qoro-divi 0.2.0b1__py3-none-any.whl

divi/exp/scipy/pyprima/cobyla/geometry.py

@@ -0,0 +1,240 @@
+"""
+This module contains subroutines concerning the geometry-improving of the interpolation set.
+
+Translated from Zaikun Zhang's modern-Fortran reference implementation in PRIMA.
+
+Dedicated to late Professor M. J. D. Powell FRS (1936--2015).
+
+Python translation by Nickolai Belakovski.
+"""
+
+import numpy as np
+
+from ..common.consts import DEBUGGING
+from ..common.linalg import inprod, isinv, matprod, norm, primapow2, primasum
+
+
+def setdrop_tr(ximproved, d, delta, rho, sim, simi):
+    """
+    This function finds (the index) of a current interpolation point to be replaced with
+    the trust-region trial point. See (19)-(22) of the COBYLA paper.
+    N.B.:
+    1. If XIMPROVED == True, then JDROP > 0 so that D is included into XPT. Otherwise,
+       it is a bug.
+    2. COBYLA never sets JDROP = NUM_VARS
+    TODO: Check whether it improves the performance if JDROP = NUM_VARS is allowed when
+    XIMPROVED is True. Note that UPDATEXFC should be revised accordingly.
+    """
+
+    # Local variables
+    itol = 0.1
+
+    # Sizes
+    num_vars = np.size(sim, 0)
+
+    # Preconditions
+    if DEBUGGING:
+        assert num_vars >= 1
+        assert np.size(d) == num_vars and all(np.isfinite(d))
+        assert delta >= rho and rho > 0
+        assert np.size(sim, 0) == num_vars and np.size(sim, 1) == num_vars + 1
+        assert np.isfinite(sim).all()
+        assert all(np.max(abs(sim[:, :num_vars]), axis=0) > 0)
+        assert np.size(simi, 0) == num_vars and np.size(simi, 1) == num_vars
+        assert np.isfinite(simi).all()
+        assert isinv(sim[:, :num_vars], simi, itol)
+
+    # ====================#
+    # Calculation starts #
+    # ====================#
+
+    # -------------------------------------------------------------------------------------------------- #
+    #  The following code is Powell's scheme for defining JDROP.
+    # -------------------------------------------------------------------------------------------------- #
+    # ! JDROP = 0 by default. It cannot be removed, as JDROP may not be set below in some cases (e.g.,
+    # ! when XIMPROVED == FALSE, MAXVAL(ABS(SIMID)) <= 1, and MAXVAL(VETA) <= EDGMAX).
+    # jdrop = 0
+    #
+    # ! SIMID(J) is the value of the J-th Lagrange function at D. It is the counterpart of VLAG in UOBYQA
+    # ! and DEN in NEWUOA/BOBYQA/LINCOA, but it excludes the value of the (N+1)-th Lagrange function.
+    # simid = matprod(simi, d)
+    # if (any(abs(simid) > 1) .or. (ximproved .and. any(.not. is_nan(simid)))) then
+    #     jdrop = int(maxloc(abs(simid), mask=(.not. is_nan(simid)), dim=1), kind(jdrop))
+    #     !!MATLAB: [~, jdrop] = max(simid, [], 'omitnan');
+    # end if
+    #
+    # ! VETA(J) is the distance from the J-th vertex of the simplex to the best vertex, taking the trial
+    # ! point SIM(:, N+1) + D into account.
+    # if (ximproved) then
+    #     veta = sqrt(sum((sim(:, 1:n) - spread(d, dim=2, ncopies=n))**2, dim=1))
+    #     !!MATLAB: veta = sqrt(sum((sim(:, 1:n) - d).^2));  % d should be a column! Implicit expansion
+    # else
+    #     veta = sqrt(sum(sim(:, 1:n)**2, dim=1))
+    # end if
+    #
+    # ! VSIG(J) (J=1, .., N) is the Euclidean distance from vertex J to the opposite face of the simplex.
+    # vsig = ONE / sqrt(sum(simi**2, dim=2))
+    # sigbar = abs(simid) * vsig
+    #
+    # ! The following JDROP will overwrite the previous one if its premise holds.
