def fmin_tnc(func, x0, fprime=None, args=(), approx_grad=0,
bounds=None, epsilon=1e-8, scale=None, offset=None,
messages=MSG_ALL, maxCGit=-1, maxfun=None, eta=-1,
stepmx=0, accuracy=0, fmin=0, ftol=-1, xtol=-1, pgtol=-1,
rescale=-1):
"""Minimize a function with variables subject to bounds, using
gradient information.
Parameters
----------
func : callable func(x, *args)
Function to minimize. Should return f and g, where f is
the value of the function and g its gradient (a list of
floats). If the function returns None, the minimization
is aborted.
x0 : list of floats
Initial estimate of minimum.
fprime : callable fprime(x, *args)
Gradient of func. If None, then func must return the
function value and the gradient (f,g = func(x, *args)).
args : tuple
Arguments to pass to function.
approx_grad : bool
If true, approximate the gradient numerically.
bounds : list
(min, max) pairs for each element in x, defining the
bounds on that parameter. Use None or +/-inf for one of
min or max when there is no bound in that direction.
scale : list of floats
Scaling factors to apply to each variable. If None, the
factors are up-low for interval bounded variables and
1+|x] fo the others. Defaults to None
offset : float
Value to substract from each variable. If None, the
offsets are (up+low)/2 for interval bounded variables
and x for the others.
messages :
Bit mask used to select messages display during
minimization values defined in the MSGS dict. Defaults to
MGS_ALL.
maxCGit : int
Maximum number of hessian*vector evaluations per main
iteration. If maxCGit == 0, the direction chosen is
-gradient if maxCGit < 0, maxCGit is set to
max(1,min(50,n/2)). Defaults to -1.
maxfun : int
Maximum number of function evaluation. if None, maxfun is
set to max(100, 10*len(x0)). Defaults to None.
eta : float
Severity of the line search. if < 0 or > 1, set to 0.25.
Defaults to -1.
stepmx : float
Maximum step for the line search. May be increased during
call. If too small, it will be set to 10.0. Defaults to 0.
accuracy : float
Relative precision for finite difference calculations. If
<= machine_precision, set to sqrt(machine_precision).
Defaults to 0.
fmin : float
Minimum function value estimate. Defaults to 0.
ftol : float
Precision goal for the value of f in the stoping criterion.
If ftol < 0.0, ftol is set to 0.0 defaults to -1.
xtol : float
Precision goal for the value of x in the stopping
criterion (after applying x scaling factors). If xtol <
0.0, xtol is set to sqrt(machine_precision). Defaults to
-1.
pgtol : float
Precision goal for the value of the projected gradient in
the stopping criterion (after applying x scaling factors).
If pgtol < 0.0, pgtol is set to 1e-2 * sqrt(accuracy).
Setting it to 0.0 is not recommended. Defaults to -1.
rescale : float
Scaling factor (in log10) used to trigger f value
rescaling. If 0, rescale at each iteration. If a large
value, never rescale. If < 0, rescale is set to 1.3.
Returns
-------
x : list of floats
The solution.
nfeval : int
The number of function evaluations.
rc :
Return code as defined in the RCSTRINGS dict.
"""
x0 = asarray(x0, dtype=float).tolist()
n = len(x0)
if bounds is None:
bounds = [(None,None)] * n
if len(bounds) != n:
raise ValueError('length of x0 != length of bounds')
if approx_grad:
def func_and_grad(x):
x = asarray(x)
f = func(x, *args)
g = approx_fprime(x, func, epsilon, *args)
return f, list(g)
elif fprime is None:
def func_and_grad(x):
x = asarray(x)
f, g = func(x, *args)
return f, list(g)
else:
def func_and_grad(x):
x = asarray(x)
f = func(x, *args)
g = fprime(x, *args)
return f, list(g)
"""
low, up : the bounds (lists of floats)
if low is None, the lower bounds are removed.
if up is None, the upper bounds are removed.
low and up defaults to None
"""
low = [0]*n
up = [0]*n
for i in range(n):
if bounds[i] is None: l, u = -inf, inf
else:
l,u = bounds[i]
if l is None:
low[i] = -inf
else:
low[i] = l
if u is None:
up[i] = inf
else:
up[i] = u
if scale is None:
scale = []
if offset is None:
offset = []
if maxfun is None:
maxfun = max(100, 10*len(x0))
rc, nf, x = moduleTNC.minimize(func_and_grad, x0, low, up, scale, offset,
messages, maxCGit, maxfun, eta, stepmx, accuracy,
fmin, ftol, xtol, pgtol, rescale)
return array(x), nf, rc
def _minimize_tnc(fun, x0, args=(), jac=None, bounds=None, options=None):
"""
Minimize a scalar function of one or more variables using a truncated
Newton (TNC) algorithm.
