scipy 1.16.2__cp311-cp311-win_arm64.whl

scipy/optimize/_slsqp_py.py

@@ -0,0 +1,603 @@
+"""
+This module implements the Sequential Least Squares Programming optimization
+algorithm (SLSQP), originally developed by Dieter Kraft.
+See http://www.netlib.org/toms/733
+
+Functions
+---------
+.. autosummary::
+   :toctree: generated/
+
+    approx_jacobian
+    fmin_slsqp
+
+"""
+
+__all__ = ['approx_jacobian', 'fmin_slsqp']
+
+import numpy as np
+from ._slsqplib import slsqp
+from scipy.linalg import norm as lanorm
+from ._optimize import (OptimizeResult, _check_unknown_options,
+                        _prepare_scalar_function, _clip_x_for_func,
+                        _check_clip_x)
+from ._numdiff import approx_derivative
+from ._constraints import old_bound_to_new, _arr_to_scalar
+from scipy._lib._array_api import array_namespace
+from scipy._lib import array_api_extra as xpx
+from numpy.typing import NDArray
+
+__docformat__ = "restructuredtext en"
+
+_epsilon = np.sqrt(np.finfo(np.float64).eps)
+
+
+def approx_jacobian(x, func, epsilon, *args):
+    """
+    Approximate the Jacobian matrix of a callable function.
+
+    Parameters
+    ----------
+    x : array_like
+        The state vector at which to compute the Jacobian matrix.
+    func : callable f(x,*args)
+        The vector-valued function.
+    epsilon : float
+        The perturbation used to determine the partial derivatives.
+    args : sequence
+        Additional arguments passed to func.
+
+    Returns
+    -------
+    An array of dimensions ``(lenf, lenx)`` where ``lenf`` is the length
+    of the outputs of `func`, and ``lenx`` is the number of elements in
+    `x`.
+
+    Notes
+    -----
+    The approximation is done using forward differences.
+
+    """
+    # approx_derivative returns (m, n) == (lenf, lenx)
+    jac = approx_derivative(func, x, method='2-point', abs_step=epsilon,
+                            args=args)
+    # if func returns a scalar jac.shape will be (lenx,). Make sure
+    # it's at least a 2D array.
+    return np.atleast_2d(jac)
+
+
+def fmin_slsqp(func, x0, eqcons=(), f_eqcons=None, ieqcons=(), f_ieqcons=None,
+               bounds=(), fprime=None, fprime_eqcons=None,
+               fprime_ieqcons=None, args=(), iter=100, acc=1.0E-6,
+               iprint=1, disp=None, full_output=0, epsilon=_epsilon,
+               callback=None):
+    """
+    Minimize a function using Sequential Least Squares Programming
+
+    Python interface function for the SLSQP Optimization subroutine
+    originally implemented by Dieter Kraft.
+
+    Parameters
+    ----------
+    func : callable f(x,*args)
+        Objective function.  Must return a scalar.
+    x0 : 1-D ndarray of float
+        Initial guess for the independent variable(s).
+    eqcons : list, optional
+        A list of functions of length n such that
+        eqcons[j](x,*args) == 0.0 in a successfully optimized
+        problem.
+    f_eqcons : callable f(x,*args), optional
+        Returns a 1-D array in which each element must equal 0.0 in a
+        successfully optimized problem. If f_eqcons is specified,
+        eqcons is ignored.
+    ieqcons : list, optional
+        A list of functions of length n such that
+        ieqcons[j](x,*args) >= 0.0 in a successfully optimized
+        problem.
+    f_ieqcons : callable f(x,*args), optional
+        Returns a 1-D ndarray in which each element must be greater or
+        equal to 0.0 in a successfully optimized problem. If
+        f_ieqcons is specified, ieqcons is ignored.
+    bounds : list, optional
+        A list of tuples specifying the lower and upper bound
+        for each independent variable [(xl0, xu0),(xl1, xu1),...]
+        Infinite values will be interpreted as large floating values.
+    fprime : callable ``f(x,*args)``, optional
+        A function that evaluates the partial derivatives of func.
