def GroupGraphicLasso(X, rho, alpha ,groups):
"""
S is the empirical covariance matrix.
"""
S = np.cov(X.T)
assert S.shape[0] == S.shape[1], "Matrix must be square"
n = S.shape[0]
#Phi = cvx.Variable(n, n)
Phi = cvx.Semidef(n)
rest = cvx.Semidef(n)
group_pennal=[]
non_one_pennal=[]
A=set()
for group in groups:
group_pennal.append(cvx.norm(Phi[group,group],"fro"))
non_index=nonGroupIndex(group, n)
non_one_pennal.append(cvx.norm(Phi[group][:,non_index],1))
A.update(set(group))
non_block = [i for i in range(n) if i not in A]
if len(non_block) > 0:
block_onenorm = cvx.norm(Phi[:,non_block],1)
obj = cvx.Minimize(-(cvx.log_det(Phi) - cvx.trace(S*Phi) - rho*sum(group_pennal) - alpha * sum(non_one_pennal)-
alpha * block_onenorm))
else:
obj = cvx.Minimize(-(cvx.log_det(Phi) - cvx.trace(S*Phi) - rho*sum(group_pennal) - alpha * sum(non_one_pennal)))
constraints = []
prob = cvx.Problem(obj,constraints)
prob.solve(solver=cvx.SCS, eps=1e-5)
return Phi.value
def test_log_det(self) -> None:
"""Test gradient for log_det
"""
expr = cp.log_det(self.A)
self.A.value = 2 * np.eye(2)
self.assertItemsAlmostEqual(expr.grad[self.A].toarray(),
1.0 / 2 * np.eye(2))
mat = np.array([[1, 2], [3, 5]])
self.A.value = mat.T.dot(mat)
val = np.linalg.inv(self.A.value).T
self.assertItemsAlmostEqual(expr.grad[self.A].toarray(), val)
self.A.value = np.zeros((2, 2))
self.assertAlmostEqual(expr.grad[self.A], None)
self.A.value = -np.array([[1, 2], [3, 4]])
self.assertAlmostEqual(expr.grad[self.A], None)
K = Variable((8, 8))
expr = cp.log_det(K[[1, 2]][:, [1, 2]])
K.value = np.eye(8)
val = np.zeros((8, 8))
val[[1, 2], [1, 2]] = 1
self.assertItemsAlmostEqual(expr.grad[K].toarray(), val)
def optimal_entropy_cvxpy_batch(I, Sig, nsko, warm_start=None):
if type(I) == int:
lenI = 1
I = [I]
else:
lenI = len(I)
p = len(Sig)
I_PP = np.diag(np.tile(1, p)) #identity matrix
I_PI = I_PP[:, I]
I_IP = I_PI.transpose()
s0 = cp.Variable(lenI)
if warm_start is None:
Objective = cp.Minimize(-cp.log_det((
(nsko + 1) / nsko) * Sig - I_PI @ cp.diag(s0) @ I_IP) -
nsko * cp.sum(cp.log(s0)))
prob = cp.Problem(Objective, [
s0 >= 0.00001,
((nsko + 1) / nsko) * Sig >> I_PI @ cp.diag(s0) @ I_IP
])
prob.solve()
return s0.value
else:
if lenI == 1:
s0.value = np.array([warm_start])
else:
s0.value = warm_start
Objective = cp.Minimize(-cp.log_det((
(nsko + 1) / nsko) * Sig - I_PI @ cp.diag(s0) @ I_IP) -
nsko * cp.sum(cp.log(s0)))
prob = cp.Problem(
Objective,
[s0 >= 0, ((nsko + 1) / nsko) * Sig >> I_PI @ cp.diag(s0) @ I_IP])
prob.solve(solver=cp.SCS)
return s0.value
def test_log_det(self):
"""Test log det.
"""
P = np.arange(9) - 2j*np.arange(9)
P = np.reshape(P, (3, 3))
P = np.conj(P.T).dot(P)/100 + np.eye(3)*.1
value = cvx.log_det(P).value
X = Variable((3, 3), complex=True)
prob = Problem(cvx.Maximize(cvx.log_det(X)), [X == P])
result = prob.solve(solver=cvx.SCS, eps=1e-6)
self.assertAlmostEqual(result, value, places=2)
def mean_cov_prox_cvxpy(Y, eta, theta, t): if Y is None: return eta Y = Y[0] n,N = Y.shape ybar = cp.Parameter((n,1)) ybar.value = np.mean(Y,1).reshape(-1,1) Yemp = cp.Parameter((n,n)) Yemp.value = Y @ Y.T / N S = cp.Variable((n,n)) nu = cp.Variable((n,1)) eps = (1./(2*t)) main_part = -cp.log_det(S) main_part += cp.trace(S@Yemp) main_part += - 2*ybar.T@nu main_part += cp.matrix_frac(nu, S) prox_part = eps * cp.sum_squares(nu-eta[:, -1].reshape(-1,1)) prox_part += eps * cp.norm(S-eta[:, :-1], "fro")**2 prob = cp.Problem(cp.Minimize(N*main_part+prox_part)) prob.solve(verbose=False, warm_start=True) return np.hstack((S.value, nu.value))
def test_key_error(self):
"""Test examples that caused key error.
