def _cal_prob_topic(self, dict_network, list_dict_subnetwork):
prob_master = np.array([row[1] for row in
sorted(zip(dict_network["vertex"], dict_network["pagerank"]),
key=lambda x: x[0])])
for i, dict_subnetwork in enumerate(list_dict_subnetwork):
if i == 0:
prob_sub = np.array([row[1] for row in
sorted(zip(dict_subnetwork["vertex"], dict_subnetwork["pagerank"]),
key=lambda x: x[0])])
else:
list_tmp = np.array([row[1] for row in
sorted(zip(dict_subnetwork["vertex"], dict_subnetwork["pagerank"]),
key=lambda x: x[0])])
prob_sub = np.vstack((prob_sub, list_tmp))
H = 2 * prob_sub.dot(prob_sub.T)
f = -2 * prob_master.dot(prob_sub.T)
Aeq = np.ones(len(list_dict_subnetwork))
beq = 1
lb = np.zeros(len(list_dict_subnetwork))
p = QP(H, f, Aeq=Aeq, beq=beq, lb=lb)
r = p.solve("cvxopt_qp", iprint=-1)
k_opt = r.xf
return k_opt
def PolytopProjection(data, T=1.0, isProduct=False, solver=None):
if solver is None:
solver = 'cvxopt_qp'
#data = float128(data)
if isProduct:
H = data
n = data.shape[0]
m = len(T)
else:
H = dot(data, data.T)
n, m = data.shape
#print H.shape
#print 'PolytopProjection: n=%d, m=%d, H.shape[0]= %d, H.shape[1]= %d ' %(n, m, H.shape[0], H.shape[1])
#T = abs(dot(H, ones(n)))
f = -asfarray(T) * ones(n)
p = QP(H, f, lb=zeros(n), iprint=-1, maxIter=150)
xtol = 1e-6
if max(T) < 1e5 * xtol: xtol = max(T) / 1e5
r = p._solve(solver, ftol=1e-16, xtol=xtol, maxIter=10000)
sol = r.xf
if isProduct:
return r.xf
else:
s = dot(data.T, r.xf)
return s.flatten(), r.xf
def PolytopProjection(data, T = 1.0, isProduct = False, solver = None):
if solver is None:
solver = 'cvxopt_qp'
#data = float128(data)
if isProduct:
H = data
n = data.shape[0]
m = len(T)
else:
H = dot(data, data.T)
n, m = data.shape
#print H.shape
#print 'PolytopProjection: n=%d, m=%d, H.shape[0]= %d, H.shape[1]= %d ' %(n, m, H.shape[0], H.shape[1])
#T = abs(dot(H, ones(n)))
f = -asfarray(T) *ones(n)
p = QP(H, f, lb = zeros(n), iprint = -1, maxIter = 150)
xtol = 1e-6
if max(T) < 1e5*xtol: xtol = max(T)/1e5
r = p._solve(solver, ftol = 1e-16, xtol = xtol, maxIter = 10000)
sol = r.xf
if isProduct:
return r.xf
else:
s = dot(data.T, r.xf)
return s.flatten(), r.xf
def _train(self, train_data, param):
"""
training procedure using training examples and labels
@param train_data: Data relevant to SVM training
@type train_data: dict<str, list<instances> >
@param param: Parameters for the training procedure
@type param: ParameterSvm
"""
# fix parameters
M = len(train_data)
predictors = {}
# extract training data
for (task_id, instance_set) in train_data.items():
print "train task id:", task_id
assert (instance_set[0].dataset.organism == task_id)
examples = [inst.example for inst in instance_set]
labels = [inst.label for inst in instance_set]
# shogun data
feat = StringCharFeatures(DNA)
feat.set_string_features(examples)
lab = Labels(numpy.double(labels))
# create kernel
k = WeightedDegreeStringKernel(feat, feat, param.wdk_degree, 0)
y = numpy.array(labels)
km = k.get_kernel_matrix()
km = numpy.transpose(y.flatten() * (km * y.flatten()).transpose())
N = len(labels)
f = -numpy.ones(N)
# set up QP
p = QP(km,
f,
Aeq=y,
beq=0,
lb=numpy.zeros(N),
ub=param.cost * numpy.ones(N))
# run solver
r = p.solve('cvxopt_qp', iprint=0)
alphas = r.xf
objective = r.ff
print "objective:", objective
predictors[task_id] = (alphas, param.wdk_degree, examples, labels)
return predictors
def pointProjection(x, lb, ub, A, b, Aeq, beq):
from openopt import QP
# projection of x to set of linear constraints
n = x.size
# TODO: INVOLVE SPARSE CVXOPT MATRICES
p = QP(H=eye(n), f=-x, A=A, b=b, Aeq=Aeq, beq=beq, lb=lb, ub=ub)
#r = p.solve('cvxopt_qp', iprint = -1)
r = p.solve('nlp:scipy_slsqp', contol=1e-8, iprint=-1)
return r.xf
def pointProjection(x, lb, ub, A, b, Aeq, beq):
from openopt import QP
# projection of x to set of linear constraints
n = x.size
# TODO: INVOLVE SPARSE CVXOPT MATRICES
p = QP(H = eye(n), f = -x, A = A, b=b, Aeq=Aeq, beq=beq, lb=lb, ub=ub)
#r = p.solve('cvxopt_qp', iprint = -1)
r = p.solve('nlp:scipy_slsqp', contol = 1e-8, iprint = -1)
return r.xf
def svdd(X, K, C):
n = K.shape[0] # num. of samples
# for QP sover
H = 2 * K # n x n
f = -np.diag(K) # n x 1
l = np.size(X[0, :])
Aeq = np.ones(n) # p x n
beq = 1.0 # p x 1
lb = np.zeros(n)
ub = np.zeros(n) + C
p = QP(H, f, Aeq=Aeq, beq=beq, lb=lb, ub=ub)
r = p.solve('nlp:ralg', iprint=-2) #, r = p.solve('nlp:algencan')
f_opt, x_opt = r.ff, r.xf
alpha = np.array(x_opt).reshape(-1)
epsilon = C * 1e-4
svi = np.arange(l)[alpha > epsilon]
nsv = len(svi)
sv = X[:, svi]
alpha_sv = alpha[svi].reshape(-1, 1)
#pylab.scatter(sv[0, :], sv[1, :], s = 50, c = 'b')
#pylab.scatter(X[0, :], X[1, :], c = 'r')
#pylab.show()
#print 'Support Vectors : %d (%3.1f%%)' % (nsv, 100.0*float(nsv)/float(l))
svii = np.arange(l)[(alpha > epsilon) & (alpha < (C - epsilon))]
l_svii = len(svii)
#print '# of points in boundary', l_svii
if l_svii > 0:
Kt = K[:, svi]
Ksv = Kt[svi, :]
Kbound = Kt[svii, :]
Kbound_diag = np.diag(K)[svii]
b = np.dot(np.dot(alpha_sv.T, Ksv), alpha_sv).reshape(-1)
R2_all = Kbound_diag.reshape(-1) - 2 * np.dot(alpha_sv.T,
Kbound).reshape(-1) + b
R2 = R2_all.mean()
bias = R2 - b
else:
print 'No support vectors on the decision boundary'
svdd_model = {'alpha': alpha_sv, 'sv': sv, 'R2': R2, 'bias': bias}
return svdd_model
def test_cplex(self):
p = QP(diag([1, 2, 3]),
[15, 8, 80],
A = matrix('1 2 3; 8 15 80'),
b = [150, 800],
Aeq = [0, 1, -1],
beq = 25.5,
ub = [15,inf,inf])
r = p._solve('cplex', iprint = 0)
f_opt, x_opt = r.ff, r.xf
np.testing.assert_almost_equal(f_opt, -1190.35)
np.testing.assert_almost_equal(x_opt, [-15. , -2.3, -27.8 ])
def tilt(self):
######construct constraint weight matrix and optimize p############
ndim=self.ndim
wmatrix=self.ndim*self.m_fd()
wmatrix_2=self.ndim*self.k()*self.ydat
p0=ones(ndim)/ndim
lb=zeros(ndim)
ub=ones(ndim)
Aeq=ones(ndim)
beq=1.