+    fprime_eqcons : callable ``f(x,*args)``, optional
+        A function of the form ``f(x, *args)`` that returns the m by n
+        array of equality constraint normals. If not provided,
+        the normals will be approximated. The array returned by
+        fprime_eqcons should be sized as ( len(eqcons), len(x0) ).
+    fprime_ieqcons : callable ``f(x,*args)``, optional
+        A function of the form ``f(x, *args)`` that returns the m by n
+        array of inequality constraint normals. If not provided,
+        the normals will be approximated. The array returned by
+        fprime_ieqcons should be sized as ( len(ieqcons), len(x0) ).
+    args : sequence, optional
+        Additional arguments passed to func and fprime.
+    iter : int, optional
+        The maximum number of iterations.
+    acc : float, optional
+        Requested accuracy.
+    iprint : int, optional
+        The verbosity of fmin_slsqp :
+
+        * iprint <= 0 : Silent operation
+        * iprint == 1 : Print summary upon completion (default)
+        * iprint >= 2 : Print status of each iterate and summary
+    disp : int, optional
+        Overrides the iprint interface (preferred).
+    full_output : bool, optional
+        If False, return only the minimizer of func (default).
+        Otherwise, output final objective function and summary
+        information.
+    epsilon : float, optional
+        The step size for finite-difference derivative estimates.
+    callback : callable, optional
+        Called after each iteration, as ``callback(x)``, where ``x`` is the
+        current parameter vector.
+
+    Returns
+    -------
+    out : ndarray of float
+        The final minimizer of func.
+    fx : ndarray of float, if full_output is true
+        The final value of the objective function.
+    its : int, if full_output is true
+        The number of iterations.
+    imode : int, if full_output is true
+        The exit mode from the optimizer (see below).
+    smode : string, if full_output is true
+        Message describing the exit mode from the optimizer.
+
+    See also
+    --------
+    minimize: Interface to minimization algorithms for multivariate
+        functions. See the 'SLSQP' `method` in particular.
+
+    Notes
+    -----
+    Exit modes are defined as follows:
+
+    - ``-1`` : Gradient evaluation required (g & a)
+    - ``0`` : Optimization terminated successfully
+    - ``1`` : Function evaluation required (f & c)
+    - ``2`` : More equality constraints than independent variables
+    - ``3`` : More than 3*n iterations in LSQ subproblem
+    - ``4`` : Inequality constraints incompatible
+    - ``5`` : Singular matrix E in LSQ subproblem
+    - ``6`` : Singular matrix C in LSQ subproblem
+    - ``7`` : Rank-deficient equality constraint subproblem HFTI
+    - ``8`` : Positive directional derivative for linesearch
+    - ``9`` : Iteration limit reached
+
+    Examples
+    --------
+    Examples are given :ref:`in the tutorial <tutorial-sqlsp>`.
+
+    """
+    if disp is not None:
+        iprint = disp
+
+    opts = {'maxiter': iter,
+            'ftol': acc,
+            'iprint': iprint,
+            'disp': iprint != 0,
+            'eps': epsilon,
+            'callback': callback}
+
+    # Build the constraints as a tuple of dictionaries
+    cons = ()
+    # 1. constraints of the 1st kind (eqcons, ieqcons); no Jacobian; take
+    #    the same extra arguments as the objective function.
+    cons += tuple({'type': 'eq', 'fun': c, 'args': args} for c in eqcons)
+    cons += tuple({'type': 'ineq', 'fun': c, 'args': args} for c in ieqcons)
+    # 2. constraints of the 2nd kind (f_eqcons, f_ieqcons) and their Jacobian
+    #    (fprime_eqcons, fprime_ieqcons); also take the same extra arguments
+    #    as the objective function.
+    if f_eqcons:
+        cons += ({'type': 'eq', 'fun': f_eqcons, 'jac': fprime_eqcons,
+                  'args': args}, )
+    if f_ieqcons:
+        cons += ({'type': 'ineq', 'fun': f_ieqcons, 'jac': fprime_ieqcons,
+                  'args': args}, )
+
+    res = _minimize_slsqp(func, x0, args, jac=fprime, bounds=bounds,
+                          constraints=cons, **opts)
+    if full_output:
+        return res['x'], res['fun'], res['nit'], res['status'], res['message']
+    else:
+        return res['x']
+
+
+def _minimize_slsqp(func, x0, args=(), jac=None, bounds=None,
+                    constraints=(),
+                    maxiter=100, ftol=1.0E-6, iprint=1, disp=False,
+                    eps=_epsilon, callback=None, finite_diff_rel_step=None,
+                    workers=None, **unknown_options):
+    """
+    Minimize a scalar function of one or more variables using Sequential
+    Least Squares Programming (SLSQP).
