def forward(self, x_init, C, c, F, f=None):
if self.no_op_forward:
self.save_for_backward(x_init, C, c, F, f, self.current_x,
self.current_u)
return self.current_x, self.current_u
if self.delta_space:
# Taylor-expand the objective to do the backward pass in
# the delta space.
assert self.current_x is not None
assert self.current_u is not None
c_back = []
for t in range(self.T):
xt = self.current_x[t]
ut = self.current_u[t]
xut = torch.cat((xt, ut), 1)
c_back.append(util.bmv(C[t], xut) + c[t])
c_back = torch.stack(c_back)
f_back = None
else:
assert False
Ks, ks, self.back_out = self.lqr_backward(C, c_back, F, f_back)
new_x, new_u, self.for_out = self.lqr_forward(x_init, C, c, F, f, Ks,
ks)
self.save_for_backward(x_init, C, c, F, f, new_x, new_u)
return new_x, new_u
def linearize_dynamics(x, u, dynamics):
"""linearize dynamics
:param x:time batch n_state
:param u:
:param dynamics:
:return:
"""
assert x.shape[0] == u.shape[0]
assert x.shape[1] == u.shape[1]
n_state = x.shape[2]
T = x.shape[0]
x_init = x[0]
x_ar = [x_init]
# NOTE need to use newly calculate trajectory ???
# TODO: CHECK THIS
large_F, f = [], []
for t in range(T):
if t < T - 1:
xt = x_ar[t]
ut = u[t]
# print("x_ut.shape", xut.shape)
new_x = dynamics(xt, ut)
# Linear dynamics approximation.
Rt, St = [], []
for j in range(n_state):
Rj, Sj = chainer.grad([F.sum(new_x[:, j])], [xt, ut])
Rt.append(Rj)
St.append(Sj)
assert Sj is not None
Rt = F.stack(Rt, axis=1)
St = F.stack(St, axis=1)
# print("Rt shape", Rt.shape)
# print("St shape", St.shape)
Ft = F.concat((Rt, St), axis=2)
large_F.append(Ft)
ft = new_x - bmv(Rt, xt) - bmv(St, ut)
f.append(ft)
x_ar.append(new_x)
large_F = F.stack(large_F, 0)
f = F.stack(f, 0)
return large_F, f
def forward(self, Ks, ks):
""" LQR forward recursion
:param Ks: solved in backward recursion
:param ks: solved in forward recursion
:return: x, u
"""
assert len(Ks) == self.T, "Ks length error"
new_x = [self.x_init]
new_u = []
for t in range(self.T):
Kt = Ks[t]
kt = ks[t]
xt = new_x[t]
assert list(xt.shape) == [self.n_batch, self.n_state], str(xt.shape) + \
" xt dim mismatch: expected" + str(
[self.n_batch, self.n_state])
new_ut = bmv(Kt, xt) + kt
assert list(new_ut.shape) == [self.n_batch, self.n_ctrl], "actual:" + str(new_ut.shape)
if self.u_zero_Index is not None:
assert self.u_zero_Index[t].shape == new_ut.shape, str(self.u_zero_Index[t].shape) + " : " + str(
new_ut.shape)
new_ut = F.where(self.u_zero_Index[t], self.xp.zeros_like(new_ut.array), new_ut)
assert list(new_ut.shape) == [self.n_batch, self.n_ctrl], "actual:" + str(new_ut.shape)
new_u.append(new_ut)
if t < self.T - 1:
assert list(xt.shape) == [self.n_batch, self.n_state], "actual:" + str(xt.shape)
assert list(new_u[t].shape) == [self.n_batch, self.n_ctrl], "actual:" + str(new_u[t].shape)
xu_t = F.concat((xt, new_u[t]), axis=1)
x = bmv(self.F[t], xu_t)
if self.f is not None:
x += self.f[t]
assert list(x.shape) == [self.n_batch, self.n_state], str(x.shape) + \
" x dim mismatch: expected" + str(
[self.n_batch, self.n_state])
new_x.append(x)
new_x = F.stack(new_x, axis=0)
new_u = F.stack(new_u, axis=0)
assert list(new_x.shape) == [self.T, self.n_batch, self.n_state], str(new_x.shape) + " new x dim mismatch"
assert list(new_u.shape) == [self.T, self.n_batch, self.n_ctrl], "new u dim mismatch"
return new_x, new_u
def approximate_cost(self, x, u, Cf, diff=True):
with torch.enable_grad():
tau = torch.cat((x, u), dim=2).data
tau = Variable(tau, requires_grad=True)
if self.slew_rate_penalty is not None:
print("""
MPC Error: Using a non-convex cost with a slew rate penalty is not yet implemented.
