EVOLUTION-MANAGER

Edit File: test_minimize_constrained.py

from __future__ import division, print_function, absolute_import
import numpy as np
import pytest
from scipy.linalg import block_diag
from scipy.sparse import csc_matrix
from numpy.testing import (TestCase, assert_array_almost_equal,
                           assert_array_less, assert_allclose, assert_)
from pytest import raises
from scipy.optimize import (NonlinearConstraint,
                            LinearConstraint,
                            Bounds,
                            minimize,
                            BFGS,
                            SR1)
from scipy._lib._numpy_compat import suppress_warnings

class Maratos:
    """Problem 15.4 from Nocedal and Wright

The following optimization problem:
        minimize 2*(x[0]**2 + x[1]**2 - 1) - x[0]
        Subject to: x[0]**2 + x[1]**2 - 1 = 0
    """

def __init__(self, degrees=60, constr_jac=None, constr_hess=None):
        rads = degrees/180*np.pi
        self.x0 = [np.cos(rads), np.sin(rads)]
        self.x_opt = np.array([1.0, 0.0])
        self.constr_jac = constr_jac
        self.constr_hess = constr_hess
        self.bounds = None

def fun(self, x):
        return 2*(x[0]**2 + x[1]**2 - 1) - x[0]

def grad(self, x):
        return np.array([4*x[0]-1, 4*x[1]])

def hess(self, x):
        return 4*np.eye(2)

@property
    def constr(self):
        def fun(x):
            return x[0]**2 + x[1]**2

if self.constr_jac is None:
            def jac(x):
                return [[2*x[0], 2*x[1]]]
        else:
            jac = self.constr_jac

if self.constr_hess is None:
            def hess(x, v):
                return 2*v[0]*np.eye(2)
        else:
            hess = self.constr_hess

return NonlinearConstraint(fun, 1, 1, jac, hess)

class MaratosTestArgs:
    """Problem 15.4 from Nocedal and Wright

The following optimization problem:
        minimize 2*(x[0]**2 + x[1]**2 - 1) - x[0]
        Subject to: x[0]**2 + x[1]**2 - 1 = 0
    """

def __init__(self, a, b, degrees=60, constr_jac=None, constr_hess=None):
        rads = degrees/180*np.pi
        self.x0 = [np.cos(rads), np.sin(rads)]
        self.x_opt = np.array([1.0, 0.0])
        self.constr_jac = constr_jac
        self.constr_hess = constr_hess
        self.a = a
        self.b = b
        self.bounds = None

def _test_args(self, a, b):
        if self.a != a or self.b != b:
            raise ValueError()

def fun(self, x, a, b):
        self._test_args(a, b)
        return 2*(x[0]**2 + x[1]**2 - 1) - x[0]

def grad(self, x, a, b):
        self._test_args(a, b)
        return np.array([4*x[0]-1, 4*x[1]])

def hess(self, x, a, b):
        self._test_args(a, b)
        return 4*np.eye(2)

@property
    def constr(self):
        def fun(x):
            return x[0]**2 + x[1]**2

if self.constr_jac is None:
            def jac(x):
                return [[4*x[0], 4*x[1]]]
        else:
            jac = self.constr_jac

if self.constr_hess is None:
            def hess(x, v):
                return 2*v[0]*np.eye(2)
        else:
            hess = self.constr_hess

return NonlinearConstraint(fun, 1, 1, jac, hess)

class MaratosGradInFunc:
    """Problem 15.4 from Nocedal and Wright

The following optimization problem:
        minimize 2*(x[0]**2 + x[1]**2 - 1) - x[0]
        Subject to: x[0]**2 + x[1]**2 - 1 = 0
    """

def fun(self, x):
        return (2*(x[0]**2 + x[1]**2 - 1) - x[0],
                np.array([4*x[0]-1, 4*x[1]]))

@property
    def grad(self):
        return True

def hess(self, x):
        return 4*np.eye(2)

