Ejemplo n.º 1
0
def scipy_slsqp_sparse(prb_map12_init, y_dm1, x_dm2, cs_idxs, max_nfe=50000, vis=False):
    
    
    
    #test the gradient
    from scipy.optimize import check_grad
    err = check_grad(f_1D_slsqp_sparse, gradient_f_1D_slsqp_sparse, prb_map12_init.flatten(), y_dm1, x_dm2, cs_idxs) #correct
    

    print 'Check grad: ', err, err1
    stop
    
    
    
    from scipy.optimize import minimize, fmin_slsqp
    size1 = np.shape(y_dm1)[0]
    size2 = np.shape(x_dm2)[0]
    
    bnds = create_bounds_sparse(size1,size2, cs_idxs)
    cons = create_constrains(size1)
    #stop
    
    t0 = cpu_time()  
    
    
    #bounds and constrains
    #if vis:
    #    print 'Optimizing based on slsqp with bounds and constrains'
    #res = minimize(f_1D_slsqp, prb_map12_init.flatten(),args=(y_dm1, x_dm2), method='SLSQP', bounds=bnds,
    #            constraints = cons, options = ({'maxiter' : max_nfe, 'disp': True}))
    if vis:
        print 'Optimizing based on slsqp with bounds and constrains. Also gradient is provided'
        
    
    res = minimize(f_1D_slsqp_sparse, prb_map12_init.flatten(), args=(y_dm1, x_dm2, cs_idxs), 
                   method='SLSQP', 
                   jac = gradient_f_1D_slsqp_sparse,
                   bounds=bnds, 
                   constraints = cons, 
                   callback = inter_loss,
                   options = ({'maxiter' : max_nfe, 'disp': True}))                   
    
    t_opt = cpu_time() - t0
    
    plsq = res.x
    
    prb_map12 = np.reshape(plsq,(size1,-1))    
   
    
    #print 'Number of iteration', res.nit
    #print 'Final value of object func:', res.fun    
    #print 'Exit mode', res.status, res.message
    
    
    if vis:        
        #print plsq        
        #print 'Probability mapping: ',  prb_map12  
        begin_err = f_1D_slsqp(prb_map12_init.flatten(), y_dm1, x_dm2)
        print 'Loss function before optimizing: ', begin_err
        final_err = f_1D_slsqp(plsq, y_dm1, x_dm2)
        print 'Loss function after optimizing: ', final_err 
        print 'Optimizing cpu time: ', t_opt    
       
        
    return t_opt, prb_map12