def test_reparametrize_to_internal(params, expected_internal, category):
constr = constraints(params)
cols = ["value", "lower", "upper"]
calculated = reparametrize_to_internal(params, constr, None)
assert_frame_equal(calculated.loc[category, cols],
expected_internal.loc[category, cols])
def test_reparametrize_to_internal(params, expected_internal, category):
constr = constraints(params)
cols = ["value", "lower", "upper"]
with warnings.catch_warnings():
warnings.filterwarnings(
"ignore",
message="indexing past lexsort depth may impact performance.")
calculated = reparametrize_to_internal(params, constr)
assert_frame_equal(calculated.loc[category, cols],
expected_internal.loc[category, cols])
def _back_and_forth_transformation_and_assert(params, constraints):
pc, pp = process_constraints(constraints, params)
internal = reparametrize_to_internal(pp, pc)
external = reparametrize_from_internal(
internal=internal,
fixed_values=pp["_internal_fixed_value"].to_numpy(),
pre_replacements=pp["_pre_replacements"].to_numpy(),
processed_constraints=pc,
post_replacements=pp["_post_replacements"].to_numpy(),
processed_params=pp,
)
assert_series_equal(external["value"], params["value"])
return internal, external
def _single_minimize(
criterion,
params,
algorithm,
criterion_kwargs,
constraints,
general_options,
algo_options,
gradient,
gradient_options,
logging,
log_options,
dashboard,
db_options,
):
"""Minimize * criterion * using * algorithm * subject to * constraints * and bounds.
Only one minimization.
Args:
criterion (function):
Python function that takes a pandas DataFrame with parameters as the first
argument and returns a scalar floating point value.
params (pd.DataFrame):
See :ref:`params`.
algorithm (str):
specifies the optimization algorithm. See :ref:`list_of_algorithms`.
criterion_kwargs (dict):
additional keyword arguments for criterion
constraints (list):
list with constraint dictionaries. See for details.
general_options (dict):
additional configurations for the optimization
algo_options (dict):
algorithm specific configurations for the optimization
gradient (callable or None):
Gradient function.
gradient_options (dict):
Options for the gradient function.
logging (str or pathlib.Path): Path to an sqlite3 file which typically has the
file extension ``.db``. If the file does not exist, it will be created. See
:ref:`logging` for details.
log_options (dict): Keyword arguments to influence the logging. See
:ref:`logging` for details.
dashboard (bool):
whether to create and show a dashboard
db_options (dict):
dictionary with kwargs to be supplied to the run_server function.
"""
simplefilter(action="ignore", category=pd.errors.PerformanceWarning)
params = _process_params(params)
# Apply decorator two handle criterion functions with one or two returns.
criterion = expand_criterion_output(criterion)
is_maximization = general_options.pop("_maximization", False)
criterion = negative_criterion(criterion) if is_maximization else criterion
fitness_factor = -1 if is_maximization else 1
criterion_out, comparison_plot_data = criterion(params, **criterion_kwargs)
if np.isscalar(criterion_out):
fitness_eval = fitness_factor * criterion_out
else:
fitness_eval = fitness_factor * np.mean(np.square(criterion_out))
if np.any(np.isnan(fitness_eval)):
raise ValueError(
"The criterion function evaluated at the start parameters returns NaNs."
)
database = (prepare_database(logging, params, comparison_plot_data,
log_options) if logging else False)
general_options["start_criterion_value"] = fitness_eval
constraints, params = process_constraints(constraints, params)
internal_params = reparametrize_to_internal(params, constraints)
queue = Queue() if dashboard else None
if dashboard:
stop_signal = Event()
outer_server_process = Process(
target=run_server,
kwargs={
"queue": queue,
"db_options": db_options,
"start_param_df": params,
"start_fitness": fitness_eval,
"stop_signal": stop_signal,
},
daemon=False,
)
outer_server_process.start()
result, params = _internal_minimize(
criterion=criterion,
criterion_kwargs=criterion_kwargs,
params=params,
internal_params=internal_params,
constraints=constraints,
algorithm=algorithm,
algo_options=algo_options,
gradient=gradient,
gradient_options=gradient_options,
general_options=general_options,
database=database,
queue=queue,
fitness_factor=fitness_factor,
)
if dashboard:
stop_signal.set()
outer_server_process.terminate()
return result, params
def minimize(
criterion,
params,
algorithm,
criterion_args=None,
criterion_kwargs=None,
constraints=None,
general_options=None,
algo_options=None,
dashboard=False,
db_options=None,
):
"""Minimize *criterion* using *algorithm* subject to *constraints* and bounds.