@property
    def constr(self):
        def fun(x):
            return x[0]**2 + x[1]**2

if self.constr_jac is None:
            def jac(x):
                return [[4*x[0], 4*x[1]]]
        else:
            jac = self.constr_jac

if self.constr_hess is None:
            def hess(x, v):
                return 2*v[0]*np.eye(2)
        else:
            hess = self.constr_hess

return NonlinearConstraint(fun, 1, 1, jac, hess)

class HyperbolicIneq:
    """Problem 15.1 from Nocedal and Wright

The following optimization problem:
        minimize 1/2*(x[0] - 2)**2 + 1/2*(x[1] - 1/2)**2
        Subject to: 1/(x[0] + 1) - x[1] >= 1/4
                                   x[0] >= 0
                                   x[1] >= 0
    """
    def __init__(self, constr_jac=None, constr_hess=None):
        self.x0 = [0, 0]
        self.x_opt = [1.952823, 0.088659]
        self.constr_jac = constr_jac
        self.constr_hess = constr_hess
        self.bounds = Bounds(0, np.inf)

def fun(self, x):
        return 1/2*(x[0] - 2)**2 + 1/2*(x[1] - 1/2)**2

def grad(self, x):
        return [x[0] - 2, x[1] - 1/2]

def hess(self, x):
        return np.eye(2)

@property
    def constr(self):
        def fun(x):
            return 1/(x[0] + 1) - x[1]

if self.constr_jac is None:
            def jac(x):
                return [[-1/(x[0] + 1)**2, -1]]
        else:
            jac = self.constr_jac

if self.constr_hess is None:
            def hess(x, v):
                return 2*v[0]*np.array([[1/(x[0] + 1)**3, 0],
                                        [0, 0]])
        else:
            hess = self.constr_hess

return NonlinearConstraint(fun, 0.25, np.inf, jac, hess)

class Rosenbrock:
    """Rosenbrock function.

The following optimization problem:
        minimize sum(100.0*(x[1:] - x[:-1]**2.0)**2.0 + (1 - x[:-1])**2.0)
    """

def __init__(self, n=2, random_state=0):
        rng = np.random.RandomState(random_state)
        self.x0 = rng.uniform(-1, 1, n)
        self.x_opt = np.ones(n)
        self.bounds = None

def fun(self, x):
        x = np.asarray(x)
        r = np.sum(100.0 * (x[1:] - x[:-1]**2.0)**2.0 + (1 - x[:-1])**2.0,
                   axis=0)
        return r

def grad(self, x):
        x = np.asarray(x)
        xm = x[1:-1]
        xm_m1 = x[:-2]
        xm_p1 = x[2:]
        der = np.zeros_like(x)
        der[1:-1] = (200 * (xm - xm_m1**2) -
                     400 * (xm_p1 - xm**2) * xm - 2 * (1 - xm))
        der[0] = -400 * x[0] * (x[1] - x[0]**2) - 2 * (1 - x[0])
        der[-1] = 200 * (x[-1] - x[-2]**2)
        return der

def hess(self, x):
        x = np.atleast_1d(x)
        H = np.diag(-400 * x[:-1], 1) - np.diag(400 * x[:-1], -1)
        diagonal = np.zeros(len(x), dtype=x.dtype)
        diagonal[0] = 1200 * x[0]**2 - 400 * x[1] + 2
        diagonal[-1] = 200
        diagonal[1:-1] = 202 + 1200 * x[1:-1]**2 - 400 * x[2:]
        H = H + np.diag(diagonal)
        return H

@property
    def constr(self):
        return ()

class IneqRosenbrock(Rosenbrock):
    """Rosenbrock subject to inequality constraints.

The following optimization problem:
        minimize sum(100.0*(x[1] - x[0]**2)**2.0 + (1 - x[0])**2)
        subject to: x[0] + 2 x[1] <= 1

Taken from matlab ``fmincon`` documentation.
    """
    def __init__(self, random_state=0):
        Rosenbrock.__init__(self, 2, random_state)
        self.x0 = [-1, -0.5]
        self.x_opt = [0.5022, 0.2489]
        self.bounds = None

@property
    def constr(self):
        A = [[1, 2]]
        b = 1
        return LinearConstraint(A, -np.inf, b)

class BoundedRosenbrock(Rosenbrock):
    """Rosenbrock subject to inequality constraints.

The following optimization problem:
        minimize sum(100.0*(x[1] - x[0]**2)**2.0 + (1 - x[0])**2)
        subject to:  -2 <= x[0] <= 0
                      0 <= x[1] <= 2

Taken from matlab ``fmincon`` documentation.
    """
    def __init__(self, random_state=0):
        Rosenbrock.__init__(self, 2, random_state)
        self.x0 = [-0.2, 0.2]
        self.x_opt = None
        self.bounds = Bounds([-2, 0], [0, 2])

class EqIneqRosenbrock(Rosenbrock):
    """Rosenbrock subject to equality and inequality constraints.

