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antonior92/CUTEst_trust_constr_quasiNewton.ipynb

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CUTEst_trust_constr_quasiNewton.ipynb
{
"cells": [
{
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"end_time": "2018-03-31T14:03:07.443287Z",
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"from scipy.optimize import (minimize, NonlinearConstraint, \n",
" LinearConstraint, Bounds, BFGS, SR1)\n",
"import pycutestmgr as cute\n",
"import time\n",
"import numpy as np\n",
"from numpy.linalg import norm\n",
"import scipy.sparse as spc\n",
"import warnings\n",
"cute.clearCache('HS71')"
]
},
{
"cell_type": "code",
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"metadata": {
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"source": [
"def print_header():\n",
" print(\"|{0:^10}|{1:^10}|{2:^10}|{3:^10}|{4:^10}|{5:^10}|\"\n",
" .format(\"name\", \"Analit\", \"SR1\", \"BFGS(skip)\", \"BFGS(damp)\", \"2-point\"))\n",
" s = \"-\"*9 + \":\"\n",
" print(\"|{0:^10}|{1:^10}|{2:^10}|{3:^10}|{4:^10}|{5:^10}|\"\n",
" .format(s, s, s, s, s, s))\n",
"\n",
"def print_problem_sol(name, \n",
" niters, opt, c_viol, \n",
" niters_sr1, opt_sr1, c_viol_sr1, \n",
" niters_bfgs_s, opt_bfgs_s, c_viol_bfgs_s, \n",
" niters_bfgs_d, opt_bfgs_d, c_viol_bfgs_d, \n",
" niters_fd, opt_fd, c_viol_fd):\n",
" if c_viol > 1e-6 or opt > 1e-6 or niters > 1000:\n",
" niters = 'x' \n",
" if c_viol_sr1 > 1e-6 or opt_sr1 > 1e-6 or niters_sr1 > 1000:\n",
" niters_sr1 = 'x'\n",
" if c_viol_bfgs_s > 1e-6 or opt_bfgs_s > 1e-6 or niters_bfgs_s > 1000:\n",
" niters_bfgs_s = 'x' \n",
" if c_viol_bfgs_d > 1e-6 or opt_bfgs_d > 1e-6 or niters_bfgs_d > 1000:\n",
" niters_bfgs_d = 'x' \n",
" if c_viol_fd > 1e-6 or opt_fd > 1e-6 or niters_fd > 1000:\n",
" niters_fd = 'x' \n",
" \n",
" print(\"|{0:^10}|{1:^10}|{2:^10}|{3:^10}|{4:^10}|{5:^10}|\"\n",
" .format(name, niters, niters_sr1, niters_bfgs_s, niters_bfgs_d, niters_fd))"
]
},
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"outputs": [],
"source": [
"problems_si = [(\"HS7\", {}, {}),\n",
" (\"HS10\", {}, {}),\n",
" (\"HS11\", {}, {}),\n",
" (\"HS13\", {}, {}),\n",
" (\"HS14\", {}, {}),\n",
" (\"HS16\", {}, {}),\n",
" (\"HS17\", {}, {}),\n",
" (\"HS19\", {}, {}),\n",
" (\"HS20\", {}, {}),\n",
" (\"HS22\", {}, {}),\n",
" (\"HS24\", {}, {}),\n",
" (\"HS26\", {}, {}),\n",
" (\"HS28\", {}, {}),\n",
" (\"HS31\", {}, {}),\n",
" (\"HS32\", {}, {}),\n",
" (\"HS33\", {}, {}),\n",
" (\"HS39\", {}, {}),\n",
" (\"HS46\", {}, {}),\n",
" (\"HS51\", {}, {}),\n",
" (\"HS52\", {}, {}),\n",
