def sage_dual(s, level=0, additional_cons=None):
"""
:param s: a Signomial object.
:param level: a nonnegative integer
:param additional_cons: a list of CVXPY Constraint objects over the variables in s.c
(unless you are working with SAGE polynomials, there likely won't be any of these).
:return: a CVXPY Problem object representing the dual formulation for s_{SAGE}^{(level)}
In the discussion that follows, let s satisfy s.alpha[0,:] == np.zeros((1,n)).
When level == 0, the returned CVXPY problem has the following explicit form:
min (s.c).T * v
s.t. v[0] == 1
v[i] * ln(v[i] / v[j]) <= (s.alpha[i,:] - s.alpha[j,:]) * mu[i] for i \in N0, j \in Nc0, j != i.
mu[i] \in R^{s.n} for i \in N0
v \in R^{s.m}_{+}
where N = { i : s.c[i] < 0}, N0 = union(N, {0}), Nc = { i : s.c[i] >= 0}, and Nc0 = union(Nc, {0}).
When level > 0, the form of the optimization problem is harder to state explicitly. At a high level, the resultant
CVXPY problem is the same as above, with the following modifications:
(1) we introduce a multiplier signomial
t_mul = Signomial(s.alpha, np.ones(s.m)) ** level,
(2) as well as a constant signomial
t_cst = Signomial(s.alpha, [1, 0, ..., 0]).
(3) Then "s" is replaced by
s_mod == s * t_mul,
(4) and "v[0] == 1" is replaced by
a * v == 1,
where vector "a" is an appropriate permutation of (t_mul * t_cst).c, and finally
(5) the index sets N0 and Nc0 are replaced by
N_I = union(N, I) and Nc_I = union(Nc, I)
for
I = { i | a[i] != 0 }.
"""
# Signomial definitions (for the objective).
s_mod = Signomial(s.alpha_c)
t_mul = Signomial(s.alpha, np.ones(s.m))**level
lagrangian = (s_mod - cvxpy.Variable(name='gamma')) * t_mul
s_mod = s_mod * t_mul
# C_SAGE^STAR (v must belong to the set defined by these constraints).
v = cvxpy.Variable(shape=(lagrangian.m, 1), name='v')
constraints = relative_c_sage_star(lagrangian, v)
# Equality constraint (for the Lagrangian to be bounded).
a = relative_coeff_vector(t_mul, lagrangian.alpha)
a = a.reshape(a.size, 1)
constraints.append(a.T * v == 1)
# Objective definition and problem creation.
obj_vec = relative_coeff_vector(s_mod, lagrangian.alpha)
obj = cvxpy.Minimize(obj_vec * v)
if additional_cons is not None:
constraints += additional_cons
prob = cvxpy.Problem(obj, constraints)
# Add fields that we can access later.
prob.s_mod = s_mod
prob.s = s
prob.level = level
return prob
def __init__(self, alpha_maybe_c, c=None):
Signomial.__init__(self, alpha_maybe_c, c)
if not np.all(self.alpha % 1 == 0):
raise RuntimeError(
'Exponents must belong the the integer lattice.')
if not np.all(self.alpha >= 0):
raise RuntimeError('Exponents must be nonnegative.')