Options for the TNC algorithm are:
eps: float
Step size used for numerical approximation of the jacobian.
scale : list of floats
Scaling factors to apply to each variable. If None, the
factors are up-low for interval bounded variables and
1+|x] fo the others. Defaults to None
offset : float
Value to substract from each variable. If None, the
offsets are (up+low)/2 for interval bounded variables
and x for the others.
disp : bool
Set to True to print convergence messages.
maxCGit : int
Maximum number of hessian*vector evaluations per main
iteration. If maxCGit == 0, the direction chosen is
-gradient if maxCGit < 0, maxCGit is set to
max(1,min(50,n/2)). Defaults to -1.
maxfev : int
Maximum number of function evaluation. if None, `maxfev` is
set to max(100, 10*len(x0)). Defaults to None.
eta : float
Severity of the line search. if < 0 or > 1, set to 0.25.
Defaults to -1.
stepmx : float
Maximum step for the line search. May be increased during
call. If too small, it will be set to 10.0. Defaults to 0.
accuracy : float
Relative precision for finite difference calculations. If
<= machine_precision, set to sqrt(machine_precision).
Defaults to 0.
minfev : float
Minimum function value estimate. Defaults to 0.
ftol : float
Precision goal for the value of f in the stoping criterion.
If ftol < 0.0, ftol is set to 0.0 defaults to -1.
xtol : float
Precision goal for the value of x in the stopping
criterion (after applying x scaling factors). If xtol <
0.0, xtol is set to sqrt(machine_precision). Defaults to
-1.
pgtol : float
Precision goal for the value of the projected gradient in
the stopping criterion (after applying x scaling factors).
If pgtol < 0.0, pgtol is set to 1e-2 * sqrt(accuracy).
Setting it to 0.0 is not recommended. Defaults to -1.
rescale : float
Scaling factor (in log10) used to trigger f value
rescaling. If 0, rescale at each iteration. If a large
value, never rescale. If < 0, rescale is set to 1.3.
This function is called by the `minimize` function with `method=TNC`.
It is not supposed to be called directly.
"""
if options is None:
options = {}
# retrieve useful options
epsilon = options.get('eps', 1e-8)
scale = options.get('scale')
offset = options.get('offset')
mesg_num = options.get('mesg_num')
maxCGit = options.get('maxCGit', -1)
maxfun = options.get('maxfev')
eta = options.get('eta', -1)
stepmx = options.get('stepmx', 0)
accuracy = options.get('accuracy', 0)
fmin = options.get('minfev', 0)
ftol = options.get('ftol', -1)
xtol = options.get('xtol', -1)
pgtol = options.get('pgtol', -1)
rescale = options.get('rescale', -1)
disp = options.get('disp', False)
x0 = asarray(x0, dtype=float).tolist()
n = len(x0)
if bounds is None:
bounds = [(None,None)] * n
if len(bounds) != n:
raise ValueError('length of x0 != length of bounds')
if mesg_num is not None:
messages = {0:MSG_NONE, 1:MSG_ITER, 2:MSG_INFO, 3:MSG_VERS,
4:MSG_EXIT, 5:MSG_ALL}.get(mesg_num, MSG_ALL)
elif disp:
messages = MSG_ALL
else:
messages = MSG_NONE
if jac is None:
def func_and_grad(x):
x = asarray(x)
f = fun(x, *args)
g = approx_fprime(x, fun, epsilon, *args)
return f, list(g)
else:
def func_and_grad(x):
x = asarray(x)
f = fun(x, *args)
g = jac(x, *args)
return f, list(g)
"""
low, up : the bounds (lists of floats)
if low is None, the lower bounds are removed.
if up is None, the upper bounds are removed.
