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aaronreidsmith / scipy   python

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Version: 1.3.3 

/ optimize / tests / test_minimize_constrained.py

from __future__ import division, print_function, absolute_import
import numpy as np
import pytest
from scipy.linalg import block_diag
from scipy.sparse import csc_matrix
from numpy.testing import (TestCase, assert_array_almost_equal,
                           assert_array_less, assert_allclose, assert_)
from pytest import raises
from scipy.optimize import (NonlinearConstraint,
                            LinearConstraint,
                            Bounds,
                            minimize,
                            BFGS,
                            SR1)
from scipy._lib._numpy_compat import suppress_warnings


class Maratos:
    """Problem 15.4 from Nocedal and Wright

    The following optimization problem:
        minimize 2*(x[0]**2 + x[1]**2 - 1) - x[0]
        Subject to: x[0]**2 + x[1]**2 - 1 = 0
    """

    def __init__(self, degrees=60, constr_jac=None, constr_hess=None):
        rads = degrees/180*np.pi
        self.x0 = [np.cos(rads), np.sin(rads)]
        self.x_opt = np.array([1.0, 0.0])
        self.constr_jac = constr_jac
        self.constr_hess = constr_hess
        self.bounds = None

    def fun(self, x):
        return 2*(x[0]**2 + x[1]**2 - 1) - x[0]

    def grad(self, x):
        return np.array([4*x[0]-1, 4*x[1]])

    def hess(self, x):
        return 4*np.eye(2)

    @property
    def constr(self):
        def fun(x):
            return x[0]**2 + x[1]**2

        if self.constr_jac is None:
            def jac(x):
                return [[2*x[0], 2*x[1]]]
        else:
            jac = self.constr_jac

        if self.constr_hess is None:
            def hess(x, v):
                return 2*v[0]*np.eye(2)
        else:
            hess = self.constr_hess

        return NonlinearConstraint(fun, 1, 1, jac, hess)


class MaratosTestArgs:
    """Problem 15.4 from Nocedal and Wright

    The following optimization problem:
        minimize 2*(x[0]**2 + x[1]**2 - 1) - x[0]
        Subject to: x[0]**2 + x[1]**2 - 1 = 0
    """

    def __init__(self, a, b, degrees=60, constr_jac=None, constr_hess=None):
        rads = degrees/180*np.pi
        self.x0 = [np.cos(rads), np.sin(rads)]
        self.x_opt = np.array([1.0, 0.0])
        self.constr_jac = constr_jac
        self.constr_hess = constr_hess
        self.a = a
        self.b = b
        self.bounds = None

    def _test_args(self, a, b):
        if self.a != a or self.b != b:
            raise ValueError()

    def fun(self, x, a, b):
        self._test_args(a, b)
        return 2*(x[0]**2 + x[1]**2 - 1) - x[0]

    def grad(self, x, a, b):
        self._test_args(a, b)
        return np.array([4*x[0]-1, 4*x[1]])

    def hess(self, x, a, b):
        self._test_args(a, b)
        return 4*np.eye(2)

    @property
    def constr(self):
        def fun(x):
            return x[0]**2 + x[1]**2

        if self.constr_jac is None:
            def jac(x):
                return [[4*x[0], 4*x[1]]]
        else:
            jac = self.constr_jac

        if self.constr_hess is None:
            def hess(x, v):
                return 2*v[0]*np.eye(2)
        else:
            hess = self.constr_hess

        return NonlinearConstraint(fun, 1, 1, jac, hess)


class MaratosGradInFunc:
    """Problem 15.4 from Nocedal and Wright

    The following optimization problem:
        minimize 2*(x[0]**2 + x[1]**2 - 1) - x[0]
        Subject to: x[0]**2 + x[1]**2 - 1 = 0
    """

    def __init__(self, degrees=60, constr_jac=None, constr_hess=None):
        rads = degrees/180*np.pi
        self.x0 = [np.cos(rads), np.sin(rads)]
        self.x_opt = np.array([1.0, 0.0])
        self.constr_jac = constr_jac
        self.constr_hess = constr_hess
        self.bounds = None

    def fun(self, x):
        return (2*(x[0]**2 + x[1]**2 - 1) - x[0],
                np.array([4*x[0]-1, 4*x[1]]))

    @property
    def grad(self):
        return True

    def hess(self, x):
        return 4*np.eye(2)

    @property
    def constr(self):
        def fun(x):
            return x[0]**2 + x[1]**2

        if self.constr_jac is None:
            def jac(x):
                return [[4*x[0], 4*x[1]]]
        else:
            jac = self.constr_jac

        if self.constr_hess is None:
            def hess(x, v):
                return 2*v[0]*np.eye(2)
        else:
            hess = self.constr_hess

        return NonlinearConstraint(fun, 1, 1, jac, hess)


class HyperbolicIneq:
    """Problem 15.1 from Nocedal and Wright

    The following optimization problem:
        minimize 1/2*(x[0] - 2)**2 + 1/2*(x[1] - 1/2)**2
        Subject to: 1/(x[0] + 1) - x[1] >= 1/4
                                   x[0] >= 0
                                   x[1] >= 0
    """
    def __init__(self, constr_jac=None, constr_hess=None):
        self.x0 = [0, 0]
        self.x_opt = [1.952823, 0.088659]
        self.constr_jac = constr_jac
        self.constr_hess = constr_hess
        self.bounds = Bounds(0, np.inf)

    def fun(self, x):
        return 1/2*(x[0] - 2)**2 + 1/2*(x[1] - 1/2)**2

    def grad(self, x):
        return [x[0] - 2, x[1] - 1/2]

    def hess(self, x):
        return np.eye(2)

