def getNLP(self):
"""
Prepares and returns the optimization problem for Ipopt (an instance of ipyopt.Problem).
For convenience also does other preprocessing, must be called after all functions are set.
Do not destroy the driver after obtaining the problem.
"""
ConstrainedOptimizationDriver.preprocess(self)
conLowerBound = np.zeros([
self._nCon,
])
conUpperBound = np.zeros([
self._nCon,
])
i = len(self._constraintsEQ)
conUpperBound[i:(i + len(self._constraintsGT))] = 1e20
# assume row major storage for gradient sparsity
rg = range(self._nVar * self._nCon)
self._sparseIndices = (np.array([i // self._nVar for i in rg],
dtype=int),
np.array([i % self._nVar for i in rg],
dtype=int))
# create the optimization problem
self._nlp = opt.Problem(self._nVar, self.getLowerBound(),
self.getUpperBound(), self._nCon,
conLowerBound, conUpperBound,
self._sparseIndices, 0, self._eval_f,
self._eval_grad_f, self._eval_g,
self._eval_jac_g)
return self._nlp
def generic_problem(module, with_hess: bool = False, **kwargs):
n = module.n
eval_jac_g_sparsity_indices = sparsity_g(n)
eval_h_sparsity_indices = sparsity_h(n)
if with_hess:
kwargs["eval_h"] = module.h
_x_L = x_L(n)
_x_U = x_U(n)
g_L = numpy.array([0.0])
g_U = numpy.array([4.0])
p = ipyopt.Problem(n, _x_L, _x_U, 1, g_L, g_U, eval_jac_g_sparsity_indices,
eval_h_sparsity_indices, module.f, module.grad_f,
module.g, module.jac_g, **kwargs)
p.set(print_level=0, sb="yes")
return p
def main():
# verbose
ipyopt.set_loglevel(ipyopt.LOGGING_DEBUG)
# define the parameters and their box constraints
nvar = 2
x_L = numpy.array([-3, -3], dtype=float)
x_U = numpy.array([3, 3], dtype=float)
# define the inequality constraints
ncon = 0
g_L = numpy.array([], dtype=float)
g_U = numpy.array([], dtype=float)
# create the nonlinear programming model
nlp = ipyopt.Problem(
nvar,
x_L,
x_U,
ncon,
g_L,
g_U,
eval_jac_g.sparsity_indices,
eval_h.sparsity_indices,
eval_f,
eval_grad_f,
eval_g,
eval_jac_g,
eval_h,
apply_new,
)
# define the initial guess
x0 = numpy.array([-1.2, 1], dtype=float)
# compute the results using ipopt
results = nlp.solve(x0)
# report the results
print(results)
def main(): # pylint: disable=missing-function-docstring
# define the parameters and their box constraints
nvar = 2
x_L = numpy.array([-3, -3], dtype=float)
x_U = numpy.array([3, 3], dtype=float)
# define the inequality constraints
ncon = 0
g_L = numpy.array([], dtype=float)
g_U = numpy.array([], dtype=float)
# create the nonlinear programming model
nlp = ipyopt.Problem(
nvar,
x_L,
x_U,
ncon,
g_L,
g_U,
eval_jac_g_sparsity_indices,
eval_h_sparsity_indices,
eval_f,
eval_grad_f,
eval_g,
eval_jac_g,
eval_h,
)
# define the initial guess
x0 = numpy.array([-1.2, 1], dtype=float)
# compute the results using ipopt
results = nlp.solve(x0)
# report the results
print(results)
def _minimize(self, loss, params, init):
import ipyopt
if init:
assign_values(params=params, values=init)
evaluator = self.create_evaluator()
criterion = self.create_criterion()
# initial values as array
xvalues = np.array(run(params))
# get and set the limits
lower = np.array([p.lower for p in params])
upper = np.array([p.upper for p in params])
nconstraints = 0
empty_array = np.array([])
nparams = len(params)
hessian_sparsity_indices = np.meshgrid(range(nparams), range(nparams))
minimizer_options = self.minimizer_options.copy()