#A=vstack((-wmatrix,-wmatrix_2,-wmatrix_2))
#b=hstack((zeros(len(wmatrix)),ones(len(wmatrix_2)),zeros(len(wmatrix_2))))
A=vstack((-wmatrix,-wmatrix_2))
b=hstack((zeros(len(wmatrix)),ones(len(wmatrix_2))))
p=QP(diag(ones(ndim)),2*p0*ones(ndim),lb=lb,ub=ub,Aeq=Aeq,beq=beq,A=A,b=b,name="find optimal p that satisfies m'>0 and m<1")
r=p._solve('cvxopt_qp')
solution=r.xf
self.solution=solution
self.ydat=ndim*solution*self.ydat
def solve(self, C, xt, lt, task_indicator, M):
"""
solve dual using cvxopt
"""
num_xt = len(xt)
# set up quadratic term
Q = np.zeros((num_xt, num_xt))
# compute quadratic term
for i in xrange(num_xt):
for j in xrange(num_xt):
s = task_indicator[i]
t = task_indicator[j]
Q[i,j] = M[s,t] * lt[i] * lt[j] * np.dot(xt[i], xt[j])
# set up linear term
p = -np.ones(num_xt)
# if we would like to use bias
#b = np.zeros((M,1))
#label_matrix = numpy.zeros((M,N))
# set up QP
p = QP(Q, p, lb=np.zeros(num_xt), ub=C*np.ones(num_xt)) #Aeq=label_matrix, beq=b
p.debug=1
# run solver
r = p.solve('cvxopt_qp', iprint = 0)
# recover result
self.alphas = r.xf
self.dual_obj = self.obj = r.ff
# compute W from alphas
self.W = alphas_to_w(self.alphas, xt, lt, task_indicator, M)
return True
def test_cvxopt(self):
Q = matrix([[1.0, 0.0, 0.0], [0.0, 2.0, 0.0], [0.0, 0.0, 3.0]])
p = matrix([15.0, 8.0, 80.0])
G = matrix([[1.0, 2.0, 3.0], [8.0, 15.0, 80.0], [0, 0, 0]])
h = matrix([150.0, 800.0, 0], (3, 1))
A = matrix([0.0, 1.0, -1.0], (1,3))
b = matrix(25.5)
sol = cvxopt.solvers.qp(Q, p, G, h, A, b)
p = QP(diag([1, 2, 3]),
[15, 8, 80],
A = np.matrix("1 2 3; 8 15 80"),
b = [150, 800],
Aeq = [0, 1, -1],
beq = 25.5)
r = p._solve('cvxopt_qp', iprint = 0)
f_opt, x_opt = r.ff, r.xf
np.testing.assert_almost_equal(f_opt, sol['primal objective'], decimal=5)
np.testing.assert_almost_equal(x_opt, np.squeeze(sol['x']), decimal=5)
def minimize(self, **kwargs):
""" solve the quadratic problem using OpenOpt
Returns:
obj_value, solution
obj_value -- value of the objective function at the discovered solution
solution -- the solution flux vector (indexed like matrix columns)
"""
qp = QP(self.obj.H, self.obj.f, A=self.Aineq, Aeq=self.Aeq,
b=self.bineq, beq=self.beq, lb=self.lb, ub=self.ub, **kwargs)
qp.debug=1
r = qp.solve(self.solver)
if r.istop <= 0 or r.ff != r.ff: # check halting condition
self.obj_value = 0
self.solution = []
self.istop = r.istop
else:
self.obj_value = r.ff
self.solution = r.xf
self.istop = r.istop
return self.obj_value, self.solution
a = oovar('a')
b = oovars(n, domain=int)('b')
c = oovar('c')
d = oovar('d', domain=bool)
B = 10 * sin(arange(n)) # arange(n) = [0, 1, 2, ..., n-1]
objective = (a - 1)**2 + 10 * sum(
(b - B)**
2) + 3 * (1 + 10 *
(1 + 100 * c**2)) + 100 * (d - 5)**2 + (0.1 * a + 1) * (c + d)
constraints = [
a > 0, a < 1.03, b > 0, b < 10, c > 0, c < 10.1, c**2 < 5, a + b < 7
]
startpoint = {a: 10, b: zeros(n), c: 10, d: 0}
p = QP(objective, startpoint, constraints=constraints)
solver = 'cplex'
r = p.solve(solver)
'''
istop: 1000 (Cplex status: "integer optimal, tolerance"; exit code: 102)
Solver: Time Elapsed = 0.18 CPU Time Elapsed = 0.15
objFunValue: 5025.3035 (feasible, MaxResidual = 0)
'''
print(a(r)) # 0.0
print(
b(r)
) # array([ 0., 7., 7., 1., 0., 0., 0., 7., 7., 4., 0., 0., 0., 4., 7.])
print(r(c, d)) # [0.0, 1.0]
"""
Example:
Concider the problem
0.5 * (x1^2 + 2x2^2 + 3x3^2) + 15x1 + 8x2 + 80x3 -> min (1)
subjected to
x1 + 2x2 + 3x3 <= 150 (2)
8x1 + 15x2 + 80x3 <= 800 (3)
x2 - x3 = 25.5 (4)
x1 <= 15 (5)
x1, x3 are integers
"""
from numpy import diag, matrix, inf
from openopt import QP
p = QP(diag([1, 2, 3]), [15, 8, 80],
A=matrix('1 2 3; 8 15 80'),
b=[150, 800],
Aeq=[0, 1, -1],
beq=25.5,
ub=[15, inf, inf])
