scipy 1.16.2__cp313-cp313t-win_arm64.whl

scipy/optimize/_trustregion_constr/tests/test_canonical_constraint.py

@@ -0,0 +1,296 @@
+import numpy as np
+from numpy.testing import assert_array_equal, assert_equal
+from scipy.optimize._constraints import (NonlinearConstraint, Bounds,
+                                         PreparedConstraint)
+from scipy.optimize._trustregion_constr.canonical_constraint \
+    import CanonicalConstraint, initial_constraints_as_canonical
+
+
+def create_quadratic_function(n, m, rng):
+    a = rng.rand(m)
+    A = rng.rand(m, n)
+    H = rng.rand(m, n, n)
+    HT = np.transpose(H, (1, 2, 0))
+
+    def fun(x):
+        return a + A.dot(x) + 0.5 * H.dot(x).dot(x)
+
+    def jac(x):
+        return A + H.dot(x)
+
+    def hess(x, v):
+        return HT.dot(v)
+
+    return fun, jac, hess
+
+
+def test_bounds_cases():
+    # Test 1: no constraints.
+    user_constraint = Bounds(-np.inf, np.inf)
+    x0 = np.array([-1, 2])
+    prepared_constraint = PreparedConstraint(user_constraint, x0, False)
+    c = CanonicalConstraint.from_PreparedConstraint(prepared_constraint)
+
+    assert_equal(c.n_eq, 0)
+    assert_equal(c.n_ineq, 0)
+
+    c_eq, c_ineq = c.fun(x0)
+    assert_array_equal(c_eq, [])
+    assert_array_equal(c_ineq, [])
+
+    J_eq, J_ineq = c.jac(x0)
+    assert_array_equal(J_eq, np.empty((0, 2)))
+    assert_array_equal(J_ineq, np.empty((0, 2)))
+
+    assert_array_equal(c.keep_feasible, [])
+
+    # Test 2: infinite lower bound.
+    user_constraint = Bounds(-np.inf, [0, np.inf, 1], [False, True, True])
+    x0 = np.array([-1, -2, -3], dtype=float)
+    prepared_constraint = PreparedConstraint(user_constraint, x0, False)
+    c = CanonicalConstraint.from_PreparedConstraint(prepared_constraint)
+
+    assert_equal(c.n_eq, 0)
+    assert_equal(c.n_ineq, 2)
+
+    c_eq, c_ineq = c.fun(x0)
+    assert_array_equal(c_eq, [])
+    assert_array_equal(c_ineq, [-1, -4])
+
+    J_eq, J_ineq = c.jac(x0)
+    assert_array_equal(J_eq, np.empty((0, 3)))
+    assert_array_equal(J_ineq, np.array([[1, 0, 0], [0, 0, 1]]))
+
+    assert_array_equal(c.keep_feasible, [False, True])
+
+    # Test 3: infinite upper bound.
+    user_constraint = Bounds([0, 1, -np.inf], np.inf, [True, False, True])
+    x0 = np.array([1, 2, 3], dtype=float)
+    prepared_constraint = PreparedConstraint(user_constraint, x0, False)
+    c = CanonicalConstraint.from_PreparedConstraint(prepared_constraint)
+
+    assert_equal(c.n_eq, 0)
+    assert_equal(c.n_ineq, 2)
+
+    c_eq, c_ineq = c.fun(x0)
+    assert_array_equal(c_eq, [])
+    assert_array_equal(c_ineq, [-1, -1])
+
+    J_eq, J_ineq = c.jac(x0)
+    assert_array_equal(J_eq, np.empty((0, 3)))
+    assert_array_equal(J_ineq, np.array([[-1, 0, 0], [0, -1, 0]]))
+
+    assert_array_equal(c.keep_feasible, [True, False])
+
+    # Test 4: interval constraint.