low and up defaults to None
"""
low = [0]*n
up = [0]*n
for i in range(n):
if bounds[i] is None: l, u = -inf, inf
else:
l,u = bounds[i]
if l is None:
low[i] = -inf
else:
low[i] = l
if u is None:
up[i] = inf
else:
up[i] = u
if scale is None:
scale = []
if offset is None:
offset = []
if maxfun is None:
maxfun = max(100, 10*len(x0))
rc, nf, x = moduleTNC.minimize(func_and_grad, x0, low, up, scale, offset,
messages, maxCGit, maxfun, eta, stepmx, accuracy,
fmin, ftol, xtol, pgtol, rescale)
xopt = array(x)
funv, jacv = func_and_grad(xopt)
return Result(x=xopt, fun=funv, jac=jacv, nfev=nf, status=rc,
message=RCSTRINGS[rc], success=(-1 < rc < 3))
def _minimize_tnc(fun, x0, args=(), jac=None, bounds=None,
eps=1e-8, scale=None, offset=None, mesg_num=None,
maxCGit=-1, maxiter=None, eta=-1, stepmx=0, accuracy=0,
minfev=0, ftol=-1, xtol=-1, gtol=-1, rescale=-1, disp=False,
callback=None, **unknown_options):
"""
Minimize a scalar function of one or more variables using a truncated
Newton (TNC) algorithm.
Options
-------
eps : float
Step size used for numerical approximation of the jacobian.
scale : list of floats
Scaling factors to apply to each variable. If None, the
factors are up-low for interval bounded variables and
1+|x] fo the others. Defaults to None
offset : float
Value to subtract from each variable. If None, the
offsets are (up+low)/2 for interval bounded variables
and x for the others.
disp : bool
Set to True to print convergence messages.
maxCGit : int
Maximum number of hessian*vector evaluations per main
iteration. If maxCGit == 0, the direction chosen is
-gradient if maxCGit < 0, maxCGit is set to
max(1,min(50,n/2)). Defaults to -1.
maxiter : int
Maximum number of function evaluation. if None, `maxiter` is
set to max(100, 10*len(x0)). Defaults to None.
eta : float
Severity of the line search. if < 0 or > 1, set to 0.25.
Defaults to -1.
stepmx : float
Maximum step for the line search. May be increased during
call. If too small, it will be set to 10.0. Defaults to 0.
accuracy : float
Relative precision for finite difference calculations. If
<= machine_precision, set to sqrt(machine_precision).
Defaults to 0.
minfev : float
Minimum function value estimate. Defaults to 0.
ftol : float
Precision goal for the value of f in the stopping criterion.
If ftol < 0.0, ftol is set to 0.0 defaults to -1.
xtol : float
Precision goal for the value of x in the stopping
criterion (after applying x scaling factors). If xtol <
0.0, xtol is set to sqrt(machine_precision). Defaults to
-1.
gtol : float
Precision goal for the value of the projected gradient in
the stopping criterion (after applying x scaling factors).
If gtol < 0.0, gtol is set to 1e-2 * sqrt(accuracy).
Setting it to 0.0 is not recommended. Defaults to -1.
rescale : float
Scaling factor (in log10) used to trigger f value
rescaling. If 0, rescale at each iteration. If a large
value, never rescale. If < 0, rescale is set to 1.3.
"""
_check_unknown_options(unknown_options)
epsilon = eps
maxfun = maxiter
fmin = minfev
pgtol = gtol
x0 = asfarray(x0).flatten()
n = len(x0)
if bounds is None:
bounds = [(None,None)] * n
if len(bounds) != n:
raise ValueError('length of x0 != length of bounds')
if mesg_num is not None:
messages = {0:MSG_NONE, 1:MSG_ITER, 2:MSG_INFO, 3:MSG_VERS,
4:MSG_EXIT, 5:MSG_ALL}.get(mesg_num, MSG_ALL)
elif disp:
messages = MSG_ALL
else:
messages = MSG_NONE
if jac is None:
def func_and_grad(x):
f = fun(x, *args)
g = approx_fprime(x, fun, epsilon, *args)
return f, g
else:
def func_and_grad(x):
f = fun(x, *args)
g = jac(x, *args)
return f, g
"""
low, up : the bounds (lists of floats)
if low is None, the lower bounds are removed.
if up is None, the upper bounds are removed.