Args:
criterion (function):
Python function that takes a pandas Series with parameters as the first
argument and returns a scalar floating point value.
params (pd.DataFrame):
See :ref:`params`.
algorithm (str):
specifies the optimization algorithm. See :ref:`list_of_algorithms`.
criterion_args (list or tuple):
additional positional arguments for criterion
criterion_kwargs (dict):
additional keyword arguments for criterion
constraints (list):
list with constraint dictionaries. See for details.
general_options (dict):
additional configurations for the optimization
algo_options (dict):
algorithm specific configurations for the optimization
dashboard (bool):
whether to create and show a dashboard
db_options (dict):
dictionary with kwargs to be supplied to the run_server function.
"""
# set default arguments
criterion_args = [] if criterion_args is None else criterion_args
criterion_kwargs = {} if criterion_kwargs is None else criterion_kwargs
constraints = [] if constraints is None else constraints
general_options = {} if general_options is None else general_options
algo_options = {} if algo_options is None else algo_options
db_options = {} if db_options is None else db_options
params = _process_params(params)
fitness_eval = criterion(params, *criterion_args, **criterion_kwargs)
constraints = process_constraints(constraints, params)
internal_params = reparametrize_to_internal(params, constraints)
queue = Queue() if dashboard else None
if dashboard:
stop_signal = Event()
outer_server_process = Process(
target=run_server,
kwargs={
"queue": queue,
"db_options": db_options,
"start_param_df": params,
"start_fitness": fitness_eval,
"stop_signal": stop_signal,
},
daemon=False,
)
outer_server_process.start()
result, timing_info = _minimize(
criterion=criterion,
criterion_args=criterion_args,
criterion_kwargs=criterion_kwargs,
params=params,
internal_params=internal_params,
constraints=constraints,
algorithm=algorithm,
algo_options=algo_options,
general_options=general_options,
queue=queue,
)
if dashboard:
stop_signal.set()
outer_server_process.terminate()
return result, timing_info
def _x_from_params(params, constraints):
return reparametrize_to_internal(params, constraints)["value"].to_numpy()
def _single_optimize(
direction,
criterion,
criterion_kwargs,
params,
algorithm,
constraints,
algo_options,
derivative,
derivative_kwargs,
criterion_and_derivative,
criterion_and_derivative_kwargs,
numdiff_options,
logging,
log_options,
error_handling,
error_penalty,
cache_size,
):
"""Minimize or maximize *criterion* using *algorithm* subject to *constraints*.
See the docstring of ``optimize`` for an explanation of all arguments.
Returns:
dict: The optimization result.
"""
# store all arguments in a dictionary to save them in the database later
problem_data = {
"direction": direction,
# "criterion"-criterion,
"criterion_kwargs": criterion_kwargs,
"algorithm": algorithm,
"constraints": constraints,
"algo_options": algo_options,
# "derivative"-derivative,
"derivative_kwargs": derivative_kwargs,
# "criterion_and_derivative"-criterion_and_derivative,
"criterion_and_derivative_kwargs": criterion_and_derivative_kwargs,
"numdiff_options": numdiff_options,
"logging": logging,
"log_options": log_options,
"error_handling": error_handling,
"error_penalty": error_penalty,
"cache_size": int(cache_size),
}
# partial the kwargs into corresponding functions
criterion = functools.partial(criterion, **criterion_kwargs)
if derivative is not None:
derivative = functools.partial(derivative, **derivative_kwargs)
if criterion_and_derivative is not None:
criterion_and_derivative = functools.partial(
criterion_and_derivative, **criterion_and_derivative_kwargs)
# process params and constraints
params = process_bounds(params)
for col in ["value", "lower_bound", "upper_bound"]:
params[col] = params[col].astype(float)
_check_params(params)
processed_constraints, processed_params = process_constraints(
constraints, params)
# name and group column are needed in the dashboard but could lead to problems
# if present anywhere else
params_with_name_and_group = _add_name_and_group_columns_to_params(params)
problem_data["params"] = params_with_name_and_group
# get internal parameters and bounds
x = reparametrize_to_internal(
params["value"].to_numpy(),
processed_params["_internal_free"].to_numpy(),
processed_constraints,
)
free = processed_params.query("_internal_free")
lower_bounds = free["_internal_lower"].to_numpy()
upper_bounds = free["_internal_upper"].to_numpy()
# process algorithm and algo_options
if isinstance(algorithm, str):
algo_name = algorithm
else:
algo_name = getattr(algorithm, "name", "your algorithm")
if isinstance(algorithm, str):
try:
algorithm = AVAILABLE_ALGORITHMS[algorithm]
except KeyError:
proposed = propose_algorithms(algorithm,
list(AVAILABLE_ALGORITHMS))
raise ValueError(
f"Invalid algorithm: {algorithm}. Did you mean {proposed}?")