"""
if cvx.CVXOPT in cvx.installed_solvers():
x = cvx.Variable()
u = -cvx.exp(x)
prob = cvx.Problem(cvx.Maximize(u), [x == 1])
prob.solve(verbose=True, solver=cvx.CVXOPT)
prob.solve(verbose=True, solver=cvx.CVXOPT)
###########################################
import numpy as np
kD = 2
Sk = cvx.Variable((kD, kD), PSD=True)
Rsk = cvx.Parameter((kD, kD))
mk = cvx.Variable((kD, 1))
musk = cvx.Parameter((kD, 1))
logpart = -0.5 * cvx.log_det(Sk) + 0.5 * cvx.matrix_frac(
mk, Sk) + (kD / 2.) * np.log(2 * np.pi)
linpart = mk.T * musk - 0.5 * cvx.trace(Sk * Rsk)
obj = logpart - linpart
prob = cvx.Problem(cvx.Minimize(obj), [Sk == Sk.T])
musk.value = np.ones((2, 1))
covsk = np.diag([0.3, 0.5])
Rsk.value = covsk + (musk.value * musk.value.T)
prob.solve(verbose=True, solver=cvx.CVXOPT)
print("second solve")
prob.solve(verbose=False, solver=cvx.CVXOPT)
def test_log_det(self) -> None:
"""Test domain for log_det.
"""
dom = cp.log_det(self.A + np.eye(2)).domain
prob = Problem(Minimize(cp.sum(cp.diag(self.A))), dom)
prob.solve(solver=cp.SCS)
self.assertAlmostEqual(prob.value, -2, places=3)
def robust_ellipsoid(A_set_list, B_set_list, Hx, Hu, hx, hu):
nx = Hx.shape[-1]
nu = Hu.shape[-1]
E = cp.Variable((nx, nx), symmetric=True)
Y = cp.Variable((nu, nx))
objective = -cp.log_det(E)
constraints = []
for A, B in zip(A_set_list, B_set_list):
constraints.append(E @ A.T + A @ E + Y.T @ B.T + B @ Y << 0)
for j in range(Hx.shape[0]):
constraints.append(cp.bmat([
[hx[j, None] ** 2, Hx[j, None] @ E],
[(Hx[j, None] @ E).T, E]
]) >> 0)
for k in range(Hu.shape[0]):
constraints.append(cp.bmat([
[hu[k, None] ** 2, Hu[k, None] @ Y],
[(Hu[k, None] @ Y).T, E]
]) >> 0)
prob = cp.Problem(cp.Minimize(objective), constraints)
prob.solve(solver="MOSEK", verbose=False)
P = np.linalg.inv(E.value)
K = Y.value @ P
return P, K
def main():
print("What is N ... ")
N = int(input())
#Generate A
A = []
for i in range(1, N + 1):
u_i = -1 + 2 * (i - 1) / (N - 1)
tmp_a = np.array([[1, u_i, u_i**2]]) # 1 x 3
tmp_b = np.transpose(tmp_a) # 3 x 1
A_i = np.matmul(tmp_b, tmp_a)
A.append(A_i)
# Initializing Variables, Objective, and Constraints
W = cp.Variable(N)
obj = cp.Minimize(-cp.log_det(cp.sum([W[i] * A[i] for i in range(N)])))
const = [0 <= W, cp.sum(W) == 1]
# Creating Problem & Solving
prob = cp.Problem(obj, const)
prob.solve()
print('Index\tValue')
eps = 0.0001
for i in range(N):
if W.value[i] > eps:
print(f"{i}\t{W[i].value}")
#print("\nW = ", W.value)
print("Sum of W = ", sum(W.value))
print("Method used: ", prob.solver_stats.solver_name)
def over_approx_or(self):
try:
from cvxpy import (Variable, Semidef, Variable, Minimize, Problem,
log_det, bmat)
tree = deepcopy(self)
tau = Variable(len(tree.operands))
X = Semidef(tree.operands[0].P.shape[0])
b_ = Variable(tree.operands[0].P.shape[0])
constraints = []
for i in range(len(tree.operands)):
X11 = X - tau[i] * tree.operands[i].A
X12 = b_ - tau[i] * tree.operands[i].b
X13 = np.zeros(
(tree.operands[0].P.shape[0], tree.operands[0].P.shape[0]))
X21 = (b_ - tau[i] * tree.operands[i].b).T
X22 = -1 - tau[i] * tree.operands[i].c
X23 = b_.T
X31 = np.zeros(
(tree.operands[0].P.shape[0], tree.operands[0].P.shape[0]))
X32 = b_
X33 = -X
constraints.append((bmat([[X11, X12, X13], [X21, X22, X23],
[X31, X32, X33]]) << 0))
constraints.append(tau[i] >= 0)
objective = Minimize(-log_det(X))
prob = Problem(objective, constraints)
result = prob.solve(solver='CVXOPT')
A = np.array(X.value)
b = np.array(b_.value)
c = np.dot(b.T, b) - 1
return Ellipsoid(A=A, b=b, c=c, approx=True)
except:
"Make sure it's an ellipse!"
