def test_jacobian_finite_differences(jacobian_inputs, method):
expected_jac = jacobian_inputs.pop("expected_jac")
calculated_jac = jacobian(**jacobian_inputs, method=method)
aaae(calculated_jac, expected_jac)
def first_derivative(
func,
params,
func_kwargs=None,
method="central",
n_steps=1,
base_steps=None,
scaling_factor=1,
lower_bounds=None,
upper_bounds=None,
step_ratio=2,
min_steps=None,
f0=None,
n_cores=DEFAULT_N_CORES,
error_handling="continue",
batch_evaluator="joblib",
return_func_value=False,
return_info=True,
key=None,
):
"""Evaluate first derivative of func at params according to method and step options.
Internally, the function is converted such that it maps from a 1d array to a 1d
array. Then the Jacobian of that function is calculated. The resulting derivative
estimate is always a :class:`numpy.ndarray`.
The parameters and the function output can be pandas objects (Series or DataFrames
with value column). In that case the output of first_derivative is also a pandas
object and with appropriate index and columns.
Detailed description of all options that influence the step size as well as an
explanation of how steps are adjusted to bounds in case of a conflict,
see :func:`~estimagic.differentiation.generate_steps.generate_steps`.
Args:
func (callable): Function of which the derivative is calculated.
params (numpy.ndarray, pandas.Series or pandas.DataFrame): 1d numpy array or
:class:`pandas.DataFrame` with parameters at which the derivative is
calculated. If it is a DataFrame, it can contain the columns "lower_bound"
and "upper_bound" for bounds. See :ref:`params`.
func_kwargs (dict): Additional keyword arguments for func, optional.
method (str): One of ["central", "forward", "backward"], default "central".
n_steps (int): Number of steps needed. For central methods, this is
the number of steps per direction. It is 1 if no Richardson extrapolation
is used.
base_steps (numpy.ndarray, optional): 1d array of the same length as params.
base_steps * scaling_factor is the absolute value of the first (and possibly
only) step used in the finite differences approximation of the derivative.
If base_steps * scaling_factor conflicts with bounds, the actual steps will
be adjusted. If base_steps is not provided, it will be determined according
to a rule of thumb as long as this does not conflict with min_steps.
scaling_factor (numpy.ndarray or float): Scaling factor which is applied to
base_steps. If it is an numpy.ndarray, it needs to be as long as params.
scaling_factor is useful if you want to increase or decrease the base_step
relative to the rule-of-thumb or user provided base_step, for example to
benchmark the effect of the step size. Default 1.
lower_bounds (numpy.ndarray): 1d array with lower bounds for each parameter. If
params is a DataFrame and has the columns "lower_bound", this will be taken
as lower_bounds if now lower_bounds have been provided explicitly.
upper_bounds (numpy.ndarray): 1d array with upper bounds for each parameter. If
params is a DataFrame and has the columns "upper_bound", this will be taken
as upper_bounds if no upper_bounds have been provided explicitly.
step_ratio (float, numpy.array): Ratio between two consecutive Richardson
extrapolation steps in the same direction. default 2.0. Has to be larger
than one. The step ratio is only used if n_steps > 1.
min_steps (numpy.ndarray): Minimal possible step sizes that can be chosen to
accommodate bounds. Must have same length as params. By default min_steps is
equal to base_steps, i.e step size is not decreased beyond what is optimal
according to the rule of thumb.
f0 (numpy.ndarray): 1d numpy array with func(x), optional.
n_cores (int): Number of processes used to parallelize the function
evaluations. Default 1.
error_handling (str): One of "continue" (catch errors and continue to calculate
derivative estimates. In this case, some derivative estimates can be
missing but no errors are raised), "raise" (catch errors and continue
to calculate derivative estimates at fist but raise an error if all
evaluations for one parameter failed) and "raise_strict" (raise an error
as soon as a function evaluation fails).
batch_evaluator (str or callable): Name of a pre-implemented batch evaluator
(currently 'joblib' and 'pathos_mp') or Callable with the same interface
as the estimagic batch_evaluators.
return_func_value (bool): If True, return function value at params, stored in
output dict under "func_value". Default False. This is useful when using
first_derivative during optimization.
return_info (bool): If True, return additional information on function
evaluations and internal derivative candidates, stored in output dict under
"func_evals" and "derivative_candidates". Derivative candidates are only
returned if n_steps > 1. Default True.
key (str): If func returns a dictionary, take the derivative of
func(params)[key].
Returns:
result (dict): Result dictionary with keys:
- "derivative" (numpy.ndarray, pandas.Series or pandas.DataFrame): The
estimated first derivative of func at params. The shape of the output
depends on the dimension of params and func(params):
- f: R -> R leads to shape (1,), usually called derivative
- f: R^m -> R leads to shape (m, ), usually called Gradient
- f: R -> R^n leads to shape (n, 1), usually called Jacobian
- f: R^m -> R^n leads to shape (n, m), usually called Jacobian
- "func_value" (numpy.ndarray, pandas.Series or pandas.DataFrame): Function
value at params, returned if return_func_value is True.