# or p = QP(H=diag([1,2,3]), f=[15,8,80], A= ...)
r = p.solve('cplex', intVars=[0, 2], iprint=0)
f_opt, x_opt = r.ff, r.xf
# x_opt = array([-15. , -2.5, -28. ])
# f_opt = -1190.25
def _train(self, train_data, param):
"""
training procedure using training examples and labels
@param train_data: Data relevant to SVM training
@type train_data: dict<str, list<instances> >
@param param: Parameters for the training procedure
@type param: ParameterSvm
"""
# fix dimensions
M = len(train_data)
N = 0
for key in train_data.keys():
N += len(train_data[key])
# init containers
examples = []
labels = []
# vector to indicate to which task each example belongs
task_vector = []
task_num = 0
tmp_examples = 0
label_matrix = numpy.zeros((M, N))
# extract training data
for (task_id, instance_set) in train_data.items():
print "train task id:", task_id
#assert(instance_set[0].dataset.organism==task_id)
examples.extend([inst.example for inst in instance_set])
tmp_labels = [inst.label for inst in instance_set]
labels.extend(tmp_labels)
begin_idx = tmp_examples
end_idx = tmp_examples + len(tmp_labels)
# fill matrix row
label_matrix[task_num, begin_idx:end_idx] = tmp_labels
task_vector.extend([task_num] * len(instance_set))
task_num += 1
tmp_examples += len(tmp_labels)
# fetch gammas from parameter object
# TODO: compute gammas outside of this
gammas = numpy.ones((M, M)) + numpy.eye(M)
#gammas = numpy.eye(M)
# create kernel
kernel = shogun_factory.create_kernel(examples, param)
y = numpy.array(labels)
print "computing kernel matrix"
km = kernel.get_kernel_matrix()
km = reweight_kernel_matrix(km, gammas, task_vector)
# "add" labels to Q-matrix
km = numpy.transpose(y.flatten() * (km * y.flatten()).transpose())
print "done computing kernel matrix, calling solver"
f = -numpy.ones(N)
b = numpy.zeros((M, 1))
# set up QP
p = QP(km,
f,
Aeq=label_matrix,
beq=b,
lb=numpy.zeros(N),
ub=param.cost * numpy.ones(N))
p.debug = 1
# run solver
r = p.solve('cvxopt_qp', iprint=0)
print "done with training"
alphas = r.xf
objective = r.ff
print "alphas:", alphas
predictors = {}
for (k, task_id) in enumerate(train_data.keys()):
# pack all relevant information in predictor
predictors[task_id] = (alphas, param, task_vector, k, gammas,
examples, labels)
return predictors
def _train(self, instance_sets, param):
#fix parameters
M = len(instance_sets)
Cs = numpy.ones((M,M))
#init containers
example_sets = []
label_sets = []
#perform data conversion -> strToVec
for instance_set in instance_sets:
example_set = helper.gen_features([inst.example for inst in instance_set])
print "example set:", example_set.shape
label_set = numpy.array([inst.label for inst in instance_set])
print "label set:", label_set.shape
print "num positive labels", sum(label_set)+len(label_set)
example_sets.append(example_set)
label_sets.append(label_set)
#determine starting point
M = len(example_sets)
d = len(example_sets[0][0])
print "M:", M, "d:", d
dim_x0 = d*M
numpy.random.seed(123967)
x0 = numpy.random.randn(dim_x0)
"""
Example:
Consider the problem
0.5 * (x1^2 + 2x2^2 + 3x3^2) + 15x1 + 8x2 + 80x3 -> min (1)
subjected to
x1 + 2x2 + 3x3 <= 150 (2)
8x1 + 15x2 + 80x3 <= 800 (3)
x2 - x3 = 25 (4)
x1 <= 15 (5)
"""
#TODO map variables
from numpy import diag, matrix, inf
from openopt import QP
p = QP(diag([1,2,3]), [15,8,80], A = matrix('1 2 3; 8 15 80'), b = [150, 800], Aeq = [0, 1, -1], beq = 25, ub = [15,inf,inf])
# or p = QP(H=diag([1,2,3]), f=[15,8,80], A = matrix('1 2 3; 8 15 80'), b = [150, 800], Aeq = [0, 1, -1], beq = 25, ub = [15,inf,inf])
r = p.solve('cvxopt_qp', iprint = 0)
#r = p.solve('nlp:ralg', xtol=1e-7, alp=3.9, plot=1)#, r = p.solve('nlp:algencan')
#f_opt, x_opt = r.ff, r.xf
f_opt = r.xf
# x_opt = array([-14.99999995, -2.59999996, -27.59999991])
# f_opt = -1191.90000013
return numpy.reshape(xopt, (M,d))
def __solver__(self, p):
n = p.n
x0 = copy(p.x0)
xPrev = x0.copy()
xf = x0.copy()
xk = x0.copy()
p.xk = x0.copy()
f0 = p.f(x0)
fk = f0
ff = f0
p.fk = fk
df0 = p.df(x0)
#####################################################################
## #handling box-bounded problems
## if p.__isNoMoreThanBoxBounded__():
## for k in range(int(p.maxIter)):
##
## #end of handling box-bounded problems
isBB = p.__isNoMoreThanBoxBounded__()
## isBB = 0
H = diag(ones(p.n))
if not p.userProvided.c:
p.c = lambda x: array([])
p.dc = lambda x: array([]).reshape(0, p.n)
if not p.userProvided.h:
p.h = lambda x: array([])
p.dh = lambda x: array([]).reshape(0, p.n)
p.use_subproblem = 'QP'
#p.use_subproblem = 'LLSP'
for k in range(p.maxIter + 4):
if isBB:
f0 = p.f(xk)
df = p.df(xk)
direction = -df
f1 = p.f(xk + direction)
ind_l = direction <= p.lb - xk
direction[ind_l] = (p.lb - xk)[ind_l]
ind_u = direction >= p.ub - xk
direction[ind_u] = (p.ub - xk)[ind_u]
ff = p.f(xk + direction)
## print 'f0', f0, 'f1', f1, 'ff', ff
else:
mr = p.getMaxResidual(xk)
if mr > p.contol: mr_grad = p.getMaxConstrGradient(xk)
lb = p.lb - xk #- p.contol/2
ub = p.ub - xk #+ p.contol/2
c, dc, h, dh, df = p.c(xk), p.dc(xk), p.h(xk), p.dh(xk), p.df(
xk)
A, Aeq = vstack((dc, p.A)), vstack((dh, p.Aeq))
b = concatenate((-c, p.b - p.matmult(p.A, xk))) #+ p.contol/2
beq = concatenate((-h, p.beq - p.matmult(p.Aeq, xk)))
if b.size != 0:
isFinite = isfinite(b)
ind = where(isFinite)[0]
A, b = A[ind], b[ind]
if beq.size != 0:
isFinite = isfinite(beq)
ind = where(isFinite)[0]
Aeq, beq = Aeq[ind], beq[ind]
if p.use_subproblem == 'LP': #linear
linprob = LP(df, A=A, Aeq=Aeq, b=b, beq=beq, lb=lb, ub=ub)
linprob.iprint = -1
r2 = linprob.solve(
'cvxopt_glpk') # TODO: replace lpSolve by autoselect
if r2.istop <= 0:
p.istop = -12
p.msg = "failed to solve LP subproblem"
