Each tuple corresponds to a variable.
+    """
+    return [(variable.lowerbound, variable.upperbound) for variable in problem.variables]
+
+
+def set_initial_guess(problem: Problem) -> list[float | int]:
+    """Sets or gets the initial guess for each variable defined in a Problem.
+
+    For variables without initial guess, the initial guess is set to be the middle point of said
+    variable's lower and upper bound.
+
+    Args:
+        problem (Problem): the problem with the variables of which the initial values are of interest.
+
+    Returns:
+        list[float | int]: a list of numbers, each number represents the initial guess of each variable in the problem.
+    """
+    return [
+        variable.initial_value
+        if variable.initial_value is not None
+        else ((variable.upperbound - variable.lowerbound) / 2 + variable.lowerbound)
+        for variable in problem.variables
+    ]
+
+
+def create_scipy_dict_constraints(problem: Problem, evaluator: PolarsEvaluator) -> dict:
+    """Creates a dict with scipy compatible constraints.
+
+    It is assumed that there are constraints defined in problem.
+
+    Args:
+        problem (Problem): the Problem with the constraints.
+        evaluator (GenericEvaluator): the evaluator utilized to evaluate problem.
+
+    Returns:
+        dict: a dict with scipy compatible constraints.
+    """
+    return [
+        {
+            "type": "ineq" if constraint.cons_type == ConstraintTypeEnum.LTE else "eq",
+            "fun": get_scipy_eval(problem, evaluator, constraint.symbol, eval_target=EvalTargetEnum.constraint),
+        }
+        for constraint in problem.constraints
+    ]
+
+
+def create_scipy_object_constraints(problem: Problem, evaluator: PolarsEvaluator) -> list[NonlinearConstraint]:
+    """Creates a list with scipy constraint object `NonLinearConstraints` used by some scipy routines.
+
+    For more infor, see https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.NonlinearConstraint.html#scipy-optimize-nonlinearconstraint
+
+    Args:
+        problem (Problem): the problem with the original constraint to be utilized in creating the list of constraints.
+        evaluator (GenericEvaluator): the evaluator corresponding to problem that can be used to evaluate
+            the constraints.
+
+    Returns:
+        list[NonlinearConstraint]: a list of scipy's NonLinearConstraint objects.
+    """
+    return NonlinearConstraint(
+        fun=get_scipy_eval(problem, evaluator, "", eval_target=EvalTargetEnum.constraint),
+        lb=0,  # constraint value must be between 0 and inf, e.g., positive.
+        ub=float("inf"),  # since in scipy, a constraint is respected when its value is positive. See scipy_eval.
+    )
+
+
+def get_scipy_eval(
+    problem: Problem,
+    evaluator: PolarsEvaluator,
+    target: str,
+    eval_target: EvalTargetEnum,
+) -> Callable[[list[float | int]], list[float | int]]:
+    """Wraps the problem and evaluator into a callable function that can be used by scipy routines.
+
+    The returned function expects an array-like argument, such as a numpy array or list.
+
+    Args:
+        problem (Problem): the problem being solved.
+        evaluator (GenericEvaluator): the evaluator to evaluate the problem being solved.
+        target (str): the symbol of the objective to of the optimization, defined in problem.
+        eval_target (EvalTargetEnum): either objective or constraints. If objective,
+            it is assumed that the evalution is about evaluating the objective function
+            of the single-objective optimization problem being solved, e.g., a scalarization function
+            defined in problem. If constraint, then the evalution is assumed to be about evaluating
+            the constraints defined in problem.
+
+    Returns:
+      Callable[[list[float | int]], list[float | int]]: a function that takes as its argument
+        an array like object.
+
+    Note:
+        Constraints in scipy are defined such that a positive number means the constraint
+            is respected. In DESDEO, this is the opposite, e.g., a positive number means
+            a constraint is breached. We take this into account when returning the
+            constraint values, but this does not affect the constraint values computed
+            for the true constraints.
+    """
+
+    def scipy_eval(x: list[float | int]) -> list[float | int]:
+        """An evaluator to be used in scipy routines.
+
+        Args:
+            x (list[float  |  int]): an array like, such as a numpy array or list.append
+
+        Raises:
+            SolverError: when an invalid evaluator target is specified.
+
+        Returns:
+            list[float | int]: an array like.