+
+    Parameters
+    ----------
+    ftol : float
+        Precision target for the value of f in the stopping criterion. This value
+        controls the final accuracy for checking various optimality conditions;
+        gradient of the lagrangian and absolute sum of the constraint violations
+        should be lower than ``ftol``. Similarly, computed step size and the
+        objective function changes are checked against this value. Default is 1e-6.
+    eps : float
+        Step size used for numerical approximation of the Jacobian.
+    disp : bool
+        Set to True to print convergence messages. If False,
+        `verbosity` is ignored and set to 0.
+    maxiter : int, optional
+        Maximum number of iterations. Default value is 100.
+    finite_diff_rel_step : None or array_like, optional
+        If ``jac in ['2-point', '3-point', 'cs']`` the relative step size to
+        use for numerical approximation of `jac`. The absolute step
+        size is computed as ``h = rel_step * sign(x) * max(1, abs(x))``,
+        possibly adjusted to fit into the bounds. For ``method='3-point'``
+        the sign of `h` is ignored. If None (default) then step is selected
+        automatically.
+    workers : int, map-like callable, optional
+        A map-like callable, such as `multiprocessing.Pool.map` for evaluating
+        any numerical differentiation in parallel.
+        This evaluation is carried out as ``workers(fun, iterable)``.
+
+        .. versionadded:: 1.16.0
+
+    Returns
+    -------
+    res : OptimizeResult
+        The optimization result represented as an `OptimizeResult` object.
+        In this dict-like object the following fields are of particular importance:
+        ``x`` the solution array, ``success`` a Boolean flag indicating if the
+        optimizer exited successfully, ``message`` which describes the reason for
+        termination, and ``multipliers`` which contains the Karush-Kuhn-Tucker
+        (KKT) multipliers for the QP approximation used in solving the original
+        nonlinear problem. See ``Notes`` below. See also `OptimizeResult` for a
+        description of other attributes.
+
+    Notes
+    -----
+    The KKT multipliers are returned in the ``OptimizeResult.multipliers``
+    attribute as a NumPy array. Denoting the dimension of the equality constraints
+    with ``meq``, and of inequality constraints with ``mineq``, then the returned
+    array slice ``m[:meq]`` contains the multipliers for the equality constraints,
+    and the remaining ``m[meq:meq + mineq]`` contains the multipliers for the
+    inequality constraints. The multipliers corresponding to bound inequalities
+    are not returned. See [1]_ pp. 321 or [2]_ for an explanation of how to interpret
+    these multipliers. The internal QP problem is solved using the methods given
+    in [3]_ Chapter 25.
+
+    Note that if new-style `NonlinearConstraint` or `LinearConstraint` were
+    used, then ``minimize`` converts them first to old-style constraint dicts.
+    It is possible for a single new-style constraint to simultaneously contain
+    both inequality and equality constraints. This means that if there is mixing
+    within a single constraint, then the returned list of multipliers will have
+    a different length than the original new-style constraints.
+
+    References
+    ----------
+    .. [1] Nocedal, J., and S J Wright, 2006, "Numerical Optimization", Springer,
+       New York.
+    .. [2] Kraft, D., "A software package for sequential quadratic programming",
+       1988, Tech. Rep. DFVLR-FB 88-28, DLR German Aerospace Center, Germany.
+    .. [3] Lawson, C. L., and R. J. Hanson, 1995, "Solving Least Squares Problems",
+       SIAM, Philadelphia, PA.
+
+    """
+    _check_unknown_options(unknown_options)
+    acc = ftol
+    epsilon = eps
+
+    if not disp:
+        iprint = 0
+
+    # Transform x0 into an array.