return
elif p.use_subproblem == 'QP': #quadratic
qp = QP(H=H,
f=df,
A=A,
Aeq=Aeq,
b=b,
beq=beq,
lb=lb,
ub=ub)
qp.iprint = -1
r2 = qp.solve(
'cvxopt_qp') # TODO: replace solver by autoselect
#r2 = qp.solve('qld') # TODO: replace solver by autoselect
if r2.istop <= 0:
for i in range(4):
if p.debug:
p.warn("iter " + str(k) + ": attempt Num " +
str(i) +
" to solve QP subproblem has failed")
#qp.f += 2*N*sum(qp.A,0)
A2 = vstack((A, Aeq, -Aeq))
b2 = concatenate(
(b, beq, -beq)) + pow(10, i) * p.contol
qp = QP(H=H, f=df, A=A2, b=b2, iprint=-5)
qp.lb = lb - pow(10, i) * p.contol
qp.ub = ub + pow(10, i) * p.contol
# I guess lb and ub don't matter here
try:
r2 = qp.solve(
'cvxopt_qp'
) # TODO: replace solver by autoselect
except:
r2.istop = -11
if r2.istop > 0: break
if r2.istop <= 0:
p.istop = -11
p.msg = "failed to solve QP subproblem"
return
elif p.use_subproblem == 'LLSP':
direction_c = getConstrDirection(p,
xk,
regularization=1e-7)
else:
p.err('incorrect or unknown subproblem')
if isBB:
X0 = xk.copy()
N = 0
result, newX = chLineSearch(p, X0, direction, N, isBB)
elif p.use_subproblem != 'LLSP':
duals = r2.duals
N = 1.05 * abs(duals).sum()
direction = r2.xf
X0 = xk.copy()
result, newX = chLineSearch(p, X0, direction, N, isBB)
else: # case LLSP
direction_f = -df
p2 = NSP(LLSsubprobF, [0.8, 0.8],
ftol=0,
gtol=0,
xtol=1e-5,
iprint=-1)
p2.args.f = (xk, direction_f, direction_c, p, 1e20)
r_subprob = p2.solve('ralg')
alpha = r_subprob.xf
newX = xk + alpha[0] * direction_f + alpha[1] * direction_c
# dw = (direction_f * direction_c).sum()
# cos_phi = dw/p.norm(direction_f)/p.norm(direction_c)
# res_0, res_1 = p.getMaxResidual(xk), p.getMaxResidual(xk+1e-1*direction_c)
# print cos_phi, res_0-res_1
# res_0 = p.getMaxResidual(xk)
# optimConstrPoint = getDirectionOptimPoint(p, p.getMaxResidual, xk, direction_c)
# res_1 = p.getMaxResidual(optimConstrPoint)
#
# maxConstrLimit = p.contol
#xk = getDirectionOptimPoint(p, p.f, optimConstrPoint, -optimConstrPoint+xk+direction_f, maxConstrLimit = maxConstrLimit)
#print 'res_0', res_0, 'res_1', res_1, 'res_2', p.getMaxResidual(xk)
#xk = getDirectionOptimPoint(p, p.f, xk, direction_f, maxConstrLimit)
#newX = xk.copy()
result = 0
# x_0 = X0.copy()
# N = j = 0
# while p.getMaxResidual(x_0) > Residual0 + 0.1*p.contol:
# j += 1
# x_0 = xk + 0.75**j * (X0-xk)
# X0 = x_0
# result, newX = 0, X0
# print 'newIterResidual = ', p.getMaxResidual(x_0)
if result != 0:
p.istop = result
p.xf = newX
return
xk = newX.copy()
fk = p.f(xk)
p.xk, p.fk = copy(xk), copy(fk)
#p._df = p.df(xk)
####################
p.iterfcn()
if p.istop:
p.xf = xk
p.ff = fk
#p._df = g FIXME: implement me
return
def train_dh(bags, basis, bdim, theta, r, args):
if _SOLVER == 'cvxopt':
import cvxopt
from cvxopt import matrix
from cvxopt.solvers import qp
cvxopt.solvers.options['show_progress'] = False
elif _SOLVER == 'openopt':
from openopt import QP
import warnings
warnings.simplefilter(action="ignore", category=FutureWarning)
elif _SOLVER == 'gurobi':
import sys
sys.path.append(
"/home/local/bin/gurobi650/linux64/lib/python3.4_utf32/gurobipy")
import gurobipy
from MI.gurobi_helper.helper import quadform, dot, mvmul
p_bags = MI.extract_bags(bags, 1)
u_bags = MI.extract_bags(bags, 0)
N1 = len(p_bags)
N0 = len(u_bags)
N = N1 + N0
d = bdim
P1 = np.array([basis(B).T for B in p_bags])
P0 = np.array([basis(B).T for B in u_bags])
H = np.r_[np.c_[r * np.eye(d),
np.zeros((d, 1)),
np.zeros((d, N0))], np.c_[np.zeros((1, d)), 0,
np.zeros((1, N0))],
np.c_[np.zeros((N0, d)),
np.zeros((N0, 1)),
np.zeros((N0, N0))]]
f = np.r_[-theta / N1 * P1.T.sum(axis=1).reshape((-1, 1)), [[-theta]],
1. / N0 * np.ones((N0, 1))]
L = np.r_[np.c_[0.5 * P0, 0.5 * np.ones((N0, 1)), -np.eye(N0)],
np.c_[P0, np.ones((N0, 1)), -np.eye(N0)], np.c_[np.zeros(
(N0, d)), np.zeros((N0, 1)), -np.eye(N0)]]
k = np.r_[-0.5 * np.ones((N0, 1)), np.zeros((N0, 1)), -np.zeros((N0, 1))]
if _SOLVER == 'cvxopt':
result = qp(matrix(H), matrix(f), matrix(L), matrix(k))
gamma = np.array(result['x'])
elif _SOLVER == 'openopt':
problem = QP(H + 1e-3 * np.eye(H.shape[0]), f, A=L, b=k)
result = problem.solve('qlcp')
gamma = result.xf
elif _SOLVER == 'gurobi':
# model and target variables
m = gurobipy.Model('qp')
m.setParam('OutputFlag', False)
opt_dim = H.shape[0]
x = [
m.addVar(lb=-gurobipy.GRB.INFINITY, name='x{}'.format(i))
for i in range(opt_dim)
]
m.update()
# objective function and constraints
obj = 0.5 * quadform(H.tolist(), x) + dot(f.reshape(-1).tolist(), x)
constrs = [lhs <= rhs for lhs, rhs in zip(mvmul(L.tolist(), x), k)]
# solve
m.setObjective(obj)
for i, constr in enumerate(constrs):
m.addConstr(constr, 'c{}'.format(i))
try:
m.optimize()
gamma = np.array([v.x for v in m.getVars()])
except gurobipy.GurobiError:
raise ValueError()
alpha = gamma[:d]
beta = gamma[d]
clf = lambda X: alpha.T.dot(basis(X)) + beta
return clf
Concider the MIQCQP problem
0.5 * (x1^2 + 2x2^2 + 3x3^2) + 15x1 + 8x2 + 80x3 -> min (1)
subjected to
x1 + 2x2 + 3x3 <= 150 (2)
8x1 + 15x2 + 80x3 <= 800 (3)
x2 - x3 = 25.5 (4)
x1 <= 15 (5)
x1^2 + 2.5 x2^2 + 3 x3^2 + 0.1 x1 + 0.2 x2 + 0.3 x3 - 1000 <= 0 (6)
2 x1^2 + x2^2 + 3 x3^2 + 0.1 x1 + 0.5 x2 + 0.3 x3 <= 1000 (7)
x1, x3 are integers
"""
from numpy import diag, matrix, inf
from openopt import QP
H = diag([1.0, 2.0,3.0])
f = [15,8,80]
A = matrix('1 2 3; 8 15 80')
b = [150, 800]
# Qc should be list or tuple of triples (P, q, s): 0.5 x^T P x + q x + s <= 0
QC = ((diag([1.0, 2.5, 3.0]), [0.1, 0.2, 0.3], -1000), (diag([2.0, 1.0, 3.0]), [0.1, 0.5, 0.3], -1000))
p = QP(H, f, A = A, b = b, Aeq = [0, 1, -1], beq = 25.5, ub = [15,inf,inf], QC = QC, intVars = [0, 2])
