scipy 1.16.2__cp314-cp314t-win_arm64.whl

scipy/optimize/tests/test_trustregion_exact.py

@@ -0,0 +1,351 @@
+"""
+Unit tests for trust-region iterative subproblem.
+
+"""
+import pytest
+import numpy as np
+from scipy.optimize._trustregion_exact import (
+    estimate_smallest_singular_value,
+    singular_leading_submatrix,
+    IterativeSubproblem)
+from scipy.linalg import (svd, get_lapack_funcs, det, qr, norm)
+from numpy.testing import (assert_array_equal,
+                           assert_equal, assert_array_almost_equal)
+
+
+def random_entry(n, min_eig, max_eig, case):
+
+    # Generate random matrix
+    rand = np.random.uniform(-1, 1, (n, n))
+
+    # QR decomposition
+    Q, _, _ = qr(rand, pivoting='True')
+
+    # Generate random eigenvalues
+    eigvalues = np.random.uniform(min_eig, max_eig, n)
+    eigvalues = np.sort(eigvalues)[::-1]
+
+    # Generate matrix
+    Qaux = np.multiply(eigvalues, Q)
+    A = np.dot(Qaux, Q.T)
+
+    # Generate gradient vector accordingly
+    # to the case is being tested.
+    if case == 'hard':
+        g = np.zeros(n)
+        g[:-1] = np.random.uniform(-1, 1, n-1)
+        g = np.dot(Q, g)
+    elif case == 'jac_equal_zero':
+        g = np.zeros(n)
+    else:
+        g = np.random.uniform(-1, 1, n)
+
+    return A, g
+
+
+class TestEstimateSmallestSingularValue:
+
+    def test_for_ill_condiotioned_matrix(self):
+
+        # Ill-conditioned triangular matrix
+        C = np.array([[1, 2, 3, 4],
+                      [0, 0.05, 60, 7],
+                      [0, 0, 0.8, 9],
+                      [0, 0, 0, 10]])
+
+        # Get svd decomposition
+        U, s, Vt = svd(C)
+
+        # Get smallest singular value and correspondent right singular vector.
+        smin_svd = s[-1]
+        zmin_svd = Vt[-1, :]
+
+        # Estimate smallest singular value
+        smin, zmin = estimate_smallest_singular_value(C)
+
+        # Check the estimation
+        assert_array_almost_equal(smin, smin_svd, decimal=8)
+        assert_array_almost_equal(abs(zmin), abs(zmin_svd), decimal=8)
+
+
+class TestSingularLeadingSubmatrix:
+
+    def test_for_already_singular_leading_submatrix(self):
+
+        # Define test matrix A.
+        # Note that the leading 2x2 submatrix is singular.
+        A = np.array([[1, 2, 3],
+                      [2, 4, 5],
+                      [3, 5, 6]])
+
+        # Get Cholesky from lapack functions
+        cholesky, = get_lapack_funcs(('potrf',), (A,))
+
+        # Compute Cholesky Decomposition
+        c, k = cholesky(A, lower=False, overwrite_a=False, clean=True)
+
+        delta, v = singular_leading_submatrix(A, c, k)
+
+        A[k-1, k-1] += delta
+
+        # Check if the leading submatrix is singular.
+        assert_array_almost_equal(det(A[:k, :k]), 0)
+
+        # Check if `v` fulfil the specified properties
+        quadratic_term = np.dot(v, np.dot(A, v))
+        assert_array_almost_equal(quadratic_term, 0)
+
+    def test_for_simetric_indefinite_matrix(self):
+
+        # Define test matrix A.
+        # Note that the leading 5x5 submatrix is indefinite.
+        A = np.asarray([[1, 2, 3, 7, 8],
+                        [2, 5, 5, 9, 0],
+                        [3, 5, 11, 1, 2],
+                        [7, 9, 1, 7, 5],
+                        [8, 0, 2, 5, 8]])
+
+        # Get Cholesky from lapack functions
+        cholesky, = get_lapack_funcs(('potrf',), (A,))
+
+        # Compute Cholesky Decomposition
+        c, k = cholesky(A, lower=False, overwrite_a=False, clean=True)
+
+        delta, v = singular_leading_submatrix(A, c, k)
+
+        A[k-1, k-1] += delta
+
+        # Check if the leading submatrix is singular.
