"""Equality-constrained quadratic programming solvers.""" from scipy.sparse import (linalg, bmat, csc_matrix) from math import copysign import numpy as np from numpy.linalg import norm __all__ = [ 'eqp_kktfact', 'sphere_intersections', 'box_intersections', 'box_sphere_intersections', 'inside_box_boundaries', 'modified_dogleg', 'projected_cg' ] # For comparison with the projected CG def eqp_kktfact(H, c, A, b): """Solve equality-constrained quadratic programming (EQP) problem. Solve ``min 1/2 x.T H x + x.t c`` subject to ``A x + b = 0`` using direct factorization of the KKT system. Parameters ---------- H : sparse matrix, shape (n, n) Hessian matrix of the EQP problem. c : array_like, shape (n,) Gradient of the quadratic objective function. A : sparse matrix Jacobian matrix of the EQP problem. b : array_like, shape (m,) Right-hand side of the constraint equation. Returns ------- x : array_like, shape (n,) Solution of the KKT problem. lagrange_multipliers : ndarray, shape (m,) Lagrange multipliers of the KKT problem. """ n, = np.shape(c) # Number of parameters m, = np.shape(b) # Number of constraints # Karush-Kuhn-Tucker matrix of coefficients. # Defined as in Nocedal/Wright "Numerical # Optimization" p.452 in Eq. (16.4). kkt_matrix = csc_matrix(bmat([[H, A.T], [A, None]])) # Vector of coefficients. kkt_vec = np.hstack([-c, -b]) # TODO: Use a symmetric indefinite factorization # to solve the system twice as fast (because # of the symmetry). lu = linalg.splu(kkt_matrix) kkt_sol = lu.solve(kkt_vec) x = kkt_sol[:n] lagrange_multipliers = -kkt_sol[n:n+m] return x, lagrange_multipliers def sphere_intersections(z, d, trust_radius, entire_line=False): """Find the intersection between segment (or line) and spherical constraints. Find the intersection between the segment (or line) defined by the parametric equation ``x(t) = z + t*d`` and the ball ``||x|| <= trust_radius``. Parameters ---------- z : array_like, shape (n,) Initial point. d : array_like, shape (n,) Direction. trust_radius : float Ball radius. entire_line : bool, optional When ``True``, the function returns the intersection between the line ``x(t) = z + t*d`` (``t`` can assume any value) and the ball ``||x|| <= trust_radius``. When ``False``, the function returns the intersection between the segment ``x(t) = z + t*d``, ``0 <= t <= 1``, and the ball. Returns ------- ta, tb : float The line/segment ``x(t) = z + t*d`` is inside the ball for for ``ta <= t <= tb``. intersect : bool When ``True``, there is a intersection between the line/segment and the sphere. On the other hand, when ``False``, there is no intersection. """ # Special case when d=0 if norm(d) == 0: return 0, 0, False # Check for inf trust_radius if np.isinf(trust_radius): if entire_line: ta = -np.inf tb = np.inf else: ta = 0 tb = 1 intersect = True return ta, tb, intersect a = np.dot(d, d) b = 2 * np.dot(z, d) c = np.dot(z, z) - trust_radius**2 discriminant = b*b - 4*a*c if discriminant < 0: intersect = False return 0, 0, intersect sqrt_discriminant = np.sqrt(discriminant) # The following calculation is mathematically # equivalent to: # ta = (-b - sqrt_discriminant) / (2*a) # tb = (-b + sqrt_discriminant) / (2*a) # but produce smaller round off errors. # Look at Matrix Computation p.97 # for a better justification. aux = b + copysign(sqrt_discriminant, b) ta = -aux / (2*a) tb = -2*c / aux ta, tb = sorted([ta, tb]) if entire_line: intersect = True else: # Checks to see if intersection happens # within vectors length. if tb < 0 or ta > 1: intersect = False ta = 0 tb = 0 else: intersect = True # Restrict intersection interval # between 0 and 1. ta = max(0, ta) tb = min(1, tb) return