+        """
+        # TODO: Consider caching the results of evaluator.evaluate
+        evalutor_args = {
+            problem.variables[i].symbol: [x[i]] if isinstance(x[i], float | int) else x[i]
+            for i in range(len(problem.variables))
+        }
+
+        if eval_target == EvalTargetEnum.objective:
+            evaluator_res = evaluator.evaluate(evalutor_args)
+
+            # evaluata objective (scalarized)
+            return evaluator_res.to_dict(as_series=False)[target]
+
+        if eval_target == EvalTargetEnum.constraint:
+            evaluator_df = evaluator.evaluate(evalutor_args)
+            # evaluate constraint
+            # put the minus here because scipy expect positive constraints values when the constraint
+            # is respected. But in DESDEO, we define constraints s.t., a negative value means the constraint
+            # is recpected, therefore, it needs to be flipped here.
+            con_symbols = [constraint.symbol for constraint in problem.constraints]
+            res_dict = evaluator_df[con_symbols].to_dict(as_series=False)
+
+            res = np.array([np.array(res_dict[symbol]) for symbol in con_symbols])
+
+            # squeeze important for minimization routines
+            return -np.squeeze(res, axis=-1) if res.shape[-1] == 1 else -res
+
+        # non-existing eval_target
+        msg = f"'eval_target' = '{eval_target} not supported. Must be one of {list(EvalTargetEnum)}."
+        raise SolverError(msg)
+
+    return scipy_eval
+
+
+def parse_scipy_optimization_result(
+    optimization_result: _ScipyOptimizeResult, problem: Problem, evaluator: PolarsEvaluator
+) -> SolverResults:
+    """Parses the optimization results returned by various scipy methods.
+
+    For documentation, see https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.OptimizeResult.html#scipy.optimize.OptimizeResult
+
+    Args:
+        optimization_result (_ScipyOptimizeResult): the optimization results.
+        problem (Problem): the problem to which the optimization results correspond to.
+        evaluator (GenericEvaluator): the evaluator that has been used in computing the optimization results.
+
+    Returns:
+        SolverResults: a pydantic dataclass with the relevant optimization results.
+    """
+    x_opt = optimization_result.x
+    success_opt = optimization_result.success
+    msg_opt = optimization_result.message
+
+    results = evaluator.evaluate({problem.variables[i].symbol: [x_opt[i]] for i in range(len(problem.variables))})
+
+    optimal_objectives = {obj.symbol: results[obj.symbol][0] for obj in problem.objectives}
+    constraint_values = (
+        {con.symbol: results[con.symbol][0] for con in problem.constraints} if problem.constraints is not None else None
+    )
+
+    """
+    objective_symbols = [obj.symbol for obj in problem.objectives]
+    f_res = results[objective_symbols]
+    optimal_objectives = {symbol: f_res[symbol][0] for symbol in objective_symbols}
+
+    if problem.constraints is not None:
+        const_symbols = [const.symbol for const in problem.constraints]
+        const_res = results[const_symbols]
+        constraint_values = {symbol: const_res[symbol][0] for symbol in const_symbols}
+    else:
+        constraint_values = None
+    """
+
+    extra_func_values = (
+        {extra.symbol: results[extra.symbol][0] for extra in problem.extra_funcs}
+        if problem.extra_funcs is not None
+        else None
+    )
+    scalarization_values = (
+        {scal.symbol: results[scal.symbol][0] for scal in problem.scalarization_funcs}
+        if problem.scalarization_funcs is not None
+        else None
+    )
+
+    return SolverResults(
+        optimal_variables={problem.variables[i].symbol: x_opt[i] for i in range(len(problem.variables))},
+        optimal_objectives=optimal_objectives,
+        constraint_values=constraint_values,
+        extra_func_values=extra_func_values,
+        scalarization_values=scalarization_values,
+        success=success_opt,
+        message=msg_opt,
+    )
+
+
+class ScipyMinimizeSolver(BaseSolver):
+    """Creates a scipy solver that utilizes the `minimization` routine."""
+
+    def __init__(
+        self,
+        problem: Problem,
+        options: ScipyMinimizeOptions = ScipyMinimizeOptions()
+    ):
+        """Initializes a solver that utilizes the `scipy.optimize.minimize` routine.
+
+        The `scipy.optimize.minimze` routine is fully accessible through this function.
+        For additional details and explanation of some of the argumetns, see
+        https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html#scipy.optimize.minimize
+
+        Args:
+            problem (Problem): the multiobjective optimization problem to be solved.
+            options: (ScipyMinimizeOptions): Pydantic model containing args for scipy minimize solver.
+            subscriber (str | None, optional): not used right now. WIP. Defaults to None.
+
+        """
+        if variable_dimension_enumerate(problem) not in SUPPORTED_VAR_DIMENSIONS:
+            msg = "ScipyMinimizeSolver only supports scalar variables."
