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import numpy as np
import scipy.sparse as sps
class CanonicalConstraint(object):
"""Canonical constraint to use with trust-constr algorithm.
It represents the set of constraints of the form::
f_eq(x) = 0
f_ineq(x) <= 0
Where ``f_eq`` and ``f_ineq`` are evaluated by a single function, see
below.
The class is supposed to be instantiated by factory methods, which
should prepare the parameters listed below.
Parameters
----------
n_eq, n_ineq : int
Number of equality and inequality constraints respectively.
fun : callable
Function defining the constraints. The signature is
``fun(x) -> c_eq, c_ineq``, where ``c_eq`` is ndarray with `n_eq`
components and ``c_ineq`` is ndarray with `n_ineq` components.
jac : callable
Function to evaluate the Jacobian of the constraint. The signature
is ``jac(x) -> J_eq, J_ineq``, where ``J_eq`` and ``J_ineq`` are
either ndarray of csr_matrix of shapes (n_eq, n) and (n_ineq, n)
respectively.
hess : callable
Function to evaluate the Hessian of the constraints multiplied
by Lagrange multipliers, that is
``dot(f_eq, v_eq) + dot(f_ineq, v_ineq)``. The signature is
``hess(x, v_eq, v_ineq) -> H``, where ``H`` has an implied
shape (n, n) and provide a matrix-vector product operation
``H.dot(p)``.
keep_feasible : ndarray, shape (n_ineq,)
Mask indicating which inequality constraints should be kept feasible.
"""
def __init__(self, n_eq, n_ineq, fun, jac, hess, keep_feasible):
self.n_eq = n_eq
self.n_ineq = n_ineq
self.fun = fun
self.jac = jac
self.hess = hess
self.keep_feasible = keep_feasible
@classmethod
def from_PreparedConstraint(cls, constraint):
"""Create an instance from `PreparedConstrained` object."""
lb, ub = constraint.bounds
cfun = constraint.fun
keep_feasible = constraint.keep_feasible
if np.all(lb == -np.inf) and np.all(ub == np.inf):
return cls.empty(cfun.n)
if np.all(lb == -np.inf) and np.all(ub == np.inf):
return cls.empty(cfun.n)
elif np.all(lb == ub):
return cls._equal_to_canonical(cfun, lb)
elif np.all(lb == -np.inf):
return cls._less_to_canonical(cfun, ub, keep_feasible)
elif np.all(ub == np.inf):
return cls._greater_to_canonical(cfun, lb, keep_feasible)
else:
return cls._interval_to_canonical(cfun, lb, ub, keep_feasible)
@classmethod
def empty(cls, n):
"""Create an "empty" instance.
This "empty" instance is required to allow working with unconstrained
problems as if they have some constraints.
"""
empty_fun = np.empty(0)
empty_jac = np.empty((0, n))
empty_hess = sps.csr_matrix((n, n))
def fun(x):
return empty_fun, empty_fun
def jac(x):
return empty_jac, empty_jac
def hess(x, v_eq, v_ineq):
return empty_hess
return cls(0, 0, fun, jac, hess, np.empty(0))
@classmethod
def concatenate(cls, canonical_constraints, sparse_jacobian):
"""Concatenate multiple `CanonicalConstraint` into one.
`sparse_jacobian` (bool) determines the Jacobian format of the
concatenated constraint. Note that items in `canonical_constraints`
must have their Jacobians in the same format.