+    # mask = (veta > factor_delta * delta .and. (sigbar >= factor_alpha * delta .or. sigbar >= vsig))
+    # if (any(mask)) then
+    #     jdrop = int(maxloc(veta, mask=mask, dim=1), kind(jdrop))
+    #     !!MATLAB: etamax = max(veta(mask)); jdrop = find(mask & ~(veta < etamax), 1, 'first');
+    # end if
+    #
+    # ! Powell's code does not include the following instructions. With Powell's code, if SIMID consists
+    # ! of only NaN, then JDROP can be 0 even when XIMPROVED == TRUE (i.e., D reduces the merit function).
+    # ! With the following code, JDROP cannot be 0 when XIMPROVED == TRUE, unless VETA is all NaN, which
+    # ! should not happen if X0 does not contain NaN, the trust-region/geometry steps never contain NaN,
+    # ! and we exit once encountering an iterate containing Inf (due to overflow).
+    # if (ximproved .and. jdrop <= 0) then  ! Write JDROP <= 0 instead of JDROP == 0 for robustness.
+    #     jdrop = int(maxloc(veta, mask=(.not. is_nan(veta)), dim=1), kind(jdrop))
+    #     !!MATLAB: [~, jdrop] = max(veta, [], 'omitnan');
+    # end if
+    # -------------------------------------------------------------------------------------------------- #
+    #  Powell's scheme ends here.
+    # -------------------------------------------------------------------------------------------------- #
+
+    # The following definition of JDROP is inspired by SETDROP_TR in UOBYQA/NEWUOA/BOBYQA/LINCOA.
+    # It is simpler and works better than Powell's scheme. Note that we allow JDROP to be NUM_VARS+1 if
+    # XIMPROVED is True, whereas Powell's code does not.
+    # See also (4.1) of Scheinberg-Toint-2010: Self-Correcting Geometry in Model-Based Algorithms for
+    # Derivative-Free Unconstrained Optimization, which refers to the strategy here as the "combined
+    # distance/poisedness criteria".
+
+    # DISTSQ[j] is the square of the distance from the jth vertex of the simplex to get "best" point so
+    # far, taking the trial point SIM[:, NUM_VARS] + D into account.
+    distsq = np.zeros(np.size(sim, 1))
+    if ximproved:
+        distsq[:num_vars] = primasum(
+            primapow2(sim[:, :num_vars] - np.tile(d, (num_vars, 1)).T), axis=0
+        )
+        distsq[num_vars] = primasum(d * d)
+    else:
+        distsq[:num_vars] = primasum(primapow2(sim[:, :num_vars]), axis=0)
+        distsq[num_vars] = 0
+
+    weight = np.maximum(
+        1, distsq / primapow2(np.maximum(rho, delta / 10))
+    )  # Similar to Powell's NEWUOA code.
+
+    # Other possible definitions of weight. They work almost the same as the one above.
+    # weight = distsq  # Similar to Powell's LINCOA code, but WRONG. See comments in LINCOA/geometry.f90.
+    # weight = max(1, max(25 * distsq / delta**2))  # Similar to Powell's BOBYQA code, works well.
+    # weight = max(1, max(10 * distsq / delta**2))
+    # weight = max(1, max(1e2 * distsq / delta**2))
+    # weight = max(1, max(distsq / rho**2))  ! Similar to Powell's UOBYQA
+
+    # If 0 <= j < NUM_VARS, SIMID[j] is the value of the jth Lagrange function at D; the value of the
+    # (NUM_VARS+1)th Lagrange function is 1 - sum(SIMID). [SIMID, 1 - sum(SIMID)] is the counterpart of
+    # VLAG in UOBYQA and DEN in NEWUOA/BOBYQA/LINCOA.
+    simid = matprod(simi, d)
+    score = weight * abs(np.array([*simid, 1 - primasum(simid)]))
+
+    # If XIMPROVED = False (D does not render a better X), set SCORE[NUM_VARS] = -1 to avoid JDROP = NUM_VARS.
+    if not ximproved:
+        score[num_vars] = -1
+
+    # score[j] is NaN implies SIMID[j] is NaN, but we want abs(SIMID) to be big. So we
+    # exclude such j.