+    user_constraint = Bounds([-1, -np.inf, 2, 3], [1, np.inf, 10, 3],
+                             [False, True, True, True])
+    x0 = np.array([0, 10, 8, 5])
+    prepared_constraint = PreparedConstraint(user_constraint, x0, False)
+    c = CanonicalConstraint.from_PreparedConstraint(prepared_constraint)
+
+    assert_equal(c.n_eq, 1)
+    assert_equal(c.n_ineq, 4)
+
+    c_eq, c_ineq = c.fun(x0)
+    assert_array_equal(c_eq, [2])
+    assert_array_equal(c_ineq, [-1, -2, -1, -6])
+
+    J_eq, J_ineq = c.jac(x0)
+    assert_array_equal(J_eq, [[0, 0, 0, 1]])
+    assert_array_equal(J_ineq, [[1, 0, 0, 0],
+                                [0, 0, 1, 0],
+                                [-1, 0, 0, 0],
+                                [0, 0, -1, 0]])
+
+    assert_array_equal(c.keep_feasible, [False, True, False, True])
+
+
+def test_nonlinear_constraint():
+    n = 3
+    m = 5
+    rng = np.random.RandomState(0)
+    x0 = rng.rand(n)
+
+    fun, jac, hess = create_quadratic_function(n, m, rng)
+    f = fun(x0)
+    J = jac(x0)
+
+    lb = [-10, 3, -np.inf, -np.inf, -5]
+    ub = [10, 3, np.inf, 3, np.inf]
+    user_constraint = NonlinearConstraint(
+        fun, lb, ub, jac, hess, [True, False, False, True, False])
+
+    for sparse_jacobian in [False, True]:
+        prepared_constraint = PreparedConstraint(user_constraint, x0,
+                                                 sparse_jacobian)
+        c = CanonicalConstraint.from_PreparedConstraint(prepared_constraint)
+
+        assert_array_equal(c.n_eq, 1)
+        assert_array_equal(c.n_ineq, 4)
+
+        c_eq, c_ineq = c.fun(x0)
+        assert_array_equal(c_eq, [f[1] - lb[1]])
+        assert_array_equal(c_ineq, [f[3] - ub[3], lb[4] - f[4],
+                                    f[0] - ub[0], lb[0] - f[0]])
+
+        J_eq, J_ineq = c.jac(x0)
+        if sparse_jacobian:
+            J_eq = J_eq.toarray()
+            J_ineq = J_ineq.toarray()
+
+        assert_array_equal(J_eq, J[1, None])
+        assert_array_equal(J_ineq, np.vstack((J[3], -J[4], J[0], -J[0])))
+
+        v_eq = rng.rand(c.n_eq)
+        v_ineq = rng.rand(c.n_ineq)
+        v = np.zeros(m)
+        v[1] = v_eq[0]
+        v[3] = v_ineq[0]
+        v[4] = -v_ineq[1]
+        v[0] = v_ineq[2] - v_ineq[3]
+        assert_array_equal(c.hess(x0, v_eq, v_ineq), hess(x0, v))
+
+        assert_array_equal(c.keep_feasible, [True, False, True, True])
+
+
+def test_concatenation():
+    rng = np.random.RandomState(0)
+    n = 4
+    x0 = rng.rand(n)
+
+    f1 = x0
+    J1 = np.eye(n)
+    lb1 = [-1, -np.inf, -2, 3]
+    ub1 = [1, np.inf, np.inf, 3]
+    bounds = Bounds(lb1, ub1, [False, False, True, False])
+
+    fun, jac, hess = create_quadratic_function(n, 5, rng)
+    f2 = fun(x0)
+    J2 = jac(x0)
+    lb2 = [-10, 3, -np.inf, -np.inf, -5]
+    ub2 = [10, 3, np.inf, 5, np.inf]
+    nonlinear = NonlinearConstraint(
+        fun, lb2, ub2, jac, hess, [True, False, False, True, False])
+
+    for sparse_jacobian in [False, True]:
+        bounds_prepared = PreparedConstraint(bounds, x0, sparse_jacobian)
+        nonlinear_prepared = PreparedConstraint(nonlinear, x0, sparse_jacobian)
+
+        c1 = CanonicalConstraint.from_PreparedConstraint(bounds_prepared)
+        c2 = CanonicalConstraint.from_PreparedConstraint(nonlinear_prepared)
+        c = CanonicalConstraint.concatenate([c1, c2], sparse_jacobian)
+
+        assert_equal(c.n_eq, 2)
+        assert_equal(c.n_ineq, 7)
+
+        c_eq, c_ineq = c.fun(x0)
+        assert_array_equal(c_eq, [f1[3] - lb1[3], f2[1] - lb2[1]])
