import numpy as np
from scipy.optimize import minimize, Bounds
import time
from modopt.utils.options_dictionary import OptionsDictionary
from modopt import Optimizer
from typing import Callable
[docs]class COBYLA(Optimizer):
'''
Class that interfaces modOpt with the COBYLA optimization algorithm from Scipy.
Constrained Optimization BY Linear Approximations or COBYLA is a gradient-free optimization algorithm.
COBYLA only supports inequality constraints and bounds.
Parameters
----------
problem : Problem or ProblemLite
Object containing the problem to be solved.
recording : bool, default=False
If ``True``, record all outputs from the optimization.
This needs to be enabled for hot-starting the same problem later,
if the optimization is interrupted.
out_dir : str, optional
The directory to store all the output files generated from the optimization.
hot_start_from : str, optional
The record file from which to hot-start the optimization.
hot_start_atol : float, default=0.
The absolute tolerance check for the inputs
when reusing outputs from the hot-start record.
hot_start_rtol : float, default=0.
The relative tolerance check for the inputs
when reusing outputs from the hot-start record.
visualize : list, default=[]
The list of scalar variables to visualize during the optimization.
keep_viz_open : bool, default=False
If ``True``, keep the visualization window open after the optimization is complete.
turn_off_outputs : bool, default=False
If ``True``, prevent modOpt from generating any output files.
solver_options : dict, default={}
Dictionary containing the options to be passed to the solver.
Available options are: 'maxiter', 'rhobeg', 'tol', 'catol', 'disp', 'callback'.
See the COBYLA page in modOpt's documentation for more information.
readable_outputs : list, default=[]
List of outputs to be written to readable text output files.
Available outputs are: 'x'.
'''
def initialize(self):
'''
Initialize the optimizer.
Declare options, solver_options and outputs.
'''
self.solver_name = 'scipy-cobyla'
self.options.declare('solver_options', types=dict, default={})
self.default_solver_options = {
'maxiter': (int, 1000), # Maximum number of function evaluations
'rhobeg': (float, 1.0), # Reasonable initial changes to the variables
'tol': (float, 1e-4), # Final accuracy in the optimization (lower bound on the size of the trust region)
'catol': (float, 2e-4), # Absolute constraint violation tolerance
'disp': (bool, False),
'callback': ((type(None), Callable), None),
}
# Used for verifying the keys and value-types of user-provided solver_options
self.solver_options = OptionsDictionary()
for key, value in self.default_solver_options.items():
self.solver_options.declare(key, types=value[0], default=value[1])
# Declare outputs
self.available_outputs = {'x': (float, (self.problem.nx,))}
self.options.declare('readable_outputs', values=([],['x']), default=[])
self.x0 = self.problem.x0 * 1.0
self.obj = self.problem._compute_objective
self.active_callbacks = ['obj']
if self.problem.constrained:
self.con = self.problem._compute_constraints
self.active_callbacks += ['con']
def setup(self):
'''
Setup the optimizer.
Setup outputs, bounds, and constraints.
Check the validity of user-provided 'solver_options'.
'''
self.solver_options.update(self.options['solver_options'])
self.options_to_pass = self.solver_options.get_pure_dict()
self.user_callback = self.options_to_pass.pop('callback')
self.setup_bounds()
if self.problem.constrained:
self.setup_constraints()
else:
self.constraints = ()
def setup_bounds(self):
'''
Adapt bounds as a Scipy Bounds() object.
Only for Nelder-Mead, L-BFGS-B, TNC, SLSQP, Powell, trust-constr, COBYLA, and COBYQA methods.
'''
xl = self.problem.x_lower
xu = self.problem.x_upper
if np.all(xl == -np.inf) and np.all(xu == np.inf):
self.bounds = None
else:
self.bounds = Bounds(xl, xu, keep_feasible=False)
def setup_constraints(self):
'''
Adapt constraints as a list of dictionaries with constraints >= 0.
Note: COBYLA only supports inequality constraints.
Raises
------
RuntimeError
If equality constraints are detected in the problem.
'''
cl = self.problem.c_lower
cu = self.problem.c_upper
eqi = np.where(cl == cu)[0]
lci = np.where((cl != -np.inf) & (cl != cu))[0]
uci = np.where((cu != np.inf) & (cl != cu))[0]
if len(eqi) > 0:
raise RuntimeError('Detected equality constraints in the problem. '\
'COBYLA does not support equality constraints. '\
'Use a different solver (PySLSQP, IPOPT, etc.) or remove the equality constraints.')
# problem is constrained (with no equalities), set up constraints list of dictionaries
def fun(x):
c = self.con(x)
return np.concatenate((c[lci] - cl[lci], cu[uci] - c[uci]))
self.constraints = ({'type': 'ineq', 'fun': fun}, )
[docs] def solve(self):
def callback(x):
self.update_outputs(x=x)
if self.user_callback: self.user_callback(x)
self.update_outputs(x=self.x0)
# Call the COBYLA algorithm from scipy (options are specific to COBYLA)
start_time = time.time()
self.results = minimize(
self.obj,
self.x0,
args=(),
method='COBYLA',
jac=None,
hess=None,
hessp=None,
bounds=self.bounds,
constraints=self.constraints,
tol=None,
callback=callback,
options=self.options_to_pass
)
self.total_time = time.time() - start_time
self.run_post_processing()
return self.results
[docs] def print_results(self, optimal_variables=False, all=False):
'''
Print the optimization results to the console.
Parameters
----------
optimal_variables : bool, default=False
If ``True``, print the optimal variables.
all : bool, default=False
If ``True``, print all available outputs.
'''
output = "\n\tSolution from Scipy COBYLA:"
output += "\n\t"+"-" * 100
output += f"\n\t{'Problem':25}: {self.problem_name}"
output += f"\n\t{'Solver':25}: {self.solver_name}"
output += f"\n\t{'Success':25}: {self.results['success']}"
output += f"\n\t{'Message':25}: {self.results['message']}"
output += f"\n\t{'Status':25}: {self.results['status']}"
output += f"\n\t{'Total time':25}: {self.total_time}"
output += f"\n\t{'Objective':25}: {self.results['fun']}"
output += f"\n\t{'Total function evals':25}: {self.results['nfev']}"
output += f"\n\t{'Max. constraint violation':25}: {self.results['maxcv']}"
output += self.get_callback_counts_string(25)
if optimal_variables or all:
output += f"\n\t{'Optimal variables':25}: {self.results['x']}"
output += '\n\t' + '-'*100
print(output)