def gradient_inplace(x, out):
gradient = evaluator.gradient(x)
out[:] = gradient
ipopt_options = minimizer_options.pop("ipopt").copy()
print_level = self.verbosity
if print_level == 8:
print_level = 9
elif print_level == 9:
print_level = 11
elif print_level == 10:
if "print_timing_statistics" not in ipopt_options:
ipopt_options["print_timing_statistics"] = "yes"
ipopt_options["print_level"] = print_level
ipopt_options["tol"] = self.tol
ipopt_options["max_iter"] = self.get_maxiter()
hessian = minimizer_options.pop("hessian")
minimizer_kwargs = dict(
n=nparams,
xL=lower,
xU=upper,
m=nconstraints,
gL=empty_array,
gU=empty_array, # no constraints
sparsity_indices_jac_g=(empty_array, empty_array),
sparsity_indices_hess=hessian_sparsity_indices,
eval_f=evaluator.value,
eval_grad_f=gradient_inplace,
eval_g=lambda x, out: None,
eval_jac_g=lambda x, out: None,
)
if hessian == "zfit":
def hessian_inplace(x, out):
hessian = evaluator.hessian(x)
out[:] = hessian
minimizer_kwargs["eval_h"] = hessian_inplace
else:
if hessian == "exact":
ipopt_options["hessian_approximation"] = hessian
else:
ipopt_options["hessian_approximation"] = "limited-memory"
ipopt_options["limited_memory_update_type"] = hessian
# ipopt_options['dual_inf_tol'] = TODO?
minimizer = ipyopt.Problem(**minimizer_kwargs)
minimizer.set(
**{k: v
for k, v in ipopt_options.items() if v is not None})
init_tol = min([
math.sqrt(loss.errordef * self.tol), loss.errordef * self.tol * 1e2
])
# init_tol **= 0.5
internal_tol = self._internal_tol
internal_tol = {
tol: init_tol if init is None else init
for tol, init in internal_tol.items()
}
valid = True
edm = None
criterion_value = None
valid_message = ""
warm_start_options = (
"warm_start_init_point",
# 'warm_start_same_structure',
"warm_start_entire_iterate",
)
# minimizer.set_intermediate_callback(lambda *a, **k: print(a, k) or True)
fmin = -999
status = -999
converged = False
for i in range(self._internal_maxiter):
minimizer.set(**internal_tol)
# run the minimization
try:
xvalues, fmin, status = minimizer.solve(
xvalues,
# mult_g=constraint_multipliers,
# mult_x_L=zl,
# mult_x_U=zu
)
except MaximumIterationReached:
maxiter_reached = True
valid = False
valid_message = "Maxiter reached, terminated without convergence"
else:
maxiter_reached = evaluator.maxiter_reached
assign_values(params, xvalues)
with evaluator.ignore_maxiter():
result_prelim = FitResult.from_ipopt(
loss=loss,
params=params,
values=xvalues,
minimizer=self,
problem=minimizer,
fmin=fmin,
converged=converged,
status=status,
edm=CRITERION_NOT_AVAILABLE,
evaluator=evaluator,
valid=valid,
niter=None,
criterion=criterion,
message=valid_message,
)
converged = criterion.converged(result_prelim)
criterion_value = criterion.last_value
if isinstance(criterion, EDM):
edm = criterion.last_value
else:
edm = CRITERION_NOT_AVAILABLE
if self.verbosity > 5:
print_minimization_status(
converged=converged,
criterion=criterion,
evaluator=evaluator,
i=i,
fmin=fmin,
internal_tol=internal_tol,
)
if converged or maxiter_reached:
break
# prepare for next run
minimizer.set(**{option: "yes" for option in warm_start_options})
# update the tolerances
self._update_tol_inplace(criterion_value=criterion_value,
internal_tol=internal_tol)
else:
valid = False
valid_message = f"Invalid, criterion {criterion.name} is {criterion_value}, target {self.tol} not reached."