"""
def fun(x):
eq_all = []
ineq_all = []
for c in canonical_constraints:
eq, ineq = c.fun(x)
eq_all.append(eq)
ineq_all.append(ineq)
return np.hstack(eq_all), np.hstack(ineq_all)
if sparse_jacobian:
vstack = sps.vstack
else:
vstack = np.vstack
def jac(x):
eq_all = []
ineq_all = []
for c in canonical_constraints:
eq, ineq = c.jac(x)
eq_all.append(eq)
ineq_all.append(ineq)
return vstack(eq_all), vstack(ineq_all)
def hess(x, v_eq, v_ineq):
hess_all = []
index_eq = 0
index_ineq = 0
for c in canonical_constraints:
vc_eq = v_eq[index_eq:index_eq + c.n_eq]
vc_ineq = v_ineq[index_ineq:index_ineq + c.n_ineq]
hess_all.append(c.hess(x, vc_eq, vc_ineq))
index_eq += c.n_eq
index_ineq += c.n_ineq
def matvec(p):
result = np.zeros_like(p)
for h in hess_all:
result += h.dot(p)
return result
n = x.shape[0]
return sps.linalg.LinearOperator((n, n), matvec, dtype=float)
n_eq = sum(c.n_eq for c in canonical_constraints)
n_ineq = sum(c.n_ineq for c in canonical_constraints)
keep_feasible = np.array(np.hstack((
c.keep_feasible for c in canonical_constraints)), dtype=bool)
return cls(n_eq, n_ineq, fun, jac, hess, keep_feasible)
@classmethod
def _equal_to_canonical(cls, cfun, value):
empty_fun = np.empty(0)
n = cfun.n
n_eq = value.shape[0]
n_ineq = 0
keep_feasible = np.empty(0, dtype=bool)
if cfun.sparse_jacobian:
empty_jac = sps.csr_matrix((0, n))
else:
empty_jac = np.empty((0, n))
def fun(x):
return cfun.fun(x) - value, empty_fun
def jac(x):
return cfun.jac(x), empty_jac
def hess(x, v_eq, v_ineq):
return cfun.hess(x, v_eq)
empty_fun = np.empty(0)
n = cfun.n
if cfun.sparse_jacobian:
empty_jac = sps.csr_matrix((0, n))
else:
empty_jac = np.empty((0, n))
return cls(n_eq, n_ineq, fun, jac, hess, keep_feasible)
@classmethod
def _less_to_canonical(cls, cfun, ub, keep_feasible):
empty_fun = np.empty(0)
n = cfun.n
if cfun.sparse_jacobian:
empty_jac = sps.csr_matrix((0, n))
else:
empty_jac = np.empty((0, n))
finite_ub = ub < np.inf
n_eq = 0
n_ineq = np.sum(finite_ub)
if np.all(finite_ub):
def fun(x):
return empty_fun, cfun.fun(x) - ub
def jac(x):
return empty_jac, cfun.jac(x)
def hess(x, v_eq, v_ineq):
return cfun.hess(x, v_ineq)
else:
finite_ub = np.nonzero(finite_ub)[0]
keep_feasible = keep_feasible[finite_ub]
ub = ub[finite_ub]
def fun(x):
return empty_fun, cfun.fun(x)[finite_ub] - ub
def jac(x):
return empty_jac, cfun.jac(x)[finite_ub]
def hess(x, v_eq, v_ineq):
v = np.zeros(cfun.m)
v[finite_ub] = v_ineq
return cfun.hess(x, v)
return cls(n_eq, n_ineq, fun, jac, hess, keep_feasible)
@classmethod
def _greater_to_canonical(cls, cfun, lb, keep_feasible):
empty_fun = np.empty(0)
n = cfun.n
if cfun.sparse_jacobian:
empty_jac = sps.csr_matrix((0, n))
else:
empty_jac = np.empty((0, n))
finite_lb = lb > -np.inf
n_eq = 0
n_ineq = np.sum(finite_lb)
if np.all(finite_lb):
def fun(x):
return empty_fun, lb - cfun.fun(x)
def jac(x):
return empty_jac, -cfun.jac(x)
def hess(x, v_eq, v_ineq):
return cfun.hess(x, -v_ineq)
else:
finite_lb = np.nonzero(finite_lb)[0]
keep_feasible = keep_feasible[finite_lb]
lb = lb[finite_lb]
def fun(x):
return empty_fun, lb - cfun.fun(x)[finite_lb]
def jac(x):
return empty_jac, -cfun.jac(x)[finite_lb]
def hess(x, v_eq, v_ineq):
v = np.zeros(cfun.m)
v[finite_lb] = -v_ineq