The current implementation does not correctly do a line search.
More details: https://github.com/locuslab/mpc.pytorch/issues/12
""")
sys.exit(-1)
differences = tau[1:, :, -self.n_ctrl:] - tau[:-1, :,
-self.n_ctrl:]
slew_penalty = (self.slew_rate_penalty *
differences.pow(2)).sum(-1)
costs = list()
hessians = list()
grads = list()
for t in range(self.T):
tau_t = tau[t]
if self.slew_rate_penalty is not None:
cost = Cf(tau_t) + (slew_penalty[t - 1] if t > 0 else 0)
else:
cost = Cf(tau_t)
grad = torch.autograd.grad(cost.sum(),
tau_t,
retain_graph=True)[0]
hessian = list()
for v_i in range(tau.shape[2]):
hessian.append(
torch.autograd.grad(grad[:, v_i].sum(),
tau_t,
retain_graph=True)[0])
hessian = torch.stack(hessian, dim=-1)
costs.append(cost)
grads.append(grad - util.bmv(hessian, tau_t))
hessians.append(hessian)
costs = torch.stack(costs, dim=0)
grads = torch.stack(grads, dim=0)
hessians = torch.stack(hessians, dim=0)
if not diff:
return hessians.data, grads.data, costs.data
return hessians, grads, costs
def test_dynamics():
import numpy as np
np.random.seed(0)
batch = 2
time = 3
n_state = 1
n_ctrl = 1
n_sc = n_state + n_ctrl
x = np.random.randn(time, batch, n_state)
u = np.random.randn(time, batch, n_ctrl)
x = chainer.Variable(x)
u = chainer.Variable(u)
A = np.random.randn(batch, n_state, n_sc)
B = np.random.randn(batch, n_state)
A = chainer.Variable(A)
B = chainer.Variable(B)
dynamics = lambda s, c: bmv(A, F.concat((s, c), axis=1)) + B
large_F, f = linearize_dynamics(x, u, dynamics)
print("A", A)
print("large_F", large_F)
print("B", B)
print("f", f)
def approximate_cost(x, u, Cf):
""" approximate cost function at point(x, u)
:param x: time batch n_state
:param u: time batch n_ctrl
:param Cf:Cost Function need map vector to scalar
:return: hessian, grads, costs
"""
assert x.shape[0] == u.shape[0]
assert x.shape[1] == u.shape[1]
T = x.shape[0]
tau = F.concat((x, u), axis=2)
costs = []
hessians = []
grads = []
# for time
for t in range(T):
tau_t = tau[t]
cost = Cf(tau_t) # value of cost function at tau
assert list(cost.shape) == [x.shape[1]]
# print("cost.shape", cost.shape)
grad = chainer.grad([F.sum(cost)], [tau_t], enable_double_backprop=True)[0] # need hessian
hessian = []
# for each dimension?
for v_i in range(tau.shape[2]):
# n_sc
grad_line = F.sum(grad[:, v_i])
hessian.append(chainer.grad([grad_line], [tau_t])[0])
hessian = F.stack(hessian, axis=-1)
costs.append(cost)