+    score[np.isnan(score)] = -1
+
+    jdrop = None
+    # The following if statement works a bit better than
+    # `if any(score > 1) or (any(score > 0) and ximproved)` from Powell's UOBYQA and
+    # NEWUOA code.
+    if any(score > 0):  # Powell's BOBYQA and LINCOA code.
+        jdrop = np.argmax(score)
+
+    if ximproved and jdrop is None:
+        jdrop = np.argmax(distsq)
+
+    # ==================#
+    # Calculation ends #
+    # ==================#
+
+    # Postconditions
+    if DEBUGGING:
+        assert jdrop is None or (0 <= jdrop < num_vars + 1)
+        assert jdrop <= num_vars or ximproved
+        assert jdrop >= 0 or not ximproved
+        # JDROP >= 1 when XIMPROVED = TRUE unless NaN occurs in DISTSQ, which should not happen if the
+        # starting point does not contain NaN and the trust-region/geometry steps never contain NaN.
+
+    return jdrop
+
+
+def geostep(jdrop, amat, bvec, conmat, cpen, cval, delbar, fval, simi):
+    """
+    This function calculates a geometry step so that the geometry of the interpolation set is improved
+    when SIM[: JDROP_GEO] is replaced with SIM[:, NUM_VARS] + D. See (15)--(17) of the COBYLA paper.
+    """
+
+    # Sizes
+    m_lcon = np.size(bvec, 0) if bvec is not None else 0
+    num_constraints = np.size(conmat, 0)
+    num_vars = np.size(simi, 0)
+
+    # Preconditions
+    if DEBUGGING:
+        assert num_constraints >= m_lcon >= 0
+        assert num_vars >= 1
+        assert delbar > 0
+        assert cpen > 0
+        assert np.size(simi, 0) == num_vars and np.size(simi, 1) == num_vars
+        assert np.isfinite(simi).all()
+        assert np.size(fval) == num_vars + 1 and not any(
+            np.isnan(fval) | np.isposinf(fval)
+        )
+        assert (
+            np.size(conmat, 0) == num_constraints and np.size(conmat, 1) == num_vars + 1
+        )
+        assert not np.any(np.isnan(conmat) | np.isposinf(conmat))
+        assert np.size(cval) == num_vars + 1 and not any(
+            cval < 0 | np.isnan(cval) | np.isposinf(cval)
+        )
+        assert 0 <= jdrop < num_vars
+
+    # ====================#
+    # Calculation starts #
+    # ====================#
+
+    # SIMI[JDROP, :] is a vector perpendicular to the face of the simplex to the opposite of vertex
+    # JDROP. Set D to the vector in this direction and with length DELBAR.
+    d = simi[jdrop, :]
+    d = delbar * (d / norm(d))
+
+    # The code below chooses the direction of D according to an approximation of the merit function.
+    # See (17) of the COBYLA paper and  line 225 of Powell's cobylb.f.
+
+    # Calculate the coefficients of the linear approximations to the objective and constraint functions.
+    # N.B.: CONMAT and SIMI have been updated after the last trust-region step, but G and A have not.
+    # So we cannot pass G and A from outside.
+    g = matprod(fval[:num_vars] - fval[num_vars], simi)
+    A = np.zeros((num_vars, num_constraints))
+    A[:, :m_lcon] = amat.T if amat is not None else amat
+    A[:, m_lcon:] = matprod(
+        (
+            conmat[m_lcon:, :num_vars]
+            - np.tile(conmat[m_lcon:, num_vars], (num_vars, 1)).T
+        ),
+        simi,
+    ).T
+    # CVPD and CVND are the predicted constraint violation of D and -D by the linear models.
+    cvpd = np.max(np.append(0, conmat[:, num_vars] + matprod(d, A)))
+    cvnd = np.max(np.append(0, conmat[:, num_vars] - matprod(d, A)))
+    if -inprod(d, g) + cpen * cvnd < inprod(d, g) + cpen * cvpd:
+        d *= -1
+
+    # ==================#
+    # Calculation ends #
+    # ==================#
+
+    # Postconditions
+    if DEBUGGING:
+        assert np.size(d) == num_vars and all(np.isfinite(d))
+        # In theory, ||S|| == DELBAR, which may be false due to rounding, but not too far.