low and up defaults to None
"""
low = zeros(n)
up = zeros(n)
for i in range(n):
if bounds[i] is None:
l, u = -inf, inf
else:
l,u = bounds[i]
if l is None:
low[i] = -inf
else:
low[i] = l
if u is None:
up[i] = inf
else:
up[i] = u
if scale is None:
scale = array([])
if offset is None:
offset = array([])
if maxfun is None:
maxfun = max(100, 10*len(x0))
rc, nf, nit, x = moduleTNC.minimize(func_and_grad, x0, low, up, scale,
offset, messages, maxCGit, maxfun,
eta, stepmx, accuracy, fmin, ftol,
xtol, pgtol, rescale, callback)
funv, jacv = func_and_grad(x)
return OptimizeResult(x=x, fun=funv, jac=jacv, nfev=nf, nit=nit, status=rc,
message=RCSTRINGS[rc], success=(-1 < rc < 3))
def fmin_tnc(func, x0, fprime=None, args=(), approx_grad=0,
bounds=None, epsilon=1e-8, scale=None, offset=None,
messages=MSG_ALL, maxCGit=-1, maxfun=None, eta=-1,
stepmx=0, accuracy=0, fmin=0, ftol=-1, xtol=-1, pgtol=-1,
rescale=-1, disp=None):
"""
Minimize a function with variables subject to bounds, using
gradient information in a truncated Newton algorithm. This
method wraps a C implementation of the algorithm.
Parameters
----------
func : callable ``func(x, *args)``
Function to minimize. Must do one of
1. Return f and g, where f is
the value of the function and g its gradient (a list of
floats).
2. Return the function value but supply gradient function
seperately as fprime
3. Return the function value and set approx_grad=True.
If the function returns None, the minimization
is aborted.
x0 : list of floats
Initial estimate of minimum.
fprime : callable ``fprime(x, *args)``
Gradient of func. If None, then either func must return the
function value and the gradient (``f,g = func(x, *args)``)
or approx_grad must be True.
args : tuple
Arguments to pass to function.
approx_grad : bool
If true, approximate the gradient numerically.
bounds : list
(min, max) pairs for each element in x0, defining the
bounds on that parameter. Use None or +/-inf for one of
min or max when there is no bound in that direction.
epsilon: float
Used if approx_grad is True. The stepsize in a finite
difference approximation for fprime.
scale : list of floats
Scaling factors to apply to each variable. If None, the
factors are up-low for interval bounded variables and
1+|x] fo the others. Defaults to None
offset : float
Value to substract from each variable. If None, the
offsets are (up+low)/2 for interval bounded variables
and x for the others.
messages :
Bit mask used to select messages display during
minimization values defined in the MSGS dict. Defaults to
MGS_ALL.
disp : int
Integer interface to messages. 0 = no message, 5 = all messages
maxCGit : int
Maximum number of hessian*vector evaluations per main
iteration. If maxCGit == 0, the direction chosen is
-gradient if maxCGit < 0, maxCGit is set to
max(1,min(50,n/2)). Defaults to -1.
maxfun : int
Maximum number of function evaluation. if None, maxfun is
set to max(100, 10*len(x0)). Defaults to None.
eta : float
Severity of the line search. if < 0 or > 1, set to 0.25.
Defaults to -1.
stepmx : float
Maximum step for the line search. May be increased during
call. If too small, it will be set to 10.0. Defaults to 0.
accuracy : float
Relative precision for finite difference calculations. If
<= machine_precision, set to sqrt(machine_precision).
Defaults to 0.
fmin : float
Minimum function value estimate. Defaults to 0.
ftol : float
Precision goal for the value of f in the stoping criterion.
If ftol < 0.0, ftol is set to 0.0 defaults to -1.
xtol : float
Precision goal for the value of x in the stopping
criterion (after applying x scaling factors). If xtol <
0.0, xtol is set to sqrt(machine_precision). Defaults to
-1.
pgtol : float
Precision goal for the value of the projected gradient in
the stopping criterion (after applying x scaling factors).
If pgtol < 0.0, pgtol is set to 1e-2 * sqrt(accuracy).
Setting it to 0.0 is not recommended. Defaults to -1.
rescale : float
Scaling factor (in log10) used to trigger f value
rescaling. If 0, rescale at each iteration. If a large
value, never rescale. If < 0, rescale is set to 1.3.
Returns
-------
x : list of floats
The solution.
nfeval : int
The number of function evaluations.
rc : int
Return code as defined in the RCSTRINGS dict.
Notes
-----
The underlying algorithm is truncated Newton, also called
Newton Conjugate-Gradient. This method differs from
scipy.optimize.fmin_ncg in that
1. It wraps a C implementation of the algorithm
2. It allows each variable to be given an upper and lower bound.
The algorithm incoporates the bound constraints by determining
the descent direction as in an unconstrained truncated Newton,
but never taking a step-size large enough to leave the space
of feasible x's. The algorithm keeps track of a set of
currently active constraints, and ignores them when computing
the minimum allowable step size. (The x's associated with the
active constraint are kept fixed.) If the maximum allowable
step size is zero then a new constraint is added. At the end
of each iteration one of the constraints may be deemed no
longer active and removed. A constraint is considered
no longer active is if it is currently active
but the gradient for that variable points inward from the
constraint. The specific constraint removed is the one
associated with the variable of largest index whose
constraint is no longer active.