# or p = QP(H=diag([1,2,3]), f=[15,8,80], ...)
r = p.solve('cplex', iprint = 0, plot=1)
f_opt, x_opt = r.ff, r.xf
# x_opt = array([ -2.99999999, 9.5 , -16. ])
# f_opt = -770.24999989134858
Concider the MIQCQP problem
0.5 * (x1^2 + 2x2^2 + 3x3^2) + 15x1 + 8x2 + 80x3 -> min (1)
subjected to
x1 + 2x2 + 3x3 <= 150 (2)
8x1 + 15x2 + 80x3 <= 800 (3)
x2 - x3 = 25.5 (4)
x1 <= 15 (5)
x1^2 + 2.5 x2^2 + 3 x3^2 + 0.1 x1 + 0.2 x2 + 0.3 x3 - 1000 <= 0 (6)
2 x1^2 + x2^2 + 3 x3^2 + 0.1 x1 + 0.5 x2 + 0.3 x3 <= 1000 (7)
x1, x3 are integers
"""
from numpy import diag, matrix, inf
from openopt import QP
H = diag([1.0, 2.0,3.0])
f = [15,8,80]
A = matrix('1 2 3; 8 15 80')
b = [150, 800]
# QC should be list or tuple of triples (P, q, s): 0.5 x^T P x + q x + s <= 0
QC = ((diag([1.0, 2.5, 3.0]), [0.1, 0.2, 0.3], -1000), (diag([2.0, 1.0, 3.0]), [0.1, 0.5, 0.3], -1000))
p = QP(H, f, A = A, b = b, Aeq = [0, 1, -1], beq = 25.5, ub = [15,inf,inf], QC = QC, name='OpenOpt QCQP example 1')
# or p = QP(H=diag([1,2,3]), f=[15,8,80], ...)
r = p.solve('cplex', iprint = 0, plot=1)
f_opt, x_opt = r.ff, r.xf
# x_opt = array([ -2.99999999, 9.5 , -16. ])
# f_opt = -770.24999989134858
from numpy import diag, matrix, inf
from openopt import QP
H = diag([1.0, 2.0, 3.0])
f = [15, 8, 80]
A = matrix('1 2 3; 8 15 80')
b = [150, 800]
# QC should be list or tuple of triples (P, q, s): 0.5 x^T P x + q x + s <= 0
QC = ((diag([1.0, 2.5, 3.0]), [0.1, 0.2,
0.3], -1000), (diag([2.0, 1.0,
3.0]), [0.1, 0.5,
0.3], -1000))
p = QP(H,
f,
A=A,
b=b,
Aeq=[0, 1, -1],
beq=25.5,
ub=[15, inf, inf],
QC=QC,
name='OpenOpt QCQP example 1')
# or p = QP(H=diag([1,2,3]), f=[15,8,80], ...)
r = p.solve('cplex', iprint=0, plot=1)
f_opt, x_opt = r.ff, r.xf
# x_opt = array([ -2.99999999, 9.5 , -16. ])
# f_opt = -770.24999989134858
def fit(self, X, Y):
xdim = X.shape[0]
ydim = Y.shape[0]
if xdim != ydim:
raise Exception('Input dimension does not match!')
kernel=[[0.0 for i in range(2*xdim)] for j in range(2*xdim)]
for i in range(xdim):
for j in range(xdim):
kernel[i][j] = self._kernel(X[i], X[j])
kernel[i + xdim][j + xdim] = self._kernel(X[i], X[j])
#----------------------------------------------------------------------------------------------------------------
#negating the values for a_n'
for i in range(xdim):
for j in range(xdim):
kernel[i + xdim][j] = (-1.0) * self._kernel(X[i], X[j])
kernel[i][j + xdim] = (-1.0) * self._kernel(X[i], X[j])
#--------------------------------------------------------------------------------------------------------------
#coeff of 2nd term to minimize
f=[0.0 for i in range(2 * xdim)]
for i in range(xdim):
f[i] = -float(Y[i]) + self.eps
for i in range(xdim, 2 * xdim):
f[i] = float(Y[i - xdim])+ self.eps
#-----------------------------------------------------------------------------------------------------
#constraints
lower_limit = [0.0 for i in range(2 * xdim)]
upper_limit = [float(self.C) for i in range(2 * xdim)]
Aeq = [1.0 for i in range(2 * xdim)]
for i in range(xdim, 2 * xdim):
Aeq[i]=-1.0
beq=0.0
#----------------------------------------------------------------------------------------------------
#coeff for 3rd constraint
#kernel=H
eq = QP(np.asmatrix(kernel),np.asmatrix(f),
lb=np.asmatrix(lower_limit),
ub=np.asmatrix(upper_limit),
Aeq=Aeq,beq=beq)
p = eq._solve('cvxopt_qp', iprint = 0)
f_opt, x = p.ff, p.xf
#---------------------------------------------------------------------------------------
self.support_vectors=[]
self.support_vectors_Y=[]
self.coeff=[]
#support vectors: points such that an-an' ! = 0
for i in range(xdim):
if not((x[i]-x[xdim+i])==0):
self.support_vectors.append( X[i] )
self.support_vectors_Y.append(Y[i])
self.coeff.append( x[i]-x[xdim+i] )
low=min(abs(x))
for i in range(xdim):
if not(abs(x[i]-x[xdim+i]) < low + 0.005):
self.support_vector.append( X[i] )
self.support_vector_Y.append(Y[i])
bias=0.0
for i in range(len(X)):
bias=bias+float(Y[i] - self.eps - self._product(coeff, self.support_vectors, X[i]))
#generally bias is average as written in the book
self.bias=bias/len(X)
def _train(self, train_data, param):
"""
training procedure using training examples and labels
@param train_data: Data relevant to SVM training
@type train_data: dict<str, list<instances> >
@param param: Parameters for the training procedure
@type param: ParameterSvm
"""
# fix parameters
M = len(train_data)
# init containers
examples = []
labels = []
# vector to indicate to which task each example belongs
task_vector = []
task_num = 0
# extract training data
for (task_id, instance_set) in train_data.items():
print "train task id:", task_id
assert(instance_set[0].dataset.organism==task_id)
examples.extend([inst.example for inst in instance_set])
labels.extend([inst.label for inst in instance_set])
task_vector.extend([task_num]*len(instance_set))
task_num += 1
# shogun data
feat = StringCharFeatures(DNA)
feat.set_string_features(examples)
lab = Labels(numpy.double(labels))
# fetch gammas from parameter object
gammas = param.taxonomy.data
from expenv_runner import TaskMap
tm = TaskMap(param.taxonomy.data)
# fetch gammas from parameter object
gammas = tm.taskmap2matrix(train_data.keys())
print gammas