+        assert_array_almost_equal(det(A[:k, :k]), 0)
+
+        # Check if `v` fulfil the specified properties
+        quadratic_term = np.dot(v, np.dot(A, v))
+        assert_array_almost_equal(quadratic_term, 0)
+
+    def test_for_first_element_equal_to_zero(self):
+
+        # Define test matrix A.
+        # Note that the leading 2x2 submatrix is singular.
+        A = np.array([[0, 3, 11],
+                      [3, 12, 5],
+                      [11, 5, 6]])
+
+        # Get Cholesky from lapack functions
+        cholesky, = get_lapack_funcs(('potrf',), (A,))
+
+        # Compute Cholesky Decomposition
+        c, k = cholesky(A, lower=False, overwrite_a=False, clean=True)
+
+        delta, v = singular_leading_submatrix(A, c, k)
+
+        A[k-1, k-1] += delta
+
+        # Check if the leading submatrix is singular
+        assert_array_almost_equal(det(A[:k, :k]), 0)
+
+        # Check if `v` fulfil the specified properties
+        quadratic_term = np.dot(v, np.dot(A, v))
+        assert_array_almost_equal(quadratic_term, 0)
+
+
+class TestIterativeSubproblem:
+
+    def test_for_the_easy_case(self):
+
+        # `H` is chosen such that `g` is not orthogonal to the
+        # eigenvector associated with the smallest eigenvalue `s`.
+        H = [[10, 2, 3, 4],
+             [2, 1, 7, 1],
+             [3, 7, 1, 7],
+             [4, 1, 7, 2]]
+        g = [1, 1, 1, 1]
+
+        # Trust Radius
+        trust_radius = 1
+
+        # Solve Subproblem
+        subprob = IterativeSubproblem(x=0,
+                                      fun=lambda x: 0,
+                                      jac=lambda x: np.array(g),
+                                      hess=lambda x: np.array(H),
+                                      k_easy=1e-10,
+                                      k_hard=1e-10)
+        p, hits_boundary = subprob.solve(trust_radius)
+
+        assert_array_almost_equal(p, [0.00393332, -0.55260862,
+                                      0.67065477, -0.49480341])
+        assert_array_almost_equal(hits_boundary, True)
+
+    def test_for_the_hard_case(self):
+
+        # `H` is chosen such that `g` is orthogonal to the
+        # eigenvector associated with the smallest eigenvalue `s`.
+        H = [[10, 2, 3, 4],
+             [2, 1, 7, 1],
+             [3, 7, 1, 7],
+             [4, 1, 7, 2]]
+        g = [6.4852641521327437, 1, 1, 1]
+        s = -8.2151519874416614
+
+        # Trust Radius
+        trust_radius = 1
+
+        # Solve Subproblem
+        subprob = IterativeSubproblem(x=0,
+                                      fun=lambda x: 0,
+                                      jac=lambda x: np.array(g),
+                                      hess=lambda x: np.array(H),
+                                      k_easy=1e-10,
+                                      k_hard=1e-10)
+        p, hits_boundary = subprob.solve(trust_radius)
+
+        assert_array_almost_equal(-s, subprob.lambda_current)
+
+    def test_for_interior_convergence(self):
+
+        H = [[1.812159, 0.82687265, 0.21838879, -0.52487006, 0.25436988],
+             [0.82687265, 2.66380283, 0.31508988, -0.40144163, 0.08811588],
+             [0.21838879, 0.31508988, 2.38020726, -0.3166346, 0.27363867],
+             [-0.52487006, -0.40144163, -0.3166346, 1.61927182, -0.42140166],
+             [0.25436988, 0.08811588, 0.27363867, -0.42140166, 1.33243101]]
+
+        g = [0.75798952, 0.01421945, 0.33847612, 0.83725004, -0.47909534]
+
+        # Solve Subproblem
+        subprob = IterativeSubproblem(x=0,
+                                      fun=lambda x: 0,
+                                      jac=lambda x: np.array(g),
+                                      hess=lambda x: np.array(H))
+        p, hits_boundary = subprob.solve(1.1)
+
+        assert_array_almost_equal(p, [-0.68585435, 0.1222621, -0.22090999,
+                                      -0.67005053, 0.31586769])
+        assert_array_almost_equal(hits_boundary, False)
+        assert_array_almost_equal(subprob.lambda_current, 0)
+        assert_array_almost_equal(subprob.niter, 1)
+
+    def test_for_jac_equal_zero(self):
+