return Empty()
def main():
#a, b = sys.argv[1:2]
#(-1,1),(-2,2),(0,1)(0,5)
a = -1;b = 1
print('a:',a," b:",b)
N = [x for x in range(11,1002,200)]
for i in range(1001,21002,2000):
N.append(i)
N.append(100001)
print(N)
p = 3
eps = 0.0075
#Header
print('D-Optimal')
print('N\tU_i\tValue')
for n in N:
A = model(n,p,a,b)
W = cp.Variable(n)
obj = cp.Minimize(- cp.log_det( cp.sum( [W[i] * A[i] for i in range(n)]) ) )
const = [0 <= W, cp.sum(W) == 1]
# Creating Problem & Solving
prob = cp.Problem(obj, const)
prob.solve()
#Output
for i in range(n):
if W.value[i] > eps:
print(f"{n}\t{a + (b - a) * ((i+1)-1) / (n-1)}\t{W[i].value}")
def omega_solve(self, snk, alpha):
# Create a variable that is constrained to the positive semidefinite cone.
n = len(snk[0])
S = cvx.semidefinite(n)
# Form the logdet(S) - tr(SY) objective. Note the use of a set
# comprehension to form a set of the diagonal elements of S*Y, and the
# native sum function, which is compatible with cvxpy, to compute the trace.
# TODO: If a cvxpy trace operator becomes available, use it!
obj = cvx.Minimize(-cvx.log_det(S) + sum([(S * np.array(snk))[i, i]
for i in range(n)]))
# Set constraint.
constraints = [cvx.sum_entries(cvx.abs(S)) <= alpha]
# Form and solve optimization problem
prob = cvx.Problem(obj, constraints)
prob.solve()
if prob.status != cvx.OPTIMAL:
raise Exception('CVXPY Error')
# If the covariance matrix R is desired, here is how it to create it.
# Threshold S element values to enforce exact zeros:
S = S.value
S[abs(S) <= 1e-4] = 0
return np.array(S).tolist()
def test_key_error(self):
"""Test examples that caused key error.
"""
import cvxpy as cvx
x = cvx.Variable()
u = -cvx.exp(x)
prob = cvx.Problem(cvx.Maximize(u), [x == 1])
prob.solve(verbose=True, solver=cvx.CVXOPT)
prob.solve(verbose=True, solver=cvx.CVXOPT)
###########################################
import numpy as np
import cvxopt
import cvxpy as cp
kD=2
Sk=cp.semidefinite(kD)
Rsk=cp.Parameter(kD,kD)
mk=cp.Variable(kD,1)
musk=cp.Parameter(kD,1)
logpart=-0.5*cp.log_det(Sk)+0.5*cp.matrix_frac(mk,Sk)+(kD/2.)*np.log(2*np.pi)
linpart=mk.T*musk-0.5*cp.trace(Sk*Rsk)
obj=logpart-linpart
prob=cp.Problem(cp.Minimize(obj))
musk.value=np.ones((2,1))
covsk=np.diag([0.3,0.5])
Rsk.value=covsk+(musk.value*musk.value.T)
prob.solve(verbose=True,solver=cp.CVXOPT)
print "second solve"
prob.solve(verbose=False, solver=cp.CVXOPT)
def cvxsolve():
global n, m, T, A, W, Zp, N, K, lmd, mu, R, m2v, v2m
Z = cvx.Variable(T, m)
#for v in N.keys():
# i,j=v
# Z[i,j]=0
#for v in K.keys():
# i,j=v
# Z[i,j]=1
zsm = 0
for i in xrange(T):
zsm += Z[i, :]
obf = lmd * cvx.max_entries(zsm)
for i in xrange(T):
obf += (W[i].reshape(1, m)) * (Z[i, :].T)
obj = cvx.Minimize(obf)
const = []
const += [0 <= Z, Z <= 1, zsm >= 1]
for v in N.keys():
i, j = v
const += [Z[i, j] == 0]
for v in K.keys():
i, j = v
const += [Z[i, j] == 1]
for i in xrange(T):
const += [cvx.log_det((A.T) * cvx.diag(Z[i, :]) * A) >= mu]
prob = cvx.Problem(obj, const)
result = prob.solve(solver='SCS', verbose=True, eps=1e-1)
return Z.value
def test_log_det(self):
# TODO
# Generate data
x = np.matrix("0.55 0.0;"
"0.25 0.35;"
"-0.2 0.2;"
"-0.25 -0.1;"
"-0.0 -0.3;"
"0.4 -0.2").T
(n, m) = x.shape
# Create and solve the model
A = cp.Variable(n, n);
b = cp.Variable(n);
obj = cp.Maximize( cp.log_det(A) )
constraints = []
for i in range(m):
constraints.append( cp.norm(A*x[:, i] + b) <= 1 )
p = cp.Problem(obj, constraints)
result = p.solve()
self.assertAlmostEqual(result, 1.9746)