assert(gammas.shape[0] == len(train_data))
# create kernel
k = WeightedDegreeStringKernel(feat, feat, param.wdk_degree, 0)
y = numpy.array(labels)
km = k.get_kernel_matrix()
km = reweight_kernel_matrix(km, gammas, task_vector)
km = numpy.transpose(y.flatten() * (km*y.flatten()).transpose())
N = len(labels)
f = -numpy.ones(N)
# set up QP
p = QP(km, f, Aeq=y, beq=0, lb=numpy.zeros(N), ub=param.cost*numpy.ones(N))
# run solver
r = p.solve('cvxopt_qp', iprint = 0)
alphas = r.xf
objective = r.ff
predictors = {}
for (k, task_id) in enumerate(train_data.keys()):
# pack all relevant information in predictor
predictors[task_id] = (alphas, param.wdk_degree, task_vector, k, gammas, examples, labels)
return predictors
def __solver__(self, p):
n = p.n
x0 = copy(p.x0)
xPrev = x0.copy()
xf = x0.copy()
xk = x0.copy()
p.xk = x0.copy()
f0 = p.f(x0)
fk = f0
ff = f0
p.fk = fk
df0 = p.df(x0)
#####################################################################
## #handling box-bounded problems
## if p.__isNoMoreThanBoxBounded__():
## for k in range(int(p.maxIter)):
##
## #end of handling box-bounded problems
isBB = p.__isNoMoreThanBoxBounded__()
## isBB = 0
H = diag(ones(p.n))
if not p.userProvided.c:
p.c = lambda x : array([])
p.dc = lambda x : array([]).reshape(0, p.n)
if not p.userProvided.h:
p.h = lambda x : array([])
p.dh = lambda x : array([]).reshape(0, p.n)
p.use_subproblem = 'QP'
#p.use_subproblem = 'LLSP'
for k in range(p.maxIter+4):
if isBB:
f0 = p.f(xk)
df = p.df(xk)
direction = -df
f1 = p.f(xk+direction)
ind_l = direction<=p.lb-xk
direction[ind_l] = (p.lb-xk)[ind_l]
ind_u = direction>=p.ub-xk
direction[ind_u] = (p.ub-xk)[ind_u]
ff = p.f(xk + direction)
## print 'f0', f0, 'f1', f1, 'ff', ff
else:
mr = p.getMaxResidual(xk)
if mr > p.contol: mr_grad = p.getMaxConstrGradient(xk)
lb = p.lb - xk #- p.contol/2
ub = p.ub - xk #+ p.contol/2
c, dc, h, dh, df = p.c(xk), p.dc(xk), p.h(xk), p.dh(xk), p.df(xk)
A, Aeq = vstack((dc, p.A)), vstack((dh, p.Aeq))
b = concatenate((-c, p.b-p.matmult(p.A,xk))) #+ p.contol/2
beq = concatenate((-h, p.beq-p.matmult(p.Aeq,xk)))
if b.size != 0:
isFinite = isfinite(b)
ind = where(isFinite)[0]
A, b = A[ind], b[ind]
if beq.size != 0:
isFinite = isfinite(beq)
ind = where(isFinite)[0]
Aeq, beq = Aeq[ind], beq[ind]
if p.use_subproblem == 'LP': #linear
linprob = LP(df, A=A, Aeq=Aeq, b=b, beq=beq, lb=lb, ub=ub)
linprob.iprint = -1
r2 = linprob.solve('cvxopt_glpk') # TODO: replace lpSolve by autoselect
if r2.istop <= 0:
p.istop = -12
p.msg = "failed to solve LP subproblem"
return
elif p.use_subproblem == 'QP': #quadratic
qp = QP(H=H,f=df, A=A, Aeq=Aeq, b=b, beq=beq, lb=lb, ub = ub)
qp.iprint = -1
r2 = qp.solve('cvxopt_qp') # TODO: replace solver by autoselect
#r2 = qp.solve('qld') # TODO: replace solver by autoselect
if r2.istop <= 0:
for i in range(4):
if p.debug: p.warn("iter " + str(k) + ": attempt Num " + str(i) + " to solve QP subproblem has failed")
#qp.f += 2*N*sum(qp.A,0)
A2 = vstack((A, Aeq, -Aeq))
b2 = concatenate((b, beq, -beq)) + pow(10,i)*p.contol
qp = QP(H=H,f=df, A=A2, b=b2, iprint = -5)
qp.lb = lb - pow(10,i)*p.contol
qp.ub = ub + pow(10,i)*p.contol
# I guess lb and ub don't matter here
try:
r2 = qp.solve('cvxopt_qp') # TODO: replace solver by autoselect
except:
r2.istop = -11
if r2.istop > 0: break
if r2.istop <= 0:
p.istop = -11
p.msg = "failed to solve QP subproblem"
return
elif p.use_subproblem == 'LLSP':
direction_c = getConstrDirection(p, xk, regularization = 1e-7)
else: p.err('incorrect or unknown subproblem')
if isBB:
X0 = xk.copy()
N = 0
result, newX = chLineSearch(p, X0, direction, N, isBB)
elif p.use_subproblem != 'LLSP':
duals = r2.duals
N = 1.05*abs(duals).sum()
direction = r2.xf
X0 = xk.copy()
result, newX = chLineSearch(p, X0, direction, N, isBB)
else: # case LLSP
direction_f = -df
p2 = NSP(LLSsubprobF, [0.8, 0.8], ftol=0, gtol=0, xtol = 1e-5, iprint = -1)
p2.args.f = (xk, direction_f, direction_c, p, 1e20)
r_subprob = p2.solve('ralg')
alpha = r_subprob.xf
newX = xk + alpha[0]*direction_f + alpha[1]*direction_c
# dw = (direction_f * direction_c).sum()
# cos_phi = dw/p.norm(direction_f)/p.norm(direction_c)
# res_0, res_1 = p.getMaxResidual(xk), p.getMaxResidual(xk+1e-1*direction_c)
# print cos_phi, res_0-res_1
# res_0 = p.getMaxResidual(xk)
# optimConstrPoint = getDirectionOptimPoint(p, p.getMaxResidual, xk, direction_c)
# res_1 = p.getMaxResidual(optimConstrPoint)
#
# maxConstrLimit = p.contol
#xk = getDirectionOptimPoint(p, p.f, optimConstrPoint, -optimConstrPoint+xk+direction_f, maxConstrLimit = maxConstrLimit)
#print 'res_0', res_0, 'res_1', res_1, 'res_2', p.getMaxResidual(xk)
#xk = getDirectionOptimPoint(p, p.f, xk, direction_f, maxConstrLimit)
#newX = xk.copy()
result = 0
# x_0 = X0.copy()
# N = j = 0
# while p.getMaxResidual(x_0) > Residual0 + 0.1*p.contol:
# j += 1
# x_0 = xk + 0.75**j * (X0-xk)
# X0 = x_0
# result, newX = 0, X0
# print 'newIterResidual = ', p.getMaxResidual(x_0)
if result != 0:
p.istop = result
p.xf = newX
return
xk = newX.copy()
fk = p.f(xk)
p.xk, p.fk = copy(xk), copy(fk)
#p._df = p.df(xk)
####################
p.iterfcn()
if p.istop:
p.xf = xk
p.ff = fk
#p._df = g FIXME: implement me
return