+        H = [[0.88547534, 2.90692271, 0.98440885, -0.78911503, -0.28035809],
+             [2.90692271, -0.04618819, 0.32867263, -0.83737945, 0.17116396],
+             [0.98440885, 0.32867263, -0.87355957, -0.06521957, -1.43030957],
+             [-0.78911503, -0.83737945, -0.06521957, -1.645709, -0.33887298],
+             [-0.28035809, 0.17116396, -1.43030957, -0.33887298, -1.68586978]]
+
+        g = [0, 0, 0, 0, 0]
+
+        # Solve Subproblem
+        subprob = IterativeSubproblem(x=0,
+                                      fun=lambda x: 0,
+                                      jac=lambda x: np.array(g),
+                                      hess=lambda x: np.array(H),
+                                      k_easy=1e-10,
+                                      k_hard=1e-10)
+        p, hits_boundary = subprob.solve(1.1)
+
+        assert_array_almost_equal(p, [0.06910534, -0.01432721,
+                                      -0.65311947, -0.23815972,
+                                      -0.84954934])
+        assert_array_almost_equal(hits_boundary, True)
+
+    def test_for_jac_very_close_to_zero(self):
+
+        H = [[0.88547534, 2.90692271, 0.98440885, -0.78911503, -0.28035809],
+             [2.90692271, -0.04618819, 0.32867263, -0.83737945, 0.17116396],
+             [0.98440885, 0.32867263, -0.87355957, -0.06521957, -1.43030957],
+             [-0.78911503, -0.83737945, -0.06521957, -1.645709, -0.33887298],
+             [-0.28035809, 0.17116396, -1.43030957, -0.33887298, -1.68586978]]
+
+        g = [0, 0, 0, 0, 1e-15]
+
+        # Solve Subproblem
+        subprob = IterativeSubproblem(x=0,
+                                      fun=lambda x: 0,
+                                      jac=lambda x: np.array(g),
+                                      hess=lambda x: np.array(H),
+                                      k_easy=1e-10,
+                                      k_hard=1e-10)
+        p, hits_boundary = subprob.solve(1.1)
+
+        assert_array_almost_equal(p, [0.06910534, -0.01432721,
+                                      -0.65311947, -0.23815972,
+                                      -0.84954934])
+        assert_array_almost_equal(hits_boundary, True)
+
+    @pytest.mark.fail_slow(10)
+    def test_for_random_entries(self):
+        # Seed
+        np.random.seed(1)
+
+        # Dimension
+        n = 5
+
+        for case in ('easy', 'hard', 'jac_equal_zero'):
+
+            eig_limits = [(-20, -15),
+                          (-10, -5),
+                          (-10, 0),
+                          (-5, 5),
+                          (-10, 10),
+                          (0, 10),
+                          (5, 10),
+                          (15, 20)]
+
+            for min_eig, max_eig in eig_limits:
+                # Generate random symmetric matrix H with
+                # eigenvalues between min_eig and max_eig.
+                H, g = random_entry(n, min_eig, max_eig, case)
+
+                # Trust radius
+                trust_radius_list = [0.1, 0.3, 0.6, 0.8, 1, 1.2, 3.3, 5.5, 10]
+
+                for trust_radius in trust_radius_list:
+                    # Solve subproblem with very high accuracy
+                    subprob_ac = IterativeSubproblem(0,
+                                                     lambda x: 0,
+                                                     lambda x: g,
+                                                     lambda x: H,
+                                                     k_easy=1e-10,
+                                                     k_hard=1e-10)
+
+                    p_ac, hits_boundary_ac = subprob_ac.solve(trust_radius)
+
+                    # Compute objective function value
+                    J_ac = 1/2*np.dot(p_ac, np.dot(H, p_ac))+np.dot(g, p_ac)
+
+                    stop_criteria = [(0.1, 2),
+                                     (0.5, 1.1),
+                                     (0.9, 1.01)]
+
+                    for k_opt, k_trf in stop_criteria:
+
+                        # k_easy and k_hard computed in function
+                        # of k_opt and k_trf accordingly to
+                        # Conn, A. R., Gould, N. I., & Toint, P. L. (2000).