algo_options = _adjust_options_to_algorithms(algo_options, lower_bounds,
upper_bounds, algorithm,
algo_name)
# get partialed reparametrize from internal
pre_replacements = processed_params["_pre_replacements"].to_numpy()
post_replacements = processed_params["_post_replacements"].to_numpy()
fixed_values = processed_params["_internal_fixed_value"].to_numpy()
partialed_reparametrize_from_internal = functools.partial(
reparametrize_from_internal,
fixed_values=fixed_values,
pre_replacements=pre_replacements,
processed_constraints=processed_constraints,
post_replacements=post_replacements,
)
# get convert derivative
pre_replace_jac = pre_replace_jacobian(pre_replacements=pre_replacements,
dim_in=len(x))
post_replace_jac = post_replace_jacobian(
post_replacements=post_replacements)
convert_derivative = functools.partial(
convert_external_derivative_to_internal,
fixed_values=fixed_values,
pre_replacements=pre_replacements,
processed_constraints=processed_constraints,
pre_replace_jac=pre_replace_jac,
post_replace_jac=post_replace_jac,
)
# do first function evaluation
first_eval = {
"internal_params": x,
"external_params": params,
"output": criterion(params),
}
# fill numdiff_options with defaults
numdiff_options = _fill_numdiff_options_with_defaults(
numdiff_options, lower_bounds, upper_bounds)
# create and initialize the database
if not logging:
database = False
else:
database = _create_and_initialize_database(logging, log_options,
first_eval, problem_data)
# set default error penalty
error_penalty = _fill_error_penalty_with_defaults(error_penalty,
first_eval, direction)
# create cache
x_hash = hash_array(x)
cache = {x_hash: {"criterion": first_eval["output"]}}
# partial the internal_criterion_and_derivative_template
internal_criterion_and_derivative = functools.partial(
internal_criterion_and_derivative_template,
direction=direction,
criterion=criterion,
params=params,
reparametrize_from_internal=partialed_reparametrize_from_internal,
convert_derivative=convert_derivative,
derivative=derivative,
criterion_and_derivative=criterion_and_derivative,
numdiff_options=numdiff_options,
database=database,
database_path=logging,
log_options=log_options,
error_handling=error_handling,
error_penalty=error_penalty,
first_criterion_evaluation=first_eval,
cache=cache,
cache_size=cache_size,
)
res = algorithm(internal_criterion_and_derivative, x, **algo_options)
p = params.copy()
p["value"] = partialed_reparametrize_from_internal(res["solution_x"])
res["solution_params"] = p
if "solution_criterion" not in res:
res["solution_criterion"] = criterion(p)