# change to near 0?? Is this necessary ???
grads.append(grad - bmv(hessian, tau_t))
hessians.append(hessian)
costs = F.stack(costs)
grads = F.stack(grads)
hessians = F.stack(hessians)
return hessians, grads, costs
def backward(self, target_input_indexes, grad_outputs):
""" Backward Pass
:param target_input_indexes:
:param grad_outputs:
:return:
"""
# Forward 2 calculate dual variable with backward recursion, Equation (7) in [1]
x_init, C, c, large_f = self.get_retained_inputs()
C_Tx = C[self.T - 1, :, :self.n_state, :]
c_Tx = c[self.T - 1, :, :self.n_state]
assert list(C_Tx.shape) == [self.n_batch, self.n_state, self.n_sc]
x, u = self.get_retained_outputs()
taus = F.concat((x, u), axis=2).reshape(self.T, self.n_batch,
self.n_sc)
Lambda_T = bmv(C_Tx, taus[self.T - 1]) + c_Tx
Lambdas = [Lambda_T]
# backward recursion calculate dual variable
for i in range(self.T - 2, -1, -1):
Lambda_tp1 = Lambdas[self.T - 2 - i]
tau_t = taus[i]
F_t = large_f[i]
F_tx_T = F.transpose(F_t[:, :self.n_state, :self.n_state],
axes=(0, 2, 1))
C_tx = C[i][:, :self.n_state, :]
c_tx = c[i][:, :self.n_state]
Lambda_t = bmv(F_tx_T, Lambda_tp1) + bmv(C_tx, tau_t) + c_tx
Lambdas.append(Lambda_t)
Lambdas.reverse()
# Backward 1
grad_x, grad_u = grad_outputs
xp = chainer.backend.get_array_module(*grad_outputs)
zero_init = chainer.Variable(xp.zeros_like(x_init.data))
zero_f = chainer.Variable(
xp.zeros((self.T - 1, self.n_batch, self.n_state)))
drl = F.concat((grad_x, grad_u),
axis=2).reshape(self.T, self.n_batch, self.n_sc)
lqr = LqrRecursion(zero_init, C, drl, large_f, zero_f, self.T,
self.n_state, self.n_ctrl)
dx, du = lqr.solve_recursion()
# Backward 2 calculate dual variable
d_taus = F.concat((dx, du), axis=2).reshape(self.T, self.n_batch,
self.n_sc)
d_lambda_T = bmv(
C_Tx, d_taus[self.T - 1]) + drl[self.T - 1][:, :self.n_state]
d_lambdas = [d_lambda_T]
for i in range(self.T - 2, -1, -1):
d_lambda_tp1 = d_lambdas[self.T - 2 - i]
d_tau_t = d_taus[i]
F_t = large_f[i]
F_tx_T = F.transpose(F_t[:, :self.n_state, :self.n_state],
axes=(0, 2, 1))
C_tx = C[i][:, :self.n_state, :]
d_rl = drl[i][:, :self.n_state]
d_lambda_t = bmv(F_tx_T, d_lambda_tp1) + bmv(C_tx, d_tau_t) + d_rl
d_lambdas.append(d_lambda_t)
d_lambdas.reverse()
# Backward line 3 compute derivatives : Equation 8
dC = F.stack([
0.5 * bger(d_taus[t], taus[t]) + bger(taus[t], d_taus[t])
for t in range(self.T)
],
axis=0)
dc = F.stack([d_taus[t] for t in range(self.T)], axis=0)
dF = F.stack([
bger(d_lambdas[t + 1], taus[t]).data +
bger(Lambdas[t + 1], d_taus[t]).data for t in range(self.T - 1)
],
axis=0)
df = F.stack(d_lambdas[:self.T - 1], axis=0)
d_x_init = d_lambdas[0]
'''
print(d_x_init.shape)
print(dC.shape)
print(dc.shape)
print(dF.shape)
print(df.shape)
'''
return d_x_init, dC, dc, dF, df
def lqr_forward(self, x_init, C, c, F, f, Ks, ks):
x = self.current_x
u = self.current_u
n_batch = C.size(1)
old_cost = util.get_cost(self.T,
u,
self.true_cost,
self.true_dynamics,
x=x)
current_cost = None
alphas = torch.ones(n_batch).type_as(C)
full_du_norm = None
i = 0
while (current_cost is None or \
(old_cost is not None and \
torch.any((current_cost > old_cost)).cpu().item() == 1)) and \
i < self.max_linesearch_iter:
new_u = []
new_x = [x_init]
dx = [torch.zeros_like(x_init)]
objs = []
for t in range(self.T):
t_rev = self.T - 1 - t
Kt = Ks[t_rev]
kt = ks[t_rev]
new_xt = new_x[t]
xt = x[t]
ut = u[t]
dxt = dx[t]
new_ut = util.bmv(Kt, dxt) + ut + torch.diag(alphas).mm(kt)
# Currently unimplemented:
assert not ((self.delta_u is not None) and
(self.u_lower is None))
if self.u_zero_I is not None:
new_ut[self.u_zero_I[t]] = 0.
