def discrete_function_evaluation(self, x):
'''
Evaluate the discrete search function value at support poitns.
:param x:
:return:
'''
return (self.inter_par.inter_val(x) - min(self.yp))[0] / Utils.mindis(
x, self.xE)[0]
def add_sup(xE, xU, ind_min):
'''
To avoid duplicate values in support points for Delaunay Triangulation.
:param xE: Evaluated points.
:param xU: Support points.
:param ind_min: The minimum point's index in xE.
return: Combination of unique elements of xE and xU and the index of the minimum yp.
'''
xmin = xE[:, ind_min]
xs = np.hstack((xE, xU))
# Construct the concatenate of xE and xU and return the array that every column is unique
x_unique = xs[:, 0].reshape(-1, 1)
for x in xs.T:
dis, _, _ = Utils.mindis(x.reshape(-1, 1), x_unique)
if dis > 1e-5:
x_unique = np.hstack((x_unique, x.reshape(-1, 1)))
# Find the minimum point's index: ind_min
_, ind_min_new, _ = Utils.mindis(xmin.reshape(-1, 1), x_unique)
return x_unique, ind_min_new
def points_neighbers_find(x, xE, xU, Bin, Ain):
'''
This function aims for checking whether it's activated iteration or inactivated.
If activated: perform function evaluation.
Else: add the point to support points.
:param x: Minimizer of continuous search function.
:param xE: Evaluated points.
:param xU: Support points.
:return: x, xE is unchanged.
If success == 1: active constraint, evaluate x.
Else: Add x to xU.
'''
x = x.reshape(-1, 1)
x1 = Utils.mindis(x, np.concatenate((xE, xU), axis=1))[2].reshape(-1, 1)
active_cons = []
b = Bin - np.dot(Ain, x)
for i in range(len(b)):
if b[i][0] < 1e-3:
active_cons.append(i + 1)
active_cons = np.array(active_cons)
active_cons1 = []
b = Bin - np.dot(Ain, x1)
for i in range(len(b)):
if b[i][0] < 1e-3:
active_cons1.append(i + 1)
active_cons1 = np.array(active_cons1)
# Explain the following two criterias，both are actived constraints:
# The first means that x is an interior point.
# The second means that x and x1 have exactly the same constraints.
if len(active_cons) == 0 or abs(
min(ismember(active_cons, active_cons1)) - 1.0) < 1e-6:
newadd = 1
success = 1
if xU.shape[1] != 0 and Utils.mindis(x, xU)[0] == 0:
newadd = 0 # Point x Already exists in support points xU, x should be evaluated.
else:
success = 0
newadd = 0
xU = np.hstack((xU, x))
return x, xE, xU, success, newadd
def unevaluated_vertices_identification(xE, simplex):
exist = 0
N = simplex.shape[1]
for i in range(N):
vertice = simplex[:, i].reshape(-1, 1)
val, idx, x_nn = Utils.mindis(vertice, xE)
if val == 0: # vertice exists in evaluated point set
pass
else:
exist = 1
break
return exist
def check_activated(x, xE, xU, Bin, Ain):
# modified for Lambda Delta DOGS
# inactive step completed
# Add the new point to the set
# xE: evaluation points.
# xU: unevaluated points.
xs, _ = add_sup(xE, xU, 1)
# Find closest point to x
del_general, index, x1 = Utils.mindis(x, xs)
# Calculate the active constraints at x and x1
ind = np.where(np.dot(Ain, x) - Bin > -1e-4)[0]
ind1 = np.where(np.dot(Ain, x1) - Bin > -1e-4)[0]
if len(ind) == 0 or min(ismember(ind, ind1)) == 1:
label = 1
else:
label = 0
return label
def adaptivek_search_cost_snopt(x):
x = x.reshape(-1, 1)
folder = folder_path()
var_opt = io.loadmat(folder + "/opt_info.mat")
n = var_opt['n'][0, 0]
xc = var_opt['xc']
R2 = var_opt['R2'][0, 0]
y0 = var_opt['y0'][0, 0]
nF = var_opt['nF'][0, 0]
A = var_opt['A']
y_safe = var_opt['y_safe']
L_safe = var_opt['L_safe'][0, 0]
# Initialize the output F and G.
F = np.zeros(nF)
method = var_opt['inter_par_method'][0]
inter_par = interpolation.Inter_par(method=method)
inter_par.w = var_opt['inter_par_w']
inter_par.v = var_opt['inter_par_v']
inter_par.xi = var_opt['inter_par_xi']
p = interpolation.interpolate_val(x, inter_par)
e = R2 - np.linalg.norm(x - xc)**2
gp = interpolation.interpolate_grad(x, inter_par)
ge = -2 * (x - xc)
de = (1e-10 if abs(p - y0) < 1e-10 else p - y0)
F[0] = -e / de # K0 = 0 because only at 1st iteration we only have 1 function evaluation.