The following optimization problem:
        minimize sum(100.0*(x[1] - x[0]**2)**2.0 + (1 - x[0])**2)
        subject to: x[0] + 2 x[1] <= 1
                    2 x[0] + x[1] = 1

Taken from matlab ``fimincon`` documentation.
    """
    def __init__(self, random_state=0):
        Rosenbrock.__init__(self, 2, random_state)
        self.x0 = [-1, -0.5]
        self.x_opt = [0.41494, 0.17011]
        self.bounds = None

@property
    def constr(self):
        A_ineq = [[1, 2]]
        b_ineq = 1
        A_eq = [[2, 1]]
        b_eq = 1
        return (LinearConstraint(A_ineq, -np.inf, b_ineq),
                LinearConstraint(A_eq, b_eq, b_eq))

class Elec:
    """Distribution of electrons on a sphere.

Problem no 2 from COPS collection [2]_. Find
    the equilibrium state distribution (of minimal
    potential) of the electrons positioned on a
    conducting sphere.

References
    ----------
    .. [1] E. D. Dolan, J. J. Mor\'{e}, and T. S. Munson,
           "Benchmarking optimization software with COPS 3.0.",
            Argonne National Lab., Argonne, IL (US), 2004.
    """
    def __init__(self, n_electrons=200, random_state=0,
                 constr_jac=None, constr_hess=None):
        self.n_electrons = n_electrons
        self.rng = np.random.RandomState(random_state)
        # Initial Guess
        phi = self.rng.uniform(0, 2 * np.pi, self.n_electrons)
        theta = self.rng.uniform(-np.pi, np.pi, self.n_electrons)
        x = np.cos(theta) * np.cos(phi)
        y = np.cos(theta) * np.sin(phi)
        z = np.sin(theta)
        self.x0 = np.hstack((x, y, z))
        self.x_opt = None
        self.constr_jac = constr_jac
        self.constr_hess = constr_hess
        self.bounds = None

def _get_cordinates(self, x):
        x_coord = x[:self.n_electrons]
        y_coord = x[self.n_electrons:2 * self.n_electrons]
        z_coord = x[2 * self.n_electrons:]
        return x_coord, y_coord, z_coord

def _compute_coordinate_deltas(self, x):
        x_coord, y_coord, z_coord = self._get_cordinates(x)
        dx = x_coord[:, None] - x_coord
        dy = y_coord[:, None] - y_coord
        dz = z_coord[:, None] - z_coord
        return dx, dy, dz

def fun(self, x):
        dx, dy, dz = self._compute_coordinate_deltas(x)
        with np.errstate(divide='ignore'):
            dm1 = (dx**2 + dy**2 + dz**2) ** -0.5
        dm1[np.diag_indices_from(dm1)] = 0
        return 0.5 * np.sum(dm1)

def grad(self, x):
        dx, dy, dz = self._compute_coordinate_deltas(x)

with np.errstate(divide='ignore'):
            dm3 = (dx**2 + dy**2 + dz**2) ** -1.5
        dm3[np.diag_indices_from(dm3)] = 0

grad_x = -np.sum(dx * dm3, axis=1)
        grad_y = -np.sum(dy * dm3, axis=1)
        grad_z = -np.sum(dz * dm3, axis=1)

return np.hstack((grad_x, grad_y, grad_z))

def hess(self, x):
        dx, dy, dz = self._compute_coordinate_deltas(x)
        d = (dx**2 + dy**2 + dz**2) ** 0.5

with np.errstate(divide='ignore'):
            dm3 = d ** -3
            dm5 = d ** -5

i = np.arange(self.n_electrons)
        dm3[i, i] = 0
        dm5[i, i] = 0

Hxx = dm3 - 3 * dx**2 * dm5
        Hxx[i, i] = -np.sum(Hxx, axis=1)

Hxy = -3 * dx * dy * dm5
        Hxy[i, i] = -np.sum(Hxy, axis=1)

Hxz = -3 * dx * dz * dm5
        Hxz[i, i] = -np.sum(Hxz, axis=1)

Hyy = dm3 - 3 * dy**2 * dm5
        Hyy[i, i] = -np.sum(Hyy, axis=1)

Hyz = -3 * dy * dz * dm5
        Hyz[i, i] = -np.sum(Hyz, axis=1)