def _train(self, instance_sets, param):
#fix parameters
M = len(instance_sets)
Cs = numpy.ones((M, M))
#init containers
example_sets = []
label_sets = []
#perform data conversion -> strToVec
for instance_set in instance_sets:
example_set = helper.gen_features(
[inst.example for inst in instance_set])
print "example set:", example_set.shape
label_set = numpy.array([inst.label for inst in instance_set])
print "label set:", label_set.shape
print "num positive labels", sum(label_set) + len(label_set)
example_sets.append(example_set)
label_sets.append(label_set)
#determine starting point
M = len(example_sets)
d = len(example_sets[0][0])
print "M:", M, "d:", d
dim_x0 = d * M
numpy.random.seed(123967)
x0 = numpy.random.randn(dim_x0)
"""
Example:
Consider the problem
0.5 * (x1^2 + 2x2^2 + 3x3^2) + 15x1 + 8x2 + 80x3 -> min (1)
subjected to
x1 + 2x2 + 3x3 <= 150 (2)
8x1 + 15x2 + 80x3 <= 800 (3)
x2 - x3 = 25 (4)
x1 <= 15 (5)
"""
#TODO map variables
from numpy import diag, matrix, inf
from openopt import QP
p = QP(diag([1, 2, 3]), [15, 8, 80],
A=matrix('1 2 3; 8 15 80'),
b=[150, 800],
Aeq=[0, 1, -1],
beq=25,
ub=[15, inf, inf])
# or p = QP(H=diag([1,2,3]), f=[15,8,80], A = matrix('1 2 3; 8 15 80'), b = [150, 800], Aeq = [0, 1, -1], beq = 25, ub = [15,inf,inf])
r = p.solve('cvxopt_qp', iprint=0)
#r = p.solve('nlp:ralg', xtol=1e-7, alp=3.9, plot=1)#, r = p.solve('nlp:algencan')
#f_opt, x_opt = r.ff, r.xf
f_opt = r.xf
# x_opt = array([-14.99999995, -2.59999996, -27.59999991])
# f_opt = -1191.90000013
return numpy.reshape(xopt, (M, d))
h = []
for i in range(n):
if i == j:
h.append(12+n/(i+1.0))
elif i == j + 1:
h.append(0)
elif j == i + 2:
h.append(0)
else:
h.append(15/((i+1)+0.1*(j+1)))
H.append(h)
#print H
#H = [[15,0,4.83871],
# [12.5,13.5,0],
# [0,6.52174,13]]
#print H
x = fd.oovars(n)
f = fd.dot(fd.dot(x, H), x)
startPoint = {x: np.zeros(n)}
constraints = []
constraints.append(x > np.zeros(n))
constraints.append(fd.sum(x) == 1)
p = QP(f, startPoint, constraints=constraints)
r = p.solve("qlcp")
x_opt = r(x)
print(math.sqrt(r.ff))
# problem
# http://abel.ee.ucla.edu/cvxopt/examples/tutorial/qp.html
def _train(self, train_data, param):
"""
training procedure using training examples and labels
@param train_data: Data relevant to SVM training
@type train_data: dict<str, list<instances> >
@param param: Parameters for the training procedure
@type param: ParameterSvm
"""
# fix dimensions
M = len(train_data)
N = 0
for key in train_data.keys():
N += len(train_data[key])
# init containers
examples = []
labels = []
# vector to indicate to which task each example belongs
task_vector = []
task_num = 0
tmp_examples = 0
label_matrix = numpy.zeros((M,N))
# extract training data
for (task_id, instance_set) in train_data.items():
print "train task id:", task_id
#assert(instance_set[0].dataset.organism==task_id)
examples.extend([inst.example for inst in instance_set])
tmp_labels = [inst.label for inst in instance_set]
labels.extend(tmp_labels)
begin_idx = tmp_examples
end_idx = tmp_examples + len(tmp_labels)
# fill matrix row
label_matrix[task_num, begin_idx:end_idx] = tmp_labels
task_vector.extend([task_num]*len(instance_set))
task_num += 1
tmp_examples += len(tmp_labels)
# fetch gammas from parameter object
# TODO: compute gammas outside of this
gammas = numpy.ones((M,M)) + numpy.eye(M)
#gammas = numpy.eye(M)
# create kernel
kernel = shogun_factory.create_kernel(examples, param)
y = numpy.array(labels)
print "computing kernel matrix"
km = kernel.get_kernel_matrix()
km = reweight_kernel_matrix(km, gammas, task_vector)
# "add" labels to Q-matrix
km = numpy.transpose(y.flatten() * (km*y.flatten()).transpose())
print "done computing kernel matrix, calling solver"
f = -numpy.ones(N)
b = numpy.zeros((M,1))
# set up QP
p = QP(km, f, Aeq=label_matrix, beq=b, lb=numpy.zeros(N), ub=param.cost*numpy.ones(N))
p.debug=1
# run solver
r = p.solve('cvxopt_qp', iprint = 0)
print "done with training"
alphas = r.xf
objective = r.ff
print "alphas:", alphas
predictors = {}
for (k, task_id) in enumerate(train_data.keys()):
# pack all relevant information in predictor
predictors[task_id] = (alphas, param, task_vector, k, gammas, examples, labels)
return predictors
##################################################################
km = wdk.get_kernel_matrix()
for i in xrange(N):
for j in xrange(N):
km[i, j] = km[i, j] * relate_tasks(i, j)
#km = km*1.0
print km
#precompute kernel matrix using shogun
y = numpy.array(labels)
K = numpy.transpose(y.flatten() * (km * y.flatten()).transpose())
f = -numpy.ones(N)
C = 1.0
# Important!! QP does not accept ndarray as a type, it must be an array
p = QP(K, f, Aeq=y, beq=0, lb=numpy.zeros(N), ub=C * numpy.ones(N))
r = p.solve('cvxopt_qp', iprint=0)
#print "cvxopt objective:", r.ff
print "externally modified kernel. objective:", r.ff
ck = CustomKernel()
ck.set_full_kernel_matrix_from_full(km)
#
svm = LibSVM(1, ck, lab)
svm.train()
print "externally modified kernel. objective:", svm.get_objective()
x1 + 2x2 + 3x3 <= 150 (2)
8x1 + 15x2 + 80x3 <= 800 (3)
x2 - x3 = 25 (4)
x1 <= 15 (5)
"""
from numpy import diag, matrix, inf
from openopt import QP
H = diag([1., 2., 3.])
f = [15., 8., 80.]