+        assert_array_equal(c_ineq, [lb1[2] - f1[2], f1[0] - ub1[0],
+                                    lb1[0] - f1[0], f2[3] - ub2[3],
+                                    lb2[4] - f2[4], f2[0] - ub2[0],
+                                    lb2[0] - f2[0]])
+
+        J_eq, J_ineq = c.jac(x0)
+        if sparse_jacobian:
+            J_eq = J_eq.toarray()
+            J_ineq = J_ineq.toarray()
+
+        assert_array_equal(J_eq, np.vstack((J1[3], J2[1])))
+        assert_array_equal(J_ineq, np.vstack((-J1[2], J1[0], -J1[0], J2[3],
+                                              -J2[4], J2[0], -J2[0])))
+
+        v_eq = rng.rand(c.n_eq)
+        v_ineq = rng.rand(c.n_ineq)
+        v = np.zeros(5)
+        v[1] = v_eq[1]
+        v[3] = v_ineq[3]
+        v[4] = -v_ineq[4]
+        v[0] = v_ineq[5] - v_ineq[6]
+        H = c.hess(x0, v_eq, v_ineq).dot(np.eye(n))
+        assert_array_equal(H, hess(x0, v))
+
+        assert_array_equal(c.keep_feasible,
+                           [True, False, False, True, False, True, True])
+
+
+def test_empty():
+    x = np.array([1, 2, 3])
+    c = CanonicalConstraint.empty(3)
+    assert_equal(c.n_eq, 0)
+    assert_equal(c.n_ineq, 0)
+
+    c_eq, c_ineq = c.fun(x)
+    assert_array_equal(c_eq, [])
+    assert_array_equal(c_ineq, [])
+
+    J_eq, J_ineq = c.jac(x)
+    assert_array_equal(J_eq, np.empty((0, 3)))
+    assert_array_equal(J_ineq, np.empty((0, 3)))
+
+    H = c.hess(x, None, None).toarray()
+    assert_array_equal(H, np.zeros((3, 3)))
+
+
+def test_initial_constraints_as_canonical():
+    # rng is only used to generate the coefficients of the quadratic
+    # function that is used by the nonlinear constraint.
+    rng = np.random.RandomState(0)
+
+    x0 = np.array([0.5, 0.4, 0.3, 0.2])
+    n = len(x0)
+
+    lb1 = [-1, -np.inf, -2, 3]
+    ub1 = [1, np.inf, np.inf, 3]
+    bounds = Bounds(lb1, ub1, [False, False, True, False])
+
+    fun, jac, hess = create_quadratic_function(n, 5, rng)
+    lb2 = [-10, 3, -np.inf, -np.inf, -5]
+    ub2 = [10, 3, np.inf, 5, np.inf]
+    nonlinear = NonlinearConstraint(
+        fun, lb2, ub2, jac, hess, [True, False, False, True, False])
+
+    for sparse_jacobian in [False, True]:
+        bounds_prepared = PreparedConstraint(bounds, x0, sparse_jacobian)
+        nonlinear_prepared = PreparedConstraint(nonlinear, x0, sparse_jacobian)
+
+        f1 = bounds_prepared.fun.f
+        J1 = bounds_prepared.fun.J
+        f2 = nonlinear_prepared.fun.f
+        J2 = nonlinear_prepared.fun.J
+
+        c_eq, c_ineq, J_eq, J_ineq = initial_constraints_as_canonical(
+            n, [bounds_prepared, nonlinear_prepared], sparse_jacobian)
+
+        assert_array_equal(c_eq, [f1[3] - lb1[3], f2[1] - lb2[1]])
+        assert_array_equal(c_ineq, [lb1[2] - f1[2], f1[0] - ub1[0],
+                                    lb1[0] - f1[0], f2[3] - ub2[3],
+                                    lb2[4] - f2[4], f2[0] - ub2[0],
+                                    lb2[0] - f2[0]])
+
+        if sparse_jacobian:
+            J1 = J1.toarray()
+            J2 = J2.toarray()
+            J_eq = J_eq.toarray()
+            J_ineq = J_ineq.toarray()
+
+        assert_array_equal(J_eq, np.vstack((J1[3], J2[1])))
+        assert_array_equal(J_ineq, np.vstack((-J1[2], J1[0], -J1[0], J2[3],
+                                              -J2[4], J2[0], -J2[0])))
+
+
+def test_initial_constraints_as_canonical_empty():
+    n = 3
+    for sparse_jacobian in [False, True]:
+        c_eq, c_ineq, J_eq, J_ineq = initial_constraints_as_canonical(
+            n, [], sparse_jacobian)
+