- "func_evals" (pandas.DataFrame): Function evaluations produced by internal
derivative method, returned if return_info is True.
- "derivative_candidates" (pandas.DataFrame): Derivative candidates from
Richardson extrapolation, returned if return_info is True and n_steps >
1.
"""
lower_bounds, upper_bounds = _process_bounds(lower_bounds, upper_bounds,
params)
# handle keyword arguments
func_kwargs = {} if func_kwargs is None else func_kwargs
partialed_func = functools.partial(func, **func_kwargs)
# convert params to numpy, but keep label information
params_index = (params.index if isinstance(params, (pd.DataFrame,
pd.Series)) else None)
x = params["value"].to_numpy() if isinstance(params,
pd.DataFrame) else params
x = np.atleast_1d(x).astype(float)
if np.isnan(x).any():
raise ValueError("The parameter vector must not contain NaNs.")
# generate the step array
steps = generate_steps(
x=x,
method=method,
n_steps=n_steps,
target="first_derivative",
base_steps=base_steps,
scaling_factor=scaling_factor,
lower_bounds=lower_bounds,
upper_bounds=upper_bounds,
step_ratio=step_ratio,
min_steps=min_steps,
)
# generate parameter vectors at which func has to be evaluated as numpy arrays
evaluation_points = []
for step_arr in steps:
for i, j in product(range(n_steps), range(len(x))):
if np.isnan(step_arr[i, j]):
evaluation_points.append(np.nan)
else:
point = x.copy()
point[j] += step_arr[i, j]
evaluation_points.append(point)
# convert the numpy arrays to whatever is needed by func
evaluation_points = _convert_evaluation_points_to_original(
evaluation_points, params)
# we always evaluate f0, so we can fall back to one-sided derivatives if
# two-sided derivatives fail. The extra cost is negligible in most cases.
if f0 is None:
evaluation_points.append(params)
# do the function evaluations, including error handling
batch_error_handling = "raise" if error_handling == "raise_strict" else "continue"
raw_evals = _nan_skipping_batch_evaluator(
func=partialed_func,
arguments=evaluation_points,
n_cores=n_cores,
error_handling=batch_error_handling,
batch_evaluator=batch_evaluator,
)
# extract information on exceptions that occurred during function evaluations
exc_info = "\n\n".join([val for val in raw_evals if isinstance(val, str)])
raw_evals = [
val if not isinstance(val, str) else np.nan for val in raw_evals
]
# store full function value at params as func_value and a processed version of it
# that we need to calculate derivatives as f0
if f0 is None:
f0 = raw_evals[-1]
raw_evals = raw_evals[:-1]
func_value = f0
f0 = f0[key] if isinstance(f0, dict) else f0
f_was_scalar = np.isscalar(f0)
out_index = f0.index if isinstance(f0, pd.Series) else None
f0 = np.atleast_1d(f0)
# convert the raw evaluations to numpy arrays
raw_evals = _convert_evals_to_numpy(raw_evals, key)
# apply finite difference formulae
evals = np.array(raw_evals).reshape(2, n_steps, len(x), -1)
evals = np.transpose(evals, axes=(0, 1, 3, 2))
evals = namedtuple_from_kwargs(pos=evals[0], neg=evals[1])
jac_candidates = {}
for m in ["forward", "backward", "central"]:
jac_candidates[m] = finite_differences.jacobian(evals, steps, f0, m)
# get the best derivative estimate out of all derivative estimates that could be
# calculated, given the function evaluations.
orders = {
"central": ["central", "forward", "backward"],
"forward": ["forward", "backward"],
"backward": ["backward", "forward"],
}
if n_steps == 1:
jac = _consolidate_one_step_derivatives(jac_candidates, orders[method])
updated_candidates = None
else:
richardson_candidates = _compute_richardson_candidates(
jac_candidates, steps, n_steps)
jac, updated_candidates = _consolidate_extrapolated(
richardson_candidates)
# raise error if necessary
if error_handling in ("raise", "raise_strict") and np.isnan(jac).any():
raise Exception(exc_info)
# results processing
derivative = jac.flatten() if f_was_scalar else jac
derivative = _add_index_to_derivative(derivative, params_index, out_index)
result = {"derivative": derivative}
if return_func_value:
result["func_value"] = func_value
info = _collect_additional_info(return_info,
steps,
evals,
updated_candidates,
target="first_derivative")
result = {**result, **info}
return result
def first_derivative(
func,
x,
func_kwargs=None,
method="central",
n_steps=1,
base_steps=None,
scaling_factor=1,
lower_bounds=None,
upper_bounds=None,
step_ratio=2,
min_steps=None,
f0=None,
n_cores=1,
return_richardson_info=False,
):
"""Evaluate first derivative of func at x according to method and step options.