+    xp = array_namespace(x0)
+    x0 = xpx.atleast_nd(xp.asarray(x0), ndim=1, xp=xp)
+    dtype = xp.float64
+    if xp.isdtype(x0.dtype, "real floating"):
+        dtype = x0.dtype
+    x = xp.reshape(xp.astype(x0, dtype), -1)
+
+    # SLSQP is sent 'old-style' bounds, 'new-style' bounds are required by
+    # ScalarFunction
+    if bounds is None or len(bounds) == 0:
+        new_bounds = (-np.inf, np.inf)
+    else:
+        new_bounds = old_bound_to_new(bounds)
+
+    # clip the initial guess to bounds, otherwise ScalarFunction doesn't work
+    x = np.clip(x, new_bounds[0], new_bounds[1])
+
+    # Constraints are triaged per type into a dictionary of tuples
+    if isinstance(constraints, dict):
+        constraints = (constraints, )
+
+    cons = {'eq': (), 'ineq': ()}
+    for ic, con in enumerate(constraints):
+        # check type
+        try:
+            ctype = con['type'].lower()
+        except KeyError as e:
+            raise KeyError(f'Constraint {ic} has no type defined.') from e
+        except TypeError as e:
+            raise TypeError('Constraints must be defined using a '
+                            'dictionary.') from e
+        except AttributeError as e:
+            raise TypeError("Constraint's type must be a string.") from e
+        else:
+            if ctype not in ['eq', 'ineq']:
+                raise ValueError(f"Unknown constraint type '{con['type']}'.")
+
+        # check function
+        if 'fun' not in con:
+            raise ValueError(f'Constraint {ic} has no function defined.')
+
+        # check Jacobian
+        cjac = con.get('jac')
+        if cjac is None:
+            # approximate Jacobian function. The factory function is needed
+            # to keep a reference to `fun`, see gh-4240.
+            def cjac_factory(fun):
+                def cjac(x, *args):
+                    x = _check_clip_x(x, new_bounds)
+
+                    if jac in ['2-point', '3-point', 'cs']:
+                        return approx_derivative(fun, x, method=jac, args=args,
+                                                 rel_step=finite_diff_rel_step,
+                                                 bounds=new_bounds)
+                    else:
+                        return approx_derivative(fun, x, method='2-point',
+                                                 abs_step=epsilon, args=args,
+                                                 bounds=new_bounds)
+
+                return cjac
+            cjac = cjac_factory(con['fun'])
+
+        # update constraints' dictionary
+        cons[ctype] += ({'fun': con['fun'],
+                         'jac': cjac,
+                         'args': con.get('args', ())}, )
+
+    exit_modes = {-1: "Gradient evaluation required (g & a)",
+                   0: "Optimization terminated successfully",
+                   1: "Function evaluation required (f & c)",
+                   2: "More equality constraints than independent variables",
+                   3: "More than 3*n iterations in LSQ subproblem",
+                   4: "Inequality constraints incompatible",
+                   5: "Singular matrix E in LSQ subproblem",
+                   6: "Singular matrix C in LSQ subproblem",
+                   7: "Rank-deficient equality constraint subproblem HFTI",
+                   8: "Positive directional derivative for linesearch",
+                   9: "Iteration limit reached"}
+
+    # Set the parameters that SLSQP will need
+    # meq, mieq: number of equality and inequality constraints
+    meq = sum(map(len, [np.atleast_1d(c['fun'](x, *c['args']))
+              for c in cons['eq']]))
+    mieq = sum(map(len, [np.atleast_1d(c['fun'](x, *c['args']))
+               for c in cons['ineq']]))
+    # m = The total number of constraints
+    m = meq + mieq
+    # n = The number of independent variables
+    n = len(x)
+
+    # Decompose bounds into xl and xu
+    if bounds is None or len(bounds) == 0:
+        xl = np.empty(n, dtype=float)
+        xu = np.empty(n, dtype=float)
+        xl.fill(np.nan)
+        xu.fill(np.nan)
+    else:
+        bnds = np.array([(_arr_to_scalar(lo), _arr_to_scalar(up))
+                      for (lo, up) in bounds], float)
+        if bnds.shape[0] != n:
+            raise IndexError('SLSQP Error: the length of bounds is not '
+                             'compatible with that of x0.')