val, idx, x_nn = Utils.mindis(x, inter_par.xi)
F[-1] = y_safe[idx] - L_safe * np.linalg.norm(x - x_nn)
if n > 1: # nD data has n+1 simplex bounds.
F[1:-1] = (np.dot(
A, x)).T[0] # broadcast input array from (3,1) into shape (3).
DM = -ge / de + e * gp / de**2
G = np.hstack(
(DM.flatten(),
(-L_safe * (x - x_nn) / np.linalg.norm(x - x_nn)).flatten()))
return F, G
def lorenz_noise_eval(x, t):
h = 0.001
ROOT = os.getcwd()
file_name = 'points.mat'
file_path = os.path.join(ROOT, file_name)
data = io.loadmat(file_path)
xE = data['xE']
index = Utils.mindis(x, xE)[1]
points_eval_data_path = os.path.join(ROOT,
'AllPoints/pt' + str(index) + '.mat')
points_eval_data = io.loadmat(points_eval_data_path)
zs = points_eval_data['zs'][0]
length = int(min((t / h), 1000))
xx = uq.data_moving_average(zs, length)
sig = np.sqrt(uq.stationary_statistical_learning_reduced(xx, 18)[0])
return sig
def initial_calc1D(self, adogs):
"""
Plot the initial objective function together with the uncertainty of 1D parameter space.
:return:
"""
adogs.func_prior_xE = np.linspace(adogs.physical_lb[0],
adogs.physical_ub[0], self.size)
adogs.func_prior_yE = np.zeros(adogs.func_prior_xE.shape[0])
adogs.func_prior_sigma = np.zeros(adogs.func_prior_xE.shape[0])
for i in range(self.size):
adogs.func_prior_yE[i] = adogs.truth_eval(adogs.func_prior_xE[i],
adogs.T0)
adogs.func_prior_sigma[i] = adogs.sigma_eval(
adogs.func_prior_xE[i], adogs.T0) * 2
# For the evaluated data point, the uncertainty has been reduced
for i in range(adogs.xE.shape[0]):
val, idx, xmin = Utils.mindis(adogs.xE[:, i], adogs.func_prior_xE)
if val < 1e-10:
adogs.func_prior_sigma[idx] = adogs.sigma[i]
def lorenz_func_eval(x, t):
h = 0.001
ROOT = os.getcwd()
file_name = 'points.mat'
file_path = os.path.join(ROOT, file_name)
if not os.path.exists(file_path):
# First function evaluation, create data points and save it in file
data = {'xE': x}
index = 0
type = 'identify'
io.savemat(file_path, data)
else:
data = io.loadmat(file_path)
xE = data['xE']
val, idx, _ = Utils.mindis(x, xE)
if val < 1e-6:
# x has already been evaluated
index = idx
type = 'additional'
else:
index = xE.shape[1]
type = 'identify'
xE = np.hstack((xE, x))
data = {'xE': xE}
io.savemat(file_path, data)
l = lorenz.Lorenz(x, t, h, 23.57, index, type)
l.lorenz_eval()
# J, sig = l.main()
# return J, sig
return l.J
def constant_surrogate_solver(self):
'''
Surrogate solver using constant K algorithm iteratively perform additional sampling/ mesh refinement/
identifying sampling.
:return:
'''
self.iter += 1
self.K0 = np.ptp(self.yE, axis=0)
self.inter_par = interpolation.InterParams(self.xE)
self.yp = self.inter_par.regressionparameterization(
self.yE, self.sigma)