self._sig_rep = None
self._sig_rep_constrs = []
def test_sage_feasibility(self):
s = Signomial({(-1, ): 1, (1, ): -1})
s = s**2
s.remove_terms_with_zero_as_coefficient()
status = sage.sage_feasibility(s).solve(solver='ECOS')
assert status == 0
s = s**2
status = sage.sage_feasibility(s).solve(solver='ECOS')
assert status == -np.inf
def test_standard_monomials(self):
x = standard_monomials(2)
y_actual = x[0] + 3 * x[1] ** 2
y_expect = Signomial({(1,0): 1, (0,2): 3})
assert TestSignomials.are_equal(y_actual, y_expect)
x = standard_monomials(4)
y_actual = np.sum(x)
y_expect = Signomial(np.eye(4), np.ones(shape=(4,)))
assert TestSignomials.are_equal(y_actual, y_expect)
def test_sage_multiplier_search(self):
s = Signomial({(1, ): 1, (-1, ): -1})**4
s.remove_terms_with_zero_as_coefficient()
val0 = sage.sage_multiplier_search(s, level=1).solve(solver='ECOS')
assert val0 == -np.inf
s_star = sage.sage_primal(s, level=1).solve(solver='ECOS')
s = s - 0.5 * s_star
val1 = sage.sage_multiplier_search(s, level=1).solve(solver='ECOS')
assert val1 == 0
def test_addition_and_subtraction(self):
# data for tests
s0 = Signomial({(0,): 1, (1,): 2, (2,): 3})
t0 = Signomial({(-1,): 5})
# tests
s = s0 - s0
s.remove_terms_with_zero_as_coefficient()
assert s.m == 1 and set(s.c) == {0}
s = -s0 + s0
s.remove_terms_with_zero_as_coefficient()
assert s.m == 1 and set(s.c) == {0}
s = s0 + t0
assert s.alpha_c == {(-1,): 5, (0,): 1, (1,): 2, (2,): 3}
def test_construction(self):
# data for tests
alpha = np.array([[0], [1], [2]])
c = np.array([1, -1, -2])
alpha_c = {(0,): 1, (1,): -1, (2,): -2}
# Construction with two numpy arrays as arguments
s = Signomial(alpha, c)
assert s.n == 1 and s.m == 3 and s.alpha_c == alpha_c
# Construction with a vector-to-coefficient dictionary
s = Signomial(alpha_c)
recovered_alpha_c = dict()
for i in range(s.m):
recovered_alpha_c[tuple(s.alpha[i, :])] = s.c[i]
assert s.n == 1 and s.m == 3 and alpha_c == recovered_alpha_c
def test_signomial_multiplication(self):
# data for tests
s0 = Signomial({(0,): 1, (1,): 2, (2,): 3})
t0 = Signomial({(-1,): 1})
q0 = Signomial({(5,): 0})
# tests
s = s0 * t0
s.remove_terms_with_zero_as_coefficient()
assert s.alpha_c == {(-1,): 1, (0,): 2, (1,): 3}
s = t0 * s0
s.remove_terms_with_zero_as_coefficient()
assert s.alpha_c == {(-1,): 1, (0,): 2, (1,): 3}
s = s0 * q0
s.remove_terms_with_zero_as_coefficient()
assert s.alpha_c == {(0,): 0}
def sage_multiplier_search(s, level=1):
"""
Suppose we have a nonnegative signomial s, where s_mod := s * (Signomial(s.alpha, np.ones(s.m))) ** level
is not SAGE. Do we have an alternative do proving that s is nonnegative other than moving up the SAGE
hierarchy? Indeed we do. We can define a multiplier
mult = Signomial(alpha_hat, c_tilde)
where the rows of alpha_hat are all level-wise sums of rows from s.alpha, and c_tilde is a CVXPY Variable
defining a nonzero SAGE function. Then we can check if s_mod := s * mult is SAGE for any choice of c_tilde.
:param s: a Signomial object
:param level: a nonnegative integer
:return: a CVXPY Problem that is feasible iff s * mult is SAGE for some SAGE multiplier signomial "mult".
"""
s.remove_terms_with_zero_as_coefficient()
constraints = []
mult_alpha = hierarchy_e_k([s], k=level)
c_tilde = cvxpy.Variable(mult_alpha.shape[0], name='c_tilde')
mult = Signomial(mult_alpha, c_tilde)
constraints += relative_c_sage(mult)
constraints.append(cvxpy.sum(c_tilde) >= 1)
sig_under_test = mult * s
sage_membership_constraints = relative_c_sage(sig_under_test)
constraints += sage_membership_constraints
# noinspection PyTypeChecker
obj = cvxpy.Maximize(0)
prob = cvxpy.Problem(obj, constraints)
return prob
def constrained_sage_dual(f, gs, p=0, q=1):
"""
Compute the dual f_{SAGE}^{(p, q)} bound for
inf f(x) : g(x) >= 0 for g \in gs.
:param f: a Signomial.
:param gs: a list of Signomials.
:param p: a nonnegative integer,
:param q: a positive integer.
:return: a CVXPY Problem that defines the dual formulation for f_{SAGE}^{(p, q)}.