+                        # "Trust region methods". Siam. p. 197.
+                        k_easy = min(k_trf-1,
+                                     1-np.sqrt(k_opt))
+                        k_hard = 1-k_opt
+
+                        # Solve subproblem
+                        subprob = IterativeSubproblem(0,
+                                                      lambda x: 0,
+                                                      lambda x: g,
+                                                      lambda x: H,
+                                                      k_easy=k_easy,
+                                                      k_hard=k_hard)
+                        p, hits_boundary = subprob.solve(trust_radius)
+
+                        # Compute objective function value
+                        J = 1/2*np.dot(p, np.dot(H, p))+np.dot(g, p)
+
+                        # Check if it respect k_trf
+                        if hits_boundary:
+                            assert_array_equal(np.abs(norm(p)-trust_radius) <=
+                                               (k_trf-1)*trust_radius, True)
+                        else:
+                            assert_equal(norm(p) <= trust_radius, True)
+
+                        # Check if it respect k_opt
+                        assert_equal(J <= k_opt*J_ac, True)
+

scipy/optimize/tests/test_trustregion_krylov.py

@@ -0,0 +1,170 @@
+"""
+Unit tests for Krylov space trust-region subproblem solver.
+
+"""
+import pytest
+import numpy as np
+from scipy.optimize._trlib import (get_trlib_quadratic_subproblem)
+from numpy.testing import (assert_,
+                           assert_almost_equal,
+                           assert_equal, assert_array_almost_equal)
+
+KrylovQP = get_trlib_quadratic_subproblem(tol_rel_i=1e-8, tol_rel_b=1e-6)
+KrylovQP_disp = get_trlib_quadratic_subproblem(tol_rel_i=1e-8, tol_rel_b=1e-6,
+                                               disp=True)
+
+class TestKrylovQuadraticSubproblem:
+
+    def test_for_the_easy_case(self):
+
+        # `H` is chosen such that `g` is not orthogonal to the
+        # eigenvector associated with the smallest eigenvalue.
+        H = np.array([[1.0, 0.0, 4.0],
+                      [0.0, 2.0, 0.0],
+                      [4.0, 0.0, 3.0]])
+        g = np.array([5.0, 0.0, 4.0])
+
+        # Trust Radius
+        trust_radius = 1.0
+
+        # Solve Subproblem
+        subprob = KrylovQP(x=0,
+                           fun=lambda x: 0,
+                           jac=lambda x: g,
+                           hess=lambda x: None,
+                           hessp=lambda x, y: H.dot(y))
+        p, hits_boundary = subprob.solve(trust_radius)
+
+        assert_array_almost_equal(p, np.array([-1.0, 0.0, 0.0]))
+        assert_equal(hits_boundary, True)
+        # check kkt satisfaction
+        assert_almost_equal(
+                np.linalg.norm(H.dot(p) + subprob.lam * p + g),
+                0.0)
+        # check trust region constraint
+        assert_almost_equal(np.linalg.norm(p), trust_radius)
+
+        trust_radius = 0.5
+        p, hits_boundary = subprob.solve(trust_radius)
+
+        assert_array_almost_equal(p,
+                np.array([-0.46125446, 0., -0.19298788]))
+        assert_equal(hits_boundary, True)
+        # check kkt satisfaction
+        assert_almost_equal(
+                np.linalg.norm(H.dot(p) + subprob.lam * p + g),
+                0.0)
+        # check trust region constraint
+        assert_almost_equal(np.linalg.norm(p), trust_radius)
+
+    def test_for_the_hard_case(self):
+
+        # `H` is chosen such that `g` is orthogonal to the
+        # eigenvector associated with the smallest eigenvalue.