# Calculate the discrete function.
self.sd = np.amin(
(self.yp, 2 * self.yE - self.yp), 0) - self.L * self.sigma
ind_min = np.argmin(self.yp)
self.yd = np.amin(self.sd)
self.index_min_yd = np.argmin(self.sd)
self.xd = np.copy(self.xE[:, self.index_min_yd].reshape(-1, 1))
self.yu = np.zeros(self.xU.shape[1])
if self.xU.shape[1] != 0:
for ii in range(self.xU.shape[1]):
self.yu[ii] = self.discrete_function_evaluation(self.xU[:, ii])
else:
pass
if self.xU.shape[1] != 0 and np.amin(self.yu) < np.min(self.yp):
ind = np.argmin(self.yu)
self.xc = np.copy(self.xU[:, ind].reshape(-1, 1))
self.yc = -np.inf
self.xU = scipy.delete(self.xU, ind, 1)
else:
while 1:
xs, ind_min = cartesian_grid.add_sup(self.xE, self.xU, ind_min)
xc, self.yc, result = constantK.tringulation_search_bound_constantK(
self.inter_par, xs, self.K * self.K0, ind_min)
if self.inter_par.inter_val(xc) < min(self.yp):
self.xc = np.round(xc * self.ms) / self.ms
break
else:
self.xc = np.round(xc * self.ms) / self.ms
if Utils.mindis(self.xc, self.xE)[0] < 1e-6:
break
self.xE, self.xU, success, newadd = cartesian_grid.points_neighbers_find(
self.xc, self.xE, self.xU, self.Bin, self.Ain)
if success == 1:
break
else:
self.yu = np.hstack(
(self.yu,
self.discrete_function_evaluation(self.xc)))
if self.xU.shape[1] != 0 and np.amin(self.yu) < np.min(
self.yp):
xc_discrete = self.discrete_function_evaluation(self.xc)
if np.amin(self.yu) < xc_discrete:
ind = np.argmin(self.yu)
self.xc = np.copy(self.xU[:, ind].reshape(-1, 1))
self.yc = -np.inf
self.xU = scipy.delete(self.xU, ind, 1)
if self.yd < self.yc:
self.iter_type = 'sdmin'
self.T[self.index_min_yd] += self.dt
self.yE[self.index_min_yd] = self.func_eval(
self.xd, self.T[self.index_min_yd])
self.sigma[self.index_min_yd] = self.sigma_eval(
self.xd, self.T[self.index_min_yd])
self.iteration_summary_matrix[self.iter] = {
'x': self.xd.tolist(),
'y': self.yE[self.index_min_yd],
'T': self.T[self.index_min_yd],
'sig': self.sigma[self.index_min_yd]
}
if self.T[self.index_min_yd] >= self.Tmax:
# Function evaluation has reached the limit, refine the mesh
# TODO refine the mesh here??????
# tODO or, directly goes to eval xc min?
# TODO cuz xcmin is the initial evaluation, not expensive
self.Tmax_reached = True
else:
self.Tmax_reached = False
else:
if Utils.mindis(self.xc, self.xE)[0] < 1e-6:
self.iter_type = 'refine'
self.K *= 2
self.ms *= 2
self.L += self.L0
else:
self.iter_type = 'scmin'
self.T = np.hstack((self.T, self.T0))
self.xE = np.hstack((self.xE, self.xc))
self.yE = np.hstack((self.yE, self.func_eval(self.xc,
self.T0)))
self.sigma = np.hstack(
(self.sigma, self.sigma_eval(self.xc, self.T0)))
self.iteration_summary_matrix[self.iter] = {
'x': self.xc.tolist(),
'y': self.yE[-1],
'T': self.T0,
'sig': self.sigma[-1]
}
if self.save_fig:
self.iter_plot(self)
if self.iter_summary:
self.plot.summary_display(self)
def continuous_search_plot1D(self, adogs):
'''
Plot the continuous search function.
