class MultiblockFISTA(bases.ExplicitAlgorithm, bases.IterativeAlgorithm,
bases.InformationAlgorithm):
"""The projected or proximal gradient algorithm with alternating
minimisations in a multiblock setting.
Parameters
----------
info : List or tuple of utils.Info. What, if any, extra run information
should be stored. Default is an empty list, which means that no
run information is computed nor returned.
eps : Positive float. Tolerance for the stopping criterion.
max_iter : Non-negative integer. Maximum total allowed number of
iterations.
min_iter : Non-negative integer less than or equal to max_iter. Minimum
number of iterations that must be performed. Default is 1.
"""
INTERFACES = [
multiblock_properties.MultiblockFunction,
multiblock_properties.MultiblockGradient,
multiblock_properties.MultiblockStepSize,
properties.OR(multiblock_properties.MultiblockProjectionOperator,
multiblock_properties.MultiblockProximalOperator)
]
INFO_PROVIDED = [
Info.ok, Info.num_iter, Info.time, Info.func_val, Info.smooth_func_val,
Info.converged
]
def __init__(self,
info=[],
eps=consts.TOLERANCE,
max_iter=consts.MAX_ITER,
min_iter=1):
super(MultiblockFISTA, self).__init__(info=info,
max_iter=max_iter,
min_iter=min_iter)
self.eps = max(consts.FLOAT_EPSILON, float(eps))
def reset(self):
self.info_reset()
self.iter_reset()
@bases.force_reset
@bases.check_compatibility
def run(self, function, w):
# Not ok until the end.
if self.info_requested(Info.ok):
self.info_set(Info.ok, False)
# Initialise info variables. Info variables have the prefix "_".
if self.info_requested(Info.time):
_t = []
if self.info_requested(Info.func_val):
_f = []
if self.info_requested(Info.smooth_func_val):
_fmu = []
if self.info_requested(Info.converged):
self.info_set(Info.converged, False)
FISTA = True
if FISTA:
exp = 4.0 + consts.FLOAT_EPSILON
else:
exp = 2.0 + consts.FLOAT_EPSILON
block_iter = [1] * len(w)
it = 0
while True:
for i in range(len(w)):
# print "it: %d, i: %d" % (it, i)
# if True:
# pass
# Wrap a function around the ith block.
func = mb_losses.MultiblockFunctionWrapper(function, w, i)
# Run FISTA.
w_old = w[i]
for k in range(
1,
max(self.min_iter + 1,
self.max_iter - self.num_iter + 1)):
if self.info_requested(Info.time):
time = utils.time_wall()
if FISTA:
# Take an interpolated step.
z = w[i] + ((k - 2.0) / (k + 1.0)) * (w[i] - w_old)
else:
z = w[i]
# Compute the step.
step = func.step(z)
# Compute inexact precision.
eps = max(consts.FLOAT_EPSILON, 1.0 / (block_iter[i]**exp))
# eps = consts.TOLERANCE
w_old = w[i]
# Take a FISTA step.
w[i] = func.prox(z - step * func.grad(z),
factor=step,
eps=eps)
# Store info variables.
if self.info_requested(Info.time):
_t.append(utils.time_wall() - time)
if self.info_requested(Info.func_val):
_f.append(function.f(w))
if self.info_requested(Info.smooth_func_val):
_fmu.append(function.fmu(w))
# Update iteration counts.
self.num_iter += 1
block_iter[i] += 1
# print i, function.fmu(w), step, \
# (1.0 / step) * maths.norm(w[i] - z), self.eps, \
# k, self.num_iter, self.max_iter
# Test stopping criterion.
if maths.norm(w[i] - z) < step * self.eps \
and k >= self.min_iter:
break
# Test global stopping criterion.
all_converged = True
for i in range(len(w)):
# Wrap a function around the ith block.
func = mb_losses.MultiblockFunctionWrapper(function, w, i)
# Compute the step.
step = func.step(w[i])
# Compute inexact precision.
eps = max(consts.FLOAT_EPSILON, 1.0 / (block_iter[i]**exp))
# eps = consts.TOLERANCE
# Take one ISTA step for use in the stopping criterion.
w_tilde = func.prox(w[i] - step * func.grad(w[i]),
factor=step,
eps=eps)
# Test if converged for block i.
if maths.norm(w[i] - w_tilde) > step * self.eps:
all_converged = False
break
# Converged in all blocks!
if all_converged:
if self.info_requested(Info.converged):
self.info_set(Info.converged, True)
break
# Stop after maximum number of iterations.
if self.num_iter >= self.max_iter:
break
it += 1
# Store information.
if self.info_requested(Info.num_iter):
self.info_set(Info.num_iter, self.num_iter)
if self.info_requested(Info.time):
self.info_set(Info.time, _t)
if self.info_requested(Info.func_val):
self.info_set(Info.func_val, _f)
if self.info_requested(Info.smooth_func_val):
self.info_set(Info.smooth_func_val, _fmu)
if self.info_requested(Info.ok):
self.info_set(Info.ok, True)
return w
class ADMM(bases.ExplicitAlgorithm,
bases.IterativeAlgorithm,
bases.InformationAlgorithm):
"""The alternating direction method of multipliers (ADMM). Computes the
minimum of the sum of two functions with associated proximal or projection
operators. Solves problems on the form
min. f(x, y) = g(x) + h(y)
s.t. y = x
The functions have associated proximal or projection operators.
Parameters
----------
rho : Positive float. The penalty parameter.
mu : Float, greater than 1. The factor within which the primal and dual
variables should be kept. Set to less than or equal to 1 if you
don't want to update the penalty parameter rho dynamically.
tau : Float, greater than 1. Increase rho by a factor tau.
info : List or tuple of utils.consts.Info. What, if any, extra run
information should be stored. Default is an empty list, which means
that no run information is computed nor returned.
eps : Positive float. Tolerance for the stopping criterion.
max_iter : Non-negative integer. Maximum allowed number of iterations.
min_iter : Non-negative integer less than or equal to max_iter. Minimum
number of iterations that must be performed. Default is 1.
"""
INTERFACES = [properties.SplittableFunction,
properties.AugmentedProximalOperator,
properties.OR(properties.ProximalOperator,
properties.ProjectionOperator)]
INFO_PROVIDED = [Info.ok,
Info.num_iter,
Info.time,
Info.fvalue,
Info.converged]
def __init__(self, rho=1.0, mu=10.0, tau=2.0,
info=[],
eps=consts.TOLERANCE, max_iter=consts.MAX_ITER, min_iter=1,
simulation=False):
# TODO: Investigate what is a good default value here!
super(ADMM, self).__init__(info=info,
max_iter=max_iter,
min_iter=min_iter)
self.rho = max(consts.FLOAT_EPSILON, float(rho))
self.mu = max(1.0, float(mu))
self.tau = max(1.0, float(tau))
self.eps = max(consts.FLOAT_EPSILON, float(eps))
self.simulation = bool(simulation)
@bases.force_reset
@bases.check_compatibility
def run(self, functions, xy):
"""Finds the minimum of two functions with associated proximal
operators.
Parameters
----------
functions : List or tuple with two Functions or a SplittableFunction.
The two functions.
xy : List or tuple with two elements, numpy arrays. The starting points
for the minimisation.
"""
if self.info_requested(Info.ok):
self.info_set(Info.ok, False)
if self.info_requested(Info.time):
t = []
if self.info_requested(Info.fvalue):
f = []
if self.info_requested(Info.converged):
self.info_set(Info.converged, False)
funcs = [functions.g, functions.h]
x_new = xy[0]
y_new = xy[1]
z_new = x_new.copy()
u_new = y_new.copy()
for i in range(1, self.max_iter + 1):
if self.info_requested(Info.time):
tm = utils.time_cpu()
x_old = x_new
z_old = z_new
u_old = u_new
if isinstance(funcs[0], properties.ProximalOperator):
x_new = funcs[0].prox(z_old - u_old)
else:
x_new = funcs[0].proj(z_old - u_old)
y_new = x_new # TODO: Allow a linear operator here.