" (\"HS53\", {}, {}),\n",
" (\"HS63\", {}, {}),\n",
" (\"HS64\", {}, {}),\n",
" (\"HS65\", {}, {}),\n",
" (\"HS70\", {}, {}),\n",
" (\"HS71\", {}, {}),\n",
" (\"HS72\", {}, {}),\n",
" (\"HS73\", {}, {}),\n",
" (\"HS74\", {}, {}),\n",
" (\"HS75\", {}, {}),\n",
" (\"HS77\", {}, {}),\n",
" (\"HS78\", {}, {}),\n",
" (\"HS79\", {}, {}),\n",
" (\"HS80\", {}, {}),\n",
" (\"HS81\", {}, {}),\n",
" (\"HS83\", {}, {}),\n",
" (\"HS84\", {}, {}),\n",
" (\"HS85\", {}, {\"initial_barrier_parameter\": 0.001}),\n",
" (\"HS86\", {}, {}),\n",
" (\"HS93\", {}, {}),\n",
" (\"HS95\", {}, {}),\n",
" (\"HS96\", {}, {}),\n",
" (\"HS97\", {}, {\"initial_barrier_parameter\": 100}),\n",
" (\"HS98\", {}, {\"initial_barrier_parameter\": 100}),\n",
" (\"HS99\", {}, {}), # Fails (As in the original paper)\n",
" (\"HS100\", {}, {}),\n",
" (\"HS104\", {}, {\"initial_barrier_parameter\": 100}),\n",
" (\"HS105\", {}, {}),\n",
" (\"HS106\", {}, {}),\n",
" (\"HS107\", {}, {}),\n",
" (\"HS108\", {}, {}),\n",
" (\"HS109\", {}, {}),\n",
" (\"HS111\", {}, {}),\n",
" (\"HS112\", {}, {\"initial_barrier_parameter\": 10}),\n",
" (\"HS113\", {}, {}),\n",
" (\"HS114\", {}, {\"initial_barrier_parameter\": 10}),\n",
" (\"HS116\", {}, {}),\n",
" (\"HS117\", {}, {}),\n",
" (\"HS118\", {}, {}),\n",
" (\"HS119\", {}, {})]\n",
"other = [(\"HS99\", {}, {}), ]\n",
"\n",
"list_feasible_box_constr = [\"HS13\", \"HS105\"]"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {
"ExecuteTime": {
"end_time": "2018-03-31T14:07:27.723552Z",
"start_time": "2018-03-31T14:03:07.571814Z"
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},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"| name | Analit | SR1 |BFGS(skip)|BFGS(damp)| 2-point |\n",
"|---------:|---------:|---------:|---------:|---------:|---------:|\n",
"| HS7 | 9 | 9 | 9 | 9 | 9 |\n",
"| HS10 | 15 | 36 | 36 | 36 | 15 |\n",
"| HS11 | 12 | 12 | 17 | 17 | 12 |\n",
"| HS13 | 1 | 1 | 1 | 1 | 1 |\n",
"| HS14 | 10 | 10 | 10 | 10 | 10 |\n",
"| HS16 | 13 | 12 | 15 | 14 | 13 |\n",
"| HS17 | 25 | 28 | 41 | 53 | 25 |\n",
"| HS19 | 36 | 37 | 39 | 38 | 36 |\n",
"| HS20 | 10 | 18 | 15 | 17 | 10 |\n",
"| HS22 | 14 | 14 | 14 | 14 | 14 |\n",
"| HS24 | 11 | 18 | 24 | 29 | 11 |\n",
"| HS26 | 22 | 32 | x | 676 | 22 |\n",
"| HS28 | 3 | 51 | 52 | 52 | 3 |\n",
"| HS31 | 12 | 12 | 24 | 30 | 12 |\n",
"| HS32 | 15 | 17 | 18 | 15 | 15 |\n",
"| HS33 | 17 | 22 | 62 | 49 | 17 |\n",
"| HS39 | 16 | 21 | 18 | 18 | 16 |\n",
"| HS46 | 29 | 31 | 415 | 50 | 29 |\n",
"| HS51 | 3 | 19 | 19 | 19 | 3 |\n",
"| HS52 | 3 | 21 | 23 | 23 | 4 |\n",
"| HS53 | 17 | 28 | 29 | 29 | 17 |\n",
"| HS63 | 13 | 14 | 83 | 30 | 13 |\n",
