from __future__ import division
from itertools import product
import numpy as np
from numpy.linalg import norm
from numpy.testing import (assert_, assert_allclose,
assert_equal)
from pytest import raises as assert_raises
from scipy._lib._numpy_compat import suppress_warnings
from scipy.sparse import issparse, lil_matrix
from scipy.sparse.linalg import aslinearoperator
from scipy.optimize import least_squares
from scipy.optimize._lsq.least_squares import IMPLEMENTED_LOSSES
from scipy.optimize._lsq.common import EPS, make_strictly_feasible
def fun_trivial(x, a=0):
return (x - a)**2 + 5.0
def jac_trivial(x, a=0.0):
return 2 * (x - a)
def fun_2d_trivial(x):
return np.array([x[0], x[1]])
def jac_2d_trivial(x):
return np.identity(2)
def fun_rosenbrock(x):
return np.array([10 * (x[1] - x[0]**2), (1 - x[0])])
def jac_rosenbrock(x):
return np.array([
[-20 * x[0], 10],
[-1, 0]
])
def jac_rosenbrock_bad_dim(x):
return np.array([
[-20 * x[0], 10],
[-1, 0],
[0.0, 0.0]
])
def fun_rosenbrock_cropped(x):
return fun_rosenbrock(x)[0]
def jac_rosenbrock_cropped(x):
return jac_rosenbrock(x)[0]
# When x is 1-d array, return is 2-d array.
def fun_wrong_dimensions(x):
return np.array([x, x**2, x**3])
def jac_wrong_dimensions(x, a=0.0):
return np.atleast_3d(jac_trivial(x, a=a))
def fun_bvp(x):
n = int(np.sqrt(x.shape[0]))
u = np.zeros((n + 2, n + 2))
x = x.reshape((n, n))
u[1:-1, 1:-1] = x
y = u[:-2, 1:-1] + u[2:, 1:-1] + u[1:-1, :-2] + u[1:-1, 2:] - 4 * x + x**3
return y.ravel()
class BroydenTridiagonal(object):
def __init__(self, n=100, mode='sparse'):
np.random.seed(0)
self.n = n
self.x0 = -np.ones(n)
self.lb = np.linspace(-2, -1.5, n)
self.ub = np.linspace(-0.8, 0.0, n)
self.lb += 0.1 * np.random.randn(n)
self.ub += 0.1 * np.random.randn(n)
self.x0 += 0.1 * np.random.randn(n)
self.x0 = make_strictly_feasible(self.x0, self.lb, self.ub)
if mode == 'sparse':
self.sparsity = lil_matrix((n, n), dtype=int)
i = np.arange(n)
self.sparsity[i, i] = 1
i = np.arange(1, n)
self.sparsity[i, i - 1] = 1
i = np.arange(n - 1)
self.sparsity[i, i + 1] = 1
self.jac = self._jac
elif mode == 'operator':
self.jac = lambda x: aslinearoperator(self._jac(x))
elif mode == 'dense':
self.sparsity = None
self.jac = lambda x: self._jac(x).toarray()
else:
assert_(False)
def fun(self, x):
f = (3 - x) * x + 1
f[1:] -= x[:-1]
f[:-1] -= 2 * x[1:]
return f
def _jac(self, x):
J = lil_matrix((self.n, self.n))
i = np.arange(self.n)
J[i, i] = 3 - 2 * x
i = np.arange(1, self.n)
J[i, i - 1] = -1
i = np.arange(self.n - 1)
J[i, i + 1] = -2
return J
class ExponentialFittingProblem(object):
"""Provide data and function for exponential fitting in the form
y = a + exp(b * x) + noise."""