ta, tb, intersect def box_intersections(z, d, lb, ub, entire_line=False): """Find the intersection between segment (or line) and box constraints. Find the intersection between the segment (or line) defined by the parametric equation ``x(t) = z + t*d`` and the rectangular box ``lb <= x <= ub``. Parameters ---------- z : array_like, shape (n,) Initial point. d : array_like, shape (n,) Direction. lb : array_like, shape (n,) Lower bounds to each one of the components of ``x``. Used to delimit the rectangular box. ub : array_like, shape (n, ) Upper bounds to each one of the components of ``x``. Used to delimit the rectangular box. entire_line : bool, optional When ``True``, the function returns the intersection between the line ``x(t) = z + t*d`` (``t`` can assume any value) and the rectangular box. When ``False``, the function returns the intersection between the segment ``x(t) = z + t*d``, ``0 <= t <= 1``, and the rectangular box. Returns ------- ta, tb : float The line/segment ``x(t) = z + t*d`` is inside the box for for ``ta <= t <= tb``. intersect : bool When ``True``, there is a intersection between the line (or segment) and the rectangular box. On the other hand, when ``False``, there is no intersection. """ # Make sure it is a numpy array z = np.asarray(z) d = np.asarray(d) lb = np.asarray(lb) ub = np.asarray(ub) # Special case when d=0 if norm(d) == 0: return 0, 0, False # Get values for which d==0 zero_d = (d == 0) # If the boundaries are not satisfied for some coordinate # for which "d" is zero, there is no box-line intersection. if (z[zero_d] < lb[zero_d]).any() or (z[zero_d] > ub[zero_d]).any(): intersect = False return 0, 0, intersect # Remove values for which d is zero not_zero_d = np.logical_not(zero_d) z = z[not_zero_d] d = d[not_zero_d] lb = lb[not_zero_d] ub = ub[not_zero_d] # Find a series of intervals (t_lb[i], t_ub[i]). t_lb = (lb-z) / d t_ub = (ub-z) / d # Get the intersection of all those intervals. ta = max(np.minimum(t_lb, t_ub)) tb = min(np.maximum(t_lb, t_ub)) # Check if intersection is feasible if ta <= tb: intersect = True else: intersect = False # Checks to see if intersection happens within vectors length. if not entire_line: if tb < 0 or ta > 1: intersect = False ta = 0 tb = 0 else: # Restrict intersection interval between 0 and 1. ta = max(0, ta) tb = min(1, tb) return ta, tb, intersect def box_sphere_intersections(z, d, lb, ub, trust_radius, entire_line=False, extra_info=False): """Find the intersection between segment (or line) and box/sphere constraints. Find the intersection between the segment (or line) defined by the parametric equation ``x(t) = z + t*d``, the rectangular box ``lb <= x <= ub`` and the ball ``||x|| <= trust_radius``. Parameters ---------- z : array_like, shape (n,) Initial point. d : array_like, shape (n,) Direction. lb : array_like, shape (n,) Lower bounds to each one of the components of ``x``. Used to delimit the rectangular box. ub : array_like, shape (n, ) Upper bounds to each one of the components of ``x``. Used to delimit the rectangular box. trust_radius : float Ball radius. entire_line : bool, optional When ``True``, the function returns the intersection between the line ``x(t) = z + t*d`` (``t`` can assume any value) and the constraints. When ``False``, the function returns the intersection between the segment ``x(t) = z + t*d``, ``0 <= t <= 1`` and the constraints. extra_info : bool, optional When ``True``, the function returns ``intersect_sphere`` and ``intersect_box``. Returns ------- ta, tb : float The line/segment ``x(t) = z + t*d`` is inside the rectangular box and inside the ball for ``ta <= t <= tb``. intersect : bool When ``True``, there is a intersection between the line (or segment) and both constraints. On the other hand, when ``False``, there is no intersection. sphere_info : dict, optional Dictionary ``{ta, tb, intersect}`` containing the interval ``[ta, tb]`` for which the line intercepts the ball. And a boolean value indicating whether the sphere is intersected by the line. box_info : dict, optional Dictionary ``{ta, tb, intersect}`` containing the interval ``[ta, tb]`` for which the line intercepts the box. And a boolean value indicating whether the box is intersected by the line. """ ta_b, tb_b, intersect_b = box_intersections(z, d, lb, ub, entire_line) ta_s, tb_s, intersect_s = sphere_intersections(z, d, trust_radius, entire_line) ta = np.maximum(ta_b, ta_s) tb = np.minimum(tb_b, tb_s) if intersect_b and intersect_s and ta <= tb: intersect = True else: intersect = False if extra_info: sphere_info = {'ta': ta_s, 'tb': tb_s, 'intersect': intersect_s} box_info = {'ta': ta_b, 'tb': tb_b, 'intersect': intersect_b} return ta, tb, intersect, sphere_info, box_info else: return ta, tb, intersect def inside_box_boundaries(x, lb, ub): """Check if lb <= x <= ub.""" return (lb <= x).all() and (x <= ub).all() def reinforce_box_boundaries(x, lb, ub): """Return clipped value of x""" return np.minimum(np.maximum(x, lb), ub) def modified_dogleg(A, Y, b, trust_radius, lb, ub): """Approximately minimize ``1/2*|| A x + b ||^2`` inside trust-region. Approximately solve the problem of minimizing ``1/2*|| A x + b ||^2`` subject to ``||x|| < Delta`` and ``lb <= x <= ub`` using a modification of the classical dogleg approach. Parameters ---------- A : LinearOperator (or sparse matrix or ndarray), shape (m, n) Matrix ``A`` in the minimization problem. It should have dimension ``(m, n)`` such that ``m < n``. Y : LinearOperator (or sparse matrix or ndarray), shape (n, m) LinearOperator that apply the projection matrix ``Q = A.T inv(A A.T)`` to the vector. The obtained vector ``y = Q x`` being the minimum norm solution of ``A y = x``. b : array_like, shape (m,) Vector ``b``in the minimization problem. trust_radius: float Trust radius to be considered. Delimits a sphere boundary to the problem. lb : array_like, shape (n,) Lower bounds to each one of the components of ``x``. It is expected that ``lb <= 0``, otherwise the algorithm may fail. If ``lb[i] = -Inf``, the lower bound for the ith component is just ignored. ub : array_like, shape (n, ) Upper bounds to each one of the components of ``x``. It is expected that ``ub >= 0``, otherwise the algorithm may fail. If ``ub[i] = Inf``, the upper bound for the ith component is just ignored. Returns ------- x : array_like, shape (n,) Solution to the problem. Notes ----- Based on implementations described in pp. 885-886 from [1]_. References ---------- .. [1] Byrd, Richard H., Mary E. Hribar, and Jorge Nocedal. "An interior point algorithm for large-scale nonlinear programming." SIAM Journal on Optimization 9.4 (1999): 877-900. """ # Compute minimum norm minimizer of 1/2*|| A x + b ||^2. newton_point = -Y.dot(b) # Check for interior point if inside_box_boundaries(newton_point, lb, ub) \ and norm(newton_point) <= trust_radius: x = newton_point return x # Compute gradient vector ``g = A.T b`` g = A.T.dot(b) # Compute Cauchy point # `cauchy_point = g.T g / (g.T A.T A g)``. A_g = A.dot(g) cauchy_point = -np.dot(g, g) / np.dot(A_g, A_g) * g # Origin origin_point = np.zeros_like(cauchy_point) # Check the segment between cauchy_point and newton_point # for a possible solution. z = cauchy_point p = newton_point - cauchy_point _, alpha, intersect = box_sphere_intersections(z, p, lb, ub, trust_radius) if