if self.u_lower is not None:
lb = self.get_bound('lower', t)
ub = self.get_bound('upper', t)
if self.delta_u is not None:
lb_limit, ub_limit = lb, ub
lb = u[t] - self.delta_u
ub = u[t] + self.delta_u
I = lb < lb_limit
lb[I] = lb_limit if isinstance(lb_limit,
float) else lb_limit[I]
I = ub > ub_limit
ub[I] = ub_limit if isinstance(lb_limit,
float) else ub_limit[I]
new_ut = util.eclamp(new_ut, lb, ub)
new_u.append(new_ut)
new_xut = torch.cat((new_xt, new_ut), dim=1)
if t < self.T - 1:
if isinstance(self.true_dynamics, mpc.LinDx):
F, f = self.true_dynamics.F, self.true_dynamics.f
new_xtp1 = util.bmv(F[t], new_xut)
if f is not None and f.nelement() > 0:
new_xtp1 += f[t]
else:
new_xtp1 = self.true_dynamics(Variable(new_xt),
Variable(new_ut)).data
new_x.append(new_xtp1)
dx.append(new_xtp1 - x[t + 1])
if isinstance(self.true_cost, mpc.QuadCost):
C, c = self.true_cost.C, self.true_cost.c
obj = 0.5 * util.bquad(new_xut, C[t]) + util.bdot(
new_xut, c[t])
else:
obj = self.true_cost(new_xut)
objs.append(obj)
objs = torch.stack(objs)
current_cost = torch.sum(objs, dim=0)
new_u = torch.stack(new_u)
new_x = torch.stack(new_x)
if full_du_norm is None:
full_du_norm = (u - new_u).transpose(1, 2).contiguous().view(
n_batch, -1).norm(2, 1)
alphas[current_cost > old_cost] *= self.linesearch_decay
i += 1
# If the iteration limit is hit, some alphas
# are one step too small.
alphas[current_cost > old_cost] /= self.linesearch_decay
alpha_du_norm = (u - new_u).transpose(1, 2).contiguous().view(
n_batch, -1).norm(2, 1)
return new_x, new_u, LqrForOut(objs, full_du_norm, alpha_du_norm,
torch.mean(alphas), current_cost)
def lqr_backward(self, C, c, F, f):
n_batch = C.size(1)
u = self.current_u
Ks = []
ks = []
prev_kt = None
n_total_qp_iter = 0
Vtp1 = vtp1 = None
for t in range(self.T - 1, -1, -1):
if t == self.T - 1:
Qt = C[t]
qt = c[t]
else:
Ft = F[t]
Ft_T = Ft.transpose(1, 2)
Qt = C[t] + Ft_T.bmm(Vtp1).bmm(Ft)
if f is None or f.nelement() == 0:
qt = c[t] + Ft_T.bmm(vtp1.unsqueeze(2)).squeeze(2)
else:
ft = f[t]
qt = c[t] + Ft_T.bmm(Vtp1).bmm(ft.unsqueeze(2)).squeeze(2) + \
Ft_T.bmm(vtp1.unsqueeze(2)).squeeze(2)
n_state = self.n_state
Qt_xx = Qt[:, :n_state, :n_state]
Qt_xu = Qt[:, :n_state, n_state:]
Qt_ux = Qt[:, n_state:, :n_state]
Qt_uu = Qt[:, n_state:, n_state:]
qt_x = qt[:, :n_state]
qt_u = qt[:, n_state:]
if self.u_lower is None:
if self.n_ctrl == 1 and self.u_zero_I is None:
Kt = -(1. / Qt_uu) * Qt_ux
kt = -(1. / Qt_uu.squeeze(2)) * qt_u
else:
if self.u_zero_I is None:
Qt_uu_inv = [
torch.pinverse(Qt_uu[i])
for i in range(Qt_uu.shape[0])
]
Qt_uu_inv = torch.stack(Qt_uu_inv)
Kt = -Qt_uu_inv.bmm(Qt_ux)
kt = util.bmv(-Qt_uu_inv, qt_u)
# Qt_uu_LU = Qt_uu.btrifact()
# Kt = -Qt_ux.btrisolve(*Qt_uu_LU)
# kt = -qt_u.btrisolve(*Qt_uu_LU)
else:
# Solve with zero constraints on the active controls.
I = self.u_zero_I[t]
notI = 1 - I
qt_u_ = qt_u.clone()
qt_u_[I] = 0
Qt_uu_ = Qt_uu.clone()
if I.is_cuda:
notI_ = notI.float()
Qt_uu_I = (1 - util.bger(notI_, notI_)).type_as(I)
else:
Qt_uu_I = 1 - util.bger(notI, notI)
Qt_uu_[Qt_uu_I] = 0.