+        H = np.array([[1.0, 0.0, 4.0],
+                      [0.0, 2.0, 0.0],
+                      [4.0, 0.0, 3.0]])
+        g = np.array([0.0, 2.0, 0.0])
+
+        # Trust Radius
+        trust_radius = 1.0
+
+        # Solve Subproblem
+        subprob = KrylovQP(x=0,
+                           fun=lambda x: 0,
+                           jac=lambda x: g,
+                           hess=lambda x: None,
+                           hessp=lambda x, y: H.dot(y))
+        p, hits_boundary = subprob.solve(trust_radius)
+
+        assert_array_almost_equal(p, np.array([0.0, -1.0, 0.0]))
+        # check kkt satisfaction
+        assert_almost_equal(
+                np.linalg.norm(H.dot(p) + subprob.lam * p + g),
+                0.0)
+        # check trust region constraint
+        assert_almost_equal(np.linalg.norm(p), trust_radius)
+
+        trust_radius = 0.5
+        p, hits_boundary = subprob.solve(trust_radius)
+
+        assert_array_almost_equal(p, np.array([0.0, -0.5, 0.0]))
+        # check kkt satisfaction
+        assert_almost_equal(
+                np.linalg.norm(H.dot(p) + subprob.lam * p + g),
+                0.0)
+        # check trust region constraint
+        assert_almost_equal(np.linalg.norm(p), trust_radius)
+
+    def test_for_interior_convergence(self):
+
+        H = np.array([[1.812159, 0.82687265, 0.21838879, -0.52487006, 0.25436988],
+                      [0.82687265, 2.66380283, 0.31508988, -0.40144163, 0.08811588],
+                      [0.21838879, 0.31508988, 2.38020726, -0.3166346, 0.27363867],
+                      [-0.52487006, -0.40144163, -0.3166346, 1.61927182, -0.42140166],
+                      [0.25436988, 0.08811588, 0.27363867, -0.42140166, 1.33243101]])
+        g = np.array([0.75798952, 0.01421945, 0.33847612, 0.83725004, -0.47909534])
+        trust_radius = 1.1
+
+        # Solve Subproblem
+        subprob = KrylovQP(x=0,
+                           fun=lambda x: 0,
+                           jac=lambda x: g,
+                           hess=lambda x: None,
+                           hessp=lambda x, y: H.dot(y))
+        p, hits_boundary = subprob.solve(trust_radius)
+
+        # check kkt satisfaction
+        assert_almost_equal(
+                np.linalg.norm(H.dot(p) + subprob.lam * p + g),
+                0.0)
+
+        assert_array_almost_equal(p, [-0.68585435, 0.1222621, -0.22090999,
+                                      -0.67005053, 0.31586769])
+        assert_array_almost_equal(hits_boundary, False)
+
+    def test_for_very_close_to_zero(self):
+
+        H = np.array([[0.88547534, 2.90692271, 0.98440885, -0.78911503, -0.28035809],
+                      [2.90692271, -0.04618819, 0.32867263, -0.83737945, 0.17116396],
+                      [0.98440885, 0.32867263, -0.87355957, -0.06521957, -1.43030957],
+                      [-0.78911503, -0.83737945, -0.06521957, -1.645709, -0.33887298],
+                      [-0.28035809, 0.17116396, -1.43030957, -0.33887298, -1.68586978]])
+        g = np.array([0, 0, 0, 0, 1e-6])
+        trust_radius = 1.1
+
+        # Solve Subproblem
+        subprob = KrylovQP(x=0,
+                           fun=lambda x: 0,
+                           jac=lambda x: g,
+                           hess=lambda x: None,
+                           hessp=lambda x, y: H.dot(y))
+        p, hits_boundary = subprob.solve(trust_radius)
+
+        # check kkt satisfaction
+        assert_almost_equal(
+                np.linalg.norm(H.dot(p) + subprob.lam * p + g),
+                0.0)
+        # check trust region constraint
+        assert_almost_equal(np.linalg.norm(p), trust_radius)
+
+        assert_array_almost_equal(p, [0.06910534, -0.01432721,
+                                      -0.65311947, -0.23815972,
+                                      -0.84954934])
+        assert_array_almost_equal(hits_boundary, True)
+
+    @pytest.mark.thread_unsafe
+    def test_disp(self, capsys):
+        H = -np.eye(5)
+        g = np.array([0, 0, 0, 0, 1e-6])
+        trust_radius = 1.1
+
+        subprob = KrylovQP_disp(x=0,
+                                fun=lambda x: 0,
+                                jac=lambda x: g,
+                                hess=lambda x: None,
+                                hessp=lambda x, y: H.dot(y))
+        p, hits_boundary = subprob.solve(trust_radius)
+        out, err = capsys.readouterr()
+        assert_(out.startswith(' TR Solving trust region problem'), repr(out))
+