:return:
'''
xU = Utils.bounds(adogs.lb, adogs.ub, adogs.n)
if adogs.iter_type == 'scmin' and Utils.mindis(adogs.xc, xU)[0] > 1e-6:
xi = np.hstack((adogs.xE[:, :-1], adogs.xU))
else:
xi = np.hstack((adogs.xE, adogs.xU))
sx = sorted(range(xi.shape[1]), key=lambda x: xi[:, x])
tri = np.zeros((xi.shape[1] - 1, 2))
tri[:, 0] = sx[:xi.shape[1] - 1]
tri[:, 1] = sx[1:]
tri = tri.astype(np.int32)
num_plot_points = 2000
xe_plot = np.zeros((tri.shape[0], num_plot_points))
e_plot = np.zeros((tri.shape[0], num_plot_points))
sc_plot = np.zeros((tri.shape[0], num_plot_points))
for ii in range(len(tri)):
simplex_range = np.copy(xi[:, tri[ii, :]])
# Discretized mesh grid on x direction in one simplex
x = np.linspace(simplex_range[0, 0], simplex_range[0, 1],
num_plot_points)
# Circumradius and circumcenter for current simplex
R2, xc = Utils.circhyp(xi[:, tri[ii, :]], adogs.n)
for jj in range(len(x)):
# Interpolation p(x)
p = adogs.inter_par.inter_val(x[jj])
# Uncertainty function e(x)
e_plot[ii, jj] = (R2 - np.linalg.norm(x[jj] - xc)**2)
# Continuous search function s(x)
sc_plot[ii, jj] = p - adogs.K * adogs.K0 * e_plot[ii, jj]
xe_plot[ii, :] = np.copy(x)
for i in range(len(tri)):
# Plot the uncertainty function e(x)
# plt.plot(xe_plot[i, :], e_plot[i, :] - 5.5, c='g', label=r'$e(x)$')
# Plot the continuous search function sc(x)
plt.plot(xe_plot[i, :],
sc_plot[i, :],
'r--',
zorder=20,
label=r'$S_c(x)$')
yc_min = sc_plot.flat[np.abs(xe_plot - adogs.xc).argmin()]
plt.scatter(adogs.xc,
yc_min,
c=(1, 0.769, 0.122),
marker='D',
zorder=15,
label=r'min $S_c(x)$')
def safe_continuous_constantK_search_1d_plot(xE, xU, fun_eval, safe_eval,
L_safe, K, xc_min, Nm):
'''
Given evaluated points set xE, and the objective function. Plot the
interpolation, uncertainty function and continuous search function.
:param xE:
:param xU:
:param fun_eval:
:param safe_eval:
:param L_safe:
:param K:
:param xc_min:
:param Nm:
:return:
'''
N = xE.shape[1]
yE = np.zeros(N)
for i in range(N):
yE[i] = fun_eval(xE[:, i])
inter_par = interpolation.Inter_par(method='NPS')
inter_par, _ = interpolation.interpolateparameterization(xE, yE, inter_par)
x = np.linspace(0, 1, 1000)
y, yp = np.zeros(x.shape), np.zeros(x.shape)
for i in range(x.shape[0]):
y[i] = fun_eval(x[i])
yp[i] = interpolation.interpolate_val(x[i], inter_par)
xi = np.hstack((xE, xU))
sx = sorted(range(xi.shape[1]), key=lambda x: xi[:, x])
tri = np.zeros((xi.shape[1] - 1, 2))
tri[:, 0] = sx[:xi.shape[1] - 1]
tri[:, 1] = sx[1:]
tri = tri.astype(np.int32)
xe_plot = np.zeros((tri.shape[0], 2000))
e_plot = np.zeros((tri.shape[0], 2000))
sc_plot = np.zeros((tri.shape[0], 2000))
n = xE.shape[0]
for ii in range(len(tri)):
temp_x = np.copy(xi[:, tri[ii, :]])
simplex = xi[:, tri[ii, :]]
# Determine if the boundary corner exists or not in simplex
exist = 0
for i in range(simplex.shape[1]):
vertice = simplex[:, i].reshape(-1, 1)
val, _, _ = Utils.mindis(vertice, xE)
if val == 0:
pass
else:
exist = 1
break
x_ = np.linspace(temp_x[0, 0], temp_x[0, 1], 2000)
temp_Sc = np.zeros(len(x_))
temp_e = np.zeros(len(x_))
p = np.zeros(len(x_))
R2, xc = Utils.circhyp(xi[:, tri[ii, :]], n)
for jj in range(len(x_)):
p[jj] = interpolation.interpolate_val(x_[jj], inter_par)
if exist == 0:
temp_e[jj] = (R2 - np.linalg.norm(x_[jj] - xc)**2)
else:
val, _, _ = Utils.mindis(x_[jj], xE)
temp_e[jj] = val**(2)
# val, idx, vertex = Utils.mindis(x_[jj], xE)
# c = 0.1
# temp_e[jj] = (val + c) ** (1/2) - c ** (1/2)
temp_Sc[jj] = p[jj] - K * temp_e[jj]