+            raise SolverError(msg)
+
+        initial_guess = options.initial_guess
+        self.problem = problem
+        self.method = options.method
+        self.method_kwargs = options.method_kwargs
+        self.tol = options.tol
+        self.additional_options = options.additional_options
+
+        # variables bounds as (min, max pairs)
+        self.bounds = get_variable_bounds_pairs(problem)
+
+        # the initial guess as a simple sequence. If no initial value is set for some variable,
+        # then the initial value defaults to middle of the upper and lower bounds.
+        if initial_guess is not None:
+            self.initial_guess = [initial_guess[var.symbol] for var in self.problem.variables]
+        else:
+            self.initial_guess = set_initial_guess(problem)
+
+        self.evaluator = PolarsEvaluator(problem)
+
+        self.constraints = (
+            create_scipy_dict_constraints(self.problem, self.evaluator)
+            if self.problem.constraints is not None
+            else None
+        )
+
+    def solve(self, target: str) -> SolverResults:
+        """Solves the problem for a given target.
+
+        Args:
+            target (str): the sumbol of the objective function to be optimized.
+
+        Returns:
+            SolverResults: results of the optimization.
+        """
+        # add constraints if there are any
+
+        optimization_result: _ScipyOptimizeResult = _scipy_minimize(
+            get_scipy_eval(self.problem, self.evaluator, target, EvalTargetEnum.objective),
+            self.initial_guess,
+            method=self.method,
+            bounds=self.bounds,
+            constraints=self.constraints,
+            options=self.additional_options,
+            tol=self.tol,
+        )
+
+        # pare and return the results
+        return parse_scipy_optimization_result(optimization_result, self.problem, self.evaluator)
+
+
+class ScipyDeSolver(BaseSolver):
+    """Creates a scipy solver that utilizes differential evolution."""
+
+    def __init__(
+        self,
+        problem: Problem,
+        options: ScipyDeOptions = ScipyDeOptions(),
+    ):
+        """Creates a solver that utilizes the `scipy.optimize.differential_evolution` routine.
+
+        The `scipy.optimize.differential_evolution` routine is fully accessible through this function.
+        For additional details and explanation of some of the argumetns, see
+        https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.differential_evolution.html
+
+        Args:
+            problem (Problem): the multiobjective optimization problem to be solved.
+            initial_guess (dict[str, float, None] | None, optional): The initial
+                guess to be utilized in the solver. For variables with a None as their
+                initial guess, the mid-point of the variable's lower and upper bound is
+                utilzied as the initial guess. If None, it is assumed that there are
+                no initial guesses for any of the variables. Defaults to None.
+            options (ScipyDeOptions): Pydantic model containing arguments used by scipy DE solver.
+        """
+
+        initial_guess = options.initial_guess
+        de_kwargs = options.de_kwargs
+
+        if variable_dimension_enumerate(problem) not in SUPPORTED_VAR_DIMENSIONS:
+            msg = "ScipyDeSolver only supports scalar variables."
+            raise SolverError(msg)
+
+        self.problem = problem
+        if de_kwargs is None:
+            de_kwargs = {
+                "strategy": "best1bin",
+                "maxiter": 1000,
+                "popsize": 15,
+                "tol": 0.01,
+                "mutation": (0.5, 1),
+                "recombination": 0.7,
+                "seed": None,
+                "callback": None,
+                "disp": False,
+                "polish": True,
+                "init": "latinhypercube",
+                "atol": 0,
+                "updating": "deferred",
+                "workers": 1,
+                "integrality": None,
+                "vectorized": True,  # the constraints for scipy_de need to be fixed first for this to work
+            }
+        self.de_kwargs = de_kwargs
+
+        # variable bounds
+        self.bounds = get_variable_bounds_pairs(problem)
+
+        # initial guess. If no guess is present for a variable, said variable's mid point of its
+        # lower abd upper bound is used instead
+        if initial_guess is None:
+            self.initial_guess = set_initial_guess(problem)
+        else:
+            self.initial_guess = initial_guess
+
+        self.evaluator = PolarsEvaluator(problem)
+        self.constraints = (
+            create_scipy_object_constraints(self.problem, self.evaluator)
+            if self.problem.constraints is not None
+            else ()
+        )
+
+    def solve(self, target: str) -> SolverResults:
+        """Solve the problem for a given target.
+
+        Args:
+            target (str): the symbol of the objective function to be optimized.
+
+        Returns:
+            SolverResults: results of the optimization.
+        """
+        # add constraints if there are any
+
+        optimization_result: _ScipyOptimizeResult = _scipy_de(
+            get_scipy_eval(self.problem, self.evaluator, target, EvalTargetEnum.objective),
+            bounds=self.bounds,
+            x0=self.initial_guess,
+            constraints=self.constraints,
+            **self.de_kwargs,
+        )
+
+        # parse the results
+        return parse_scipy_optimization_result(optimization_result, self.problem, self.evaluator)