Qt_uu_[util.bdiag(I)] += 1e-8
Qt_ux_ = Qt_ux.clone()
Qt_ux_[I.unsqueeze(2).repeat(1, 1, Qt_ux.size(2))] = 0.
if self.n_ctrl == 1:
Kt = -(1. / Qt_uu_) * Qt_ux_
kt = -(1. / Qt_uu.squeeze(2)) * qt_u_
else:
Qt_uu_LU_ = Qt_uu_.btrifact()
Kt = -Qt_ux_.btrisolve(*Qt_uu_LU_)
kt = -qt_u_.btrisolve(*Qt_uu_LU_)
else:
assert self.delta_space
lb = self.get_bound('lower', t) - u[t]
ub = self.get_bound('upper', t) - u[t]
if self.delta_u is not None:
lb[lb < -self.delta_u] = -self.delta_u
ub[ub > self.delta_u] = self.delta_u
kt, Qt_uu_free_LU, If, n_qp_iter = pnqp(Qt_uu,
qt_u,
lb,
ub,
x_init=prev_kt,
n_iter=20)
if self.verbose > 1:
print(' + n_qp_iter: ', n_qp_iter + 1)
n_total_qp_iter += 1 + n_qp_iter
prev_kt = kt
Qt_ux_ = Qt_ux.clone()
Qt_ux_[(1 - If).unsqueeze(2).repeat(1, 1, Qt_ux.size(2))] = 0
if self.n_ctrl == 1:
# Bad naming, Qt_uu_free_LU isn't the LU in this case.
Kt = -((1. / Qt_uu_free_LU) * Qt_ux_)
else:
Kt = -Qt_ux_.btrisolve(*Qt_uu_free_LU)
Kt_T = Kt.transpose(1, 2)
Ks.append(Kt)
ks.append(kt)
Vtp1 = Qt_xx + Qt_xu.bmm(Kt) + Kt_T.bmm(Qt_ux) + Kt_T.bmm(
Qt_uu).bmm(Kt)
vtp1 = qt_x + Qt_xu.bmm(kt.unsqueeze(2)).squeeze(2) + \
Kt_T.bmm(qt_u.unsqueeze(2)).squeeze(2) + \
Kt_T.bmm(Qt_uu).bmm(kt.unsqueeze(2)).squeeze(2)
return Ks, ks, LqrBackOut(n_total_qp_iter=n_total_qp_iter)
def backward(self, dl_dx, dl_du):
start = time.time()
x_init, C, c, F, f, new_x, new_u = self.saved_tensors
r = []
for t in range(self.T):
rt = torch.cat((dl_dx[t], dl_du[t]), 1)
r.append(rt)
r = torch.stack(r)
if self.u_lower is None:
I = None
else:
I = (torch.abs(new_u - self.u_lower) <= 1e-8) | \
(torch.abs(new_u - self.u_upper) <= 1e-8)
dx_init = Variable(torch.zeros_like(x_init))
_mpc = mpc.MPC(
self.n_state,
self.n_ctrl,
self.T,
u_zero_I=I,
u_init=None,
lqr_iter=1,
verbose=-1,
n_batch=C.size(1),
delta_u=None,
# exit_unconverged=True, # It's really bad if this doesn't converge.
exit_unconverged=False, # It's really bad if this doesn't converge.