Internally, the function is converted such that it maps from a 1d array to a 1d
array. Then the Jacobian of that function is calculated. The resulting derivative
estimate is always a numpy array.
Detailed description of all options that influence the step size as well as an
explanation of how steps are adjusted to bounds in case of a conflict,
see :func:`~estimagic.differentiation.generate_steps.generate_steps`.
Args:
func (callable): Function of which the derivative is calculated.
x (np.ndarray): 1d array at which the derivative is calculated.
func_kwargs (dict): Additional keyword arguments for func, optional.
method (str): One of ["central", "forward", "backward"], default "central".
n_steps (int): Number of steps needed. For central methods, this is
the number of steps per direction. It is 1 if no Richardson extrapolation
is used.
base_steps (np.ndarray, optional): 1d array of the same length as x. base_steps
* scaling_factor is the absolute value of the first (and possibly only) step
used in the finite differences approximation of the derivative. If the
base_steps * scaling_factor conflicts with bounds, the actual steps will
be adjusted. If base_steps is not provided, it will be determined according
to a rule of thumb as long as this does not conflict with min_steps.
scaling_factor (np.ndarray or float): Scaling factor which is applied to
base_steps. If it is an np.ndarray, it needs to have the same shape as x.
scaling_factor is useful if you want to increase or decrease the base_step
relative to the rule-of-thumb or user provided base_step, for example to
benchmark the effect of the step size. Default 1.
lower_bounds (np.ndarray): 1d array with lower bounds for each parameter.
upper_bounds (np.ndarray): 1d array with upper bounds for each parameter.
step_ratio (float or array): Ratio between two consecutive Richardson
extrapolation steps in the same direction. default 2.0. Has to be larger
than one. step ratio is only used if n_steps > 1.
min_steps (np.ndarray): Minimal possible step sizes that can be chosen to
accommodate bounds. Needs to have same length as x. By default min_steps is
equal to base_steps, i.e step size is not decreased beyond what is optimal
according to the rule of thumb.
f0 (np.ndarray): 1d numpy array with func(x), optional.
n_cores (int): Number of processes used to parallelize the function
evaluations. Default 1.
return_richardson_info (bool): Should additional information on the Richardson
extrapolation be returned. Has no effect if n_steps = 1.
Returns:
derivative (np.ndarray): The estimated first derivative of func at x.
The shape of the output depends on the dimension of x and func(x):
f: R -> R leads to shape (1,), usually called derivative
f: R^m -> R leads to shape (m, ), usually called Gradient
f: R -> R^n leads to shape (n, 1), usually called Jacobian
f: R^m -> R^n leads to shape (n, m), usually called Jacobian
info (OrderedDict): Dictionary with all derivative estimates and
error estimates for different parameter specifications using Richardson
extrapolations. Is only returned if return_richardson_info is True.
"""
func_kwargs = {} if func_kwargs is None else func_kwargs
partialed_func = functools.partial(func, **func_kwargs)
f0 = partialed_func(x) if f0 is None else f0
x_was_scalar = np.isscalar(x)
f_was_scalar = np.isscalar(f0)
x = np.atleast_1d(x).astype(np.float_)
f0 = np.atleast_1d(f0).astype(np.float_)
@nan_if_exception
@de_scalarize(x_was_scalar)
def internal_func(x):
return partialed_func(x)
steps = generate_steps(
x=x,
method=method,
n_steps=n_steps,
target="first_derivative",
base_steps=base_steps,
scaling_factor=scaling_factor,
lower_bounds=lower_bounds,
upper_bounds=upper_bounds,
step_ratio=step_ratio,
min_steps=min_steps,
)
evaluation_points = []
for step_arr in steps:
for i, j in product(range(n_steps), range(len(x))):
if np.isnan(step_arr[i, j]):
evaluation_points.append(np.nan)
else:
point = x.copy()
point[j] += step_arr[i, j]
evaluation_points.append(point)
raw_evals = _nan_skipping_batch_evaluator(internal_func, evaluation_points, n_cores)
evals = np.array(raw_evals).reshape(2, n_steps, len(x), -1)
evals = np.transpose(evals, axes=(0, 1, 3, 2))
evals = namedtuple_from_kwargs(pos=evals[0], neg=evals[1])
jac_candidates = {}
for m in ["forward", "backward", "central"]:
jac_candidates[m] = finite_differences.jacobian(evals, steps, f0, method)
orders = {
"central": ["central", "forward", "backward"],
"forward": ["forward", "backward"],
"backward": ["backward", "forward"],
}
if n_steps == 1:
jac = _consolidate_one_step_derivatives(jac_candidates, orders[method])
else:
richardson_candidates = _compute_richardson_candidates(
jac_candidates, steps, n_steps
)
jac = _consolidate_extrapolated(richardson_candidates)
derivative = jac.flatten() if f_was_scalar else jac
return_info = n_steps > 1 and return_richardson_info
out = (derivative, richardson_candidates) if return_info else derivative
return out