"| HS64 | 34 | 43 | 535 | 47 | 34 |\n",
"| HS65 | 22 | 20 | 28 | 33 | 22 |\n",
"| HS70 | 46 | 72 | 40 | 43 | 38 |\n",
"| HS71 | 17 | 20 | 161 | 31 | 17 |\n",
"| HS72 | 26 | x | x | x | 26 |\n",
"| HS73 | 18 | 18 | 21 | 21 | 18 |\n",
"| HS74 | 18 | 24 | 27 | 37 | 18 |\n",
"| HS75 | 102 | 95 | 115 | 22 | 102 |\n",
"| HS77 | 18 | 26 | 24 | 20 | 18 |\n",
"| HS78 | 5 | 8 | 10 | 10 | 5 |\n",
"| HS79 | 7 | 11 | 67 | 15 | 7 |\n",
"| HS80 | 17 | 17 | 16 | 15 | 17 |\n",
"| HS81 | 17 | 16 | 16 | 30 | 17 |\n",
"| HS83 | 42 | 30 | 27 | 27 | 43 |\n",
"| HS84 | 12 | 13 | x | 17 | 12 |\n",
"| HS85 | 133 | 121 | 173 | 150 | 133 |\n",
"| HS86 | 16 | 24 | 26 | 31 | 16 |\n",
"| HS93 | 22 | 42 | 236 | x | 22 |\n",
"| HS95 | 167 | 43 | 279 | 225 | 179 |\n",
"| HS96 | 213 | 99 | 112 | 59 | 208 |\n",
"| HS97 | 539 | 606 | 991 | x | 620 |\n",
"| HS98 | 385 | 396 | 409 | 900 | 425 |\n",
"| HS99 | x | x | x | x | x |\n",
"| HS100 | 20 | 22 | 33 | 33 | 20 |\n",
"| HS104 | 43 | 78 | 92 | 92 | 43 |\n",
"| HS105 | 56 | 493 | 700 | 762 | 64 |\n",
"| HS106 | 261 | x | x | x | 243 |\n",
"| HS107 | 12 | 17 | 22 | 31 | 12 |\n",
"| HS108 | 57 | 188 | x | x | 57 |\n",
"| HS109 | x | x | x | x | x |\n",
"| HS111 | 27 | x | x | x | 27 |\n",
"| HS112 | 37 | 42 | 43 | 52 | 37 |\n",
"| HS113 | 33 | 24 | 41 | 41 | 27 |\n",
"| HS114 | 86 | 110 | 94 | 74 | 93 |\n",
"| HS116 | 131 | x | x | x | 111 |\n",
"| HS117 | 28 | 72 | 505 | x | 33 |\n",
"| HS118 | 55 | 892 | 892 | 892 | 55 |\n",
"| HS119 | 24 | 56 | 48 | 51 | 24 |\n"
]
}
],
"source": [
"print_header()\n",
"\n",
"default_options = {'sparse_jacobian':True, 'maxiter':1000, 'xtol':1e-7, 'gtol':1e-7}\n",
"\n",
"\n",
"for prob in problems_si:\n",
" name = prob[0]\n",
" sifParams = prob[1]\n",
" options = prob[2] \n",
" options = prob[2].copy()\n",
" options.update(default_options)\n",
" cute.clearCache(name)\n",
" cute.prepareProblem(name, sifParams=sifParams)\n",
" problem = cute.importProblem(name)\n",
" info = problem.getinfo()\n",
" x0 = info[\"x\"]\n",
" n = info[\"n\"]\n",
" m = info[\"m\"]\n",
" nnz = info[\"nnzj\"]\n",
" v0 = info[\"v\"]\n",
" eq_list = info[\"equatn\"]\n",
"\n",
" def convert_to_inf(bounds):\n",
" new_bounds = np.zeros_like(bounds)\n",
" i = 0\n",
" for b in bounds:\n",
" if b >= 1e20:\n",
" new_bounds[i] = np.inf\n",
" elif b <= -1e20:\n",
" new_bounds[i] = -np.inf\n",
" else:\n",
" new_bounds[i] = b\n",
" i += 1\n",
" return new_bounds\n",
"\n",
" # Define upper and lower bound\n",
" c_lb = convert_to_inf(info[\"cl\"])\n",
" c_ub = convert_to_inf(info[\"cu\"])\n",
" lb = convert_to_inf(info[\"bl\"])\n",