+        assert_array_equal(c_eq, [])
+        assert_array_equal(c_ineq, [])
+
+        if sparse_jacobian:
+            J_eq = J_eq.toarray()
+            J_ineq = J_ineq.toarray()
+
+        assert_array_equal(J_eq, np.empty((0, n)))
+        assert_array_equal(J_ineq, np.empty((0, n)))

scipy/optimize/_trustregion_constr/tests/test_nested_minimize.py

@@ -0,0 +1,39 @@
+import pytest
+import numpy as np
+from scipy.optimize import minimize, NonlinearConstraint, rosen, rosen_der
+
+
+# Ignore this warning about inefficient use of Hessians
+# The bug only shows up with the default HUS
+@pytest.mark.filterwarnings(
+    "ignore:delta_grad == 0.0. Check if the approximated function is linear."
+)
+def test_gh21193():
+    # Test that nested minimization does not share Hessian objects
+    def identity(x):
+        return x[0]
+    def identity_jac(x):
+        a = np.zeros(len(x))
+        a[0] = 1
+        return a
+    constraint1 = NonlinearConstraint(identity, 0, 0, identity_jac)
+    constraint2 = NonlinearConstraint(identity, 0, 0, identity_jac)
+
+    # The default HUS for each should be distinct
+    assert constraint1.hess is not constraint2.hess
+
+    _ = minimize(
+        lambda x: minimize(
+            rosen,
+            x[1:],
+            jac=rosen_der,
+            constraints=constraint1,
+            method="trust-constr",
+            options={'maxiter': 2},
+        ).fun,
+        [1, 0, 0],
+        constraints=constraint2,
+        method="trust-constr",
+        options={'maxiter': 2},
+    )
+    # This test doesn't check that the output is correct, just that it doesn't crash

scipy/optimize/_trustregion_constr/tests/test_projections.py

@@ -0,0 +1,214 @@
+import numpy as np
+import scipy.linalg
+from scipy.sparse import csc_array
+from scipy.optimize._trustregion_constr.projections \
+    import projections, orthogonality
+from numpy.testing import (TestCase, assert_array_almost_equal,
+                           assert_equal, assert_allclose)
+
+try:
+    from sksparse.cholmod import cholesky_AAt  # noqa: F401
+    sksparse_available = True
+    available_sparse_methods = ("NormalEquation", "AugmentedSystem")
+except ImportError:
+    sksparse_available = False
+    available_sparse_methods = ("AugmentedSystem",)
+available_dense_methods = ('QRFactorization', 'SVDFactorization')
+
+
+class TestProjections(TestCase):
+
+    def test_nullspace_and_least_squares_sparse(self):
+        A_dense = np.array([[1, 2, 3, 4, 0, 5, 0, 7],
+                            [0, 8, 7, 0, 1, 5, 9, 0],
+                            [1, 0, 0, 0, 0, 1, 2, 3]])
+        At_dense = A_dense.T
+        A = csc_array(A_dense)
+        test_points = ([1, 2, 3, 4, 5, 6, 7, 8],
+                       [1, 10, 3, 0, 1, 6, 7, 8],
+                       [1.12, 10, 0, 0, 100000, 6, 0.7, 8])
+
+        for method in available_sparse_methods:
+            Z, LS, _ = projections(A, method)
+            for z in test_points:
+                # Test if x is in the null_space
+                x = Z.matvec(z)
+                assert_array_almost_equal(A.dot(x), 0)
+                # Test orthogonality
+                assert_array_almost_equal(orthogonality(A, x), 0)
+                # Test if x is the least square solution
+                x = LS.matvec(z)
+                x2 = scipy.linalg.lstsq(At_dense, z)[0]
+                assert_array_almost_equal(x, x2)
+
+    def test_iterative_refinements_sparse(self):
+        A_dense = np.array([[1, 2, 3, 4, 0, 5, 0, 7],
+                            [0, 8, 7, 0, 1, 5, 9, 0],