+
+        with np.errstate(invalid='ignore'):
+            bnderr = bnds[:, 0] > bnds[:, 1]
+
+        if bnderr.any():
+            raise ValueError("SLSQP Error: lb > ub in bounds "
+                             f"{', '.join(str(b) for b in bnderr)}.")
+        xl, xu = bnds[:, 0].copy(), bnds[:, 1].copy()
+
+        # Mark infinite bounds with nans; the C code expects this
+        infbnd = ~np.isfinite(bnds)
+        xl[infbnd[:, 0]] = np.nan
+        xu[infbnd[:, 1]] = np.nan
+
+    # ScalarFunction provides function and gradient evaluation
+    sf = _prepare_scalar_function(func, x, jac=jac, args=args, epsilon=eps,
+                                  finite_diff_rel_step=finite_diff_rel_step,
+                                  bounds=new_bounds, workers=workers)
+    # gh11403 SLSQP sometimes exceeds bounds by 1 or 2 ULP, make sure this
+    # doesn't get sent to the func/grad evaluator.
+    wrapped_fun = _clip_x_for_func(sf.fun, new_bounds)
+    wrapped_grad = _clip_x_for_func(sf.grad, new_bounds)
+
+    # Initialize internal SLSQP state variables dictionary
+    # This dictionary is passed to the SLSQP matching the C struct defined as
+    #
+    # struct SLSQP_static_vars {
+    #     double acc, alpha, f0, gs, h1, h2, h3, h4, t, t0, tol;
+    #     int exact, inconsistent, reset, iter, itermax, line, mode, meq;
+    # };
+    #
+    # exact : a dummy variable and should be kept 0 since the underlying code
+    #         always uses an inexact search.
+    # inconsistent: a boolean set to 1 if the linearized QP is not well-defined
+    #               while the original nonlinear problem is still solvable. Then
+    #               the problem is augmented with a regularizing dummy variable.
+    # reset: holds the count of resetting bfgs to identity matrix.
+    # iter  : the current and itermax is the maximum number of iterations.
+    # line  : the current line search iteration.
+    # mode  : the exit mode of the solver.
+    # alpha, f0, gs, h1, h2, h3, h4, t, t0 : internal variables used by the solver.
+    #
+    # The dict holds the intermediate state of the solver. The keys are the same
+    # as the C struct members and will be modified in-place.
+    state_dict = {
+        "acc": acc,
+        "alpha": 0.0,
+        "f0": 0.0,
+        "gs": 0.0,
+        "h1": 0.0,
+        "h2": 0.0,
+        "h3": 0.0,
+        "h4": 0.0,
+        "t": 0.0,
+        "t0": 0.0,
+        "tol": 10.0*acc,
+        "exact": 0,
+        "inconsistent": 0,
+        "reset": 0,
+        "iter": 0,
+        "itermax": int(maxiter),
+        "line": 0,
+        "m": m,
+        "meq": meq,
+        "mode": 0,
+        "n": n
+    }
+
+    # Print the header if iprint >= 2
+    if iprint >= 2:
+        print(f"{'NIT':>5} {'FC':>5} {'OBJFUN':>16} {'GNORM':>16}")
+
+    # Internal buffer and int array
+    indices = np.zeros([max(m + 2*n + 2, 1)], dtype=np.int32)
+
+    # The worst case workspace requirements for the buffer are:
+
+    # n*(n+1)//2 + m + 4*n + 3                                           # SLSQP
+    # (n+1)*(n+2) + (n+1)*meq + m + (mineq + 2*n + 2)*(n+1) +  3*n + 3   # LSQ
+    # mineq + 2n + 2 + 2*meq + (n+1) + (mineq + 3n + 3)*(n + 1 - meq)    # LSEI
+    # (mineq + 2n + 2 + 2)*(n + 2) + mineq + 2n + 2                      # LDP
+    # mineq + 2n + 2                                                     # NNLS
+
+    # If we sum all up and simplify by the help of sympy we get the following
+    buffer_size = (
+        n*(n+1)//2 + 3*m*n - (m + 5*n + 7)*meq + 9*m + 8*n*n + 35*n + meq*meq + 28
+    )
+    # If no inequality constraints are given, top up workspace for the missing
+    # terms.