if isinstance(funcs[1], properties.ProximalOperator):
z_new = funcs[1].prox(y_new + u_old)
else:
z_new = funcs[1].proj(y_new + u_old)
# The order here is important! Do not change!
u_new = (y_new - z_new) + u_old
if self.info_requested(Info.time):
t.append(utils.time_cpu() - tm)
if self.info_requested(Info.fvalue):
fval = funcs[0].f(z_new) + funcs[1].f(z_new)
f.append(fval)
if not self.simulation:
if i == 1:
if maths.norm(x_new - x_old) < self.eps \
and i >= self.min_iter:
# print "Stopping criterion kicked in!"
if self.info_requested(Info.converged):
self.info_set(Info.converged, True)
break
else:
if maths.norm(x_new - x_old) / maths.norm(x_old) < self.eps \
and i >= self.min_iter:
# print "Stopping criterion kicked in!"
if self.info_requested(Info.converged):
self.info_set(Info.converged, True)
break
# Update the penalty parameter, rho, dynamically.
if self.mu > 1.0:
r = x_new - z_new
s = (z_new - z_old) * -self.rho
norm_r = maths.norm(r)
norm_s = maths.norm(s)
# print "norm(r): ", norm_r, ", norm(s): ", norm_s, ", rho:", \
# self.rho
if norm_r > self.mu * norm_s:
self.rho *= self.tau
u_new *= 1.0 / self.tau # Rescale dual variable.
elif norm_s > self.mu * norm_r:
self.rho /= self.tau
u_new *= self.tau # Rescale dual variable.
# Update the penalty parameter in the functions.
functions.set_rho(self.rho)
self.num_iter = i
if self.info_requested(Info.num_iter):
self.info_set(Info.num_iter, i)
if self.info_requested(Info.time):
self.info_set(Info.time, t)
if self.info_requested(Info.fvalue):
self.info_set(Info.fvalue, f)
if self.info_requested(Info.ok):
self.info_set(Info.ok, True)
return z_new
class SubGradientDescent(bases.ExplicitAlgorithm, bases.IterativeAlgorithm,
bases.InformationAlgorithm):
"""The subgradient descent algorithm.
Note: If the function has a gradient, it will be used instead, and
effectively make this the gradient descent algorithm. To prevent this from
happening, change the use_gradient parameter.
Parameters
----------
step_size : parsimony.algorithms.utils.StepSize
The step size function to use. Default is NonSumDimStepSize(a=0.1).
eps : float
Must be positive. Tolerance for the stopping criterion.
info : list or tuple of utils.consts.Info
What, if any, extra run information should be stored. Default is an
empty list, which means that no run information is computed nor
returned.
max_iter : int
Must be non-negative. Maximum allowed number of iterations. Default is
10000.
min_iter : int
Must be non-negative and less than or equal to max_iter. Minimum number
of iterations that must be performed. Default is 1.
use_best_f : bool
Whether or not to keep the parameter vector that gave the lowest
function value over all iterations. Default is True, the best parameter
vector found over all iterations will be the one returned.
use_gradient : bool
Whether or not to utilise the gradient of the function, if it exists.
Default is False, i.e. do not use the gradient if it exists.
Examples
--------
>>> from parsimony.algorithms.subgradient import SubGradientDescent
>>> from parsimony.functions.losses import RidgeRegression
>>> from parsimony.algorithms.utils import NonSumDimStepSize
>>> import numpy as np
>>> np.random.seed(42)
>>> X = np.random.randn(100, 50)
>>> y = np.random.randn(100, 1)
>>> sgd = SubGradientDescent(max_iter=10000, step_size=NonSumDimStepSize(a=0.1), use_gradient=True)
>>> function = RidgeRegression(X, y, k=0.0, mean=False)
>>> beta1 = sgd.run(function, np.random.rand(50, 1))
>>> beta2 = np.dot(np.linalg.pinv(X), y)
>>> round(np.linalg.norm(beta1 - beta2) / np.linalg.norm(beta2), 13) < 5e-6
True
"""
INTERFACES = [
properties.Function,
properties.OR(properties.Gradient, properties.SubGradient)
]
INFO_PROVIDED = [
Info.ok, Info.num_iter, Info.time, Info.fvalue, Info.func_val,
Info.converged
]
def __init__(self,
step_size=NonSumDimStepSize(a=0.1),
eps=consts.TOLERANCE,
info=[],
max_iter=10000,
min_iter=1,
use_best_f=True,
use_gradient=False):
super(SubGradientDescent, self).__init__(info=info,
max_iter=max_iter,
min_iter=min_iter)
self.step_size = step_size
self.eps = float(eps)
self.use_best_f = bool(use_best_f)
self.use_gradient = bool(use_gradient)
@bases.force_reset
@bases.check_compatibility
def run(self, function, beta):
"""Find the minimiser of the given function, starting at beta.
Parameters
----------
function : Function
The function to minimise.
beta : numpy array
The start vector.