e_plot[ii, :] = temp_e
xe_plot[ii, :] = x_
sc_plot[ii, :] = temp_Sc
# The minimizer of continuous search must be subject to safe constraints.
# sc_min = np.min(sc_plot, axis=1)
# index_r = np.argmin(sc_min)
# index_c = np.argmin(sc_plot[index_r, :])
# sc_min_x = xe_plot[index_r, index_c]
# sc_min = min(np.min(sc_plot, axis=1))
safe_plot = {}
## plot the safe region
for ii in range(xE.shape[1]):
y_safe = safe_eval(xE[:, ii])
safe_index = []
y_safe_plot = []
safe_eval_lip = lambda x: y_safe - L_safe * np.sqrt(
np.dot((x - xE[:, ii]).T, x - xE[:, ii]))
for i in range(x.shape[0]):
safe_val = safe_eval_lip(x[i])
y_safe_plot.append(safe_val[0])
if safe_val > 0:
safe_index.append(i)
name = str(ii)
safe_plot[name] = [safe_index, y_safe_plot]
# ================== First plot =================
fig = plt.figure()
plt.subplot(2, 1, 1)
# plot the essentials for DeltaDOGS
plt.plot(x, y, c='k')
plt.plot(x, yp, c='b')
for i in range(len(tri)):
if i == 0 or i == len(tri) - 1:
amplify_factor = 3
else:
amplify_factor = 50
plt.plot(xe_plot[i, :], sc_plot[i, :], c='r')
plt.plot(xe_plot[i, :], amplify_factor * e_plot[i, :] - 5.5, c='g')
plt.scatter(xE, yE, c='b', marker='s')
yc_min = sc_plot.flat[np.abs(xe_plot - xc_min).argmin()]
plt.scatter(xc_min, yc_min, c='r', marker='^')
# plot the safe region in cyan
xlow, xupp = safe_region_plot(x, safe_plot)
y_vertical = np.linspace(-2, 2, 100)
xlow_y_vertical = xlow * np.ones(100)
xupp_y_vertical = xupp * np.ones(100)
plt.plot(xlow_y_vertical, y_vertical, color='cyan', linestyle='--')
plt.plot(xupp_y_vertical, y_vertical, color='cyan', linestyle='--')
plt.ylim(-6.5, 3.5)
plt.gca().axes.get_yaxis().set_visible(False)
# ================== Second plot =================
plt.subplot(2, 1, 2)
y_safe_all = np.zeros(x.shape)
for i in range(x.shape[0]):
y_safe_all[i] = safe_eval(x[i])
plt.plot(x, y_safe_all)
zero_indicator = np.zeros(x.shape)
plt.plot(x, zero_indicator, c='k')
x_scatter = np.hstack((xE, xc_min))
y_scatter = np.zeros(x_scatter.shape[1])
for i in range(x_scatter.shape[1]):
ind = np.argmin(np.abs(x_scatter[:, i] - x))
y_scatter[i] = y_safe_all[ind]
plt.scatter(x_scatter[:, :-1][0], y_scatter[:-1], c='b', marker='s')
plt.scatter(x_scatter[:, -1], y_scatter[-1], c='r', marker='^')
# plot the safe region
xlow, xupp = safe_region_plot(x, safe_plot)
low_idx = np.argmin(np.abs(xlow - x))
upp_idx = np.argmin(np.abs(xupp - x))
ylow_vertical = np.linspace(y_safe_all[low_idx], 2, 100)
yupp_vertical = np.linspace(y_safe_all[upp_idx], 2, 100)
xlow_y_vertical = xlow * np.ones(100)
xupp_y_vertical = xupp * np.ones(100)
plt.plot(xlow_y_vertical, ylow_vertical, color='cyan', linestyle='--')
plt.plot(xupp_y_vertical, yupp_vertical, color='cyan', linestyle='--')
plt.ylim(-1, 2.2)
plt.gca().axes.get_yaxis().set_visible(False)
# plt.show()
current_path = os.path.dirname(
os.path.abspath(inspect.getfile(inspect.currentframe())))
plot_folder = current_path[:-5] + "/plot/DDOGS/0"
num_iter = xE.shape[1] - 1 + math.log(Nm / 8, 2)
plt.savefig(plot_folder + '/pic' + str(int(num_iter)) + '.png',
format='png',
dpi=250)
plt.close(fig)
return
def triangulation_search_bound_snopt(inter_par, xi, K, ind_min, y_safe,
L_safe):
# reddir is a vector
inf = 1e+20
n = xi.shape[0] # The dimension of the reduced model.
