129 lines
3.5 KiB
Python
129 lines
3.5 KiB
Python
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import numpy as np
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from scipy.optimize import _lbfgsb, minimize
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def objfun(x):
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"""simplified objective func to test lbfgsb bound violation"""
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x0 = [0.8750000000000278,
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0.7500000000000153,
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0.9499999999999722,
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0.8214285714285992,
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0.6363636363636085]
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x1 = [1.0, 0.0, 1.0, 0.0, 0.0]
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x2 = [1.0,
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0.0,
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0.9889733043149325,
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0.0,
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0.026353554421041155]
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x3 = [1.0,
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0.0,
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0.9889917442915558,
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0.0,
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0.020341986743231205]
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f0 = 5163.647901211178
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f1 = 5149.8181642072905
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f2 = 5149.379332309634
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f3 = 5149.374490771297
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g0 = np.array([-0.5934820547965749,
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1.6251549718258351,
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-71.99168459202559,
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5.346636965797545,
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37.10732723092604])
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g1 = np.array([-0.43295349282641515,
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1.008607936794592,
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18.223666726602975,
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31.927010036981997,
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-19.667512518739386])
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g2 = np.array([-0.4699874455100256,
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0.9466285353668347,
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-0.016874360242016825,
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48.44999161133457,
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5.819631620590712])
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g3 = np.array([-0.46970678696829116,
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0.9612719312174818,
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0.006129809488833699,
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48.43557729419473,
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6.005481418498221])
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if np.allclose(x, x0):
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f = f0
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g = g0
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elif np.allclose(x, x1):
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f = f1
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g = g1
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elif np.allclose(x, x2):
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f = f2
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g = g2
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elif np.allclose(x, x3):
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f = f3
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g = g3
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else:
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raise ValueError(
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'Simplified objective function not defined '
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'at requested point')
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return (np.copy(f), np.copy(g))
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def test_setulb_floatround():
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"""test if setulb() violates bounds
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checks for violation due to floating point rounding error
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"""
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n = 5
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m = 10
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factr = 1e7
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pgtol = 1e-5
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maxls = 20
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iprint = -1
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nbd = np.full((n,), 2)
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low_bnd = np.zeros(n, np.float64)
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upper_bnd = np.ones(n, np.float64)
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x0 = np.array(
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[0.8750000000000278,
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0.7500000000000153,
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0.9499999999999722,
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0.8214285714285992,
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0.6363636363636085])
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x = np.copy(x0)
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f = np.array(0.0, np.float64)
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g = np.zeros(n, np.float64)
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fortran_int = _lbfgsb.types.intvar.dtype
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wa = np.zeros(2*m*n + 5*n + 11*m*m + 8*m, np.float64)
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iwa = np.zeros(3*n, fortran_int)
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task = np.zeros(1, 'S60')
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csave = np.zeros(1, 'S60')
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lsave = np.zeros(4, fortran_int)
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isave = np.zeros(44, fortran_int)
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dsave = np.zeros(29, np.float64)
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task[:] = b'START'
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for n_iter in range(7): # 7 steps required to reproduce error
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f, g = objfun(x)
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_lbfgsb.setulb(m, x, low_bnd, upper_bnd, nbd, f, g, factr,
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pgtol, wa, iwa, task, iprint, csave, lsave,
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isave, dsave, maxls)
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assert (x <= upper_bnd).all() and (x >= low_bnd).all(), (
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"_lbfgsb.setulb() stepped to a point outside of the bounds")
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def test_gh_issue18730():
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# issue 18730 reported that l-bfgs-b did not work with objectives
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# returning single precision gradient arrays
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def fun_single_precision(x):
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x = x.astype(np.float32)
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return np.sum(x**2), (2*x)
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res = minimize(fun_single_precision, x0=np.array([1., 1.]), jac=True,
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method="l-bfgs-b")
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np.testing.assert_allclose(res.fun, 0., atol=1e-15)
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