References
----------
Wright S., Nocedal J. (2006), 'Numerical Optimization'
Nash S.G. (1984), "Newton-Type Minimization Via the Lanczos Method",
SIAM Journal of Numerical Analysis 21, pp. 770-778
"""
x0 = asarray(x0, dtype=float).tolist()
n = len(x0)
if bounds is None:
bounds = [(None,None)] * n
if len(bounds) != n:
raise ValueError('length of x0 != length of bounds')
if disp is not None:
messages = {0:MSG_NONE, 1:MSG_ITER, 2:MSG_INFO, 3:MSG_VERS,
4:MSG_EXIT, 5:MSG_ALL}.get(disp, MSG_ALL)
if approx_grad:
def func_and_grad(x):
x = asarray(x)
f = func(x, *args)
g = approx_fprime(x, func, epsilon, *args)
return f, list(g)
elif fprime is None:
def func_and_grad(x):
x = asarray(x)
f, g = func(x, *args)
return f, list(g)
else:
def func_and_grad(x):
x = asarray(x)
f = func(x, *args)
g = fprime(x, *args)
return f, list(g)
"""
low, up : the bounds (lists of floats)
if low is None, the lower bounds are removed.
if up is None, the upper bounds are removed.
low and up defaults to None
"""
low = [0]*n
up = [0]*n
for i in range(n):
if bounds[i] is None: l, u = -inf, inf
else:
l,u = bounds[i]
if l is None:
low[i] = -inf
else:
low[i] = l
if u is None:
up[i] = inf
else:
up[i] = u
if scale is None:
scale = []
if offset is None:
offset = []
if maxfun is None:
maxfun = max(100, 10*len(x0))
rc, nf, x = moduleTNC.minimize(func_and_grad, x0, low, up, scale, offset,
messages, maxCGit, maxfun, eta, stepmx, accuracy,
fmin, ftol, xtol, pgtol, rescale)
return array(x), nf, rc
def _minimize_tnc(fun, x0, args=(), jac=None, bounds=None,
eps=1e-8, scale=None, offset=None, mesg_num=None,
maxCGit=-1, maxiter=None, eta=-1, stepmx=0, accuracy=0,
minfev=0, ftol=-1, xtol=-1, gtol=-1, rescale=-1, disp=False,
callback=None, **unknown_options):
"""
Minimize a scalar function of one or more variables using a truncated
Newton (TNC) algorithm.
Options
-------
eps : float
Step size used for numerical approximation of the jacobian.
scale : list of floats
Scaling factors to apply to each variable. If None, the
factors are up-low for interval bounded variables and
1+|x] fo the others. Defaults to None
offset : float
Value to subtract from each variable. If None, the
offsets are (up+low)/2 for interval bounded variables
and x for the others.
disp : bool
Set to True to print convergence messages.
maxCGit : int
Maximum number of hessian*vector evaluations per main
iteration. If maxCGit == 0, the direction chosen is
-gradient if maxCGit < 0, maxCGit is set to
max(1,min(50,n/2)). Defaults to -1.
maxiter : int
Maximum number of function evaluation. if None, `maxiter` is
set to max(100, 10*len(x0)). Defaults to None.
eta : float
Severity of the line search. if < 0 or > 1, set to 0.25.
Defaults to -1.
stepmx : float
Maximum step for the line search. May be increased during
call. If too small, it will be set to 10.0. Defaults to 0.
accuracy : float
Relative precision for finite difference calculations. If
<= machine_precision, set to sqrt(machine_precision).
Defaults to 0.
minfev : float
Minimum function value estimate. Defaults to 0.
ftol : float
Precision goal for the value of f in the stoping criterion.
If ftol < 0.0, ftol is set to 0.0 defaults to -1.
xtol : float
Precision goal for the value of x in the stopping
criterion (after applying x scaling factors). If xtol <
0.0, xtol is set to sqrt(machine_precision). Defaults to
-1.
gtol : float
Precision goal for the value of the projected gradient in
the stopping criterion (after applying x scaling factors).
If gtol < 0.0, gtol is set to 1e-2 * sqrt(accuracy).