# # Risk return tradeoff curve
# def test_risk_return_tradeoff(self):
# from math import sqrt
# from cvxopt import matrix
# from cvxopt.blas import dot
# from cvxopt.solvers import qp, options
# import scipy
# n = 4
# S = matrix( [[ 4e-2, 6e-3, -4e-3, 0.0 ],
# [ 6e-3, 1e-2, 0.0, 0.0 ],
# [-4e-3, 0.0, 2.5e-3, 0.0 ],
# [ 0.0, 0.0, 0.0, 0.0 ]] )
# pbar = matrix([.12, .10, .07, .03])
# N = 100
# # CVXPY
# Sroot = numpy.asmatrix(scipy.linalg.sqrtm(S))
# x = cp.Variable(n, name='x')
# mu = cp.Parameter(name='mu')
# mu.value = 1 # TODO cp.Parameter("positive")
# objective = cp.Minimize(-pbar*x + mu*quad_over_lin(Sroot*x,1))
# constraints = [sum(x) == 1, x >= 0]
# p = cp.Problem(objective, constraints)
# mus = [ 10**(5.0*t/N-1.0) for t in range(N) ]
# xs = []
# for mu_val in mus:
# mu.value = mu_val
# p.solve()
# xs.append(x.value)
# returns = [ dot(pbar,x) for x in xs ]
# risks = [ sqrt(dot(x, S*x)) for x in xs ]
# # QP solver
def basic_glasso(target_dim, cov_mat, reg=0.1, norm=1, return_inv=False, verbose=False):
theta = cvx.Semidef(target_dim)
objective = cvx.Minimize(-cvx.log_det(theta) + cvx.trace(cov_mat*theta) + reg*cvx.norm(theta, norm))
problem = cvx.Problem(objective)
problem.solve(verbose=verbose)
out = theta.value
if return_inv:
out = np.linalg.inv(out)
return out
def solve_glasso(cov, lambda_):
p = cov.shape[0]
X = cp.Variable((p, p), PSD=True)
constraints = [X >> 0]
objective = cp.Minimize(
cp.sum(cp.multiply(cov, X)) - cp.log_det(X) + lambda_ * cp.pnorm(X, 1))
prob = cp.Problem(objective, constraints)
prob.solve()
theta = X.value
return theta
def grid_search_cv(samples, alphas, K=10, p=0.7):
training_datasets, test_datasets = generate_partitions(samples, K=K, p=p)
test_losses = np.empty((len(alphas), K))
for alpha_ix, alpha in enumerate(alphas):
for data_ix, (training_data, test_data) in enumerate(
tqdm(zip(training_datasets, test_datasets), total=K)):
cov_train = np.cov(training_data, rowvar=False)
p = cov_train.shape[1]
X = cp.Variable((p, p), PSD=True)
constraints = [X >> 0]
cov_train_cp = cp.Parameter((p, p), PSD=True)
cov_train_cp.value = cov_train
objective = cp.Minimize(
cp.sum(cp.multiply(cov_train, X)) - cp.log_det(X) +
alpha * cp.pnorm(X, 1))
prob = cp.Problem(objective, constraints)
prob.solve()
theta = X.value
cov_test = np.cov(test_data, rowvar=False)
test_loss = np.sum(cov_test * theta) - np.log(np.linalg.det(theta))
test_losses[alpha_ix, data_ix] = test_loss
avg_losses = test_losses.mean(axis=1)
min_ix = np.argmin(avg_losses)
best_alpha = alphas[min_ix]
cov_train = np.cov(samples, rowvar=False)
p = cov_train.shape[1]
X = cp.Variable((p, p), PSD=True)
constraints = [X >> 0]
cov_train_cp = cp.Parameter((p, p), PSD=True)
cov_train_cp.value = cov_train
objective = cp.Minimize(
cp.sum(cp.multiply(cov_train, X)) - cp.log_det(X) +
best_alpha * cp.pnorm(X, 1))
prob = cp.Problem(objective, constraints)
prob.solve()
theta = X.value
return alphas[min_ix], theta
def get_mve(x):
n, m = x.shape
# Create and solve the model
A = cvx.Variable((n, n), symmetric=True)
b = cvx.Variable((n))
obj = cvx.Minimize(-cvx.log_det(A))
constrs = [cvx.norm(A * x[:, i] + b, 2) <= 1 for i in range(m)]
prob = cvx.Problem(obj, constrs)
prob.solve(solver=cvx.SCS, verbose=False, eps=1e-6)
return A.value, b.value, prob.value
def create(**kwargs):
m = kwargs["m"]
n = kwargs["n"]
k = kwargs["k"]
A = np.matrix(np.random.rand(m, n))
A -= np.mean(A, axis=0)
K = np.array([(A[i].T * A[i]).flatten() for i in xrange(m)])
sigma = cp.Variable(n, n)
t = cp.Variable(m)
tdet = cp.Variable(1)
f = cp.sum_largest(t + tdet, k)
z = K * cp.reshape(sigma, n * n, 1)
C = [-cp.log_det(sigma) <= tdet, t == z]
det_eval = lambda: -cp.log_det(sigma).value
z_eval = lambda: (K * cp.reshape(sigma, n * n, 1)).value
