spotoptim 0.0.4__py3-none-any.whl

spotoptim/SpotOptim.py

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+import numpy as np
+from typing import Callable, Optional, Tuple, List
+from scipy.optimize import OptimizeResult, differential_evolution
+from scipy.stats.qmc import LatinHypercube
+from sklearn.base import BaseEstimator
+from sklearn.gaussian_process import GaussianProcessRegressor
+from sklearn.gaussian_process.kernels import Matern, ConstantKernel
+import warnings
+
+
+class SpotOptim(BaseEstimator):
+    """
+    SPOT optimizer compatible with scipy.optimize interface.
+
+    Parameters
+    ----------
+    fun : callable
+        Objective function to minimize. Should accept array of shape (n_samples, n_features).
+    bounds : list of tuple
+        Bounds for each dimension as [(low, high), ...].
+    max_iter : int, default=20
+        Maximum number of optimization iterations.
+    n_initial : int, default=10
+        Number of initial design points.
+    surrogate : object, optional
+        Surrogate model (default: Gaussian Process with Matern kernel).
+    acquisition : str, default='ei'
+        Acquisition function ('ei', 'y', 'pi').
+    var_type : list of str, optional
+        Variable types for each dimension ('num', 'int', 'float', 'factor').
+    tolerance_x : float, default=1e-6
+        Minimum distance between points.
+    seed : int, optional
+        Random seed for reproducibility.
+    verbose : bool, default=False
+        Print progress information.
+    warnings_filter : str, default="ignore". Filter for warnings. One of "error", "ignore", "always", "all", "default", "module", or "once".
+
+    Attributes
+    ----------
+    X_ : ndarray of shape (n_samples, n_features)
+        All evaluated points.
+    y_ : ndarray of shape (n_samples,)
+        Function values at X_.
+    best_x_ : ndarray of shape (n_features,)
+        Best point found.
+    best_y_ : float
+        Best function value found.
+    n_iter_ : int
+        Number of iterations performed.
+    warnings_filter : str
+        Filter for warnings during optimization.
+
+    Examples
+    --------
+    >>> def objective(X):
+    ...     return np.sum(X**2, axis=1)
+    ...
+    >>> bounds = [(-5, 5), (-5, 5)]
+    >>> optimizer = SpotOptim(fun=objective, bounds=bounds, max_iter=10, n_initial=5, verbose=True)
+    >>> result = optimizer.optimize()
+    >>> print("Best x:", result.x)
+    >>> print("Best f(x):", result.fun)
+    """
+
+    def __init__(
+        self,
+        fun: Callable,
+        bounds: list,
+        max_iter: int = 20,
+        n_initial: int = 10,
+        surrogate: Optional[object] = None,
+        acquisition: str = "ei",
+        var_type: Optional[list] = None,
+        tolerance_x: Optional[float] = None,
+        seed: Optional[int] = None,
+        verbose: bool = False,
+        warnings_filter: str = "ignore",
+    ):
+
+        warnings.filterwarnings(warnings_filter)
+    
+        # small value, converted to float
+        self.eps = np.sqrt(np.spacing(1))
+
+        if tolerance_x is None:
+            self.tolerance_x = self.eps
+        else:
+            self.tolerance_x = tolerance_x
+    
+        self.fun = fun
+        self.bounds = bounds
+        self.max_iter = max_iter
+        self.n_initial = n_initial
+        self.surrogate = surrogate
+        self.acquisition = acquisition
+        self.var_type = var_type
+        self.seed = seed
+        self.verbose = verbose
+
+        # Derived attributes
+        self.n_dim = len(bounds)
+        self.lower = np.array([b[0] for b in bounds])
+        self.upper = np.array([b[1] for b in bounds])
+
+        # Default variable types
+        if self.var_type is None:
+            self.var_type = ["num"] * self.n_dim
+
+        # Initialize surrogate if not provided
+        if self.surrogate is None:
+            kernel = ConstantKernel(1.0, (1e-3, 1e3)) * Matern(
+                length_scale=1.0, length_scale_bounds=(1e-2, 1e2), nu=2.5
+            )
+            self.surrogate = GaussianProcessRegressor(
+                kernel=kernel,
+                n_restarts_optimizer=10,
+                normalize_y=True,
+                random_state=self.seed,
+            )
+
+        # Design generator
+        self.lhs_sampler = LatinHypercube(d=self.n_dim, seed=self.seed)
+
+        # Storage for results
+        self.X_ = None
+        self.y_ = None
+        self.best_x_ = None
+        self.best_y_ = None
+        self.n_iter_ = 0
+
+    def _evaluate_function(self, X: np.ndarray) -> np.ndarray:
+        """Evaluate objective function at points X."""
+        # Ensure X is 2D
+        X = np.atleast_2d(X)
+
+        # Evaluate function
+        y = self.fun(X)
+
+        # Ensure y is 1D
+        if isinstance(y, np.ndarray) and y.ndim > 1:
+            y = y.ravel()
+        elif not isinstance(y, np.ndarray):
+            y = np.array([y])
+
+        return y
+
+    def _generate_initial_design(self) -> np.ndarray:
+        """Generate initial space-filling design using Latin Hypercube Sampling."""
+        # Generate samples in [0, 1]^d
+        X0_unit = self.lhs_sampler.random(n=self.n_initial)
+
+        # Scale to [lower, upper]
+        X0 = self.lower + X0_unit * (self.upper - self.lower)
+
+        return self._repair_non_numeric(X0, self.var_type)
+
+    def _fit_surrogate(self, X: np.ndarray, y: np.ndarray) -> None:
+        """Fit surrogate model to data."""
+        self.surrogate.fit(X, y)
+
+    def _select_new(
+        self, A: np.ndarray, X: np.ndarray, tolerance: float = 0
+    ) -> Tuple[np.ndarray, np.ndarray]:
+        """
+        Select rows from A that are not in X.
+
+        Parameters
+        ----------
+        A : ndarray
+            Array with new values.
+        X : ndarray
+            Array with known values.
+        tolerance : float, default=0
+            Tolerance value for comparison.
+
+        Returns
+        -------
+        ndarray
+            Array with unknown (new) values.
+        ndarray
+            Array with True if value is new, otherwise False.
+        """
+        B = np.abs(A[:, None] - X)