intersect: x1 = z + alpha*p else: # Check the segment between the origin and cauchy_point # for a possible solution. z = origin_point p = cauchy_point _, alpha, _ = box_sphere_intersections(z, p, lb, ub, trust_radius) x1 = z + alpha*p # Check the segment between origin and newton_point # for a possible solution. z = origin_point p = newton_point _, alpha, _ = box_sphere_intersections(z, p, lb, ub, trust_radius) x2 = z + alpha*p # Return the best solution among x1 and x2. if norm(A.dot(x1) + b) < norm(A.dot(x2) + b): return x1 else: return x2 def projected_cg(H, c, Z, Y, b, trust_radius=np.inf, lb=None, ub=None, tol=None, max_iter=None, max_infeasible_iter=None, return_all=False): """Solve EQP problem with projected CG method. Solve equality-constrained quadratic programming problem ``min 1/2 x.T H x + x.t c`` subject to ``A x + b = 0`` and, possibly, to trust region constraints ``||x|| < trust_radius`` and box constraints ``lb <= x <= ub``. Parameters ---------- H : LinearOperator (or sparse matrix or ndarray), shape (n, n) Operator for computing ``H v``. c : array_like, shape (n,) Gradient of the quadratic objective function. Z : LinearOperator (or sparse matrix or ndarray), shape (n, n) Operator for projecting ``x`` into the null space of A. Y : LinearOperator, sparse matrix, ndarray, shape (n, m) Operator that, for a given a vector ``b``, compute smallest norm solution of ``A x + b = 0``. b : array_like, shape (m,) Right-hand side of the constraint equation. trust_radius : float, optional Trust radius to be considered. By default, uses ``trust_radius=inf``, which means no trust radius at all. lb : array_like, shape (n,), optional Lower bounds to each one of the components of ``x``. If ``lb[i] = -Inf`` the lower bound for the i-th component is just ignored (default). ub : array_like, shape (n, ), optional Upper bounds to each one of the components of ``x``. If ``ub[i] = Inf`` the upper bound for the i-th component is just ignored (default). tol : float, optional Tolerance used to interrupt the algorithm. max_iter : int, optional Maximum algorithm iterations. Where ``max_inter <= n-m``. By default, uses ``max_iter = n-m``. max_infeasible_iter : int, optional Maximum infeasible (regarding box constraints) iterations the algorithm is allowed to take. By default, uses ``max_infeasible_iter = n-m``. return_all : bool, optional When ``true``, return the list of all vectors through the iterations. Returns ------- x : array_like, shape (n,) Solution of the EQP problem. info : Dict Dictionary containing the following: - niter : Number of iterations. - stop_cond : Reason for algorithm termination: 1. Iteration limit was reached; 2. Reached the trust-region boundary; 3. Negative curvature detected; 4. Tolerance was satisfied. - allvecs : List containing all intermediary vectors (optional). - hits_boundary : True if the proposed step is on the boundary of the trust region. Notes ----- Implementation of Algorithm 6.2 on [1]_. In the absence of spherical and box constraints, for sufficient iterations, the method returns a truly optimal result. In the presence of those constraints, the value returned is only a inexpensive approximation of the optimal value. References ---------- .. [1] Gould, Nicholas IM, Mary E. Hribar, and Jorge Nocedal. "On the solution of equality constrained quadratic programming problems arising in optimization." SIAM Journal on Scientific Computing 23.4 (2001): 1376-1395. """ CLOSE_TO_ZERO = 1e-25 n, = np.shape(c) # Number of parameters m, = np.shape(b) # Number of constraints # Initial Values x = Y.dot(-b) r = Z.dot(H.dot(x) + c) g = Z.dot(r) p = -g # Store ``x`` value if return_all: allvecs = [x] # Values for the first iteration H_p = H.dot(p) rt_g = norm(g)**2 # g.T g = r.T Z g = r.T g (ref [1]_ p.1389) # If x > trust-region the problem does not have a solution. tr_distance = trust_radius - norm(x) if tr_distance < 0: raise ValueError("Trust region problem does not have a solution.") # If x == trust_radius, then x is the solution # to the optimization problem, since x is the # minimum norm solution to Ax=b. elif tr_distance < CLOSE_TO_ZERO: info = {'niter': 0, 'stop_cond': 2, 'hits_boundary': True} if return_all: allvecs.append(x) info['allvecs'] = allvecs return x, info # Set default tolerance if tol is None: tol = max(min(0.01 * np.sqrt(rt_g), 0.1 * rt_g), CLOSE_TO_ZERO) # Set default lower and upper bounds if lb is None: lb = np.full(n, -np.inf) if ub is None: ub = np.full(n, np.inf) # Set maximum iterations if max_iter is None: max_iter = n-m max_iter = min(max_iter, n-m) # Set maximum infeasible iterations if max_infeasible_iter is None: max_infeasible_iter = n-m hits_boundary = False stop_cond = 1 counter = 0 last_feasible_x = np.zeros_like(x) k = 0 for i in range(max_iter): # Stop criteria - Tolerance : r.T g < tol if rt_g < tol: stop_cond = 4 break k += 1 # Compute curvature pt_H_p = H_p.dot(p) # Stop criteria - Negative curvature if pt_H_p <= 0: if np.isinf(trust_radius): raise ValueError("Negative curvature not allowed " "for unrestricted problems.") else: # Find intersection with constraints _, alpha, intersect = box_sphere_intersections( x, p, lb, ub, trust_radius, entire_line=True) # Update solution if intersect: x = x + alpha*p # Reinforce variables are inside box constraints. # This is only necessary because of roundoff errors. x = reinforce_box_boundaries(x, lb, ub) # Attribute information stop_cond = 3 hits_boundary = True break # Get next step alpha = rt_g / pt_H_p x_next = x + alpha*p # Stop criteria - Hits boundary if np.linalg.norm(x_next) >= trust_radius: # Find intersection with box constraints _, theta, intersect = box_sphere_intersections(x, alpha*p, lb, ub, trust_radius) # Update solution if intersect: x = x + theta*alpha*p # Reinforce variables are inside box constraints. # This is only necessary because of roundoff errors. x = reinforce_box_boundaries(x, lb, ub) # Attribute information stop_cond = 2 hits_boundary = True break # Check if ``x`` is inside the box and start counter if it is not. if inside_box_boundaries(x_next, lb, ub): counter = 0 else: counter += 1 # Whenever outside box constraints keep looking for intersections. if counter > 0: _, theta, intersect = box_sphere_intersections(x, alpha*p, lb, ub, trust_radius) if intersect: last_feasible_x = x + theta*alpha*p # Reinforce variables are inside box constraints. # This is only necessary because of roundoff errors. last_feasible_x = reinforce_box_boundaries(last_feasible_x, lb, ub) counter = 0 # Stop after too many infeasible (regarding box constraints) iteration. if counter > max_infeasible_iter: break # Store ``x_next`` value if return_all: allvecs.append(x_next) # Update residual r_next = r + alpha*H_p # Project residual g+ = Z r+ g_next = Z.dot(r_next) # Compute conjugate direction step d rt_g_next = norm(g_next)**2 # g.T g = r.T g (ref [1]_ p.1389) beta = rt_g_next / rt_g p = - g_next + beta*p # Prepare for next iteration x = x_next g = g_next r = g_next rt_g = norm(g)**2 # g.T g = r.T Z g = r.T g (ref [1]_ p.1389) H_p = H.dot(p) if not inside_box_boundaries(x, lb, ub): x = last_feasible_x hits_boundary = True info = {'niter': k, 'stop_cond': stop_cond, 'hits_boundary': hits_boundary} if return_all: info['allvecs'] = allvecs return x, info