Setting it to 0.0 is not recommended. Defaults to -1.
rescale : float
Scaling factor (in log10) used to trigger f value
rescaling. If 0, rescale at each iteration. If a large
value, never rescale. If < 0, rescale is set to 1.3.
"""
_check_unknown_options(unknown_options)
epsilon = eps
maxfun = maxiter
fmin = minfev
pgtol = gtol
x0 = asfarray(x0).flatten()
n = len(x0)
if bounds is None:
bounds = [(None,None)] * n
if len(bounds) != n:
raise ValueError('length of x0 != length of bounds')
if mesg_num is not None:
messages = {0:MSG_NONE, 1:MSG_ITER, 2:MSG_INFO, 3:MSG_VERS,
4:MSG_EXIT, 5:MSG_ALL}.get(mesg_num, MSG_ALL)
elif disp:
messages = MSG_ALL
else:
messages = MSG_NONE
if jac is None:
def func_and_grad(x):
f = fun(x, *args)
g = approx_fprime(x, fun, epsilon, *args)
return f, g
else:
def func_and_grad(x):
f = fun(x, *args)
g = jac(x, *args)
return f, g
"""
low, up : the bounds (lists of floats)
if low is None, the lower bounds are removed.
if up is None, the upper bounds are removed.
low and up defaults to None
"""
low = zeros(n)
up = zeros(n)
for i in range(n):
if bounds[i] is None:
l, u = -inf, inf
else:
l,u = bounds[i]
if l is None:
low[i] = -inf
else:
low[i] = l
if u is None:
up[i] = inf
else:
up[i] = u
if scale is None:
scale = array([])
if offset is None:
offset = array([])
if maxfun is None:
maxfun = max(100, 10*len(x0))
rc, nf, nit, x = moduleTNC.minimize(func_and_grad, x0, low, up, scale,
offset, messages, maxCGit, maxfun,
eta, stepmx, accuracy, fmin, ftol,
xtol, pgtol, rescale, callback)
funv, jacv = func_and_grad(x)
return OptimizeResult(x=x, fun=funv, jac=jacv, nfev=nf, nit=nit, status=rc,
message=RCSTRINGS[rc], success=(-1 < rc < 3))
def fmin_tnc(func, x0, fprime=None, args=(), approx_grad=0,
bounds=None, epsilon=1e-8, scale=None, offset=None,
messages=MSG_ALL, maxCGit=-1, maxfun=None, eta=-1,
stepmx=0, accuracy=0, fmin=0, ftol=-1, xtol=-1, pgtol=-1,
rescale=-1, disp=None):
"""
Minimize a function with variables subject to bounds, using
gradient information in a truncated Newton algorithm. This
method wraps a C implementation of the algorithm.
Parameters
----------
func : callable ``func(x, *args)``
Function to minimize. Must do one of
1. Return f and g, where f is
the value of the function and g its gradient (a list of
floats).
2. Return the function value but supply gradient function
seperately as fprime
3. Return the function value and set approx_grad=True.
If the function returns None, the minimization
is aborted.
x0 : list of floats
Initial estimate of minimum.
fprime : callable ``fprime(x, *args)``
Gradient of func. If None, then either func must return the
function value and the gradient (``f,g = func(x, *args)``)
or approx_grad must be True.
args : tuple
Arguments to pass to function.
approx_grad : bool
If true, approximate the gradient numerically.
bounds : list
(min, max) pairs for each element in x0, defining the
bounds on that parameter. Use None or +/-inf for one of
min or max when there is no bound in that direction.
epsilon: float
Used if approx_grad is True. The stepsize in a finite
difference approximation for fprime.
scale : list of floats
Scaling factors to apply to each variable. If None, the
factors are up-low for interval bounded variables and
1+|x] fo the others. Defaults to None
offset : float
Value to substract from each variable. If None, the
offsets are (up+low)/2 for interval bounded variables
and x for the others.
messages :
Bit mask used to select messages display during
minimization values defined in the MSGS dict. Defaults to
MGS_ALL.
disp : int
Integer interface to messages. 0 = no message, 5 = all messages
maxCGit : int
Maximum number of hessian*vector evaluations per main
iteration. If maxCGit == 0, the direction chosen is
-gradient if maxCGit < 0, maxCGit is set to
max(1,min(50,n/2)). Defaults to -1.
maxfun : int
Maximum number of function evaluation. if None, maxfun is
set to max(100, 10*len(x0)). Defaults to None.
eta : float
Severity of the line search. if < 0 or > 1, set to 0.25.