def __init__(self, a, b, noise, n_outliers=1, x_range=(-1, 1),
n_points=11, random_seed=None):
np.random.seed(random_seed)
self.m = n_points
self.n = 2
self.p0 = np.zeros(2)
self.x = np.linspace(x_range[0], x_range[1], n_points)
self.y = a + np.exp(b * self.x)
self.y += noise * np.random.randn(self.m)
outliers = np.random.randint(0, self.m, n_outliers)
self.y[outliers] += 50 * noise * np.random.rand(n_outliers)
self.p_opt = np.array([a, b])
def fun(self, p):
return p[0] + np.exp(p[1] * self.x) - self.y
def jac(self, p):
J = np.empty((self.m, self.n))
J[:, 0] = 1
J[:, 1] = self.x * np.exp(p[1] * self.x)
return J
def cubic_soft_l1(z):
rho = np.empty((3, z.size))
t = 1 + z
rho[0] = 3 * (t**(1/3) - 1)
rho[1] = t ** (-2/3)
rho[2] = -2/3 * t**(-5/3)
return rho
LOSSES = list(IMPLEMENTED_LOSSES.keys()) + [cubic_soft_l1]
class BaseMixin(object):
def test_basic(self):
# Test that the basic calling sequence works.
res = least_squares(fun_trivial, 2., method=self.method)
assert_allclose(res.x, 0, atol=1e-4)
assert_allclose(res.fun, fun_trivial(res.x))
def test_args_kwargs(self):
# Test that args and kwargs are passed correctly to the functions.
a = 3.0
for jac in ['2-point', '3-point', 'cs', jac_trivial]:
with suppress_warnings() as sup:
sup.filter(UserWarning,
"jac='(3-point|cs)' works equivalently to '2-point' for method='lm'")
res = least_squares(fun_trivial, 2.0, jac, args=(a,),
method=self.method)
res1 = least_squares(fun_trivial, 2.0, jac, kwargs={'a': a},
method=self.method)
assert_allclose(res.x, a, rtol=1e-4)
assert_allclose(res1.x, a, rtol=1e-4)
assert_raises(TypeError, least_squares, fun_trivial, 2.0,
args=(3, 4,), method=self.method)
assert_raises(TypeError, least_squares, fun_trivial, 2.0,
kwargs={'kaboom': 3}, method=self.method)
def test_jac_options(self):
for jac in ['2-point', '3-point', 'cs', jac_trivial]:
with suppress_warnings() as sup:
sup.filter(UserWarning,
"jac='(3-point|cs)' works equivalently to '2-point' for method='lm'")
res = least_squares(fun_trivial, 2.0, jac, method=self.method)
assert_allclose(res.x, 0, atol=1e-4)
assert_raises(ValueError, least_squares, fun_trivial, 2.0, jac='oops',
method=self.method)
def test_nfev_options(self):
for max_nfev in [None, 20]:
res = least_squares(fun_trivial, 2.0, max_nfev=max_nfev,
method=self.method)
assert_allclose(res.x, 0, atol=1e-4)
def test_x_scale_options(self):
for x_scale in [1.0, np.array([0.5]), 'jac']:
res = least_squares(fun_trivial, 2.0, x_scale=x_scale)
assert_allclose(res.x, 0)
assert_raises(ValueError, least_squares, fun_trivial,
2.0, x_scale='auto', method=self.method)
assert_raises(ValueError, least_squares, fun_trivial,
2.0, x_scale=-1.0, method=self.method)
assert_raises(ValueError, least_squares, fun_trivial,
2.0, x_scale=None, method=self.method)
assert_raises(ValueError, least_squares, fun_trivial,
2.0, x_scale=1.0+2.0j, method=self.method)
def test_diff_step(self):