f_eval = lambda: cp.sum_largest(z_eval() + det_eval(), k).value
return cp.Problem(cp.Minimize(f), C), f_eval
def d_optimal(A, N):
# Initializing Variables, Objective, and Constraints
W = cp.Variable(N)
obj = cp.Minimize(-cp.log_det(cp.sum([W[i] * A[i] for i in range(N)])))
const = [0 <= W, cp.sum(W) == 1]
# Creating Problem & Solving
prob = cp.Problem(obj, const)
prob.solve()
return prob
def create(**kwargs):
m = kwargs["m"]
n = kwargs["n"]
k = kwargs["k"]
A = np.matrix(np.random.rand(m,n))
A -= np.mean(A, axis=0)
K = np.array([(A[i].T*A[i]).flatten() for i in xrange(m)])
sigma = cp.Variable(n,n)
t = cp.Variable(m)
tdet = cp.Variable(1)
f = cp.sum_largest(t+tdet, k)
z = K*cp.reshape(sigma, n*n, 1)
C = [-cp.log_det(sigma) <= tdet, t == z]
det_eval = lambda: -cp.log_det(sigma).value
z_eval = lambda: (K*cp.reshape(sigma, n*n, 1)).value
f_eval = lambda: cp.sum_largest(z_eval()+det_eval(), k).value
return cp.Problem(cp.Minimize(f), C), f_eval
def dilat_lvggm_ccg_cvx_sub(S, alpha, beta, covariance_h, precision_h, max_iter_in=1000, threshold_in=1e-3, verbose=False):
'''
A cvx implementation of the Decayed-influence Latent variable Gaussian Graphial Model
The subproblem in Convex-Concave Procedure
min_{R} -log det(R) + trace(R*S_t) + alpha*||[1,0]*R*[1;0]||_1 + gamma*||[0, Theta]*R*[1;0]||_{1,2}
s.t. [0,1]*R*[0;1] = Theta^{-1}
R >= 0
S_t = [Cov(X), -Cov*B*Theta; -Theta*B'*Cov, beta I]
'''
if np.linalg.norm(S-S.T) > 1e-3:
raise ValueError("Covariance matrix should be symmetric.")
n = S.shape[0]
#n1 = covariance.shape[0]
n2 = covariance_h.shape[0]
n1 = n - n2
#if n != (n1+n2):
if n1 < 0:
raise ValueError("dimension mismatch n=%d, n1=%d, n2=%d" % (n,n1,n2))
mask = np.zeros((n,n))
mask[np.ix_(np.arange(n1), np.arange(n1))]
J1 = np.zeros((n, n1))
J1[np.arange(n1),:] = np.eye(n1)
J2 = np.zeros((n, n2))
J2[np.arange(n1,n), :] = np.eye(n2)
Q = np.zeros((n,n2))
Q[np.arange(n1,n),:] = precision_h
#Q = np.zeros((n, n1))
#Q[np.arange(n1),:] = -covariance
J1 = np.asmatrix(J1)
J2 = np.asmatrix(J2)
Q = np.asmatrix(Q)
S - np.asmatrix(S)
R = cvx.Semidef(n)
# define the SDP problem
objective = cvx.Minimize(-cvx.log_det(R) + cvx.trace(S*R) + alpha*(cvx.norm((J1.T*R*J1), 1) + beta*cvx.mixed_norm((J1.T*R*Q).T, 2, 1) ))#beta*cvx.norm( (J1.T*R*Q), 1)) )
constraints = [J2.T*R*J2 == covariance_h]
# solve the problem
problem = cvx.Problem(objective, constraints)
problem.solve(verbose = verbose)
return np.asarray(R.value)
def get_mve(a, b):
m, n = a.shape
# Create and solve the model
A = cvx.Variable((n, n), symmetric=True)
d = cvx.Variable((n))
obj = cvx.Maximize(cvx.log_det(A))
constrs = [cvx.norm(A * a[i, :], 2) + a[i].T * d <= b[i] for i in range(m)]
prob = cvx.Problem(obj, constrs)
prob.solve(solver=cvx.SCS, verbose=False, eps=1e-6)
print("status:", prob.status)
print("optimal value", prob.value)
print("optimal var", A.value, d.value)
return A.value, d.value
def get_ellipse(x):
x = x.T
n, m = x.shape
# Create and solve the model
A = cvx.Variable((n, n), symmetric=True)
b = cvx.Variable((n))
obj = cvx.Maximize(cvx.log_det(A))
constrs = [cvx.norm(A * x[:, i] + b, 2) <= 1 for i in range(m)]
prob = cvx.Problem(obj, constrs)
prob.solve(solver=cvx.SCS, verbose=False, eps=1e-6)
print("status:", prob.status)
print("optimal value", prob.value)
print("optimal var", A.value, b.value)
return A.value, b.value
def smallestCircumScribedEllip(ptS,
P=None,
obj=None,
maxChange=[None, None],
Pold=None,
**kwargs):
#ptS holds the points columnwise
#mindCondition < lambda_max/lambda_min
opts = {'minCondition': 1.e3}
opts.update(kwargs)
Pold = (Pold.T + Pold) / 2.