+                            [1, 0, 0, 0, 0, 1, 2, 3]])
+        A = csc_array(A_dense)
+        test_points = ([1, 2, 3, 4, 5, 6, 7, 8],
+                       [1, 10, 3, 0, 1, 6, 7, 8],
+                       [1.12, 10, 0, 0, 100000, 6, 0.7, 8],
+                       [1, 0, 0, 0, 0, 1, 2, 3+1e-10])
+
+        for method in available_sparse_methods:
+            Z, LS, _ = projections(A, method, orth_tol=1e-18, max_refin=100)
+            for z in test_points:
+                # Test if x is in the null_space
+                x = Z.matvec(z)
+                atol = 1e-13 * abs(x).max()
+                assert_allclose(A.dot(x), 0, atol=atol)
+                # Test orthogonality
+                assert_allclose(orthogonality(A, x), 0, atol=1e-13)
+
+    def test_rowspace_sparse(self):
+        A_dense = np.array([[1, 2, 3, 4, 0, 5, 0, 7],
+                            [0, 8, 7, 0, 1, 5, 9, 0],
+                            [1, 0, 0, 0, 0, 1, 2, 3]])
+        A = csc_array(A_dense)
+        test_points = ([1, 2, 3],
+                       [1, 10, 3],
+                       [1.12, 10, 0])
+
+        for method in available_sparse_methods:
+            _, _, Y = projections(A, method)
+            for z in test_points:
+                # Test if x is solution of A x = z
+                x = Y.matvec(z)
+                assert_array_almost_equal(A.dot(x), z)
+                # Test if x is in the return row space of A
+                A_ext = np.vstack((A_dense, x))
+                assert_equal(np.linalg.matrix_rank(A_dense),
+                             np.linalg.matrix_rank(A_ext))
+
+    def test_nullspace_and_least_squares_dense(self):
+        A = np.array([[1, 2, 3, 4, 0, 5, 0, 7],
+                      [0, 8, 7, 0, 1, 5, 9, 0],
+                      [1, 0, 0, 0, 0, 1, 2, 3]])
+        At = A.T
+        test_points = ([1, 2, 3, 4, 5, 6, 7, 8],
+                       [1, 10, 3, 0, 1, 6, 7, 8],
+                       [1.12, 10, 0, 0, 100000, 6, 0.7, 8])
+
+        for method in available_dense_methods:
+            Z, LS, _ = projections(A, method)
+            for z in test_points:
+                # Test if x is in the null_space
+                x = Z.matvec(z)
+                assert_array_almost_equal(A.dot(x), 0)
+                # Test orthogonality
+                assert_array_almost_equal(orthogonality(A, x), 0)
+                # Test if x is the least square solution
+                x = LS.matvec(z)
+                x2 = scipy.linalg.lstsq(At, z)[0]
+                assert_array_almost_equal(x, x2)
+
+    def test_compare_dense_and_sparse(self):
+        D = np.diag(range(1, 101))
+        A = np.hstack([D, D, D, D])
+        A_sparse = csc_array(A)
+        np.random.seed(0)
+
+        Z, LS, Y = projections(A)
+        Z_sparse, LS_sparse, Y_sparse = projections(A_sparse)
+        for k in range(20):
+            z = np.random.normal(size=(400,))
+            assert_array_almost_equal(Z.dot(z), Z_sparse.dot(z))
+            assert_array_almost_equal(LS.dot(z), LS_sparse.dot(z))
+            x = np.random.normal(size=(100,))
+            assert_array_almost_equal(Y.dot(x), Y_sparse.dot(x))
+
+    def test_compare_dense_and_sparse2(self):
+        D1 = np.diag([-1.7, 1, 0.5])
+        D2 = np.diag([1, -0.6, -0.3])
+        D3 = np.diag([-0.3, -1.5, 2])
+        A = np.hstack([D1, D2, D3])
+        A_sparse = csc_array(A)
+        np.random.seed(0)
+
+        Z, LS, Y = projections(A)
+        Z_sparse, LS_sparse, Y_sparse = projections(A_sparse)
+        for k in range(1):
+            z = np.random.normal(size=(9,))