"""
lagrangian, dualized_signomials = make_lagrangian(f, gs, p=p, q=q)
v = cvxpy.Variable(shape=(lagrangian.m, 1))
constraints = relative_c_sage_star(lagrangian, v)
for s_h, h in dualized_signomials:
v_h = cvxpy.Variable(name='v_h_' + str(s_h), shape=(s_h.m, 1))
constraints += relative_c_sage_star(s_h, v_h)
c_h = hierarchy_c_h_array(s_h, h, lagrangian)
constraints.append(c_h * v == v_h)
# Equality constraint (for the Lagrangian to be bounded).
a = relative_coeff_vector(Signomial({(0, ) * f.n: 1}), lagrangian.alpha)
a = a.reshape(a.size, 1)
constraints.append(a.T * v == 1)
obj_vec = relative_coeff_vector(f, lagrangian.alpha)
obj = cvxpy.Minimize(obj_vec * v)
prob = cvxpy.Problem(obj, constraints)
return prob
def test_unconstrained_sage_4(self):
s = Signomial({(3, ): 1, (2, ): -4, (1, ): 7, (-1, ): 1})
expected = [3.464102, 4.60250026, 4.6217973]
pds = [primal_dual_vals(s, ell) for ell in range(3)]
for ell in range(3):
assert abs(pds[ell][0] == expected[ell]) < 1e-5
assert abs(pds[ell][1] == expected[ell]) < 1e-5
def test_unconstrained_sage_3(self):
s = Signomial({(1, 0, 0): 1, (0, 1, 0): -1, (0, 0, 1): -1})
s = s**2
expected = -np.inf
pd0 = primal_dual_vals(s, 0)
assert pd0[0] == expected and pd0[1] == expected
pd1 = primal_dual_vals(s, 1)
assert pd1[0] == expected and pd1[1] == expected
def test_signomial_evaluation(self):
s = Signomial({(1,): 1})
assert s(0) == 1 and abs(s(1) - np.exp(1)) < 1e-10
zero = np.array([0])
one = np.array([1])
assert s(zero) == 1 and abs(s(one) - np.exp(1)) < 1e-10
zero_one = np.array([[0, 1]])
assert np.allclose(s(zero_one), np.exp(zero_one), rtol=0, atol=1e-10)
def __sub__(self, other):
if isinstance(other, Signomial) and not isinstance(other, Polynomial):
raise RuntimeError(
'Cannot subtract a signomial from a polynomial (or vice versa).'
)
temp = Signomial.__sub__(self, other)
temp = Polynomial(temp.alpha, temp.c)
return temp
def __pow__(self, power, modulo=None):
if self.c.dtype not in __NUMERIC_TYPES__:
raise RuntimeError(
'Cannot exponentiate polynomials with symbolic coefficients.')
temp = Signomial(self.alpha, self.c)
temp = temp**power
temp = Polynomial(temp.alpha, temp.c)
return temp
def test_unconstrained_sage_2(self):
alpha = np.array([[0, 0], [1, 0], [0, 1], [1, 1], [0.5, 1], [1, 0.5]])
c = np.array([0, 1, 1, 1.9, -2, -2])
s = Signomial(alpha, c)
expected = [-np.inf, -0.122211863]
pd0 = primal_dual_vals(s, 0)
assert pd0[0] == expected[0] and pd0[1] == expected[0]
pd1 = primal_dual_vals(s, 1)
assert abs(pd1[0] - expected[1]) < 1e-5 and abs(pd1[1] -
expected[1]) < 1e-5
def test_unconstrained_sage_1(self):
alpha = np.array([[0, 0], [1, 0], [0, 1], [1, 1], [0.5, 0], [0, 0.5]])
c = np.array([0, 3, 2, 1, -4, -2])
s = Signomial(alpha, c)
expected = [-1.83333, -1.746505595]
pd0 = primal_dual_vals(s, 0)
assert abs(pd0[0] - expected[0]) < 1e-4 and abs(pd0[1] -
expected[0]) < 1e-4
pd1 = primal_dual_vals(s, 1)
assert abs(pd1[0] - expected[1]) < 1e-4 and abs(pd1[1] -
expected[1]) < 1e-4