Hzz = dm3 - 3 * dz**2 * dm5
        Hzz[i, i] = -np.sum(Hzz, axis=1)

H = np.vstack((
            np.hstack((Hxx, Hxy, Hxz)),
            np.hstack((Hxy, Hyy, Hyz)),
            np.hstack((Hxz, Hyz, Hzz))
        ))

return H

@property
    def constr(self):
        def fun(x):
            x_coord, y_coord, z_coord = self._get_cordinates(x)
            return x_coord**2 + y_coord**2 + z_coord**2 - 1

if self.constr_jac is None:
            def jac(x):
                x_coord, y_coord, z_coord = self._get_cordinates(x)
                Jx = 2 * np.diag(x_coord)
                Jy = 2 * np.diag(y_coord)
                Jz = 2 * np.diag(z_coord)
                return csc_matrix(np.hstack((Jx, Jy, Jz)))
        else:
            jac = self.constr_jac

if self.constr_hess is None:
            def hess(x, v):
                D = 2 * np.diag(v)
                return block_diag(D, D, D)
        else:
            hess = self.constr_hess

return NonlinearConstraint(fun, -np.inf, 0, jac, hess)

class TestTrustRegionConstr(TestCase):

@pytest.mark.slow
    def test_list_of_problems(self):
        list_of_problems = [Maratos(),
                            Maratos(constr_hess='2-point'),
                            Maratos(constr_hess=SR1()),
                            Maratos(constr_jac='2-point', constr_hess=SR1()),
                            MaratosGradInFunc(),
                            HyperbolicIneq(),
                            HyperbolicIneq(constr_hess='3-point'),
                            HyperbolicIneq(constr_hess=BFGS()),
                            HyperbolicIneq(constr_jac='3-point',
                                           constr_hess=BFGS()),
                            Rosenbrock(),
                            IneqRosenbrock(),
                            EqIneqRosenbrock(),
                            BoundedRosenbrock(),
                            Elec(n_electrons=2),
                            Elec(n_electrons=2, constr_hess='2-point'),
                            Elec(n_electrons=2, constr_hess=SR1()),
                            Elec(n_electrons=2, constr_jac='3-point',
                                 constr_hess=SR1())]

for prob in list_of_problems:
            for grad in (prob.grad, '3-point', False):
                for hess in (prob.hess,
                             '3-point',
                             SR1(),
                             BFGS(exception_strategy='damp_update'),
                             BFGS(exception_strategy='skip_update')):

# Remove exceptions
                    if grad in ('2-point', '3-point', 'cs', False) and \
                       hess in ('2-point', '3-point', 'cs'):
                        continue
                    if prob.grad is True and grad in ('3-point', False):
                        continue
                    with suppress_warnings() as sup:
                        sup.filter(UserWarning, "delta_grad == 0.0")
                        result = minimize(prob.fun, prob.x0,
                                          method='trust-constr',
                                          jac=grad, hess=hess,
                                          bounds=prob.bounds,
                                          constraints=prob.constr)

if prob.x_opt is not None:
                        assert_array_almost_equal(result.x, prob.x_opt,
                                                  decimal=5)
                        # gtol
                        if result.status == 1:
                            assert_array_less(result.optimality, 1e-8)
                    # xtol
                    if result.status == 2:
                        assert_array_less(result.tr_radius, 1e-8)

if result.method == "tr_interior_point":
                            assert_array_less(result.barrier_parameter, 1e-8)
                    # max iter
                    if result.status in (0, 3):
                        raise RuntimeError("Invalid termination condition.")

def test_default_jac_and_hess(self):
        def fun(x):
            return (x - 1) ** 2
        bounds = [(-2, 2)]
        res = minimize(fun, x0=[-1.5], bounds=bounds, method='trust-constr')
        assert_array_almost_equal(res.x, 1, decimal=5)

def test_default_hess(self):
        def fun(x):
            return (x - 1) ** 2
        bounds = [(-2, 2)]
        res = minimize(fun, x0=[-1.5], bounds=bounds, method='trust-constr',
                       jac='2-point')
        assert_array_almost_equal(res.x, 1, decimal=5)