# in the long run we can get some of those from the database if logging was used.
optional_entries = [
"solution_derivative",
"solution_hessian",
"n_criterion_evaluations",
"n_derivative_evaluations",
"n_iterations",
"success",
"reached_convergence_criterion",
"message",
]
for entry in optional_entries:
res[entry] = res.get(entry, f"Not reported by {algo_name}")
if logging:
_log_final_status(res, database, logging, log_options)
return res
@pytest.mark.parametrize("case, number", to_test)
def test_reparametrize_to_internal(example_params, all_constraints, case,
number):
constraints = all_constraints[case]
params = reduce_params(example_params, constraints)
params["value"] = params[f"value{number}"]
keep = params[f"internal_value{number}"].notnull()
expected_internal_values = params[f"internal_value{number}"][keep]
expected_internal_lower = params["internal_lower"]
expected_internal_upper = params["internal_upper"]
pc, pp = process_constraints(constraints, params)
calculated_internal_values = reparametrize_to_internal(pp, pc)
calculated_internal_lower = pp["_internal_lower"]
calculated_internal_upper = pp["_internal_upper"]
aaae(calculated_internal_values, expected_internal_values)
aaae(calculated_internal_lower, expected_internal_lower)
aaae(calculated_internal_upper, expected_internal_upper)
@pytest.mark.parametrize("case, number", to_test)
def test_reparametrize_from_internal(example_params, all_constraints, case,
number):
constraints = all_constraints[case]
params = reduce_params(example_params, constraints)
params["value"] = params[f"value{number}"]
def transform_problem(
criterion,
params,
algorithm,
criterion_kwargs,
constraints,
general_options,
algo_options,
gradient,
gradient_kwargs,
gradient_options,
logging,
log_options,
dashboard,
dash_options,
):
"""Transform the user supplied problem.
The transformed optimization problem is converted from the original problem
which consists of the user supplied criterion, params DataFrame, criterion_kwargs,
constraints and gradient (if supplied).
In addition, the transformed optimization problem provides sophisticated logging
tools if activated by the user.
The transformed problem can be solved by almost any optimizer package:
1. The only constraints are bounds on the parameters.
2. The internal_criterion function takes an one dimensional np.array as input.
3. The internal criterion function returns a scalar value
(except for the case of the tao_pounders algorithm).
Note that because of the reparametrizations done by estimagic to implement
constraints on behalf of the user the internal params cannot be interpreted without
reparametrizing it to the full params DataFrame.
Args:
criterion (callable or list of callables): Python function that takes a pandas
DataFrame with parameters as the first argument. Supported outputs are:
- scalar floating point
- np.ndarray: contributions for the tao Pounders algorithm.
- tuple of a scalar floating point and a pd.DataFrame:
In this case the first output is the criterion value.
The second output are the comparison_plot_data.
See :ref:`comparison_plot`.
.. warning::
This feature is not implemented in the dashboard yet.
params (pd.DataFrame or list of pd.DataFrames): See :ref:`params`.
algorithm (str or list of strings): Name of the optimization algorithm.
See :ref:`list_of_algorithms`.
criterion_kwargs (dict or list of dict): Additional criterion keyword arguments.
constraints (list or list of lists): List with constraint dictionaries.
See :ref:`constraints` for details.
general_options (dict): Additional configurations for the optimization.
Keys can include:
- keep_dashboard_alive (bool): if True and dashboard is True the process
in which the dashboard is run is not terminated when maximize or
minimize finish.
algo_options (dict or list of dicts): Algorithm specific configurations.
gradient_options (dict): Options for the gradient function.
gradient_kwargs (dict): Additional keyword arguments for the gradient.
logging (str or pathlib.Path or list thereof): Path to an sqlite3 file which
typically has the file extension ``.db``. If the file does not exist,
it will be created. See :ref:`logging` for details.
log_options (dict or list of dict): Keyword arguments to influence the logging.
See :ref:`logging` for details.
dashboard (bool): Whether to create and show a dashboard, default is False.
See :ref:`dashboard` for details.
dash_options (dict or list of dict, optional): Options passed to the dashboard.
Supported keys are:
- port (int): port where to display the dashboard
- no_browser (bool): whether to display the dashboard in a browser
- rollover (int): how many iterations to keep in the monitoring plots
Returns:
optim_kwargs (dict): Dictionary collecting all arguments that are going to be
passed to _internal_minimize.
database_path (str or pathlib.Path or None): Path to the database.
result_kwargs (dict): Arguments needed to reparametrize back from the internal
paramater array to the params DataFrame of the user supplied problem.