+            assert_array_almost_equal(Z.dot(z), Z_sparse.dot(z))
+            assert_array_almost_equal(LS.dot(z), LS_sparse.dot(z))
+            x = np.random.normal(size=(3,))
+            assert_array_almost_equal(Y.dot(x), Y_sparse.dot(x))
+
+    def test_iterative_refinements_dense(self):
+        A = np.array([[1, 2, 3, 4, 0, 5, 0, 7],
+                            [0, 8, 7, 0, 1, 5, 9, 0],
+                            [1, 0, 0, 0, 0, 1, 2, 3]])
+        test_points = ([1, 2, 3, 4, 5, 6, 7, 8],
+                       [1, 10, 3, 0, 1, 6, 7, 8],
+                       [1, 0, 0, 0, 0, 1, 2, 3+1e-10])
+
+        for method in available_dense_methods:
+            Z, LS, _ = projections(A, method, orth_tol=1e-18, max_refin=10)
+            for z in test_points:
+                # Test if x is in the null_space
+                x = Z.matvec(z)
+                assert_allclose(A.dot(x), 0, rtol=0, atol=2.5e-14)
+                # Test orthogonality
+                assert_allclose(orthogonality(A, x), 0, rtol=0, atol=5e-16)
+
+    def test_rowspace_dense(self):
+        A = np.array([[1, 2, 3, 4, 0, 5, 0, 7],
+                      [0, 8, 7, 0, 1, 5, 9, 0],
+                      [1, 0, 0, 0, 0, 1, 2, 3]])
+        test_points = ([1, 2, 3],
+                       [1, 10, 3],
+                       [1.12, 10, 0])
+
+        for method in available_dense_methods:
+            _, _, Y = projections(A, method)
+            for z in test_points:
+                # Test if x is solution of A x = z
+                x = Y.matvec(z)
+                assert_array_almost_equal(A.dot(x), z)
+                # Test if x is in the return row space of A
+                A_ext = np.vstack((A, x))
+                assert_equal(np.linalg.matrix_rank(A),
+                             np.linalg.matrix_rank(A_ext))
+
+
+class TestOrthogonality(TestCase):
+
+    def test_dense_matrix(self):
+        A = np.array([[1, 2, 3, 4, 0, 5, 0, 7],
+                      [0, 8, 7, 0, 1, 5, 9, 0],
+                      [1, 0, 0, 0, 0, 1, 2, 3]])
+        test_vectors = ([-1.98931144, -1.56363389,
+                         -0.84115584, 2.2864762,
+                         5.599141, 0.09286976,
+                         1.37040802, -0.28145812],
+                        [697.92794044, -4091.65114008,
+                         -3327.42316335, 836.86906951,
+                         99434.98929065, -1285.37653682,
+                         -4109.21503806, 2935.29289083])
+        test_expected_orth = (0, 0)
+
+        for i in range(len(test_vectors)):
+            x = test_vectors[i]
+            orth = test_expected_orth[i]
+            assert_array_almost_equal(orthogonality(A, x), orth)
+
+    def test_sparse_matrix(self):
+        A = np.array([[1, 2, 3, 4, 0, 5, 0, 7],
+                      [0, 8, 7, 0, 1, 5, 9, 0],
+                      [1, 0, 0, 0, 0, 1, 2, 3]])
+        A = csc_array(A)
+        test_vectors = ([-1.98931144, -1.56363389,
+                         -0.84115584, 2.2864762,
+                         5.599141, 0.09286976,
+                         1.37040802, -0.28145812],
+                        [697.92794044, -4091.65114008,
+                         -3327.42316335, 836.86906951,
+                         99434.98929065, -1285.37653682,
+                         -4109.21503806, 2935.29289083])
+        test_expected_orth = (0, 0)
+
+        for i in range(len(test_vectors)):
+            x = test_vectors[i]
+            orth = test_expected_orth[i]
+            assert_array_almost_equal(orthogonality(A, x), orth)