def test_no_constraints(self):
        prob = Rosenbrock()
        result = minimize(prob.fun, prob.x0,
                          method='trust-constr',
                          jac=prob.grad, hess=prob.hess)
        result1 = minimize(prob.fun, prob.x0,
                           method='L-BFGS-B',
                           jac='2-point')
        with pytest.warns(UserWarning):
            result2 = minimize(prob.fun, prob.x0,
                               method='L-BFGS-B',
                               jac='3-point')
        assert_array_almost_equal(result.x, prob.x_opt, decimal=5)
        assert_array_almost_equal(result1.x, prob.x_opt, decimal=5)
        assert_array_almost_equal(result2.x, prob.x_opt, decimal=5)

def test_hessp(self):
        prob = Maratos()

def hessp(x, p):
            H = prob.hess(x)
            return H.dot(p)

result = minimize(prob.fun, prob.x0,
                          method='trust-constr',
                          jac=prob.grad, hessp=hessp,
                          bounds=prob.bounds,
                          constraints=prob.constr)

if prob.x_opt is not None:
            assert_array_almost_equal(result.x, prob.x_opt, decimal=2)

# gtol
        if result.status == 1:
            assert_array_less(result.optimality, 1e-8)
        # xtol
        if result.status == 2:
            assert_array_less(result.tr_radius, 1e-8)

if result.method == "tr_interior_point":
                assert_array_less(result.barrier_parameter, 1e-8)
        # max iter
        if result.status in (0, 3):
            raise RuntimeError("Invalid termination condition.")

def test_args(self):
        prob = MaratosTestArgs("a", 234)

result = minimize(prob.fun, prob.x0, ("a", 234),
                          method='trust-constr',
                          jac=prob.grad, hess=prob.hess,
                          bounds=prob.bounds,
                          constraints=prob.constr)

if prob.x_opt is not None:
            assert_array_almost_equal(result.x, prob.x_opt, decimal=2)

# gtol
        if result.status == 1:
            assert_array_less(result.optimality, 1e-8)
        # xtol
        if result.status == 2:
            assert_array_less(result.tr_radius, 1e-8)
            if result.method == "tr_interior_point":
                assert_array_less(result.barrier_parameter, 1e-8)
        # max iter
        if result.status in (0, 3):
            raise RuntimeError("Invalid termination condition.")

def test_raise_exception(self):
        prob = Maratos()

raises(ValueError, minimize, prob.fun, prob.x0, method='trust-constr',
               jac='2-point', hess='2-point', constraints=prob.constr)

def test_issue_9044(self):
        # https://github.com/scipy/scipy/issues/9044
        # Test the returned `OptimizeResult` contains keys consistent with
        # other solvers.

def callback(x, info):
            assert_('nit' in info)
            assert_('niter' in info)

result = minimize(lambda x: x**2, [0], jac=lambda x: 2*x,
                          hess=lambda x: 2, callback=callback,
                          method='trust-constr')
        assert_(result.get('success'))
        assert_(result.get('nit', -1) == 1)

# Also check existence of the 'niter' attribute, for backward
        # compatibility
        assert_(result.get('niter', -1) == 1)

class TestEmptyConstraint(TestCase):
    """
    Here we minimize x^2+y^2 subject to x^2-y^2>1.
    The actual minimum is at (0, 0) which fails the constraint.
    Therefore we will find a minimum on the boundary at (+/-1, 0).

When minimizing on the boundary, optimize uses a set of
    constraints that removes the constraint that sets that
    boundary.  In our case, there's only one constraint, so
    the result is an empty constraint.

This tests that the empty constraint works.
    """
    def test_empty_constraint(self):

def function(x):
            return x[0]**2 + x[1]**2

def functionjacobian(x):
            return np.array([2.*x[0], 2.*x[1]])

def functionhvp(x, v):
            return 2.*v

def constraint(x):
            return np.array([x[0]**2 - x[1]**2])

def constraintjacobian(x):
            return np.array([[2*x[0], -2*x[1]]])

def constraintlcoh(x, v):
            return np.array([[2., 0.], [0., -2.]]) * v[0]

constraint = NonlinearConstraint(constraint, 1., np.inf, constraintjacobian, constraintlcoh)

startpoint = [1., 2.]

bounds = Bounds([-np.inf, -np.inf], [np.inf, np.inf])

result = minimize(
          function,
          startpoint,
          method='trust-constr',
          jac=functionjacobian,
          hessp=functionhvp,
          constraints=[constraint],
          bounds=bounds,
        )

assert_array_almost_equal(abs(result.x), np.array([1, 0]), decimal=4)