In addition it contains whether the dashboard process should be kept alive
after the optimization(s) terminate(s).
"""
optim_kwargs, params, dash_options, database_path = _pre_process_arguments(
params=params,
algorithm=algorithm,
algo_options=algo_options,
logging=logging,
dashboard=dashboard,
dash_options=dash_options,
)
# harmonize criterion interface
is_maximization = general_options.pop("_maximization", False)
criterion = expand_criterion_output(criterion)
criterion = negative_criterion(criterion) if is_maximization else criterion
# first criterion evaluation for the database and the pounders algorithm
fitness_eval, comparison_plot_data, raw_result = _evaluate_criterion(
criterion=criterion, params=params, criterion_kwargs=criterion_kwargs)
general_options = general_options.copy()
general_options["_start_criterion_value"] = raw_result
general_options["start_criterion_value"] = fitness_eval
with warnings.catch_warnings():
warnings.simplefilter(action="ignore",
category=pd.errors.PerformanceWarning)
# transform the user supplied inputs into the internal inputs.
constraints, params = process_constraints(constraints, params)
internal_params = reparametrize_to_internal(params, constraints)
bounds = _get_internal_bounds(params)
# setup the database to pass it to the internal functions for logging
if logging:
database = prepare_database(
path=logging,
params=params,
comparison_plot_data=comparison_plot_data,
dash_options=dash_options,
constraints=constraints,
**log_options,
)
else:
database = False
# transform the user supplied criterion and gradient function into their
# internal counterparts that use internal inputs.
# this must be passed to _create_internal_criterion because the internal
# gradient creates its own internal criterion function whose calls are
# logged differently by the database.
logging_decorator = functools.partial(
log_evaluation,
database=database,
tables=[
"params_history", "criterion_history", "comparison_plot",
"timestamps"
],
)
internal_criterion = _create_internal_criterion(
criterion=criterion,
params=params,
constraints=constraints,
criterion_kwargs=criterion_kwargs,
logging_decorator=logging_decorator,
general_options=general_options,
database=database,
)
internal_gradient = _create_internal_gradient(
gradient=gradient,
gradient_kwargs=gradient_kwargs,
gradient_options=gradient_options,
criterion=criterion,
params=params,
constraints=constraints,
criterion_kwargs=criterion_kwargs,
general_options=general_options,
database=database,
)
internal_kwargs = {
"internal_criterion": internal_criterion,
"internal_params": internal_params,
"bounds": bounds,
"internal_gradient": internal_gradient,
"database": database,
"general_options": general_options,
}
optim_kwargs.update(internal_kwargs)
result_kwargs = {
"params": params,
"constraints": constraints,
"keep_dashboard_alive": general_options.pop("keep_dashboard_alive",
False),
}
return optim_kwargs, database_path, result_kwargs
raise NotImplementedError()
if hessian is not None:
raise NotImplementedError()
# calculate internal covariance matrix
loglike = functools.partial(loglike, **loglike_kwargs)
internal_loglike = numpy_interface(loglike,
params=params,
constraints=constraints)
processed_constraints, processed_params = process_constraints(
constraints, params)
internal_params = reparametrize_to_internal(
external=params["value"].to_numpy(),
internal_free=processed_params["_internal_free"],
processed_constraints=processed_constraints,
)
if cov_type == "jacobian":
numdiff_options = numdiff_options.copy()
numdiff_options["key"] = "contributions"
internal_jac = first_derivative(
internal_loglike,
internal_params,
**numdiff_options,
)
internal_cov = cov_jacobian(internal_jac)
else:
raise NotImplementedError(
def test_reparametrize_to_internal(params, expected_internal, col):
calculated = reparametrize_to_internal(params, constraints(params))
assert_series_equal(calculated[col], expected_internal[col])
def transform_covariance(
params,
internal_cov,
constraints,
n_samples,
bounds_handling,
):
"""Transform the internal covariance matrix to an external one, given constraints.
Args:
params (pd.DataFrame): DataFrame where the "value" column contains estimated
parameters of a likelihood model. See :ref:`params` for details.
internal_cov (np.ndarray) with a covariance matrix of the internal parameter
vector. For background information about internal and external params
see :ref:`implementation_of_constraints`.
constraints (list): List with constraint dictionaries.