"""
if self.info_requested(Info.ok):
self.info_set(Info.ok, False)
betanew = betaold = beta
if self.use_gradient and hasattr(function, "grad"):
function_grad = function.grad
else:
function_grad = function.subgrad
if self.info_requested(Info.time):
t = []
if self.info_requested(Info.func_val):
f = []
if self.info_requested(Info.converged):
self.info_set(Info.converged, False)
fbest = np.inf
betabest = None
for i in range(1, self.max_iter + 1):
if self.info_requested(Info.time):
tm = utils.time_cpu()
betaold = betanew
subgrad = function_grad(betaold)
step = self.step_size(i, betaold, subgrad)
betanew = betaold - step * subgrad
fval = None
if self.use_best_f:
fval = function.f(betanew)
if fval < fbest:
fbest = fval
betabest = betanew
if self.info_requested(Info.time):
t.append(utils.time_cpu() - tm)
if self.info_requested(Info.func_val):
if self.use_best_f:
f.append(fbest)
else:
if fval is None:
f.append(function.f(betanew))
else:
f.append(fval)
if maths.norm(betanew - betaold) < self.eps \
and i >= self.min_iter:
if self.info_requested(Info.converged):
self.info_set(Info.converged, True)
break
if self.info_requested(Info.num_iter):
self.info_set(Info.num_iter, i)
if self.info_requested(Info.time):
self.info_set(Info.time, t)
if self.info_requested(Info.func_val):
self.info_set(Info.func_val, f)
if self.info_requested(Info.ok):
self.info_set(Info.ok, True)
if self.use_best_f:
return betabest
else:
return betanew
class ParallelDykstrasProximalAlgorithm(bases.ExplicitAlgorithm):
"""Dykstra's projection algorithm for two or more functions. Computes the
proximal operator of a sum of functions. These functions may be indicator
functions for convex sets (ProjectionOperator) or ProximalOperators.
If all functions are ProjectionOperators, this algorithm finds the
projection onto the intersection of the convex sets.
The functions have projection operators (ProjectionOperator.proj) onto the
respective convex sets or proximal operators (ProximalOperator.prox).
"""
INTERFACES = [properties.Function,
properties.OR(properties.ProjectionOperator,
properties.ProximalOperator)]
def __init__(self, eps=consts.TOLERANCE,
max_iter=100, min_iter=1):
# TODO: Investigate what is a good default value here!
self.eps = eps
self.max_iter = max_iter
self.min_iter = min_iter
def run(self, x, prox=[], proj=[], factor=1.0, weights=None):
"""Finds the projection onto the intersection of two sets.
Parameters
----------
prox : List or tuple with two or more elements. The functions that
are ProximalOperators. Either prox or proj must be non-empty.
proj : List or tuple with two or more elements. The functions that
are ProjectionOperators. Either proj or prox must be non-empty.
factor : Positive float. A factor by which the Lagrange multiplier is
scaled. This is usually the step size.
x : Numpy array. The point that we wish to project.
weights : List or tuple with floats. Weights for the functions.
Default is that they all have the same weight. The elements of
the list or tuple must sum to 1.
"""
for f in prox:
self.check_compatibility(f, self.INTERFACES)
for f in proj:
self.check_compatibility(f, self.INTERFACES)
num_prox = len(prox)
num_proj = len(proj)
if weights is None:
weights = [1. / float(num_prox + num_proj)] * (num_prox + num_proj)
x_new = x_old = x
p = [0.0] * (num_prox + num_proj)
z = [0.0] * (num_prox + num_proj)
for i in range(num_prox + num_proj):
z[i] = np.copy(x)
for i in range(1, self.max_iter + 1):
for i in range(num_prox):
p[i] = prox[i].prox(z[i], factor)
for i in range(num_proj):
p[num_prox + i] = proj[i].proj(z[num_prox + i])
x_old = x_new
x_new = np.zeros(x_old.shape)
for i in range(num_prox + num_proj):
x_new += weights[i] * p[i]
if maths.norm(x_new - x_old) / maths.norm(x_old) < self.eps \
and i >= self.min_iter:
all_feasible = True
for i in range(num_proj):
if proj[i].f(p[num_prox + i]) > 0.0:
all_feasible = False
if all_feasible:
break
for i in range(num_prox + num_proj):
z[i] = x_new + z[i] - p[i]
return x_new