# res1 and res2 should be equivalent.
# res2 and res3 should be different.
res1 = least_squares(fun_trivial, 2.0, diff_step=1e-1,
method=self.method)
res2 = least_squares(fun_trivial, 2.0, diff_step=-1e-1,
method=self.method)
res3 = least_squares(fun_trivial, 2.0,
diff_step=None, method=self.method)
assert_allclose(res1.x, 0, atol=1e-4)
assert_allclose(res2.x, 0, atol=1e-4)
assert_allclose(res3.x, 0, atol=1e-4)
assert_equal(res1.x, res2.x)
assert_equal(res1.nfev, res2.nfev)
assert_(res2.nfev != res3.nfev)
def test_incorrect_options_usage(self):
assert_raises(TypeError, least_squares, fun_trivial, 2.0,
method=self.method, options={'no_such_option': 100})
assert_raises(TypeError, least_squares, fun_trivial, 2.0,
method=self.method, options={'max_nfev': 100})
def test_full_result(self):
# MINPACK doesn't work very well with factor=100 on this problem,
# thus using low 'atol'.
res = least_squares(fun_trivial, 2.0, method=self.method)
assert_allclose(res.x, 0, atol=1e-4)
assert_allclose(res.cost, 12.5)
assert_allclose(res.fun, 5)
assert_allclose(res.jac, 0, atol=1e-4)
assert_allclose(res.grad, 0, atol=1e-2)
assert_allclose(res.optimality, 0, atol=1e-2)
assert_equal(res.active_mask, 0)
if self.method == 'lm':
assert_(res.nfev < 30)
assert_(res.njev is None)
else:
assert_(res.nfev < 10)
assert_(res.njev < 10)
assert_(res.status > 0)
assert_(res.success)
def test_full_result_single_fev(self):
# MINPACK checks the number of nfev after the iteration,
# so it's hard to tell what he is going to compute.
if self.method == 'lm':
return
res = least_squares(fun_trivial, 2.0, method=self.method,
max_nfev=1)
assert_equal(res.x, np.array([2]))
assert_equal(res.cost, 40.5)
assert_equal(res.fun, np.array([9]))
assert_equal(res.jac, np.array([[4]]))
assert_equal(res.grad, np.array([36]))
assert_equal(res.optimality, 36)
assert_equal(res.active_mask, np.array([0]))
assert_equal(res.nfev, 1)
assert_equal(res.njev, 1)
assert_equal(res.status, 0)
assert_equal(res.success, 0)
def test_rosenbrock(self):
x0 = [-2, 1]
x_opt = [1, 1]
for jac, x_scale, tr_solver in product(
['2-point', '3-point', 'cs', jac_rosenbrock],
[1.0, np.array([1.0, 0.2]), 'jac'],
['exact', 'lsmr']):
with suppress_warnings() as sup:
sup.filter(UserWarning,
"jac='(3-point|cs)' works equivalently to '2-point' for method='lm'")
res = least_squares(fun_rosenbrock, x0, jac, x_scale=x_scale,
tr_solver=tr_solver, method=self.method)
assert_allclose(res.x, x_opt)
def test_rosenbrock_cropped(self):
x0 = [-2, 1]
if self.method == 'lm':
assert_raises(ValueError, least_squares, fun_rosenbrock_cropped,
x0, method='lm')
else:
for jac, x_scale, tr_solver in product(
['2-point', '3-point', 'cs', jac_rosenbrock_cropped],
[1.0, np.array([1.0, 0.2]), 'jac'],
['exact', 'lsmr']):
res = least_squares(
fun_rosenbrock_cropped, x0, jac, x_scale=x_scale,
tr_solver=tr_solver, method=self.method)
assert_allclose(res.cost, 0, atol=1e-14)
def test_fun_wrong_dimensions(self):
assert_raises(ValueError, least_squares, fun_wrong_dimensions,
2.0, method=self.method)
def test_jac_wrong_dimensions(self):
assert_raises(ValueError, least_squares, fun_trivial,
2.0, jac_wrong_dimensions, method=self.method)
def test_fun_and_jac_inconsistent_dimensions(self):
x0 = [1, 2]
assert_raises(ValueError, least_squares, fun_rosenbrock, x0,
jac_rosenbrock_bad_dim, method=self.method)
def test_x0_multidimensional(self):
x0 = np.ones(4).reshape(2, 2)
assert_raises(ValueError, least_squares, fun_trivial, x0,
method=self.method)
def test_x0_complex_scalar(self):
x0 = 2.0 + 0.0*1j
assert_raises(ValueError, least_squares, fun_trivial, x0,
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