return cfun.hess(x, v)
return cls(n_eq, n_ineq, fun, jac, hess, keep_feasible)
@classmethod
def _interval_to_canonical(cls, cfun, lb, ub, keep_feasible):
lb_inf = lb == -np.inf
ub_inf = ub == np.inf
equal = lb == ub
less = lb_inf & ~ub_inf
greater = ub_inf & ~lb_inf
interval = ~equal & ~lb_inf & ~ub_inf
equal = np.nonzero(equal)[0]
less = np.nonzero(less)[0]
greater = np.nonzero(greater)[0]
interval = np.nonzero(interval)[0]
n_less = less.shape[0]
n_greater = greater.shape[0]
n_interval = interval.shape[0]
n_ineq = n_less + n_greater + 2 * n_interval
n_eq = equal.shape[0]
keep_feasible = np.hstack((keep_feasible[less],
keep_feasible[greater],
keep_feasible[interval],
keep_feasible[interval]))
def fun(x):
f = cfun.fun(x)
eq = f[equal] - lb[equal]
le = f[less] - ub[less]
ge = lb[greater] - f[greater]
il = f[interval] - ub[interval]
ig = lb[interval] - f[interval]
return eq, np.hstack((le, ge, il, ig))
def jac(x):
J = cfun.jac(x)
eq = J[equal]
le = J[less]
ge = -J[greater]
il = J[interval]
ig = -il
if sps.issparse(J):
ineq = sps.vstack((le, ge, il, ig))
else:
ineq = np.vstack((le, ge, il, ig))
return eq, ineq
def hess(x, v_eq, v_ineq):
n_start = 0
v_l = v_ineq[n_start:n_start + n_less]
n_start += n_less
v_g = v_ineq[n_start:n_start + n_greater]
n_start += n_greater
v_il = v_ineq[n_start:n_start + n_interval]
n_start += n_interval
v_ig = v_ineq[n_start:n_start + n_interval]
v = np.zeros_like(lb)
v[equal] = v_eq
v[less] = v_l
v[greater] = -v_g
v[interval] = v_il - v_ig
return cfun.hess(x, v)
return cls(n_eq, n_ineq, fun, jac, hess, keep_feasible)
def initial_constraints_as_canonical(n, prepared_constraints, sparse_jacobian):
"""Convert initial values of the constraints to the canonical format.
The purpose to avoid one additional call to the constraints at the initial
point. It takes saved values in `PreparedConstraint`, modify and
concatenate them to the the canonical constraint format.
"""
c_eq = []
c_ineq = []
J_eq = []
J_ineq = []
for c in prepared_constraints:
f = c.fun.f
J = c.fun.J
lb, ub = c.bounds
if np.all(lb == ub):
c_eq.append(f - lb)
J_eq.append(J)
elif np.all(lb == -np.inf):
finite_ub = ub < np.inf
c_ineq.append(f[finite_ub] - ub[finite_ub])
J_ineq.append(J[finite_ub])
elif np.all(ub == np.inf):
finite_lb = lb > -np.inf
c_ineq.append(lb[finite_lb] - f[finite_lb])
J_ineq.append(-J[finite_lb])
else:
lb_inf = lb == -np.inf
ub_inf = ub == np.inf
equal = lb == ub
less = lb_inf & ~ub_inf
greater = ub_inf & ~lb_inf
interval = ~equal & ~lb_inf & ~ub_inf
c_eq.append(f[equal] - lb[equal])
c_ineq.append(f[less] - ub[less])
c_ineq.append(lb[greater] - f[greater])
c_ineq.append(f[interval] - ub[interval])
c_ineq.append(lb[interval] - f[interval])
J_eq.append(J[equal])
J_ineq.append(J[less])
J_ineq.append(-J[greater])
J_ineq.append(J[interval])
J_ineq.append(-J[interval])
c_eq = np.hstack(c_eq) if c_eq else np.empty(0)
c_ineq = np.hstack(c_ineq) if c_ineq else np.empty(0)
if sparse_jacobian:
vstack = sps.vstack
empty = sps.csr_matrix((0, n))
else:
vstack = np.vstack
empty = np.empty((0, n))
J_eq = vstack(J_eq) if J_eq else empty
J_ineq = vstack(J_ineq) if J_ineq else empty
return c_eq, c_ineq, J_eq, J_ineq
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