xE = inter_par.xi
# 0: Build up the Delaunay triangulation based on reduced subspace.
if n == 1:
sx = sorted(range(xi.shape[1]), key=lambda x: xi[:, x])
tri = np.zeros((xi.shape[1] - 1, 2))
tri[:, 0] = sx[:xi.shape[1] - 1]
tri[:, 1] = sx[1:]
tri = tri.astype(np.int32)
else:
options = 'Qt Qbb Qc' if n <= 3 else 'Qt Qbb Qc Qx'
tri = Delaunay(xi.T, qhull_options=options).simplices
keep = np.ones(len(tri), dtype=bool)
for i, t in enumerate(tri):
if abs(np.linalg.det(np.hstack(
(xi.T[t], np.ones([1, n + 1]).T)))) < 1E-15:
keep[i] = False # Point is coplanar, we don't want to keep it
tri = tri[keep]
# Sc contains the continuous search function value of the center of each Delaunay simplex
# 1: Identify the minimizer of adaptive K continuous search function
Sc = np.zeros([np.shape(tri)[0]])
Scl = np.zeros([np.shape(tri)[0]])
for ii in range(np.shape(tri)[0]):
R2, xc = Utils.circhyp(xi[:, tri[ii, :]], n)
if R2 < inf:
# initialize with body center of each simplex
x = np.dot(xi[:, tri[ii, :]], np.ones([n + 1, 1]) / (n + 1))
exist = unevaluated_vertices_identification(xE, xi[:, tri[ii, :]])
if exist == 0:
Sc[ii] = interpolation.interpolate_val(
x, inter_par) - K * (R2 - np.linalg.norm(x - xc)**2)
else:
val, idx, x_nn = Utils.mindis(x, xE)
Sc[ii] = interpolation.interpolate_val(x,
inter_par) - K * val**2
# discrete min
# val, idx, vertex = Utils.mindis(x, xE)
# c = 0.1
# e = (val + c) ** (1/2) - c ** (1/2)
# Sc[ii] = interpolation.interpolate_val(x, inter_par) - K * e
if np.sum(ind_min == tri[ii, :]):
Scl[ii] = np.copy(Sc[ii])
else:
Scl[ii] = inf
else:
Scl[ii] = inf
Sc[ii] = inf
# Global one, the minimum of Sc has the minimum value of all circumcenters.
ind = np.argmin(Sc)
xm, ym = constantk_search_snopt_min(xi[:, tri[ind, :]], inter_par, K,
y_safe, L_safe)
# Local one
ind = np.argmin(Scl)
xml, yml = constantk_search_snopt_min(xi[:, tri[ind, :]], inter_par, K,
y_safe, L_safe)
if yml < ym:
xm = np.copy(xml)
ym = np.copy(yml)
result = 'local'
else:
result = 'glob'
return xm, ym, result
def constantk_search_snopt_min(simplex, inter_par, K, y_safe, L_safe):
'''
The function F is composed as: 1st - objective
2nd to nth - simplex bounds
n+1 th .. - safe constraints
:param x0 : The mass-center of delaunay simplex
:param inter_par :
:param xc :
:param R2:
:param y0:
:param K0:
:param A_simplex:
:param b_simplex:
:param lb_simplex:
:param ub_simplex:
:param y_safe:
:param L_safe:
:return:
'''
xE = inter_par.xi
n = xE.shape[0]
# Determine if the boundary corner exists in simplex, if boundary corner detected:
# e(x) = || x - x' ||^2_2
# else, e(x) is the regular uncertainty function.
exist = unevaluated_vertices_identification(xE, simplex)
# ------- ADD THE FOLLOWING LINE WHEN DEBUGGING --------
# simplex = xi[:, tri[ind, :]]
# ------- ADD THE FOLLOWING LINE WHEN DEBUGGING --------
# Find the minimizer of the search fucntion in a simplex using SNOPT package.
R2, xc = Utils.circhyp(simplex, n)
# x is the center of this simplex
x = np.dot(simplex, np.ones([n + 1, 1]) / (n + 1))
# First find minimizer xr on reduced model, then find the 2D point corresponding to xr. Constrained optm.
A_simplex, b_simplex = Utils.search_simplex_bounds(simplex)
lb_simplex = np.min(simplex, axis=1)
ub_simplex = np.max(simplex, axis=1)
inf = 1.0e+20
m = n + 1 # The number of constraints which is determined by the number of simplex boundaries.