dim = ptS.shape[0]
if P is None:
P = cvxpy.Semidef(dim, "P")
cstr = [cvxpy.quad_form(aPt, P) <= 1. for aPt in ptS.T]
eigMax = np.max(np.linalg.eigh(Pold)[0])
#restrict changement
zeta = cvxpy.Variable(1)
if not (Pold is None) and not (maxChange[0] is None):
cstr.append(eigMax * maxChange[0] * np.identity(dim) < P - zeta * Pold)
if not (Pold is None) and not (maxChange[1] is None):
cstr.append(P - zeta * Pold < eigMax * maxChange[1] * np.identity(dim))
if not (opts['minCondition'] is None):
cstr.append(
cvxpy.lambda_max(P) < opts['minCondition'] * cvxpy.lambda_min(P))
if obj is None:
obj = cvxpy.Maximize(cvxpy.log_det(P))
prob = cvxpy.Problem(obj, cstr)
#prob.solve();
prob.solve(solver='CVXOPT',
verbose=False,
kktsolver=cvxpy.ROBUST_KKTSOLVER)
assert prob.status == 'optimal', "Failed to solve circumscribed ellip prob"
Pval = np.array(P.value)
return Pval
def max_ellipsoid(Hx, hx, x_0=None):
if x_0 is not None:
Hx, hx = move_constraint(Hx, hx, x_0)
nx = Hx.shape[-1]
E = cp.Variable((nx, nx), symmetric=True)
objective = -cp.log_det(E)
constraints = []
constraints.append(E >> 0)
for j in range(Hx.shape[0]):
constraints.append(cp.bmat([
[hx[j, None] ** 2, Hx[j, None] @ E],
[(Hx[j, None] @ E).T, E]
]) >> 0)
prob = cp.Problem(cp.Minimize(objective), constraints)
prob.solve(solver='MOSEK', verbose=False)
return np.linalg.inv(E.value)
def maxGaussianEpigraphProblem(problemOptions, solverOptions):
m = problemOptions['m']
n = problemOptions['n']
k = problemOptions['k']
A = np.matrix(np.random.rand(m,n))
A -= np.mean(A, axis=0)
K = np.array([(A[i].T*A[i]).flatten() for i in range(m)])
sigma_inv = cp.Variable(n, n) # Inverse covariance matrix
obs = cp.vstack([-cp.log_det(sigma_inv) + cp.trace(A[i].T*A[i]*sigma_inv) for i in range(m)])
f = cp.sum_largest(obs, k)
prob = cp.Problem(cp.Minimize(f))
prob.solve(**solverOptions)
return {'Problem':prob, 'name':'maxGaussianEpigraphProblem'}
def test_log_det(self):
# Generate data
x = np.array([[0.55, 0.0], [0.25, 0.35], [-0.2, 0.2], [-0.25, -0.1],
[-0.0, -0.3], [0.4, -0.2]]).T
(n, m) = x.shape
# Create and solve the model
A = cvx.Variable((n, n))
b = cvx.Variable(n)
obj = cvx.Maximize(cvx.log_det(A))
constraints = []
for i in range(m):
constraints.append(cvx.norm(A * x[:, i] + b) <= 1)
p = cvx.Problem(obj, constraints)
result = p.solve()
self.assertAlmostEqual(result, 1.9746, places=2)
def _construct_objective(covariance_matrices, weights):
''' Constructs the CVX objective function. '''
num_samples = len(covariance_matrices)
num_dim = int(covariance_matrices[0].shape[0])
matrix_part = np.zeros([num_dim, num_dim])
for j in xrange(0, num_samples):
matrix_part = matrix_part + covariance_matrices[j] * weights[j]
# A-optimality criteria
# objective = 0
# for i in xrange(0, num_dim):
# k_vec = np.zeros(num_dim)
# k_vec[i] = 1.0
# objective = objective + cvx.matrix_frac(k_vec, matrix_part)
# D-optimality criteria
objective = cvx.log_det(matrix_part)
return objective
def getLargestInnerEllip(pt, maxChange=[None, None], Pold=None, optsIn={}):
#Opts
opts = {'conv': 1e-2}
opts.update(optsIn)
#There are faster ways to do this, but this is very convenient
dim, Npt = pt.shape
if Pold is None:
Pval = np.identity(dim)
else:
Pval = Pold
oldDet = 2 * det(Pval)
#To avoid constant recreation of vars
P = cvxpy.Semidef(pt.shape[0], "P")
obj = cvxpy.Maximize(cvxpy.log_det(P))
while ((np.abs(oldDet - det(Pval)) / oldDet) > opts['conv']):
oldDet = det(Pval)
CpreTrans = chol(Pval).T
CpreTransI = inv(CpreTrans)
ptPre = ndot(CpreTrans, pt)