eps=self.back_eps,
)
dx, du, _ = _mpc(dx_init, mpc.QuadCost(C, -r), mpc.LinDx(F, None))
dx, du = dx.data, du.data
dxu = torch.cat((dx, du), 2)
xu = torch.cat((new_x, new_u), 2)
dC = torch.zeros_like(C)
for t in range(self.T):
xut = torch.cat((new_x[t], new_u[t]), 1)
dxut = dxu[t]
dCt = -0.5 * (util.bger(dxut, xut) + util.bger(xut, dxut))
dC[t] = dCt
dc = -dxu
lams = []
prev_lam = None
for t in range(self.T - 1, -1, -1):
Ct_xx = C[t, :, :self.n_state, :self.n_state]
Ct_xu = C[t, :, :self.n_state, self.n_state:]
ct_x = c[t, :, :self.n_state]
xt = new_x[t]
ut = new_u[t]
lamt = util.bmv(Ct_xx, xt) + util.bmv(Ct_xu, ut) + ct_x
if prev_lam is not None:
Fxt = F[t, :, :, :self.n_state].transpose(1, 2)
lamt += util.bmv(Fxt, prev_lam)
lams.append(lamt)
prev_lam = lamt
lams = list(reversed(lams))
dlams = []
prev_dlam = None
for t in range(self.T - 1, -1, -1):
dCt_xx = C[t, :, :self.n_state, :self.n_state]
dCt_xu = C[t, :, :self.n_state, self.n_state:]
drt_x = -r[t, :, :self.n_state]
dxt = dx[t]
dut = du[t]
dlamt = util.bmv(dCt_xx, dxt) + util.bmv(dCt_xu, dut) + drt_x
if prev_dlam is not None:
Fxt = F[t, :, :, :self.n_state].transpose(1, 2)
dlamt += util.bmv(Fxt, prev_dlam)
dlams.append(dlamt)
prev_dlam = dlamt
dlams = torch.stack(list(reversed(dlams)))
dF = torch.zeros_like(F)
for t in range(self.T - 1):
xut = xu[t]
lamt = lams[t + 1]
dxut = dxu[t]
dlamt = dlams[t + 1]
dF[t] = -(util.bger(dlamt, xut) + util.bger(lamt, dxut))
if f.nelement() > 0:
_dlams = dlams[1:]
assert _dlams.shape == f.shape
df = -_dlams
else:
df = torch.Tensor()
dx_init = -dlams[0]
self.backward_time = time.time() - start
return dx_init, dC, dc, dF, df
def pnqp(H, q, lower, upper, x_init=None, n_iter=20):
GAMMA = 0.1
n_batch, n, _ = H.size()
pnqp_I = 1e-11 * torch.eye(n).type_as(H).expand_as(H)
def obj(x):
return 0.5 * util.bquad(x, H) + util.bdot(q, x)
if x_init is None:
if n == 1:
x_init = -(1. / H.squeeze(2)) * q
else:
# H_lu = H.btrifact() # XXX deprecated!!!
H_lu = torch.lu(H)
x_init = -q.btrisolve(H_lu[0],
H_lu[1]) # Clamped in the x assignment.
else:
x_init = x_init.clone() # Don't over-write the original x_init.
x = util.eclamp(x_init, lower, upper)
# Active examples in the batch.
J = torch.ones(n_batch).type_as(x).byte()
for i in range(n_iter):
g = util.bmv(H, x) + q
Ic = ((x == lower) & (g > 0)) | ((x == upper) & (g < 0))
If = 1 - Ic
if If.is_cuda:
Hff_I = util.bger(If.float(), If.float()).type_as(If)
not_Hff_I = 1 - Hff_I
Hfc_I = util.bger(If.float(), Ic.float()).type_as(If)
else:
Hff_I = util.bger(If, If)
not_Hff_I = 1 - Hff_I
Hfc_I = util.bger(If, Ic)
g_ = g.clone()
g_[Ic] = 0.
H_ = H.clone()
H_[not_Hff_I] = 0.0
H_ += pnqp_I
if n == 1:
dx = -(1. / H_.squeeze(2)) * g_
else:
# H_lu_ = H_.btrifact() # XXX deprecated!!!
H_lu_ = torch.lu(H)
dx = -g_.btrisolve(*H_lu_)
J = torch.norm(dx, 2, 1) >= 1e-4
m = J.sum().item() # Number of active examples in the batch.
if m == 0:
return x, H_ if n == 1 else H_lu_, If, i
alpha = torch.ones(n_batch).type_as(x)
decay = 0.1
max_armijo = GAMMA
count = 0
while max_armijo <= GAMMA and count < 10:
# Crude way of making sure too much time isn't being spent
# doing the line search.
# assert count < 10
maybe_x = util.eclamp(x + torch.diag(alpha).mm(dx), lower, upper)
armijos = (GAMMA + 1e-6) * torch.ones(n_batch).type_as(x)
armijos[J] = (obj(x) - obj(maybe_x))[J] / util.bdot(
g, x - maybe_x)[J]
I = armijos <= GAMMA
alpha[I] *= decay
max_armijo = torch.max(armijos)
count += 1
x = maybe_x
# TODO: Maybe change this to a warning.
print("[WARNING] pnqp warning: Did not converge")
return x, H_ if n == 1 else H_lu_, If, i
def linearize_dynamics(self, x, u, dynamics, diff):
# TODO: Cleanup variable usage.
n_batch = x[0].size(0)
if self.grad_method == GradMethods.ANALYTIC:
_u = Variable(u[:-1].view(-1, self.n_ctrl), requires_grad=True)
_x = Variable(x[:-1].contiguous().view(-1, self.n_state),
requires_grad=True)