Defaults to -1.
stepmx : float
Maximum step for the line search. May be increased during
call. If too small, it will be set to 10.0. Defaults to 0.
accuracy : float
Relative precision for finite difference calculations. If
<= machine_precision, set to sqrt(machine_precision).
Defaults to 0.
fmin : float
Minimum function value estimate. Defaults to 0.
ftol : float
Precision goal for the value of f in the stoping criterion.
If ftol < 0.0, ftol is set to 0.0 defaults to -1.
xtol : float
Precision goal for the value of x in the stopping
criterion (after applying x scaling factors). If xtol <
0.0, xtol is set to sqrt(machine_precision). Defaults to
-1.
pgtol : float
Precision goal for the value of the projected gradient in
the stopping criterion (after applying x scaling factors).
If pgtol < 0.0, pgtol is set to 1e-2 * sqrt(accuracy).
Setting it to 0.0 is not recommended. Defaults to -1.
rescale : float
Scaling factor (in log10) used to trigger f value
rescaling. If 0, rescale at each iteration. If a large
value, never rescale. If < 0, rescale is set to 1.3.
Returns
-------
x : list of floats
The solution.
nfeval : int
The number of function evaluations.
rc : int
Return code as defined in the RCSTRINGS dict.
Notes
-----
The underlying algorithm is truncated Newton, also called
Newton Conjugate-Gradient. This method differs from
scipy.optimize.fmin_ncg in that
1. It wraps a C implementation of the algorithm
2. It allows each variable to be given an upper and lower bound.
The algorithm incoporates the bound constraints by determining
the descent direction as in an unconstrained truncated Newton,
but never taking a step-size large enough to leave the space
of feasible x's. The algorithm keeps track of a set of
currently active constraints, and ignores them when computing
the minimum allowable step size. (The x's associated with the
active constraint are kept fixed.) If the maximum allowable
step size is zero then a new constraint is added. At the end
of each iteration one of the constraints may be deemed no
longer active and removed. A constraint is considered
no longer active is if it is currently active
but the gradient for that variable points inward from the
constraint. The specific constraint removed is the one
associated with the variable of largest index whose
constraint is no longer active.
References
----------
Wright S., Nocedal J. (2006), 'Numerical Optimization'
Nash S.G. (1984), "Newton-Type Minimization Via the Lanczos Method",
SIAM Journal of Numerical Analysis 21, pp. 770-778
"""
x0 = asarray(x0, dtype=float).tolist()
n = len(x0)
if bounds is None:
bounds = [(None,None)] * n
if len(bounds) != n:
raise ValueError('length of x0 != length of bounds')
if disp is not None:
messages = {0:MSG_NONE, 1:MSG_ITER, 2:MSG_INFO, 3:MSG_VERS,
4:MSG_EXIT, 5:MSG_ALL}.get(disp, MSG_ALL)
if approx_grad:
def func_and_grad(x):
x = asarray(x)
f = func(x, *args)
g = approx_fprime(x, func, epsilon, *args)
return f, list(g)
elif fprime is None:
def func_and_grad(x):
x = asarray(x)
f, g = func(x, *args)
return f, list(g)
else:
def func_and_grad(x):
x = asarray(x)
f = func(x, *args)
g = fprime(x, *args)
return f, list(g)
"""
low, up : the bounds (lists of floats)
if low is None, the lower bounds are removed.
if up is None, the upper bounds are removed.
low and up defaults to None
"""
low = [0]*n
up = [0]*n
for i in range(n):
if bounds[i] is None: l, u = -inf, inf
else:
l,u = bounds[i]
if l is None:
low[i] = -inf
else:
low[i] = l
if u is None:
up[i] = inf
else:
up[i] = u
if scale is None:
scale = []
if offset is None:
offset = []
if maxfun is None:
maxfun = max(100, 10*len(x0))
rc, nf, x = moduleTNC.minimize(func_and_grad, x0, low, up, scale, offset,
messages, maxCGit, maxfun, eta, stepmx, accuracy,
fmin, ftol, xtol, pgtol, rescale)
return array(x), nf, rc
def _minimize_tnc(fun,
x0,
args=(),
jac=None,
bounds=None,
options={},
full_output=False):
"""
Minimize a scalar function of one or more variables using a truncated
Newton (TNC) algorithm.