normPtsq = colWiseSquaredNorm(ptPre)
ptI = np.divide(ptPre, np.tile(normPtsq, (dim, 1)))
#Adapt old
PoldInvA = inv(ndot(CpreTransI.T, Pold, CpreTransI))
ptInM = np.max(colWiseSquaredKerNorm(PoldInvA, ptI))
PoldInvA = PoldInvA / ptInM
#Solve
PpreInv = smallestCircumScribedEllip(ptI,
P=P,
obj=obj,
maxChange=maxChange,
Pold=PoldInvA)
Ppre = inv(PpreInv)
Pval = ndot(CpreTrans.T, Ppre, CpreTrans)
thisAlpha = ((det(Pval))**(1. / float(dim)))
thisP = Pval / thisAlpha
return [thisP, thisAlpha]
def covselProblem(problemOptions, solverOptions):
m = problemOptions['m']
n = problemOptions['n']
lam = problemOptions['lam']
A = sps.rand(n,n, problemOptions['density'])
A = np.asarray(A.T.dot(A).todense() + problemOptions['beta']*np.eye(n))
L = np.linalg.cholesky(np.linalg.inv(A))
X = np.random.randn(m,n).dot(L.T)
S = X.T.dot(X)/m
W = np.ones((n,n)) - np.eye(n)
Theta = cp.Variable(n,n)
prob = cp.Problem(cp.Minimize(
lam*cp.norm1(cp.mul_elemwise(W,Theta)) +
cp.sum_entries(cp.mul_elemwise(S,Theta)) -
cp.log_det(Theta)))
prob.solve(**solverOptions)
return {'Problem':prob, 'name':'covselProblem'}
def mveSolver(self, tolerance=0.0001):
try:
# create a symmetric matrix variable
C = cp.Variable((self.n_x, self.n_x), symmetric=True)
d = cp.Variable(self.n_x)
# create the constraints
constraints = [C >> tolerance]
for i in range(self.hyperplanes_a.shape[0]):
constraints += [
(cp.norm2(C @ self.hyperplanes_a[i].reshape(-1, 1)) +
self.hyperplanes_a[i] @ d) <= self.hyperplanes_b[i]
]
prob = cp.Problem(cp.Minimize(-cp.log_det(C)), constraints)
prob.solve(solver=cp.MOSEK, verbose=False)
return d.value, C.value
except:
return None, None
def main():
print("What is N ... ", end = '')
N = int(input())
print("\nWhat is a ... ", end = '')
a = int(input())
print("\nWhat is b ... ", end = '')
b = int(input())
print("\nWhat is p ... ", end = '')
p = int(input())
print('\n( N, a, b, p) = (',N,',',a,',',b,',',p,')')
#Generate A
A = []
for i in range(1,N+1):
u_i = a + (b - a) * (i-1) / (N-1)
tmp_a = np.array([[u_i**i for i in range(p+1)]]) # 1 x (p+1)
tmp_b = np.transpose(tmp_a) # (p+1) x 1
A_i = np.matmul(tmp_b,tmp_a)
A.append(A_i)
# Initializing Variables, Objective, and Constraints
W = cp.Variable(N)
obj = cp.Minimize(- cp.log_det( cp.sum( [W[i] * A[i] for i in range(N)]) ) )
const = [0 <= W, cp.sum(W) == 1]
# Creating Problem & Solving
start = timeit.default_timer()
prob = cp.Problem(obj, const)
prob.solve()
stop = timeit.default_timer()
print('Index\tValue')
eps = 0.0001
for i in range(N):
if W.value[i] > eps:
print(f"{i}\t{W[i].value}")
def create(m, n, lam):
np.random.seed(0)
m = int(n)
n = int(n)
lam = float(lam)
A = sp.rand(n,n, 0.01)
A = np.asarray(A.T.dot(A).todense() + 0.1*np.eye(n))
L = np.linalg.cholesky(np.linalg.inv(A))
X = np.random.randn(m,n).dot(L.T)
S = X.T.dot(X)/m
W = np.ones((n,n)) - np.eye(n)
Theta = cp.Variable(n,n)
return cp.Problem(cp.Minimize(
lam*cp.norm1(cp.mul_elemwise(W,Theta)) +
cp.sum_entries(cp.mul_elemwise(S,Theta)) -
cp.log_det(Theta)))
def test_log_det(self):
# TODO
# Generate data
x = np.matrix("0.55 0.0;"
"0.25 0.35;"
"-0.2 0.2;"
"-0.25 -0.1;"
"-0.0 -0.3;"
"0.4 -0.2").T
(n, m) = x.shape
# Create and solve the model
A = cp.Variable(n, n);
b = cp.Variable(n);
obj = cp.Maximize( cp.log_det(A) )
constraints = []
for i in range(m):
constraints.append( cp.norm(A*x[:, i] + b) <= 1 )
p = cp.Problem(obj, constraints)
result = p.solve()
self.assertAlmostEqual(result, 1.9746)
def C_soc_translated():
return [cp.norm2(x + randn()) <= t + randn()]
def C_soc_scaled_translated():