+        ind = np.any(np.all(B <= tolerance, axis=2), axis=1)
+        return A[~ind], ~ind
+
+    def _repair_non_numeric(self, X: np.ndarray, var_type: List[str]) -> np.ndarray:
+        """
+        Round non-numeric values to integers.
+        This applies to all variables except for "num" and "float".
+
+        Parameters
+        ----------
+        X : ndarray
+            X array.
+        var_type : list of str
+            List with type information.
+
+        Returns
+        -------
+        ndarray
+            X array with non-numeric values rounded to integers.
+        """
+        mask = np.isin(var_type, ["num", "float"], invert=True)
+        X[:, mask] = np.around(X[:, mask])
+        return X
+
+    def _acquisition_function(self, x: np.ndarray) -> float:
+        """
+        Compute acquisition function value.
+
+        Parameters
+        ----------
+        x : ndarray of shape (n_features,)
+            Point to evaluate.
+
+        Returns
+        -------
+        float
+            Acquisition function value (to be minimized).
+        """
+        x = x.reshape(1, -1)
+
+        if self.acquisition == "y":
+            # Predicted mean
+            return self.surrogate.predict(x)[0]
+
+        elif self.acquisition == "ei":
+            # Expected Improvement
+            mu, sigma = self.surrogate.predict(x, return_std=True)
+            mu = mu[0]
+            sigma = sigma[0]
+
+            if sigma < 1e-10:
+                return 0.0
+
+            y_best = np.min(self.y_)
+            improvement = y_best - mu
+            Z = improvement / sigma
+
+            from scipy.stats import norm
+
+            ei = improvement * norm.cdf(Z) + sigma * norm.pdf(Z)
+            return -ei  # Minimize negative EI
+
+        elif self.acquisition == "pi":
+            # Probability of Improvement
+            mu, sigma = self.surrogate.predict(x, return_std=True)
+            mu = mu[0]
+            sigma = sigma[0]
+
+            if sigma < 1e-10:
+                return 0.0
+
+            y_best = np.min(self.y_)
+            Z = (y_best - mu) / sigma
+
+            from scipy.stats import norm
+
+            pi = norm.cdf(Z)
+            return -pi  # Minimize negative PI
+
+        else:
+            raise ValueError(f"Unknown acquisition function: {self.acquisition}")
+
+    def _suggest_next_point(self) -> np.ndarray:
+        """
+        Suggest next point to evaluate using acquisition function optimization.
+
+        Returns
+        -------
+        ndarray of shape (n_features,)
+            Next point to evaluate.
+        """
+        result = differential_evolution(
+            func=self._acquisition_function,
+            bounds=self.bounds,
+            seed=self.seed,
+            maxiter=1000,
+        )
+
+        x_next = result.x
+
+        # Ensure minimum distance to existing points
+        x_next_2d = x_next.reshape(1, -1)
+        x_new, _ = self._select_new(A=x_next_2d, X=self.X_, tolerance=self.tolerance_x)
+
+        if x_new.shape[0] == 0:
+            # If too close, generate random point
+            if self.verbose:
+                print("Proposed point too close, generating random point")
+            # Generate a random point using LHS
+            x_next_unit = self.lhs_sampler.random(n=1)[0]
+            x_next = self.lower + x_next_unit * (self.upper - self.lower)
+
+        return self._repair_non_numeric(x_next.reshape(1, -1), self.var_type)[0]
+
+    def optimize(self, X0: Optional[np.ndarray] = None) -> OptimizeResult:
+        """
+        Run the optimization process.
+
+        Parameters
+        ----------
+        X0 : ndarray of shape (n_initial, n_features), optional
+            Initial design points. If None, generates space-filling design.
+
+        Returns
+        -------
+        OptimizeResult
+            Optimization result with fields:
+            - x : best point found
+            - fun : best function value
+            - nfev : number of function evaluations
+            - success : whether optimization succeeded
+            - message : termination message
+            - X : all evaluated points
+            - y : all function values
+        """
+        # Generate or use provided initial design
+        if X0 is None:
+            X0 = self._generate_initial_design()
+        else:
+            X0 = np.atleast_2d(X0)
+            X0 = self._repair_non_numeric(X0, self.var_type)
+
+        # Evaluate initial design
+        y0 = self._evaluate_function(X0)
+
+        # Initialize storage
+        self.X_ = X0.copy()
+        self.y_ = y0.copy()
+        self.n_iter_ = 0
+
+        # Initial best
+        best_idx = np.argmin(self.y_)
+        self.best_x_ = self.X_[best_idx].copy()
+        self.best_y_ = self.y_[best_idx]
+
+        if self.verbose:
+            print(f"Initial best: f(x) = {self.best_y_:.6f}")
+
+        # Main optimization loop
+        for iteration in range(self.max_iter):
+            self.n_iter_ = iteration + 1
+
+            # Fit surrogate
+            self._fit_surrogate(self.X_, self.y_)
+
+            # Suggest next point
+            x_next = self._suggest_next_point()
+
+            # Evaluate next point
+            y_next = self._evaluate_function(x_next.reshape(1, -1))
+
+            # Update storage
+            self.X_ = np.vstack([self.X_, x_next])
+            self.y_ = np.append(self.y_, y_next)
+
+            # Update best
+            if y_next[0] < self.best_y_:
+                self.best_x_ = x_next.copy()
+                self.best_y_ = y_next[0]
+
+                if self.verbose:
+                    print(
+                        f"Iteration {iteration+1}: New best f(x) = {self.best_y_:.6f}"
+                    )
+            elif self.verbose:
+                print(f"Iteration {iteration+1}: f(x) = {y_next[0]:.6f}")
+
+        # Return scipy-style result
+        return OptimizeResult(
+            x=self.best_x_,
+            fun=self.best_y_,
+            nfev=len(self.y_),
+            nit=self.n_iter_,
+            success=True,
+            message="Optimization finished successfully",
+            X=self.X_,
+            y=self.y_,
+        )