# cleanup of convergence
minimizer.set(**{option: "no" for option in warm_start_options})
assign_values(params=params, values=xvalues)
return FitResult.from_ipopt(
loss=loss,
params=params,
minimizer=self,
values=xvalues,
problem=minimizer,
fmin=fmin,
status=status,
edm=edm,
criterion=criterion,
niter=None,
converged=converged,
evaluator=evaluator,
valid=valid,
message=valid_message,
)
# | 0 ... 0 * * |
# \ 0 ... 0 * /
eval_h_sparsity_indices = (
numpy.repeat(numpy.arange(nvar), 2)[:2 * nvar - 1],
numpy.array([numpy.arange(nvar),
numpy.arange(1, nvar + 1)]).T.flatten()[:2 * nvar - 1],
)
nlp = ipyopt.Problem(
nvar,
x_L,
x_U,
ncon,
g_L,
g_U,
eval_jac_g_sparsity_indices,
eval_h_sparsity_indices,
eval_f,
eval_grad_f,
eval_g,
eval_jac_g,
eval_h,
)
print("Going to call solve with x0 = {}".format(x0))
zl = numpy.zeros(nvar)
zu = numpy.zeros(nvar)
constraint_multipliers = numpy.zeros(ncon)
_x, obj, status = nlp.solve(x0,
mult_g=constraint_multipliers,
mult_x_L=zl,
x = array_sym("x", n)
f = x[0] * x[3] * (x[0] + x[1] + x[2]) + x[2]
g = [
x[0] * x[1] * x[2] * x[3],
x[0] * x[0] + x[1] * x[1] + x[2] * x[2] + x[3] * x[3]
]
c_api = SymNlp(f, g).compile()
nlp = ipyopt.Problem(
n=n,
x_l=numpy.ones(n),
x_u=numpy.full(n, 5.0),
m=m,
g_l=numpy.array([25.0, 40.0]),
g_u=numpy.array([2.0e19, 40.0]),
**c_api,
)
x0 = numpy.array([1.0, 5.0, 5.0, 1.0])
print(f"Going to call solve with x0 = {x0}")
zl = numpy.zeros(n)
zu = numpy.zeros(n)
constraint_multipliers = numpy.zeros(m)
_x, obj, status = nlp.solve(x0,
mult_g=constraint_multipliers,
mult_x_L=zl,
mult_x_U=zu)
# | * * 0 0 |
# | * * * 0 |
# \ * * * * /
eval_h_sparsity_indices = (
array([0, 1, 1, 2, 2, 2, 3, 3, 3, 3]),
array([0, 0, 1, 0, 1, 2, 0, 1, 2, 3]),
)
nlp = ipyopt.Problem(
nvar,
x_L,
x_U,
ncon,
g_L,
g_U,
eval_jac_g_sparsity_indices,
eval_h_sparsity_indices,
capsules["f"],
capsules["grad_f"],
capsules["g"],
capsules["jac_g"],
capsules["h"],
)
x0 = array([1.0, 5.0, 5.0, 1.0])
print(f"Going to call solve with x0 = {x0}")
zl = zeros(nvar)
zu = zeros(nvar)
constraint_multipliers = zeros(ncon)
_x, obj, status = nlp.solve(x0,
def _minimize(self, loss, params, init):
try:
import ipyopt
except ImportError as error:
raise ImportError("This requires the ipyopt library (https://gitlab.com/g-braeunlich/ipyopt)"
" to be installed. On a 'Linux' environment, you can install zfit with"
" `pip install zfit[ipyopt]` (or install ipyopt with pip). For MacOS, there are currently"
" no wheels (but will come in the future). In this case, please install ipyopt manually "
"to use this minimizer"
" or install zfit on a 'Linux' environment.") from error
if init:
assign_values(params=params, values=init)
evaluator = self.create_evaluator()
# initial values as array
xvalues = np.array(run(params))
# get and set the limits
lower = np.array([p.lower for p in params])
upper = np.array([p.upper for p in params])
nconstraints = 0
empty_array = np.array([])
nparams = len(params)
hessian_sparsity_indices = np.meshgrid(range(nparams), range(nparams))
minimizer_options = self.minimizer_options.copy()
def gradient_inplace(x, out):
gradient = evaluator.gradient(x)
out[:] = gradient
ipopt_options = minimizer_options.pop('ipopt').copy()
print_level = self.verbosity
if print_level == 8:
print_level = 9
elif print_level == 9:
print_level = 11
elif print_level == 10:
if 'print_timing_statistics' not in ipopt_options:
ipopt_options['print_timing_statistics'] = 'yes'