p = QP(H,
f,
A = matrix('1 2 3; 8 15 80'),
b = [150, 800],
Aeq = [0, 1, -1],
beq = 25,
ub = [15,inf,inf])
r = p.solve('qlcp', iprint = 0)
f_opt, x_opt = r.ff, r.xf
xx = matrix(r.xf)
val = .5*xx*matrix(H)*xx.T + matrix(f)*xx.T
# or p = QP(H=diag([1,2,3]), f=[15,8,80], A = matrix('1 2 3; 8 15 80'), b = [150, 800], Aeq = [0, 1, -1], beq = 25, ub = [15,inf,inf])
#r = p.solve('cvxopt_qp', iprint = 0)
#r = p.solve('nlp:ralg', xtol=1e-7, alp=3.9, plot=1)#, r = p.solve('nlp:algencan')
from FuncDesigner import *
from openopt import QP
from numpy import zeros, arange
n = 15
a = oovar('a')
b = oovars(n, domain = int)('b')
c = oovar('c')
d = oovar('d', domain = bool)
B = 10*sin(arange(n)) # arange(n) = [0, 1, 2, ..., n-1]
objective = (a-1)**2 + 10*sum((b-B)**2) + 3*(1+10*(1+100*c**2)) + 100*(d-5)**2 + (0.1*a+1)*(c+d)
constraints = [a>0, a<1.03, b>0, b<10, c>0, c<10.1, c**2 < 5, a+b<7]
startpoint = {a: 10, b: zeros(n), c:10, d:0}
p = QP(objective, startpoint, constraints = constraints)
solver = 'cplex'
r = p.solve(solver)
'''
istop: 1000 (Cplex status: "integer optimal, tolerance"; exit code: 102)
Solver: Time Elapsed = 0.18 CPU Time Elapsed = 0.15
objFunValue: 5025.3035 (feasible, MaxResidual = 0)
'''
print(a(r)) # 0.0
print(b(r)) # array([ 0., 7., 7., 1., 0., 0., 0., 7., 7., 4., 0., 0., 0., 4., 7.])
print(r(c,d)) # [0.0, 1.0]
"""
Example:
Concider the problem
0.5 * (x1^2 + 2x2^2 + 3x3^2) + 15x1 + 8x2 + 80x3 -> min (1)
subjected to
x1 + 2x2 + 3x3 <= 150 (2)
8x1 + 15x2 + 80x3 <= 800 (3)
x2 - x3 = 25.5 (4)
x1 <= 15 (5)
x1, x3 are integers
"""
from numpy import diag, matrix, inf
from openopt import QP
p = QP(diag([1, 2, 3]), [15, 8, 80], A = matrix('1 2 3; 8 15 80'), b = [150, 800], Aeq = [0, 1, -1], beq = 25.5, ub = [15,inf,inf])
# or p = QP(H=diag([1,2,3]), f=[15,8,80], A= ...)
r = p.solve('cplex', intVars= [0, 2], iprint = 0)
f_opt, x_opt = r.ff, r.xf
# x_opt = array([-15. , -2.5, -28. ])
# f_opt = -1190.25
km = wdk.get_kernel_matrix()
for i in xrange(N):
for j in xrange(N):
km[i,j] = km[i,j]*relate_tasks(i,j)
#km = km*1.0
print km
#precompute kernel matrix using shogun
y = numpy.array(labels)
K = numpy.transpose(y.flatten() * (km*y.flatten()).transpose())
f = -numpy.ones(N)
C = 1.0
# Important!! QP does not accept ndarray as a type, it must be an array
p = QP(K, f, Aeq=y, beq=0, lb=numpy.zeros(N), ub=C*numpy.ones(N))
r = p.solve('cvxopt_qp', iprint = 0)
#print "cvxopt objective:", r.ff
print "externally modified kernel. objective:", r.ff
ck = CustomKernel()
ck.set_full_kernel_matrix_from_full(km)
#
svm = LibSVM(1, ck, lab)
svm.train()
print "externally modified kernel. objective:", svm.get_objective()
#-----------------------------------------------------------------------------------------------------
#constraints
lower_limit=[0.0 for i in range(2*tot_values)]
upper_limit=[float(C) for i in range(2*tot_values)]
Aeq = [1.0 for i in range(2*tot_values)]
for i in range(tot_values,2*tot_values):
Aeq[i]=-1.0
beq=0.0
#----------------------------------------------------------------------------------------------------
#coeff for 3rd constraint
#kernel=H
eq = QP(np.asmatrix(kernel),np.asmatrix(f),lb=np.asmatrix(lower_limit),ub=np.asmatrix(upper_limit),Aeq=Aeq,beq=beq)
p = eq._solve('cvxopt_qp', iprint = 0)
f_optimized, x = p.ff, p.xf
#---------------------------------------------------------------------------------------
support_vectors=[]
support_vectors_Y=[]
support_vector=[]
support_vector_Y=[]
coeff=[]
b=0.0
#support vectors: points such that an-an' ! = 0
for i in range(tot_values):
if not((x[i]-x[tot_values+i])==0):
support_vectors.append( X[i] )
#constraints
lower_limit = [0.0 for i in range(2 * tot_values)]
upper_limit = [float(C) / tot_values for i in range(2 * tot_values)]
Aeq = [1.0 for i in range(2 * tot_values)]
for i in range(tot_values, 2 * tot_values):
Aeq[i] = -1.0
beq = 0.0
A = [1.0 for i in range(2 * tot_values)]
b = nu * float(C)
#coeff for 3rd constraint
#kernel=H
p = QP(np.asmatrix(kernel),
np.asmatrix(f),
lb=np.asmatrix(lower_limit),
ub=np.asmatrix(upper_limit),
Aeq=Aeq,
beq=beq,
A=A,
b=b)
# or p = QP(H=diag([1,2,3]), f=[15,8,80], A= ...)
r = p._solve('cvxopt_qp', iprint=0)
f_opt, x = r.ff, r.xf
support_vectors = []
support_vectors_Y = []
coeff = []
b = 0.0
#support vectors: points such that an-an' ! = 0
for i in range(tot_values):
if not ((x[i] - x[tot_values + i]) == 0):
support_vectors.append(X[i])
"""
Example:
Concider the problem
0.5 * (x1^2 + 2x2^2 + 3x3^2) + 15x1 + 8x2 + 80x3 -> min (1)
subjected to
x1 + 2x2 + 3x3 <= 150 (2)
8x1 + 15x2 + 80x3 <= 800 (3)
x2 - x3 = 25.5 (4)
x1 <= 15 (5)
"""
from numpy import diag, matrix, inf
from openopt import QP
p = QP(diag([1, 2, 3]), [15, 8, 80], A = matrix('1 2 3; 8 15 80'), b = [150, 800], Aeq = [0, 1, -1], beq = 25.5, ub = [15,inf,inf])
# or p = QP(H=diag([1,2,3]), f=[15,8,80], A= ...)
r = p._solve('cvxopt_qp', iprint = 0)
f_opt, x_opt = r.ff, r.xf
# x_opt = array([-15. , -2.5, -28. ])
# f_opt = -1190.25