+    if mieq == 0:
+        buffer_size += 2*n*(n + 1)
+    buffer = np.zeros(max(buffer_size, 1), dtype=np.float64)
+
+    # mode is zero on entry, so call objective, constraints and gradients
+    # there should be no func evaluations here because it's cached from
+    # ScalarFunction
+    fx = wrapped_fun(x)
+    g = wrapped_grad(x)
+
+    # Allocate the multiplier array both for constraints and user specified
+    # bounds (extra +2 is for a possible augmented problem).
+    mult = np.zeros([max(1, m + 2*n + 2)], dtype=np.float64)
+
+    # Allocate the constraints and normals once and repopulate as needed
+    C = np.zeros([max(1, m), n], dtype=np.float64, order='F')
+    d = np.zeros([max(1, m)], dtype=np.float64)
+    _eval_con_normals(C, x, cons, m, meq)
+    _eval_constraint(d, x, cons, m, meq)
+
+    iter_prev = 0
+
+    while True:
+        # Call SLSQP
+        slsqp(state_dict, fx, g, C, d, x, mult, xl, xu, buffer, indices)
+
+        if state_dict['mode'] == 1:  # objective and constraint evaluation required
+            fx = sf.fun(x)
+            _eval_constraint(d, x, cons, m, meq)
+
+        if state_dict['mode'] == -1:  # gradient evaluation required
+            g = sf.grad(x)
+            _eval_con_normals(C, x, cons, m, meq)
+
+        if state_dict['iter'] > iter_prev:
+            # call callback if major iteration has incremented
+            if callback is not None:
+                callback(np.copy(x))
+
+            # Print the status of the current iterate if iprint > 2
+            if iprint >= 2:
+                print(f"{state_dict['iter']:5d} {sf.nfev:5d} "
+                      f"{fx:16.6E} {lanorm(g):16.6E}")
+
+        # If exit mode is not -1 or 1, slsqp has completed
+        if abs(state_dict['mode']) != 1:
+            break
+
+        iter_prev = state_dict['iter']
+
+    # Optimization loop complete. Print status if requested
+    if iprint >= 1:
+        print(
+            exit_modes[state_dict['mode']] + f"    (Exit mode {state_dict['mode']})"
+        )
+        print("            Current function value:", fx)
+        print("            Iterations:", state_dict['iter'])
+        print("            Function evaluations:", sf.nfev)
+        print("            Gradient evaluations:", sf.ngev)
+
+    return OptimizeResult(
+        x=x, fun=fx, jac=g, nit=state_dict['iter'], nfev=sf.nfev, njev=sf.ngev,
+        status=state_dict['mode'], message=exit_modes[state_dict['mode']],
+        success=(state_dict['mode'] == 0), multipliers=mult[:m]
+    )
+
+# The following functions modify their first input argument in-place.
+def _eval_constraint(d: NDArray, x: NDArray, cons: dict, m: int, meq: int):
+    if m == 0:
+        return
+
+    # The reason why we don't use regular increments with a sane for loop is that
+    # the constraint evaluations do not necessarily return scalars. Their
+    # output length needs to be taken into account while placing them in d.
+
+    if meq > 0:
+        row = 0
+        for con in cons['eq']:
+            temp = np.atleast_1d(con['fun'](x, *con['args'])).ravel()
+            d[row:row + len(temp)] = temp
+            row += len(temp)
+
+    if m > meq:
+        row = meq
+        for con in cons['ineq']:
+            temp = np.atleast_1d(con['fun'](x, *con['args'])).ravel()
+            d[row:row + len(temp)] = temp
+            row += len(temp)
+
+    return
+
+
+def _eval_con_normals(C: NDArray, x: NDArray, cons: dict, m: int, meq: int):
+    if m == 0:
+        return
+
+    if meq > 0:
+        row = 0
+        for con in cons['eq']:
+            temp = np.atleast_2d(con['jac'](x, *con['args']))
+            C[row:row + temp.shape[0], :] = temp
+            row += temp.shape[0]
+
+    if m > meq:
+        row = meq
+        for con in cons['ineq']:
+            temp = np.atleast_2d(con['jac'](x, *con['args']))
+            C[row:row + temp.shape[0], :] = temp
+            row += temp.shape[0]
+
+    return