+        # It is crucial to ensure that the geometry step is nonzero, which holds in theory.
+        assert 0.9 * delbar < np.linalg.norm(d) <= 1.1 * delbar
+    return d

divi/exp/scipy/pyprima/cobyla/initialize.py

@@ -0,0 +1,269 @@
+"""
+This module contains subroutines for initialization.
+
+Translated from Zaikun Zhang's modern-Fortran reference implementation in PRIMA.
+
+Dedicated to late Professor M. J. D. Powell FRS (1936--2015).
+
+Python translation by Nickolai Belakovski.
+"""
+
+import numpy as np
+
+from ..common.checkbreak import checkbreak_con
+from ..common.consts import DEBUGGING, REALMAX
+from ..common.evaluate import evaluate
+from ..common.history import savehist
+from ..common.infos import INFO_DEFAULT
+from ..common.linalg import inv
+from ..common.message import fmsg
+from ..common.selectx import savefilt
+
+
+def initxfc(
+    calcfc,
+    iprint,
+    maxfun,
+    constr0,
+    amat,
+    bvec,
+    ctol,
+    f0,
+    ftarget,
+    rhobeg,
+    x0,
+    xhist,
+    fhist,
+    chist,
+    conhist,
+    maxhist,
+):
+    """
+    This subroutine does the initialization concerning X, function values, and
+    constraints.
+    """
+
+    # Local variables
+    solver = "COBYLA"
+    srname = "INITIALIZE"
+
+    # Sizes
+    num_constraints = np.size(constr0)
+    m_lcon = np.size(bvec) if bvec is not None else 0
+    m_nlcon = num_constraints - m_lcon
+    num_vars = np.size(x0)
+
+    # Preconditions
+    if DEBUGGING:
+        assert num_constraints >= 0, f"M >= 0 {srname}"
+        assert num_vars >= 1, f"N >= 1 {srname}"
+        assert abs(iprint) <= 3, f"IPRINT is 0, 1, -1, 2, -2, 3, or -3 {srname}"
+        # assert conmat.shape == (num_constraints , num_vars + 1), f'CONMAT.shape = [M, N+1] {srname}'
+        # assert cval.size == num_vars + 1, f'CVAL.size == N+1 {srname}'
+        # assert maxchist * (maxchist - maxhist) == 0, f'CHIST.shape == 0 or MAXHIST {srname}'
+        # assert conhist.shape[0] == num_constraints and maxconhist * (maxconhist - maxhist) == 0, 'CONHIST.shape[0] == num_constraints, SIZE(CONHIST, 2) == 0 or MAXHIST {srname)}'
+        # assert maxfhist * (maxfhist - maxhist) == 0, f'FHIST.shape == 0 or MAXHIST {srname}'
+        # assert xhist.shape[0] == num_vars and maxxhist * (maxxhist - maxhist) == 0, 'XHIST.shape[0] == N, SIZE(XHIST, 2) == 0 or MAXHIST {srname)}'
+        assert all(np.isfinite(x0)), f"X0 is finite {srname}"
+        assert rhobeg > 0, f"RHOBEG > 0 {srname}"
+
+    # ====================#
+    # Calculation starts #
+    # ====================#
+
+    # Initialize info to the default value. At return, a value different from this
+    # value will indicate an abnormal return
+    info = INFO_DEFAULT
+
+    # Initialize the simplex. It will be revised during the initialization.
+    sim = np.eye(num_vars, num_vars + 1) * rhobeg
+    sim[:, num_vars] = x0
+
+    # Initialize the matrix simi. In most cases simi is overwritten, but not always.
+    simi = np.eye(num_vars) / rhobeg
+
+    # evaluated[j] = True iff the function/constraint of SIM[:, j] has been evaluated.
+    evaluated = np.zeros(num_vars + 1, dtype=bool)
+
+    # Initialize fval
+    fval = np.zeros(num_vars + 1) + REALMAX
+    cval = np.zeros(num_vars + 1) + REALMAX
+    conmat = np.zeros((num_constraints, num_vars + 1)) + REALMAX
+
+    for k in range(num_vars + 1):
+        x = sim[:, num_vars].copy()
+        # We will evaluate F corresponding to SIM(:, J).