See .. _link: ../../docs/source/how_to_guides/how_to_use_constraints.ipynb
n_samples (int): Number of samples used to transform the covariance matrix of
the internal parameter vector into the covariance matrix of the external
parameters.
bounds_handling (str): One of "clip", "raise", "ignore". Determines how bounds
are handled. If "clip", confidence intervals are clipped at the bounds.
Standard errors are only adjusted if a sampling step is necessary due to
additional constraints. If "raise" and any lower or upper bound is binding,
we raise an error. If "ignore", boundary problems are simply ignored.
Returns:
pd.DataFrame: Quadratic DataFrame containing the covariance matrix of the free
parameters. If parameters were fixed (explicitly or by other constraints),
the index is a subset of params.index. The columns are the same as the
index.
"""
processed_constraints, processed_params = process_constraints(
constraints, params)
free_index = processed_params.query("_internal_free").index
if processed_constraints:
free = processed_params.loc[free_index]
is_free = processed_params["_internal_free"].to_numpy()
pre_replacements = processed_params["_pre_replacements"].to_numpy()
post_replacements = processed_params["_post_replacements"].to_numpy()
fixed_values = processed_params["_internal_fixed_value"].to_numpy()
lower_bounds = free["_internal_lower"]
upper_bounds = free["_internal_upper"]
internal_mean = reparametrize_to_internal(
external=params["value"].to_numpy(),
internal_free=is_free,
processed_constraints=processed_constraints,
)
sample = np.random.multivariate_normal(
mean=internal_mean,
cov=internal_cov,
size=n_samples,
)
transformed_free = []
for params_vec in sample:
if bounds_handling == "clip":
params_vec = np.clip(params_vec,
a_min=lower_bounds,
a_max=upper_bounds)
elif bounds_handling == "raise":
if (params_vec < lower_bounds).any() or (params_vec >
upper_bounds).any():
raise ValueError()
transformed = reparametrize_from_internal(
internal=params_vec,
fixed_values=fixed_values,
pre_replacements=pre_replacements,
processed_constraints=processed_constraints,
post_replacements=post_replacements,
)
transformed_free.append(transformed[is_free])
free_cov = np.cov(
np.array(transformed_free),
rowvar=False,
)
else:
free_cov = internal_cov
res = pd.DataFrame(data=free_cov, columns=free_index, index=free_index)
return res
@pytest.mark.parametrize("case, number", to_test)
def test_reparametrize_to_internal(example_params, all_constraints, case, number):
constraints = all_constraints[case]
params = reduce_params(example_params, constraints)
params["value"] = params[f"value{number}"]
keep = params[f"internal_value{number}"].notnull()
expected_internal_values = params[f"internal_value{number}"][keep]
expected_internal_lower = params["internal_lower"]
expected_internal_upper = params["internal_upper"]
pc, pp = process_constraints(constraints, params)
calculated_internal_values = reparametrize_to_internal(
pp["value"].to_numpy(), pp["_internal_free"].to_numpy(dtype=bool), pc
)
calculated_internal_lower = pp["_internal_lower"]
calculated_internal_upper = pp["_internal_upper"]
aaae(calculated_internal_values, expected_internal_values)
aaae(calculated_internal_lower, expected_internal_lower)
aaae(calculated_internal_upper, expected_internal_upper)
@pytest.mark.parametrize("case, number", to_test)
def test_reparametrize_from_internal(example_params, all_constraints, case, number):
constraints = all_constraints[case]
params = reduce_params(example_params, constraints)
params["value"] = params[f"value{number}"]
def minimize(
criterion,
params,
algorithm,
criterion_args=None,
criterion_kwargs=None,
constraints=None,
general_options=None,
algo_options=None,
dashboard=False,
db_options=None,
):
"""Minimize *criterion* using *algorithm* subject to *constraints* and bounds.