assert m == A_simplex.shape[0], 'The No. of simplex constraints is wrong'
# TODO: multiple safe constraints in future.
# nF: The number of problem functions in F(x), including the objective function, linear and nonlinear constraints.
# ObjRow indicates the number of objective row in F(x).
ObjRow = 1
# solve for constrained minimization of safe learning within each open ball of the vertices of simplex.
# Then choose the one with the minimum continuous function value.
x_solver = np.empty(shape=[n, 0])
y_solver = []
for i in range(n + 1):
vertex = simplex[:, i].reshape(-1, 1)
# First find the y_safe[vertex]:
val, idx, x_nn = Utils.mindis(vertex, xE)
if val > 1e-10:
# This vertex is a boundary corner point. No safe-guarantee, we do not optimize around support points.
continue
else:
# TODO: multiple safe constraints in future.
safe_bounds = y_safe[idx]
if n > 1:
# The first function in F(x) is the objective function, the rest are m simplex constraints.
# The last part of functions in F(x) is the safe constraints.
# In high dimension, A_simplex make sure that linear_derivative_A won't be all zero.
nF = 1 + m + 1 # the last 1 is the safe constraint.
Flow = np.hstack((-inf, b_simplex.T[0], -safe_bounds))
Fupp = inf * np.ones(nF)
# The lower and upper bounds of variables x.
xlow = np.copy(lb_simplex)
xupp = np.copy(ub_simplex)
# For the nonlinear components, enter any nonzero value in G to indicate the location
# of the nonlinear derivatives (in this case, 2).
# A must be properly defined with the correct derivative values.
linear_derivative_A = np.vstack((np.zeros(
(1, n)), A_simplex, np.zeros((1, n))))
nonlinear_derivative_G = np.vstack((2 * np.ones(
(1, n)), np.zeros((m, n)), 2 * np.ones((1, n))))
else:
# For 1D problem, the simplex constraint is defined in x bounds.
# TODO multiple safe cons.
# 2 = 1 obj + 1 safe con. Plus one redundant constraint to make matrix A suitable.
nF = 2 + 1
Flow = np.array([-inf, -safe_bounds, -inf])
Fupp = np.array([inf, inf, inf])
xlow = np.min(simplex) * np.ones(n)
xupp = np.max(simplex) * np.ones(n)
linear_derivative_A = np.vstack((np.zeros(
(1, n)), np.zeros((1, n)), np.ones((1, n))))
nonlinear_derivative_G = np.vstack((2 * np.ones(
(2, n)), np.zeros((1, n))))
x0 = x.T[0]
# ------- ADD THE FOLLOWING LINE WHEN DEBUGGING --------
# cd dogs
# ------- ADD THE FOLLOWING LINE WHEN DEBUGGING --------
save_opt_for_snopt_ck(n, nF, inter_par, xc, R2, K, A_simplex,
L_safe, vertex, exist)
# Since adaptiveK using ( p(x) - f0 ) / e(x), the objective function is nonlinear.
# The constraints are generated by simplex bounds, all linear.
options = SNOPT_options()
options.setOption('Infinite bound', inf)
options.setOption('Verify level', 3)
options.setOption('Verbose', False)
options.setOption('Print level', -1)
options.setOption('Scale option', 2)
options.setOption('Print frequency', -1)
options.setOption('Summary', 'No')
result = snopta(dogsobj,
n,
nF,
x0=x0,
name='DeltaDOGS_snopt',
xlow=xlow,
xupp=xupp,
Flow=Flow,
Fupp=Fupp,
ObjRow=ObjRow,
A=linear_derivative_A,
G=nonlinear_derivative_G,
options=options)
x_solver = np.hstack((x_solver, result.x.reshape(-1, 1)))
y_solver.append(result.objective)
y_solver = np.array(y_solver)
y = np.min(y_solver)
x = x_solver[:, np.argmin(y_solver)].reshape(-1, 1)
return x, y
def vertex_find(A, b, lb, ub):
'''
Find the vertices of a simplex;
Ax<b: Linear constraints;
lb<x<ub: actual constraints;
Attension: Do not try to include lb&ub inside A&b matrix.