+        if k == 0:
+            j = num_vars
+            f = f0
+            constr = constr0
+        else:
+            j = k - 1
+            x[j] += rhobeg
+            f, constr = evaluate(calcfc, x, m_nlcon, amat, bvec)
+        cstrv = np.max(np.append(0, constr))
+
+        # Print a message about the function/constraint evaluation according to IPRINT.
+        fmsg(solver, "Initialization", iprint, k, rhobeg, f, x, cstrv, constr)
+
+        # Save X, F, CONSTR, CSTRV into the history.
+        savehist(maxhist, x, xhist, f, fhist, cstrv, chist, constr, conhist)
+
+        # Save F, CONSTR, and CSTRV to FVAL, CONMAT, and CVAL respectively.
+        evaluated[j] = True
+        fval[j] = f
+        conmat[:, j] = constr
+        cval[j] = cstrv
+
+        # Check whether to exit.
+        subinfo = checkbreak_con(maxfun, k, cstrv, ctol, f, ftarget, x)
+        if subinfo != INFO_DEFAULT:
+            info = subinfo
+            break
+
+        # Exchange the new vertex of the initial simplex with the optimal vertex if necessary.
+        # This is the ONLY part that is essentially non-parallel.
+        if j < num_vars and fval[j] < fval[num_vars]:
+            fval[j], fval[num_vars] = fval[num_vars], fval[j]
+            cval[j], cval[num_vars] = cval[num_vars], cval[j]
+            conmat[:, [j, num_vars]] = conmat[:, [num_vars, j]]
+            sim[:, num_vars] = x
+            sim[j, : j + 1] = -rhobeg  # SIM[:, :j+1] is lower triangular
+
+    nf = np.count_nonzero(evaluated)
+
+    if evaluated.all():
+        # Initialize SIMI to the inverse of SIM[:, :num_vars]
+        simi = inv(sim[:, :num_vars])
+
+    # ==================#
+    # Calculation ends #
+    # ==================#
+
+    # Postconditions
+    if DEBUGGING:
+        assert nf <= maxfun, f"NF <= MAXFUN {srname}"
+        assert (
+            evaluated.size == num_vars + 1
+        ), f"EVALUATED.size == Num_vars + 1 {srname}"
+        # assert chist.size == maxchist, f'CHIST.size == MAXCHIST {srname}'
+        # assert conhist.shape== (num_constraints, maxconhist), f'CONHIST.shape == [M, MAXCONHIST] {srname}'
+        assert conmat.shape == (
+            num_constraints,
+            num_vars + 1,
+        ), f"CONMAT.shape = [M, N+1] {srname}"
+        assert not (
+            np.isnan(conmat).any() or np.isneginf(conmat).any()
+        ), f"CONMAT does not contain NaN/-Inf {srname}"
+        assert cval.size == num_vars + 1 and not (
+            any(cval < 0) or any(np.isnan(cval)) or any(np.isposinf(cval))
+        ), f"CVAL.shape == Num_vars+1 and CVAL does not contain negative values or NaN/+Inf {srname}"
+        # assert fhist.shape == maxfhist, f'FHIST.shape == MAXFHIST {srname}'
+        # assert maxfhist * (maxfhist - maxhist) == 0, f'FHIST.shape == 0 or MAXHIST {srname}'
+        assert fval.size == num_vars + 1 and not (
+            any(np.isnan(fval)) or any(np.isposinf(fval))
+        ), f"FVAL.shape == Num_vars+1 and FVAL is not NaN/+Inf {srname}"
+        # assert xhist.shape == (num_vars, maxxhist), f'XHIST.shape == [N, MAXXHIST] {srname}'
+        assert sim.shape == (num_vars, num_vars + 1), f"SIM.shape == [N, N+1] {srname}"
+        assert np.isfinite(sim).all(), f"SIM is finite {srname}"
+        assert all(
+            np.max(abs(sim[:, :num_vars]), axis=0) > 0
+        ), f"SIM(:, 1:N) has no zero column {srname}"
+        assert simi.shape == (num_vars, num_vars), f"SIMI.shape == [N, N] {srname}"
+        assert np.isfinite(simi).all(), f"SIMI is finite {srname}"
+        assert np.allclose(
+            sim[:, :num_vars] @ simi, np.eye(num_vars), rtol=0.1, atol=0.1
+        ) or not all(evaluated), f"SIMI = SIM(:, 1:N)^{-1} {srname}"
+
+    return evaluated, conmat, cval, sim, simi, fval, nf, info
+
+
+def initfilt(
+    conmat, ctol, cweight, cval, fval, sim, evaluated, cfilt, confilt, ffilt, xfilt
+):
+    """
+    This function initializes the filter (XFILT, etc) that will be used when selecting
+    x at the end of the solver.