def test_constrained_sage_1(self):
s0 = Signomial({(10.2, 0, 0): 10, (0, 9.8, 0): 10, (0, 0, 8.2): 10})
s1 = Signomial({(1.5089, 1.0981, 1.3419): -14.6794})
s2 = Signomial({(1.0857, 1.9069, 1.6192): -7.8601})
s3 = Signomial({(1.0459, 0.0492, 1.6245): 8.7838})
f = s0 + s1 + s2 + s3
g = Signomial({
(10.2, 0, 0): -8,
(0, 9.8, 0): -8,
(0, 0, 8.2): -8,
(1.0857, 1.9069, 1.6192): -6.4,
(0, 0, 0): 1
})
gs = [g]
expected = -0.6147
actual = [
sage.constrained_sage_primal(f, gs, p=0, q=1).solve(solver='ECOS'),
sage.constrained_sage_dual(f, gs, p=0, q=1).solve(solver='ECOS')
]
assert abs(actual[0] - expected) < 1e-4 and abs(actual[1] -
expected) < 1e-4
def test_unconstrained_sage_6(self):
alpha = np.array([[0., 1.], [0., 0.], [0.52, 0.15], [1., 0.], [2., 2.],
[1.3, 1.38]])
c = np.array([2.55, 0.31, -1.48, 0.85, 0.65, -1.73])
s = Signomial(alpha, c)
expected = [0.00354263, 0.13793126]
pd0 = primal_dual_vals(s, 0)
assert abs(pd0[0] - expected[0]) < 1e-6 and abs(pd0[1] -
expected[0]) < 1e-6
pd1 = primal_dual_vals(s, 1)
assert abs(pd1[0] - expected[1]) < 1e-6 and abs(pd1[1] -
expected[1]) < 1e-6
def test_unconstrained_sage_5(self):
alpha = np.array([[0., 1.], [0.21, 0.08], [0.16, 0.54], [0., 0.],
[1., 0.], [0.3, 0.58]])
c = np.array([1., -57.75, -40.37, 33.94, 67.29, 38.28])
s = Signomial(alpha, c)
expected = [-24.054866, -21.31651]
pd0 = primal_dual_vals(s, 0)
assert abs(pd0[0] - expected[0]) < 1e-4 and abs(pd0[1] -
expected[0]) < 1e-4
pd1 = primal_dual_vals(s, 1)
assert abs(pd1[0] - expected[1]) < 1e-4 and abs(pd1[1] -
expected[1]) < 1e-4
def hierarchy_e_k(sig_list, k):
"""
:param sig_list: a list of Signomial objects over a common domain R^n
:param k: a nonnegative integer
:return: If "alpha" denotes the union of exponent vectors over Signomials in
sig_list, then this function returns "E_k(alpha)" from the original paper
on the SAGE hierarchy.
"""
alpha_tups = sum([list(s.alpha_c.keys()) for s in sig_list], [])
alpha_tups = set(alpha_tups)
s = Signomial(dict([(a, 1.0) for a in alpha_tups]))
s = s**k
return s.alpha
def make_lagrangian(f, gs, p, q, add_constant_sig=True):
"""
Given a problem \inf{ f(x) : g(x) >= 0 for g in gs}, construct the q-fold constraints H,
and the lagrangian
L = f - \gamma - \sum_{h \in H} s_h * h
where \gamma and the coefficients on Signomials s_h are CVXPY Variables.
:param f: a Signomial (or a constant numeric type).
:param gs: a nonempty list of Signomials.
:param p: a nonnegative integer. Defines the exponent set of the Signomials s_h.
:param q: a positive integer. Defines "H" as all products of q elements from gs.
:param add_constant_sig: a boolean. If True, makes sure that "gs" contains a
Signomial that is identically equal to 1.
:return: a Signomial object with coefficients as affine expressions of CVXPY Variables.
The coefficients will either be optimized directly (in the case of constrained_sage_primal),
or simply used to determine appropriate dual variables (in the case of constrained_sage_dual).