ipopt_options['print_level'] = print_level
ipopt_options['tol'] = self.tol
ipopt_options['max_iter'] = self.get_maxiter()
hessian = minimizer_options.pop('hessian')
minimizer_kwargs = dict(n=nparams,
xL=lower, xU=upper,
m=nconstraints,
gL=empty_array, gU=empty_array, # no constraints
sparsity_indices_jac_g=(empty_array, empty_array),
sparsity_indices_hess=hessian_sparsity_indices,
eval_f=evaluator.value,
eval_grad_f=gradient_inplace,
eval_g=lambda x, out: None,
eval_jac_g=lambda x, out: None)
if hessian == 'zfit':
def hessian_inplace(x, out):
hessian = evaluator.hessian(x)
out[:] = hessian
minimizer_kwargs['eval_h'] = hessian_inplace
else:
if hessian == 'exact':
ipopt_options['hessian_approximation'] = hessian
else:
ipopt_options['hessian_approximation'] = 'limited-memory'
ipopt_options['limited_memory_update_type'] = hessian
# ipopt_options['dual_inf_tol'] = TODO?
minimizer = ipyopt.Problem(**minimizer_kwargs)
minimizer.set(**{k: v for k, v in ipopt_options.items() if v is not None})
criterion = self.create_criterion()
init_tol = min([math.sqrt(loss.errordef * self.tol), loss.errordef * self.tol * 1e2])
# init_tol **= 0.5
internal_tol = self._internal_tol
internal_tol = {tol: init_tol if init is None else init for tol, init in internal_tol.items()}
valid = True
edm = None
criterion_value = None
valid_message = ""
warm_start_options = (
'warm_start_init_point',
# 'warm_start_same_structure',
'warm_start_entire_iterate'
)
# minimizer.set_intermediate_callback(lambda *a, **k: print(a, k) or True)
fmin = -999
status = -999
converged = False
for i in range(self._internal_maxiter):
minimizer.set(**internal_tol)
# run the minimization
try:
xvalues, fmin, status = minimizer.solve(xvalues,
# mult_g=constraint_multipliers,
# mult_x_L=zl,
# mult_x_U=zu
)
except MaximumIterationReached:
maxiter_reached = True
valid = False
valid_message = "Maxiter reached, terminated without convergence"
else:
maxiter_reached = evaluator.maxiter_reached
assign_values(params, xvalues)
with evaluator.ignore_maxiter():
result_prelim = FitResult.from_ipopt(loss=loss,
params=params,
values=xvalues,
minimizer=self,
problem=minimizer,
fmin=fmin,
converged=converged,
status=status,
edm=CRITERION_NOT_AVAILABLE,
evaluator=evaluator,
valid=valid,
niter=None,
criterion=criterion,
message=valid_message)
converged = criterion.converged(result_prelim)
criterion_value = criterion.last_value
if isinstance(criterion, EDM):
edm = criterion.last_value
else:
edm = CRITERION_NOT_AVAILABLE
if self.verbosity > 5:
print_minimization_status(converged=converged, criterion=criterion, evaluator=evaluator,
i=i,
fmin=fmin,
internal_tol=internal_tol)
if converged or maxiter_reached:
break
# prepare for next run
minimizer.set(**{option: 'yes' for option in warm_start_options})
# update the tolerances
self._update_tol_inplace(criterion_value=criterion_value, internal_tol=internal_tol)
else:
valid = False
valid_message = f"Invalid, criterion {criterion.name} is {criterion_value}, target {self.tol} not reached."
# cleanup of convergence
minimizer.set(**{option: 'no' for option in warm_start_options})
assign_values(params=params, values=xvalues)
return FitResult.from_ipopt(loss=loss,
params=params,
minimizer=self,
values=xvalues,
problem=minimizer,
fmin=fmin,
status=status,
edm=edm,
criterion=criterion,
niter=None,
converged=converged,
evaluator=evaluator,
valid=valid,
message=valid_message)