Options for the TNC algorithm are:
eps: float
Step size used for numerical approximation of the jacobian.
scale : list of floats
Scaling factors to apply to each variable. If None, the
factors are up-low for interval bounded variables and
1+|x] fo the others. Defaults to None
offset : float
Value to substract from each variable. If None, the
offsets are (up+low)/2 for interval bounded variables
and x for the others.
disp : bool
Set to True to print convergence messages.
maxCGit : int
Maximum number of hessian*vector evaluations per main
iteration. If maxCGit == 0, the direction chosen is
-gradient if maxCGit < 0, maxCGit is set to
max(1,min(50,n/2)). Defaults to -1.
maxfev : int
Maximum number of function evaluation. if None, `maxfev` is
set to max(100, 10*len(x0)). Defaults to None.
eta : float
Severity of the line search. if < 0 or > 1, set to 0.25.
Defaults to -1.
stepmx : float
Maximum step for the line search. May be increased during
call. If too small, it will be set to 10.0. Defaults to 0.
accuracy : float
Relative precision for finite difference calculations. If
<= machine_precision, set to sqrt(machine_precision).
Defaults to 0.
minfev : float
Minimum function value estimate. Defaults to 0.
ftol : float
Precision goal for the value of f in the stoping criterion.
If ftol < 0.0, ftol is set to 0.0 defaults to -1.
xtol : float
Precision goal for the value of x in the stopping
criterion (after applying x scaling factors). If xtol <
0.0, xtol is set to sqrt(machine_precision). Defaults to
-1.
pgtol : float
Precision goal for the value of the projected gradient in
the stopping criterion (after applying x scaling factors).
If pgtol < 0.0, pgtol is set to 1e-2 * sqrt(accuracy).
Setting it to 0.0 is not recommended. Defaults to -1.
rescale : float
Scaling factor (in log10) used to trigger f value
rescaling. If 0, rescale at each iteration. If a large
value, never rescale. If < 0, rescale is set to 1.3.
This function is called by the `minimize` function with `method=TNC`.
It is not supposed to be called directly.
"""
# retrieve useful options
epsilon = options.get('eps', 1e-8)
scale = options.get('scale')
offset = options.get('offset')
mesg_num = options.get('mesg_num')
maxCGit = options.get('maxCGit', -1)
maxfun = options.get('maxfev')
eta = options.get('eta', -1)
stepmx = options.get('stepmx', 0)
accuracy = options.get('accuracy', 0)
fmin = options.get('minfev', 0)
ftol = options.get('ftol', -1)
xtol = options.get('xtol', -1)
pgtol = options.get('pgtol', -1)
rescale = options.get('rescale', -1)
disp = options.get('disp', False)
x0 = asarray(x0, dtype=float).tolist()
n = len(x0)
if bounds is None:
bounds = [(None, None)] * n
if len(bounds) != n:
raise ValueError('length of x0 != length of bounds')
if mesg_num is not None:
messages = {
0: MSG_NONE,
1: MSG_ITER,
2: MSG_INFO,
3: MSG_VERS,
4: MSG_EXIT,
5: MSG_ALL
}.get(mesg_num, MSG_ALL)
elif disp:
messages = MSG_ALL
else:
messages = MSG_NONE
if jac is None:
def func_and_grad(x):
x = asarray(x)
f = fun(x, *args)
g = approx_fprime(x, fun, epsilon, *args)
return f, list(g)
else:
def func_and_grad(x):
x = asarray(x)
f = fun(x, *args)
g = jac(x, *args)
return f, list(g)
"""
low, up : the bounds (lists of floats)
if low is None, the lower bounds are removed.
if up is None, the upper bounds are removed.
low and up defaults to None
"""
low = [0] * n
up = [0] * n
for i in range(n):
if bounds[i] is None: l, u = -inf, inf
else:
l, u = bounds[i]
if l is None:
low[i] = -inf
else:
low[i] = l
if u is None:
up[i] = inf
else:
up[i] = u
if scale is None:
scale = []
if offset is None:
offset = []
if maxfun is None:
maxfun = max(100, 10 * len(x0))
rc, nf, x = moduleTNC.minimize(func_and_grad, x0, low, up, scale, offset,
messages, maxCGit, maxfun, eta, stepmx,
accuracy, fmin, ftol, xtol, pgtol, rescale)
xopt = array(x)
if full_output:
funv, jacv = func_and_grad(xopt)
info = {
'solution': xopt,
'fun': funv,
'jac': jacv,
'nfev': nf,
'status': rc,
'message': RCSTRINGS[rc],
'success': -1 < rc < 3
}
return xopt, info
else:
return xopt
