from __future__ import division, print_function import pytest import numpy as np from scipy.optimize import minimize, basinhopping from symfit import ( Variable, Parameter, Eq, Ge, Le, Lt, Gt, Ne, parameters, ModelError, Fit, Model, cos, CallableNumericalModel ) from symfit.core.objectives import MinimizeModel from symfit.core.minimizers import BFGS, BasinHopping, LBFGSB, SLSQP, NelderMead from symfit.core.support import partial def setup_method(): np.random.seed(0) # TODO: Should be 2 tests? def test_minimize(): """ Tests maximizing a function with and without constraints, taken from the scipy `minimize` tutorial. Compare the symfit result with the scipy result. https://docs.scipy.org/doc/scipy-0.18.1/reference/tutorial/optimize.html#constrained-minimization-of-multivariate-scalar-functions-minimize """ x = Parameter(value=-1.0) y = Parameter(value=1.0) # Use an unnamed Variable on purpose to test the auto-generation of names. model = Model(2 * x * y + 2 * x - x ** 2 - 2 * y ** 2) constraints = [ Ge(y - 1, 0), # y - 1 >= 0, Eq(x**3 - y, 0), # x**3 - y == 0, ] def func(x, sign=1.0): """ Objective function """ return sign*(2*x[0]*x[1] + 2*x[0] - x[0]**2 - 2*x[1]**2) def func_deriv(x, sign=1.0): """ Derivative of objective function """ dfdx0 = sign*(-2*x[0] + 2*x[1] + 2) dfdx1 = sign*(2*x[0] - 4*x[1]) return np.array([dfdx0, dfdx1]) cons = ( {'type': 'eq', 'fun': lambda x: np.array([x[0]**3 - x[1]]), 'jac': lambda x: np.array([3.0*(x[0]**2.0), -1.0])}, {'type': 'ineq', 'fun': lambda x: np.array([x[1] - 1]), 'jac': lambda x: np.array([0.0, 1.0])} ) # Unconstrained fit res = minimize(func, [-1.0, 1.0], args=(-1.0,), jac=func_deriv, method='BFGS', options={'disp': False}) fit = Fit(model=-model) assert isinstance(fit.objective, MinimizeModel) assert isinstance(fit.minimizer, BFGS) fit_result = fit.execute() assert fit_result.value(x) == pytest.approx(res.x[0], 1e-6) assert fit_result.value(y) == pytest.approx(res.x[1], 1e-6) # Same test, but with constraints in place. res = minimize(func, [-1.0, 1.0], args=(-1.0,), jac=func_deriv, constraints=cons, method='SLSQP', options={'disp': False}) fit = Fit(-model, constraints=constraints) assert fit.constraints[0].constraint_type == Ge assert fit.constraints[1].constraint_type == Eq fit_result = fit.execute() assert fit_result.value(x) == pytest.approx(res.x[0], 1e-6) assert fit_result.value(y) == pytest.approx(res.x[1], 1e-6) def test_constraint_types(): x = Parameter(value=-1.0) y = Parameter(value=1.0) z = Variable() model = Model({z: 2*x*y + 2*x - x**2 - 2*y**2}) # These types are not allowed constraints. for relation in [Lt, Gt, Ne]: with pytest.raises(ModelError): Fit(model, constraints=[relation(x, y)]) # Should execute without problems. for relation in [Eq, Ge, Le]: Fit(model, constraints=[relation(x, y)]) fit = Fit(model, constraints=[Le(x, y)]) # Le should be transformed to Ge assert fit.constraints[0].constraint_type is Ge # Redo the standard test as a Le constraints = [ Le(- y + 1, 0), # y - 1 >= 0, Eq(x**3 - y, 0), # x**3 - y == 0, ] std_constraints = [ Ge(y - 1, 0), # y - 1 >= 0, Eq(x**3 - y, 0), # x**3 - y == 0, ] fit = Fit(-model, constraints=constraints) std_fit = Fit(-model, constraints=std_constraints) assert fit.constraints[0].constraint_type == Ge assert fit.constraints[1].constraint_type == Eq assert fit.constraints[0].params == [x, y] assert fit.constraints[1].params == [x, y] assert fit.constraints[0].jacobian_model.params == [x, y] assert fit.constraints[1].jacobian_model.params == [x, y] assert fit.constraints[0].hessian_model.params == [x, y] assert fit.constraints[1].hessian_model.params == [x, y] assert fit.constraints[0].__signature__ == fit.constraints[1].