File size: 8,132 Bytes
7885a28 |
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 |
"""
Spectral Algorithm for Nonlinear Equations
"""
import collections
import numpy as np
from scipy.optimize import OptimizeResult
from scipy.optimize._optimize import _check_unknown_options
from ._linesearch import _nonmonotone_line_search_cruz, _nonmonotone_line_search_cheng
class _NoConvergence(Exception):
pass
def _root_df_sane(func, x0, args=(), ftol=1e-8, fatol=1e-300, maxfev=1000,
fnorm=None, callback=None, disp=False, M=10, eta_strategy=None,
sigma_eps=1e-10, sigma_0=1.0, line_search='cruz', **unknown_options):
r"""
Solve nonlinear equation with the DF-SANE method
Options
-------
ftol : float, optional
Relative norm tolerance.
fatol : float, optional
Absolute norm tolerance.
Algorithm terminates when ``||func(x)|| < fatol + ftol ||func(x_0)||``.
fnorm : callable, optional
Norm to use in the convergence check. If None, 2-norm is used.
maxfev : int, optional
Maximum number of function evaluations.
disp : bool, optional
Whether to print convergence process to stdout.
eta_strategy : callable, optional
Choice of the ``eta_k`` parameter, which gives slack for growth
of ``||F||**2``. Called as ``eta_k = eta_strategy(k, x, F)`` with
`k` the iteration number, `x` the current iterate and `F` the current
residual. Should satisfy ``eta_k > 0`` and ``sum(eta, k=0..inf) < inf``.
Default: ``||F||**2 / (1 + k)**2``.
sigma_eps : float, optional
The spectral coefficient is constrained to ``sigma_eps < sigma < 1/sigma_eps``.
Default: 1e-10
sigma_0 : float, optional
Initial spectral coefficient.
Default: 1.0
M : int, optional
Number of iterates to include in the nonmonotonic line search.
Default: 10
line_search : {'cruz', 'cheng'}
Type of line search to employ. 'cruz' is the original one defined in
[Martinez & Raydan. Math. Comp. 75, 1429 (2006)], 'cheng' is
a modified search defined in [Cheng & Li. IMA J. Numer. Anal. 29, 814 (2009)].
Default: 'cruz'
References
----------
.. [1] "Spectral residual method without gradient information for solving
large-scale nonlinear systems of equations." W. La Cruz,
J.M. Martinez, M. Raydan. Math. Comp. **75**, 1429 (2006).
.. [2] W. La Cruz, Opt. Meth. Software, 29, 24 (2014).
.. [3] W. Cheng, D.-H. Li. IMA J. Numer. Anal. **29**, 814 (2009).
"""
_check_unknown_options(unknown_options)
if line_search not in ('cheng', 'cruz'):
raise ValueError(f"Invalid value {line_search!r} for 'line_search'")
nexp = 2
if eta_strategy is None:
# Different choice from [1], as their eta is not invariant
# vs. scaling of F.
def eta_strategy(k, x, F):
# Obtain squared 2-norm of the initial residual from the outer scope
return f_0 / (1 + k)**2
if fnorm is None:
def fnorm(F):
# Obtain squared 2-norm of the current residual from the outer scope
return f_k**(1.0/nexp)
def fmerit(F):
return np.linalg.norm(F)**nexp
nfev = [0]
f, x_k, x_shape, f_k, F_k, is_complex = _wrap_func(func, x0, fmerit,
nfev, maxfev, args)
k = 0
f_0 = f_k
sigma_k = sigma_0
F_0_norm = fnorm(F_k)
# For the 'cruz' line search
prev_fs = collections.deque([f_k], M)
# For the 'cheng' line search
Q = 1.0
C = f_0
converged = False
message = "too many function evaluations required"
while True:
F_k_norm = fnorm(F_k)
if disp:
print("iter %d: ||F|| = %g, sigma = %g" % (k, F_k_norm, sigma_k))
if callback is not None:
callback(x_k, F_k)
if F_k_norm < ftol * F_0_norm + fatol:
# Converged!
message = "successful convergence"
converged = True
break
# Control spectral parameter, from [2]
if abs(sigma_k) > 1/sigma_eps:
sigma_k = 1/sigma_eps * np.sign(sigma_k)
elif abs(sigma_k) < sigma_eps:
sigma_k = sigma_eps
# Line search direction
d = -sigma_k * F_k
# Nonmonotone line search
eta = eta_strategy(k, x_k, F_k)
try:
if line_search == 'cruz':
alpha, xp, fp, Fp = _nonmonotone_line_search_cruz(f, x_k, d, prev_fs,
eta=eta)
elif line_search == 'cheng':
alpha, xp, fp, Fp, C, Q = _nonmonotone_line_search_cheng(f, x_k, d, f_k,
C, Q, eta=eta)
except _NoConvergence:
break
# Update spectral parameter
s_k = xp - x_k
y_k = Fp - F_k
sigma_k = np.vdot(s_k, s_k) / np.vdot(s_k, y_k)
# Take step
x_k = xp
F_k = Fp
f_k = fp
# Store function value
if line_search == 'cruz':
prev_fs.append(fp)
k += 1
x = _wrap_result(x_k, is_complex, shape=x_shape)
F = _wrap_result(F_k, is_complex)
result = OptimizeResult(x=x, success=converged,
message=message,
fun=F, nfev=nfev[0], nit=k, method="df-sane")
return result
def _wrap_func(func, x0, fmerit, nfev_list, maxfev, args=()):
"""
Wrap a function and an initial value so that (i) complex values
are wrapped to reals, and (ii) value for a merit function
fmerit(x, f) is computed at the same time, (iii) iteration count
is maintained and an exception is raised if it is exceeded.
Parameters
----------
func : callable
Function to wrap
x0 : ndarray
Initial value
fmerit : callable
Merit function fmerit(f) for computing merit value from residual.
nfev_list : list
List to store number of evaluations in. Should be [0] in the beginning.
maxfev : int
Maximum number of evaluations before _NoConvergence is raised.
args : tuple
Extra arguments to func
Returns
-------
wrap_func : callable
Wrapped function, to be called as
``F, fp = wrap_func(x0)``
x0_wrap : ndarray of float
Wrapped initial value; raveled to 1-D and complex
values mapped to reals.
x0_shape : tuple
Shape of the initial value array
f : float
Merit function at F
F : ndarray of float
Residual at x0_wrap
is_complex : bool
Whether complex values were mapped to reals
"""
x0 = np.asarray(x0)
x0_shape = x0.shape
F = np.asarray(func(x0, *args)).ravel()
is_complex = np.iscomplexobj(x0) or np.iscomplexobj(F)
x0 = x0.ravel()
nfev_list[0] = 1
if is_complex:
def wrap_func(x):
if nfev_list[0] >= maxfev:
raise _NoConvergence()
nfev_list[0] += 1
z = _real2complex(x).reshape(x0_shape)
v = np.asarray(func(z, *args)).ravel()
F = _complex2real(v)
f = fmerit(F)
return f, F
x0 = _complex2real(x0)
F = _complex2real(F)
else:
def wrap_func(x):
if nfev_list[0] >= maxfev:
raise _NoConvergence()
nfev_list[0] += 1
x = x.reshape(x0_shape)
F = np.asarray(func(x, *args)).ravel()
f = fmerit(F)
return f, F
return wrap_func, x0, x0_shape, fmerit(F), F, is_complex
def _wrap_result(result, is_complex, shape=None):
"""
Convert from real to complex and reshape result arrays.
"""
if is_complex:
z = _real2complex(result)
else:
z = result
if shape is not None:
z = z.reshape(shape)
return z
def _real2complex(x):
return np.ascontiguousarray(x, dtype=float).view(np.complex128)
def _complex2real(z):
return np.ascontiguousarray(z, dtype=complex).view(np.float64)
|