return [cp.norm2(randn()*x + randn()) <= randn()*t + randn()]
# Proximal operators
PROX_TESTS = [
#prox("MATRIX_FRAC", lambda: cp.matrix_frac(p, X)),
#prox("SIGMA_MAX", lambda: cp.sigma_max(X)),
prox("AFFINE", lambda: randn(n).T*x),
prox("CONSTANT", lambda: 0),
prox("LAMBDA_MAX", lambda: cp.lambda_max(X)),
prox("LOG_SUM_EXP", lambda: cp.log_sum_exp(x)),
prox("MAX", lambda: cp.max_entries(x)),
prox("NEG_LOG_DET", lambda: -cp.log_det(X)),
prox("NON_NEGATIVE", None, C_non_negative_scaled),
prox("NON_NEGATIVE", None, C_non_negative_scaled_elemwise),
prox("NON_NEGATIVE", None, lambda: [x >= 0]),
prox("NORM_1", f_norm1_weighted),
prox("NORM_1", lambda: cp.norm1(x)),
prox("NORM_2", lambda: cp.norm(X, "fro")),
prox("NORM_2", lambda: cp.norm2(x)),
prox("NORM_NUCLEAR", lambda: cp.norm(X, "nuc")),
#prox("QUAD_OVER_LIN", lambda: cp.quad_over_lin(p, q1)),
prox("SECOND_ORDER_CONE", None, C_soc_scaled),
prox("SECOND_ORDER_CONE", None, C_soc_scaled_translated),
prox("SECOND_ORDER_CONE", None, C_soc_translated),
prox("SECOND_ORDER_CONE", None, lambda: [cp.norm(X, "fro") <= t]),
prox("SECOND_ORDER_CONE", None, lambda: [cp.norm2(x) <= t]),
prox("SEMIDEFINITE", None, lambda: [X >> 0]),
print 'bound: exact = %f, numerical = %f' % (upper_bound_logpartition_41(tau_init, inv_alpha_1_init), \
upper_bound_logpartition_42(tau_init, inv_alpha_1_init))
res1 = fmin(objfun, res0, xtol=1e-7)
#res1 = fmin_bfgs(objfun, res0)
theta1 = res1[:-1]
rho1 = sigmoid(res1[-1])
if mode == 4:
UB1 = upper_bound_logpartition_41(theta1,rho1)
else:
UB1 = upper_bound_logpartition_42(theta1,rho1)
print 'optimized rho1 = %.3f, alpha_1 = %.3f' % (rho1, 1./rho1)
elif mode == 5:
print A
tau_1 = cvx.Variable(N+D)
# obj = cvx.Minimize(np.sum(np.log(tau_1)) -0.5 * cvx.log_det(A - np.diag(tau_1)) - sum([(S*Y)[i, i] for i in range(n)]))
obj = cvx.Minimize(cvx.sum_entries(cvx.log(tau_1)) -0.5 * cvx.log_det(A - np.diag(tau_1)))
# Set constraint.
constraints = [tau_1 >= 0, A - np.diag(tau_1) == cvx.Semidef(N+D)]
# Form and solve optimization problem
prob = cvx.Problem(obj, constraints)
prob.solve()
if prob.status != cvx.OPTIMAL:
raise Exception('CVXPY Error')
print tau_1
#def upper_bound_logpartition(tau, inv_alpha_1):
# tau_1, tau_2 = tau[:D+N], tau[D+N:]
def C_soc_translated():
return [cp.norm2(x + randn()) <= t + randn()]
def C_soc_scaled_translated():
return [cp.norm2(randn()*x + randn()) <= randn()*t + randn()]
# Proximal operators
PROX_TESTS = [
#prox("MATRIX_FRAC", lambda: cp.matrix_frac(p, X)),
#prox("SIGMA_MAX", lambda: cp.sigma_max(X)),
prox("AFFINE", lambda: randn(n).T*x),
prox("CONSTANT", lambda: 0),
prox("LAMBDA_MAX", lambda: cp.lambda_max(X)),
prox("LOG_SUM_EXP", lambda: cp.log_sum_exp(x)),
prox("MAX", lambda: cp.max_entries(x)),
prox("NEG_LOG_DET", lambda: -cp.log_det(X)),
prox("NON_NEGATIVE", None, C_non_negative_scaled),
prox("NON_NEGATIVE", None, C_non_negative_scaled_elemwise),
prox("NON_NEGATIVE", None, lambda: [x >= 0]),
prox("NORM_1", f_norm1_weighted),
prox("NORM_1", lambda: cp.norm1(x)),
prox("NORM_2", lambda: cp.norm(X, "fro")),
prox("NORM_2", lambda: cp.norm2(x)),
prox("NORM_NUCLEAR", lambda: cp.norm(X, "nuc")),
prox("SECOND_ORDER_CONE", None, C_soc_scaled),
prox("SECOND_ORDER_CONE", None, C_soc_scaled_translated),
prox("SECOND_ORDER_CONE", None, C_soc_translated),
prox("SECOND_ORDER_CONE", None, lambda: [cp.norm(X, "fro") <= t]),
prox("SECOND_ORDER_CONE", None, lambda: [cp.norm2(x) <= t]),
prox("SEMIDEFINITE", None, lambda: [X >> 0]),
prox("SUM_DEADZONE", f_dead_zone),