Example:
A = np.array([[-1, 1],[1, -1]])
b = np.array([[0.5], [0.5]])
lb = np.zeros((2, 1))
ub = np.ones((2, 1))
:param A:
:param b:
:param lb:
:param ub:
:return:
'''
if A.shape[0] == 0 and b.shape[0] == 0:
if len(lb) != 0 and len(ub) != 0:
Vertex = Utils.bounds(lb, ub, len(lb))
else:
Vertex = []
raise ValueError('All inputs A, b, lb and ub have dimension 0.')
else:
if len(lb) != 0:
Vertex = np.matrix([[], []])
m = A.shape[0]
n = A.shape[1]
if m == 0:
Vertex = Utils.bounds(lb, ub, len(lb))
else:
for r in range(min(n, m) + 1):
from itertools import combinations
nlist = np.arange(1, m + 1)
C = np.array([list(c) for c in combinations(nlist, r)])
nlist2 = np.arange(1, n + 1)
D = np.array([list(d) for d in combinations(nlist2, n - r)])
if r == 0:
F = Utils.bounds(lb, ub, n)
for kk in range(F.shape[1]):
x = np.copy(F[:, kk]).reshape(-1, 1)
if np.all(np.dot(A, x) - b < 0):
Vertex = np.column_stack((Vertex, x))
else:
for ii in range(len(C)):
index_A = np.copy(C[ii])
v1 = np.arange(1, m + 1)
index_A_C = np.setdiff1d(v1, index_A)
A1 = np.copy(A[index_A - 1, :])
b1 = np.copy(b[index_A - 1])
for jj in range(len(D)):
index_B = np.copy(D[jj])
v2 = np.arange(1, n + 1)
index_B_C = np.setdiff1d(v2, index_B)
if len(index_B) != 0 and len(index_B_C) != 0:
F = Utils.bounds(lb[index_B - 1], ub[index_B - 1], n - r)
A11 = np.copy(A1[:, index_B - 1])
A12 = np.copy(A1[:, index_B_C - 1])
for kk in range(F.shape[1]):
A11 = np.copy(A1[:, index_B - 1])
A12 = np.copy(A1[:, index_B_C - 1])
xd = np.linalg.lstsq(A12, b1 - np.dot(A11, F[:, kk].reshape(-1, 1)), rcond=None)[0]
x = np.zeros((n, 1))
x[index_B - 1] = np.copy(F[:, kk])
x[index_B_C - 1] = np.copy(xd)
if r == m or (np.dot(A[index_A_C - 1, :], x) - b[index_A_C - 1]).min() < 0:
if (x - ub).max() < 1e-6 and (x - lb).min() > -1e-6 and Utils.mindis(x, Vertex)[0] > 1e-6:
Vertex = np.column_stack((Vertex, x))
else:
m = A.shape[0]
n = A.shape[1]
from itertools import combinations
nlist = np.arange(1, m + 1)
C = np.array([list(c) for c in combinations(nlist, n)])
Vertex = np.empty(shape=[n, 0])
for ii in range(len(C)):
index_A = np.copy(C[ii])
v1 = np.arange(1, m + 1)
index_A_C = np.setdiff1d(v1, index_A)
A1 = np.copy(A[index_A - 1, :])
b1 = np.copy(b[index_A - 1])
A2 = np.copy(A[index_A_C - 1])
b2 = np.copy(b[index_A_C - 1])
x = np.linalg.lstsq(A1, b1, rcond=None)[0]
if (np.dot(A2, x) - b2).max() < 1e-6:
Vertex = np.column_stack((Vertex, x))
# cant plot Vertex directly. must transform it into np.array.
return np.array(Vertex)
K0 = np.ptp(yE, axis=0) # scale the domain
[inter_par, yp
] = interpolation.interpolateparameterization(xE, yE, inter_par)
ypmin = np.amin(yp)
ind_min = np.argmin(yp)
# Calcuate the unevaluated function:
yu = np.zeros([1, xU.shape[1]])
if xU.shape[1] != 0:
for ii in range(xU.shape[1]):
yu[0, ii] = (
interpolation.interpolate_val(xU[:, ii], inter_par) -
y0) / Utils.mindis(xU[:, ii], xE)[0]
else:
yu = np.array([[]])
xi, ind_min = cartesian_grid.add_sup(xE, xU, ind_min)
xc, yc, result, func = adaptiveK_snopt_safelearning.triangulation_search_bound_snopt(
inter_par, xi, y0, ind_min, y_safe, L_safe)
xc_grid = np.round(xc * Nm) / Nm
success = Utils.safe_eval_estimate(xE, y_safe, L_safe, xc_grid)
xc_eval = (np.copy(xc_grid) if success == 1 else np.copy(xc))
# Dogsplot_sl.safe_continuous_constantK_search_1d_plot(xE, xU, func_eval, safe_eval, L_safe, K, xc_eval, Nm)
# The following block represents inactivate step: Shahrouz phd thesis P148.
if Utils.mindis(
xc_eval,