"""
if not all([isinstance(g, Signomial) for g in gs]):
raise RuntimeError('Constraints must be Signomial objects.')
if add_constant_sig:
gs.append(Signomial({(0, ) * gs[0].n:
1})) # add the constant signomial
if not isinstance(f, Signomial):
f = Signomial({(0, ) * gs[0].n: f})
gs = set(gs) # remove duplicates
hs = set([np.prod(comb) for comb in combinations_with_replacement(gs, q)])
gamma = cvxpy.Variable(name='gamma')
lagrangian = f - gamma
alpha_E_p = hierarchy_e_k([f] + list(gs), k=p)
dualized_signomials = []
for h in hs:
temp_shc = cvxpy.Variable(name='shc_' + str(h),
shape=(alpha_E_p.shape[0], ))
temp_sh = Signomial(alpha_E_p, temp_shc)
lagrangian -= temp_sh * h
dualized_signomials.append((temp_sh, h))
return lagrangian, dualized_signomials
def sage_primal(s, level=0, special_multiplier=None, additional_cons=None):
"""
:param s: a Signomial object.
:param level: a nonnegative integer
:param special_multiplier: an optional parameter, applicable when level > 0. Must be a nonzero
SAGE function.
:param additional_cons: a list of CVXPY Constraint objects over the variables in s.c
(unless you are working with SAGE polynomials, there likely won't be any of these).
:return: a CVXPY Problem object representing the primal formulation for s_{SAGE}^{(level)}
Unlike the sage_dual, this formulation can be stated in full generality without too much trouble.
We define a multiplier signomial "t" as either the standard multiplier (Signomial(s.alpha, np.ones(s.n))),
or a user-provided multiplier. We then return a CVXPY Problem representing
max gamma
s.t. s_mod.c \in C_{SAGE}(s_mod.alpha)
where s_mod := (t ** level) * (s - gamma).
Our implementation of Signomial objects allows CVXPY variables in the coefficient vector c. As a result, the
mapping "gamma \to s_mod.c" is an affine function that takes in a CVXPY Variable and returns a CVXPY Expression.
This makes it very simple to represent "s_mod.c \in C_{SAGE}(s_mod.alpha)" via CVXPY Constraints. The work defining
the necessary CVXPY variables and constructing the CVXPY constraints is handled by the function "c_sage."
"""
if special_multiplier is None:
t = Signomial(s.alpha, np.ones(s.m))
else:
# noinspection PyTypeChecker
if np.all(special_multiplier.c == 0):
raise RuntimeError('The multiplier must be a nonzero signomial.')
# test if SAGE
prob = sage_feasibility(special_multiplier)
if prob.solve() < 0:
raise RuntimeError('The multiplier must be a SAGE function.')
t = special_multiplier
gamma = cvxpy.Variable(name='gamma')
s_mod = (s - gamma) * (t**level)
s_mod.remove_terms_with_zero_as_coefficient()
constraints = relative_c_sage(s_mod)
obj = cvxpy.Maximize(gamma)
if additional_cons is not None:
constraints += additional_cons
prob = cvxpy.Problem(obj, constraints)
# Add fields that we can access later.
prob.s_mod = s_mod
prob.s = s
prob.level = level
return prob
def __mul__(self, other):
if not isinstance(other, Polynomial):
if isinstance(other, Signomial):
raise RuntimeError(
'Cannot multiply signomials and polynomials.')
# else, we assume that "other" is a scalar type
other = Polynomial.promote_scalar_to_polynomial(other, self.n)
self_var_coeffs = (self.c.dtype not in __NUMERIC_TYPES__)
other_var_coeffs = (other.c.dtype not in __NUMERIC_TYPES__)
if self_var_coeffs and other_var_coeffs:
raise RuntimeError(
'Cannot multiply two polynomials that posesses non-numeric coefficients.'
)
temp = Signomial.__mul__(self, other)
temp = Polynomial(temp.alpha, temp.c)
return temp
def test_scalar_multiplication(self):
# data for tests
alpha0 = np.array([[0], [1], [2]])
c0 = np.array([1, 2, 3])
s0 = Signomial(alpha0, c0)
# Tests
s = 2 * s0
# noinspection PyTypeChecker
assert set(s.c) == set(2 * s0.c)
s = s0 * 2
# noinspection PyTypeChecker
assert set(s.c) == set(2 * s0.c)
s = 1 * s0
assert s.alpha_c == s0.alpha_c
s = 0 * s0
s.remove_terms_with_zero_as_coefficient()
assert s.m == 1 and set(s.c) == {0}
def hierarchy_c_h_array(s_h, h, lagrangian):
"""
Assume (s_h * h).alpha is a subset of lagrangian.alpha.
:param s_h: a SAGE multiplier Signomial for the constrained hierarchy
:param h: the constraint Signomial
:param lagrangian: the Signomial f - \gamma - \sum_{h \in H} s_h * h.