__signature__ fit_result = fit.execute() std_result = std_fit.execute() assert fit_result.value(x) == pytest.approx(std_result.value(x)) assert fit_result.value(y) == pytest.approx(std_result.value(y)) def test_basinhopping_large(): """ Test the basinhopping method of scipy.minimize. This is based of scipy's docs as found here: https://docs.scipy.org/doc/scipy-0.13.0/reference/generated/scipy.optimize.anneal.html """ def f1(z, *params): x, y = z a, b, c, d, e, f, g, h, i, j, k, l, scale = params return (a * x ** 2 + b * x * y + c * y ** 2 + d * x + e * y + f) def f2(z, *params): x, y = z a, b, c, d, e, f, g, h, i, j, k, l, scale = params return (-g * np.exp(-((x - h) ** 2 + (y - i) ** 2) / scale)) def f3(z, *params): x, y = z a, b, c, d, e, f, g, h, i, j, k, l, scale = params return (-j * np.exp(-((x - k) ** 2 + (y - l) ** 2) / scale)) def func(z, *params): x, y = z a, b, c, d, e, f, g, h, i, j, k, l, scale = params return f1(z, *params) + f2(z, *params) + f3(z, *params) def f_symfit(x1, x2, params): z = [x1, x2] return func(z, *params) params = (2, 3, 7, 8, 9, 10, 44, -1, 2, 26, 1, -2, 0.5) x0 = np.array([2., 2.]) np.random.seed(555) res = basinhopping(func, x0, minimizer_kwargs={'args': params}) np.random.seed(555) x1, x2 = parameters('x1, x2', value=x0) fit = BasinHopping(partial(f_symfit, params=params), [x1, x2]) fit_result = fit.execute() assert res.x[0] == fit_result.value(x1) assert res.x[1] == fit_result.value(x2) assert res.fun == fit_result.objective_value def test_basinhopping(): def func(x): return np.cos(14.5 * x - 0.3) + (x + 0.2) * x x0 = [1.] np.random.seed(555) res = basinhopping(func, x0, minimizer_kwargs={"method": "BFGS"}, niter=200) np.random.seed(555) x, = parameters('x') fit = BasinHopping(func, [x], local_minimizer=BFGS) fit_result = fit.execute(niter=200) # fit_result = fit.execute(minimizer_kwargs={"method": "BFGS"}, niter=200) assert res.x == fit_result.value(x) assert res.fun == fit_result.objective_value def test_basinhopping_2d(): def func2d(x): f = np.cos(14.5 * x[0] - 0.3) + (x[1] + 0.2) * x[1] + (x[0] + 0.2) * x[0] df = np.zeros(2) df[0] = -14.5 * np.sin(14.5 * x[0] - 0.3) + 2. * x[0] + 0.2 df[1] = 2. * x[1] + 0.2 return f, df def func2d_symfit(x1, x2): f = np.cos(14.5 * x1 - 0.3) + (x2 + 0.2) * x2 + (x1 + 0.2) * x1 return f def jac2d_symfit(x1, x2): df = np.zeros(2) df[0] = -14.5 * np.sin(14.5 * x1 - 0.3) + 2. * x1 + 0.2 df[1] = 2. * x2 + 0.2 return df np.random.seed(555) minimizer_kwargs = {'method': 'BFGS', 'jac': True} x0 = [1.0, 1.0] res = basinhopping(func2d, x0, minimizer_kwargs=minimizer_kwargs, niter=200) np.random.seed(555) x1, x2 = parameters('x1, x2', value=x0) with pytest.raises(TypeError): fit = BasinHopping( func2d_symfit, [x1, x2], local_minimizer=NelderMead(func2d_symfit, [x1, x2], jacobian=jac2d_symfit) ) fit = BasinHopping( func2d_symfit, [x1, x2], local_minimizer=BFGS(func2d_symfit, [x1, x2], jacobian=jac2d_symfit) ) fit_result = fit.execute(niter=200) assert isinstance(fit.local_minimizer.jacobian, MinimizeModel) assert isinstance(fit.local_minimizer.jacobian.model, CallableNumericalModel) assert res.x[0] == fit_result.value(x1) assert res.x[1] == fit_result.value(x2) assert res.fun == fit_result.objective_value # Now compare with the symbolic equivalent np.random.seed(555) model = cos(14.5 * x1 - 0.3) + (x2 + 0.2) * x2 + (x1 + 0.2) * x1 fit = Fit(model, minimizer=BasinHopping) fit_result = fit.execute() assert res.x[0] == fit_result.value(x1) assert res.x[1] == fit_result.value(x2) assert res.fun == fit_result.objective_value assert isinstance(fit.minimizer.local_minimizer, BFGS) # Impose constrains np.random.seed(555) model = cos(14.5 * x1 - 0.3) + (x2 + 0.2) * x2 + (x1 + 0.2) * x1 fit = Fit(model, minimizer=BasinHopping, constraints=[Eq(x1, x2)]) fit_result = fit.execute() assert fit_result.value(x1) == fit_result.value(x2) assert isinstance(fit.minimizer.local_minimizer, SLSQP) # Impose bounds np.random.seed(555) x1.min = 0.0 model = cos(14.5 * x1 - 0.3) + (x2 + 0.2) * x2 + (x1 + 0.2) * x1 fit = Fit(model, minimizer=BasinHopping) fit_result = fit.execute() assert fit_result.value(x1) >= x1.min assert isinstance(fit.minimizer.local_minimizer, LBFGSB)