Args:
criterion (function):
Python function that takes a pandas Series with parameters as the first
argument and returns a scalar floating point value.
params (pd.DataFrame):
See :ref:`params`.
algorithm (str):
specifies the optimization algorithm. See :ref:`list_of_algorithms`.
criterion_args (list or tuple):
additional positional arguments for criterion
criterion_kwargs (dict):
additional keyword arguments for criterion
constraints (list):
list with constraint dictionaries. See for details.
general_options (dict):
additional configurations for the optimization
algo_options (dict):
algorithm specific configurations for the optimization
dashboard (bool):
whether to create and show a dashboard
db_options (dict):
dictionary with kwargs to be supplied to the run_server function.
"""
# set default arguments
criterion_args = [] if criterion_args is None else criterion_args
criterion_kwargs = {} if criterion_kwargs is None else criterion_kwargs
constraints = [] if constraints is None else constraints
general_options = {} if general_options is None else general_options
algo_options = {} if algo_options is None else algo_options
db_options = {} if db_options is None else db_options
params = _process_params_df(params)
fitness_eval = criterion(params["value"], *criterion_args,
**criterion_kwargs)
constraints = process_constraints(constraints, params)
internal_params = reparametrize_to_internal(params, constraints)
queue = Queue() if dashboard else None
start_signal = Queue() if dashboard else None
if dashboard:
# later only the parameter series can be supplied
# but for the setup of the dashboard we want the whole DataFrame
queue.put(
QueueEntry(params=params, fitness=fitness_eval,
still_running=True))
# To-Do: Don't hard code the port
server_thread = Thread(
target=run_server,
kwargs={
"queue": queue,
"port": 5039,
"db_options": db_options,
"start_signal": start_signal,
},
daemon=True,
)
server_thread.start()
if dashboard:
# wait for server_thread to give start signal
while start_signal.qsize() == 0:
sleep(0.01)
result = _minimize(
criterion=criterion,
criterion_args=criterion_args,
criterion_kwargs=criterion_kwargs,
params=params,
internal_params=internal_params,
constraints=constraints,
algorithm=algorithm,
algo_options=algo_options,
general_options=general_options,
queue=queue,
)
if dashboard:
queue.put(
QueueEntry(params=result[1],
fitness=result[0]["f"],
still_running=False))
return result
def _single_minimize(
criterion,
params,
algorithm,
criterion_kwargs,
constraints,
general_options,
algo_options,
dashboard,
db_options,
):
"""Minimize * criterion * using * algorithm * subject to * constraints * and bounds.
Only one minimization.
Args:
criterion (function):
Python function that takes a pandas DataFrame with parameters as the first
argument and returns a scalar floating point value.
params (pd.DataFrame):
See :ref:`params`.
algorithm (str):
specifies the optimization algorithm. See :ref:`list_of_algorithms`.
criterion_kwargs (dict):
additional keyword arguments for criterion
constraints (list):
list with constraint dictionaries. See for details.
general_options (dict):
additional configurations for the optimization
algo_options (dict):
algorithm specific configurations for the optimization
dashboard (bool):
whether to create and show a dashboard
db_options (dict):
dictionary with kwargs to be supplied to the run_server function.
"""
simplefilter(action="ignore", category=pd.errors.PerformanceWarning)
params = _process_params(params)
fitness_factor = -1 if general_options.get("_maximization", False) else 1
fitness_eval = fitness_factor * criterion(params, **criterion_kwargs)
constraints, params = process_constraints(constraints, params)
internal_params = reparametrize_to_internal(params, constraints)
queue = Queue() if dashboard else None
if dashboard:
stop_signal = Event()
outer_server_process = Process(
target=run_server,
kwargs={
"queue": queue,
"db_options": db_options,
"start_param_df": params,
"start_fitness": fitness_eval,
"stop_signal": stop_signal,
},
daemon=False,
)
outer_server_process.start()
result = _internal_minimize(
criterion=criterion,
criterion_kwargs=criterion_kwargs,
params=params,
internal_params=internal_params,
constraints=constraints,
algorithm=algorithm,
algo_options=algo_options,
general_options=general_options,
queue=queue,
fitness_factor=fitness_factor,
)
if dashboard:
stop_signal.set()
outer_server_process.terminate()
return result
def _x_from_params(params, constraints, scaling_factor):
return reparametrize_to_internal(params, constraints,
scaling_factor)["value"].to_numpy()