:return: a matrix c_h so that if "v" is a dual variable to the constraint
"lagrangian is SAGE", then the constraint "s_h is SAGE" is dualizes to
"c_h * v \in C_{SAGE}^{\star}(s_h)".
"""
c_h = np.zeros((s_h.alpha.shape[0], lagrangian.alpha.shape[0]))
for i, row in enumerate(s_h.alpha):
temp_sig = Signomial({tuple(row): 1}) * h
c_h[i, :] = relative_coeff_vector(temp_sig, lagrangian.alpha)
return c_h
def compute_sig_rep(self):
self._sig_rep = None
self._sig_rep_constrs = []
d = defaultdict(lambda: 0)
for i, row in enumerate(self.alpha):
if np.any(row % 2 != 0):
row = tuple(row)
if isinstance(self.c[i], __NUMERIC_TYPES__):
d[row] = -abs(self.c[i])
else:
d[row] = cvxpy.Variable(shape=(),
name=('sig_rep_coeff[' + str(i) +
']'))
self._sig_rep_constrs.append(d[row] <= self.c[i])
self._sig_rep_constrs.append(d[row] <= -self.c[i])
else:
d[tuple(row)] = self.c[i]
self._sig_rep = Signomial(d)
pass
def test_exponentiation(self):
# raise to a negative power
s = Signomial({(0.25,): -1})
t_actual = s ** -3
t_expect = Signomial({(-0.75,): -1})
assert TestSignomials.are_equal(t_actual, t_expect)
# raise to a fractional power
s = Signomial({(2,): 9})
t_actual = s ** 0.5
t_expect = Signomial({(1,): 3})
assert TestSignomials.are_equal(t_actual, t_expect)
# raise to a nonnegative integer power
s = Signomial({(0,): 1, (1,): 2})
t_actual = s ** 2
t_expect = Signomial({(0,): 1, (1,): 4, (2,): 4})
assert TestSignomials.are_equal(t_actual, t_expect)
def test_constrained_sage_2(self):
# a Signomial Programming formulation of an example from page 16 of
# http://homepages.laas.fr/henrion/papers/gloptipoly3.pdf
# --- which is itself borrowed from somewhere else.
f = Signomial({(1, 0, 0): -2, (0, 1, 0): 1, (0, 0, 1): -1})
# Constraints over more than one variable
g1 = Signomial({
(0, 0, 0): 24,
(1, 0, 0): -20,
(0, 1, 0): 9,
(0, 0, 1): -13,
(2, 0, 0): 4,
(1, 1, 0): -4,
(1, 0, 1): 4,
(0, 2, 0): 2,
(0, 1, 1): -2,
(0, 0, 2): 2
})
g2 = Signomial({
(1, 0, 0): -1,
(0, 1, 0): -1,
(0, 0, 1): -1,
(0, 0, 0): 4
})
g3 = Signomial({(0, 1, 0): -3, (0, 0, 1): -1, (0, 0, 0): 6})
# Bound constraints on x_1
g4 = Signomial({(1, 0, 0): -1, (0, 0, 0): 2})
# Bound constraints on x_3
g5 = Signomial({(0, 0, 1): -1, (0, 0, 0): 3})
# Assemble!
gs = [g1, g2, g3, g4, g5]
res01 = [
sage.constrained_sage_primal(f, gs, p=0,
q=1).solve(solver='ECOS',
max_iters=1000),
sage.constrained_sage_dual(f, gs, p=0, q=1).solve(solver='ECOS',
max_iters=1000)
]
assert abs(res01[0] - res01[1]) < 1e-5
if 'MOSEK' in cvxpy.installed_solvers():
res11 = [
sage.constrained_sage_primal(f, gs, p=1,
q=1).solve(solver='MOSEK'),
sage.constrained_sage_dual(f, gs, p=1,
q=1).solve(solver='MOSEK')
]
assert abs(res11[0] - res11[1]) < 1e-4
def __add__(self, other):
if isinstance(other, Signomial) and not isinstance(other, Polynomial):
raise RuntimeError('Cannot add signomials to polynomials.')
temp = Signomial.__add__(self, other)
temp = Polynomial(temp.alpha, temp.c)
return temp