# This inefficiently calls dynamics again, but is worth it because
# we can efficiently compute grad_input for every time step at once.
_new_x = dynamics(_x, _u)
# This check is a little expensive and should only be done if
# modifying this code.
# assert torch.abs(_new_x.data - torch.cat(x[1:])).max() <= 1e-6
if not diff:
_new_x = _new_x.data
_x = _x.data
_u = _u.data
R, S = dynamics.grad_input(_x, _u)
f = _new_x - util.bmv(R, _x) - util.bmv(S, _u)
f = f.view(self.T - 1, n_batch, self.n_state)
R = R.contiguous().view(self.T - 1, n_batch, self.n_state,
self.n_state)
S = S.contiguous().view(self.T - 1, n_batch, self.n_state,
self.n_ctrl)
F = torch.cat((R, S), 3)
if not diff:
F, f = list(map(Variable, [F, f]))
return F, f
else:
# TODO: This is inefficient and confusing.
x_init = x[0]
x = [x_init]
F, f = [], []
for t in range(self.T):
if t < self.T - 1:
xt = Variable(x[t], requires_grad=True)
ut = Variable(u[t], requires_grad=True)
xut = torch.cat((xt, ut), 1)
new_x = dynamics(xt, ut)
# Linear dynamics approximation.
if self.grad_method in [
GradMethods.AUTO_DIFF, GradMethods.ANALYTIC_CHECK
]:
Rt, St = [], []
for j in range(self.n_state):
Rj, Sj = torch.autograd.grad(new_x[:, j].sum(),
[xt, ut],
retain_graph=True)
if not diff:
Rj, Sj = Rj.data, Sj.data
Rt.append(Rj)
St.append(Sj)
Rt = torch.stack(Rt, dim=1)
St = torch.stack(St, dim=1)
if self.grad_method == GradMethods.ANALYTIC_CHECK:
assert False # Not updated
Rt_autograd, St_autograd = Rt, St
Rt, St = dynamics.grad_input(xt, ut)
eps = 1e-8
if torch.max(torch.abs(Rt - Rt_autograd)).data[0] > eps or \
torch.max(torch.abs(St - St_autograd)).data[0] > eps:
print('''
nmpc.ANALYTIC_CHECK error: The analytic derivative of the dynamics function may be off.
''')
else:
print('''
nmpc.ANALYTIC_CHECK: The analytic derivative of the dynamics function seems correct.
Re-run with GradMethods.ANALYTIC to continue.
''')
sys.exit(0)
elif self.grad_method == GradMethods.FINITE_DIFF:
Rt, St = [], []
for i in range(n_batch):
Ri = util.jacobian(lambda s: dynamics(s, ut[i]),
xt[i], 1e-4)
Si = util.jacobian(lambda a: dynamics(xt[i], a),
ut[i], 1e-4)
if not diff:
Ri, Si = Ri.data, Si.data
Rt.append(Ri)
St.append(Si)
Rt = torch.stack(Rt)
St = torch.stack(St)
else:
assert False
Ft = torch.cat((Rt, St), 2)
F.append(Ft)
if not diff:
xt, ut, new_x = xt.data, ut.data, new_x.data
ft = new_x - util.bmv(Rt, xt) - util.bmv(St, ut)
f.append(ft)
if t < self.T - 1:
x.append(util.detach_maybe(new_x))
F = torch.stack(F, 0)
f = torch.stack(f, 0)
if not diff:
F, f = list(map(Variable, [F, f]))
return F, f
def backward(self):
""" LQR backward recursion
Note: Ks ks is reversed version fo original
:return: Ks, ks gain
"""
Ks = []
ks = []
Vt = None
vt = None
# self.T-1 to 0 loop
for t in range(self.T - 1, -1, -1):
# initial case
if t == self.T - 1:
Qt = self.C[t]
qt = self.c[t]
else:
Ft = self.F[t]
Ft_T = F.transpose(Ft, axes=(0, 2, 1))
assert Ft.dtype.kind == 'f', "Ft dtype"
assert Vt.dtype.kind == 'f', "Vt dtype"
Qt = self.C[t] + F.matmul(F.matmul(Ft_T, Vt), Ft)
if self.f is None:
# NOTE f.nelement() == 0 condition ?
qt = self.c[t] + bmv(Ft_T, vt)
else:
# f is not none
ft = self.f[t]
qt = self.c[t] + bmv(F.matmul(Ft_T, Vt), ft) + bmv(Ft_T, vt)
assert list(qt.shape) == [self.n_batch, self.n_sc], "qt dim mismatch"
assert list(Qt.shape) == [self.n_batch, self.n_sc, self.n_sc], str(Qt.shape) + " Qt dim mismatch"
Qt_xx = Qt[:, :self.n_state, :self.n_state]
Qt_xu = Qt[:, :self.n_state, self.n_state:]
Qt_ux = Qt[:, self.n_state:, :self.n_state]
Qt_uu = Qt[:, self.n_state:, self.n_state:]
qt_x = qt[:, :self.n_state]
qt_u = qt[:, self.n_state:]
assert list(Qt_uu.shape) == [self.n_batch, self.n_ctrl, self.n_ctrl], "Qt_uu dim mismatch"
assert list(Qt_ux.shape) == [self.n_batch, self.n_ctrl, self.n_state], "Qt_ux dim mismatch"
assert list(Qt_xu.shape) == [self.n_batch, self.n_state, self.n_ctrl], "Qt_xu dim mismatch"
assert list(qt_x.shape) == [self.n_batch, self.n_state], "qt_x dim mismatch"
assert list(qt_u.shape) == [self.n_batch, self.n_ctrl], "qt_u dim mismatch"
# Next calculate Kt and kt
# TODO LU decomposition
if self.n_ctrl == 1 and self.u_zero_Index is None:
# scalar
Kt = - (1. / Qt_uu) * Qt_ux
kt = - (1. / F.squeeze(Qt_uu, axis=2)) * qt_u
elif self.u_zero_Index is None:
# matrix
Qt_uu_inv = F.batch_inv(Qt_uu)
Kt = - F.matmul(Qt_uu_inv, Qt_ux)
kt = - bmv(Qt_uu_inv, qt_u)
else:
# u_zero_index is not none
index = self.u_zero_Index[t]
qt_u_ = copy.deepcopy(qt_u)
qt_u_ = F.where(index, self.xp.zeros_like(qt_u_.array), qt_u_)
Qt_uu_ = copy.deepcopy(Qt_uu)
notI = 1.0 - F.cast(index, qt_u_.dtype)
Qt_uu_I = 1 - bger(notI, notI)
Qt_uu_I = F.cast(Qt_uu_I, 'bool')
Qt_uu_ = F.where(Qt_uu_I, self.xp.zeros_like(Qt_uu_.array), Qt_uu_)
index_qt_uu = self.xp.array([self.xp.diagflat(index[i]) for i in range(index.shape[0])])
Qt_uu_ = F.where(F.cast(index_qt_uu, 'bool'), Qt_uu + 1e-8, Qt_uu)
Qt_ux_ = copy.deepcopy(Qt_ux)
index_qt_ux = F.repeat(F.expand_dims(index, axis=2), Qt_ux.shape[2], axis=2)
Qt_ux_ = F.where(index_qt_ux, self.xp.zeros_like(Qt_ux_.array), Qt_ux)
# print("qt_u_", qt_u_)
# print("Qt_uu_", Qt_uu_)
# print("Qt_ux_", Qt_ux_)
if self.n_ctrl == 1:
Kt = - (1. / Qt_uu_) * Qt_ux_ # NOTE different from original
kt = - (1. / F.squeeze(Qt_uu_, axis=2)) * qt_u_
else:
Qt_uu_LU_ = batch_lu_factor(Qt_uu_)
Kt = - batch_lu_solve(Qt_uu_LU_, Qt_ux_)
kt = - batch_lu_solve(Qt_uu_LU_, qt_u_)
assert list(Kt.shape) == [self.n_batch, self.n_ctrl, self.n_state], "Kt dim mismatch"
assert list(kt.shape) == [self.n_batch, self.n_ctrl], "kt dim mismatch"
Kt_T = F.transpose(Kt, axes=(0, 2, 1))
Ks.append(Kt)
ks.append(kt)
Vt = Qt_xx + F.matmul(Qt_xu, Kt) + F.matmul(Kt_T, Qt_ux) + F.matmul(F.matmul(Kt_T, Qt_uu), Kt)
vt = qt_x + bmv(Qt_xu, kt) + bmv(Kt_T, qt_u) + bmv(F.matmul(Kt_T, Qt_uu), kt)
assert len(Ks) == self.T, "Ks length error"
Ks.reverse()
ks.reverse()
return Ks, ks