spotoptim/__init__.py

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+def hello() -> str:
+    return "Hello from spotoptim!"

spotoptim-0.0.4.dist-info/METADATA

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+Metadata-Version: 2.3
+Name: spotoptim
+Version: 0.0.4
+Summary: Add your description here
+Author: bartzbeielstein
+Author-email: bartzbeielstein <32470350+bartzbeielstein@users.noreply.github.com>
+Requires-Dist: numpy>=1.24.3
+Requires-Dist: scipy>=1.10.1
+Requires-Dist: scikit-learn>=1.3.0
+Requires-Python: >=3.10
+Description-Content-Type: text/markdown
+

spotoptim-0.0.4.dist-info/RECORD

@@ -0,0 +1,6 @@
+spotoptim/SpotOptim.py,sha256=eExPcSq2rLolokE02Yb_U2ShCCjnUrQ3mbT221yWc_A,11890
+spotoptim/__init__.py,sha256=d0H44GlTwjxbCV7oWR91CGQfwocBwqouV3U1w88IV7I,55
+spotoptim/py.typed,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+spotoptim-0.0.4.dist-info/WHEEL,sha256=DpNsHFUm_gffZe1FgzmqwuqiuPC6Y-uBCzibcJcdupM,78
+spotoptim-0.0.4.dist-info/METADATA,sha256=2wK_MA4u6CUsNzeT6VsHgNjDUW8C4WSz7L3G304DWkk,352
+spotoptim-0.0.4.dist-info/RECORD,,

spotoptim-0.0.4.dist-info/WHEEL

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+Wheel-Version: 1.0
+Generator: uv 0.9.8
+Root-Is-Purelib: true
+Tag: py3-none-any