" ub = convert_to_inf(info[\"bu\"])\n",
" if name in list_feasible_box_constr:\n",
" x0 = np.maximum(lb+1e-10, np.minimum(ub-1e-10, x0))\n",
"\n",
" # Define function and constraints\n",
" def fun(x):\n",
" return problem.obj(x)[0]\n",
"\n",
" def grad(x):\n",
" _, g1 = problem.obj(x, True)\n",
" return g1\n",
"\n",
" def lagr_hess(x, v):\n",
" def matvec(p):\n",
" return problem.hprod(p, x, v)\n",
" return spc.linalg.LinearOperator((n, n), matvec=matvec)\n",
"\n",
"\n",
" def constr(x):\n",
" return problem.cons(x)\n",
"\n",
" def jac(x):\n",
" _, A1 = problem.cons(x, True)\n",
" return spc.csc_matrix(A1)\n",
" \n",
" def hess(x):\n",
" return spc.csc_matrix((n, n))\n",
" \n",
"\n",
" # Define constraints\n",
" box = Bounds(lb, ub, name in list_feasible_box_constr)\n",
" constr_analit = NonlinearConstraint(constr, c_lb, c_ub, jac, lagr_hess)\n",
" constr_sr1 = NonlinearConstraint(constr, c_lb, c_ub, jac, SR1())\n",
" constr_bfgs_s = NonlinearConstraint(constr, c_lb, c_ub, jac, BFGS(exception_strategy='skip_update'))\n",
" constr_bfgs_d = NonlinearConstraint(constr, c_lb, c_ub, jac, BFGS(exception_strategy='damp_update'))\n",
" constr_fd = NonlinearConstraint(constr, c_lb, c_ub, jac, '2-point')\n",
" \n",
" \n",
"\n",
" with warnings.catch_warnings():\n",
" warnings.simplefilter(\"ignore\")\n",
" result = minimize(fun, x0, method='trust-constr', jac=grad, hess=hess, constraints=constr_analit, \n",
" bounds=box, options=options)\n",
" result_sr1 = minimize(fun, x0, method='trust-constr', jac=grad, hess=SR1(), constraints=constr_sr1, \n",
" bounds=box, options=options)\n",
" result_bfgs_s = minimize(fun, x0, method='trust-constr', jac=grad, hess=BFGS(exception_strategy='skip_update'),\n",
" constraints=constr_bfgs_s, bounds=box, options=options)\n",
" result_bfgs_d = minimize(fun, x0, method='trust-constr', jac=grad, hess=BFGS(exception_strategy='damp_update'),\n",
" constraints=constr_bfgs_d, bounds=box, options=options)\n",
" result_fd = minimize(fun, x0, method='trust-constr', jac=grad, hess='2-point',\n",
" constraints=constr_fd, bounds=box, options=options)\n",
" \n",
"\n",
" # Print Results\n",
" print_problem_sol(name, \n",
" result.niter, result.optimality, result.constr_violation,\n",
" result_sr1.niter, result_sr1.optimality, result_sr1.constr_violation,\n",
" result_bfgs_s.niter, result_bfgs_s.optimality, result_bfgs_s.constr_violation,\n",
" result_bfgs_d.niter, result_bfgs_d.optimality, result_bfgs_d.constr_violation,\n",
" result_fd.niter, result_fd.optimality, result_fd.constr_violation)"
]
}
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