+    N.B.:
+    1. Why not initialize the filters using XHIST, etc? Because the history is empty if
+    the user chooses not to output it.
+    2. We decouple INITXFC and INITFILT so that it is easier to parallelize the former
+    if needed.
+    """
+
+    # Sizes
+    num_constraints = conmat.shape[0]
+    num_vars = sim.shape[0]
+    maxfilt = len(ffilt)
+
+    # Preconditions
+    if DEBUGGING:
+        assert num_constraints >= 0
+        assert num_vars >= 1
+        assert maxfilt >= 1
+        assert np.size(confilt, 0) == num_constraints and np.size(confilt, 1) == maxfilt
+        assert np.size(cfilt) == maxfilt
+        assert np.size(xfilt, 0) == num_vars and np.size(xfilt, 1) == maxfilt
+        assert np.size(ffilt) == maxfilt
+        assert (
+            np.size(conmat, 0) == num_constraints and np.size(conmat, 1) == num_vars + 1
+        )
+        assert not (np.isnan(conmat) | np.isneginf(conmat)).any()
+        assert np.size(cval) == num_vars + 1 and not any(
+            cval < 0 | np.isnan(cval) | np.isposinf(cval)
+        )
+        assert np.size(fval) == num_vars + 1 and not any(
+            np.isnan(fval) | np.isposinf(fval)
+        )
+        assert np.size(sim, 0) == num_vars and np.size(sim, 1) == num_vars + 1
+        assert np.isfinite(sim).all()
+        assert all(np.max(abs(sim[:, :num_vars]), axis=0) > 0)
+        assert np.size(evaluated) == num_vars + 1
+
+    # ====================#
+    # Calculation starts #
+    # ====================#
+
+    nfilt = 0
+    for i in range(num_vars + 1):
+        if evaluated[i]:
+            if i < num_vars:
+                x = sim[:, i] + sim[:, num_vars]
+            else:
+                x = sim[:, i]  # i == num_vars, i.e. the last column
+            nfilt, cfilt, ffilt, xfilt, confilt = savefilt(
+                cval[i],
+                ctol,
+                cweight,
+                fval[i],
+                x,
+                nfilt,
+                cfilt,
+                ffilt,
+                xfilt,
+                conmat[:, i],
+                confilt,
+            )
+
+    # ==================#
+    # Calculation ends #
+    # ==================#
+
+    # Postconditions
+    if DEBUGGING:
+        assert nfilt <= maxfilt
+        assert np.size(confilt, 0) == num_constraints and np.size(confilt, 1) == maxfilt
+        assert not (
+            np.isnan(confilt[:, :nfilt]) | np.isneginf(confilt[:, :nfilt])
+        ).any()
+        assert np.size(cfilt) == maxfilt
+        assert not any(
+            cfilt[:nfilt] < 0 | np.isnan(cfilt[:nfilt]) | np.isposinf(cfilt[:nfilt])
+        )
+        assert np.size(xfilt, 0) == num_vars and np.size(xfilt, 1) == maxfilt
+        assert not (np.isnan(xfilt[:, :nfilt])).any()
+        # The last calculated X can be Inf (finite + finite can be Inf numerically).
+        assert np.size(ffilt) == maxfilt
+        assert not any(np.isnan(ffilt[:nfilt]) | np.isposinf(ffilt[:nfilt]))
+
+    return nfilt