    @property
    def constr(self):
        def fun(x):
            return 1/(x[0] + 1) - x[1]

        if self.constr_jac is None:
            def jac(x):
                return [[-1/(x[0] + 1)**2, -1]]
        else:
            jac = self.constr_jac

        if self.constr_hess is None:
            def hess(x, v):
                return 2*v[0]*np.array([[1/(x[0] + 1)**3, 0],
                                        [0, 0]])
        else:
            hess = self.constr_hess

        return NonlinearConstraint(fun, 0.25, np.inf, jac, hess)


class Rosenbrock:
    """Rosenbrock function.

    The following optimization problem:
        minimize sum(100.0*(x[1:] - x[:-1]**2.0)**2.0 + (1 - x[:-1])**2.0)
    """

    def __init__(self, n=2, random_state=0):
        rng = np.random.RandomState(random_state)
        self.x0 = rng.uniform(-1, 1, n)
        self.x_opt = np.ones(n)
        self.bounds = None

    def fun(self, x):
        x = np.asarray(x)
        r = np.sum(100.0 * (x[1:] - x[:-1]**2.0)**2.0 + (1 - x[:-1])**2.0,
                   axis=0)
        return r

    def grad(self, x):
        x = np.asarray(x)
        xm = x[1:-1]
        xm_m1 = x[:-2]
        xm_p1 = x[2:]
        der = np.zeros_like(x)
        der[1:-1] = (200 * (xm - xm_m1**2) -
                     400 * (xm_p1 - xm**2) * xm - 2 * (1 - xm))
        der[0] = -400 * x[0] * (x[1] - x[0]**2) - 2 * (1 - x[0])
        der[-1] = 200 * (x[-1] - x[-2]**2)
        return der

    def hess(self, x):
        x = np.atleast_1d(x)
        H = np.diag(-400 * x[:-1], 1) - np.diag(400 * x[:-1], -1)
        diagonal = np.zeros(len(x), dtype=x.dtype)
        diagonal[0] = 1200 * x[0]**2 - 400 * x[1] + 2
        diagonal[-1] = 200
        diagonal[1:-1] = 202 + 1200 * x[1:-1]**2 - 400 * x[2:]
        H = H + np.diag(diagonal)
        return H

    @property
    def constr(self):
        return ()


class IneqRosenbrock(Rosenbrock):
    """Rosenbrock subject to inequality constraints.

    The following optimization problem:
        minimize sum(100.0*(x[1] - x[0]**2)**2.0 + (1 - x[0])**2)
        subject to: x[0] + 2 x[1] <= 1

    Taken from matlab ``fmincon`` documentation.
    """
    def __init__(self, random_state=0):
        Rosenbrock.__init__(self, 2, random_state)
        self.x0 = [-1, -0.5]
        self.x_opt = [0.5022, 0.2489]
        self.bounds = None

    @property
    def constr(self):
        A = [[1, 2]]
        b = 1
        return LinearConstraint(A, -np.inf, b)


class BoundedRosenbrock(Rosenbrock):
    """Rosenbrock subject to inequality constraints.

    The following optimization problem:
        minimize sum(100.0*(x[1] - x[0]**2)**2.0 + (1 - x[0])**2)
        subject to:  -2 <= x[0] <= 0
                      0 <= x[1] <= 2

    Taken from matlab ``fmincon`` documentation.
    """
    def __init__(self, random_state=0):
        Rosenbrock.__init__(self, 2, random_state)
        self.x0 = [-0.2, 0.2]
        self.x_opt = None
        self.bounds = Bounds([-2, 0], [0, 2])


class EqIneqRosenbrock(Rosenbrock):
    """Rosenbrock subject to equality and inequality constraints.

    The following optimization problem:
        minimize sum(100.0*(x[1] - x[0]**2)**2.0 + (1 - x[0])**2)
        subject to: x[0] + 2 x[1] <= 1
                    2 x[0] + x[1] = 1

    Taken from matlab ``fimincon`` documentation.
    """
    def __init__(self, random_state=0):
        Rosenbrock.__init__(self, 2, random_state)
        self.x0 = [-1, -0.5]
        self.x_opt = [0.41494, 0.17011]
        self.bounds = None

    @property
    def constr(self):
        A_ineq = [[1, 2]]
        b_ineq = 1
        A_eq = [[2, 1]]
        b_eq = 1
        return (LinearConstraint(A_ineq, -np.inf, b_ineq),
                LinearConstraint(A_eq, b_eq, b_eq))


class Elec:
    """Distribution of electrons on a sphere.

    Problem no 2 from COPS collection [2]_. Find
    the equilibrium state distribution (of minimal
    potential) of the electrons positioned on a
    conducting sphere.

    References
    ----------
    .. [1] E. D. Dolan, J. J. Mor\'{e}, and T. S. Munson,
           "Benchmarking optimization software with COPS 3.0.",
            Argonne National Lab., Argonne, IL (US), 2004.
    """
    def __init__(self, n_electrons=200, random_state=0,
                 constr_jac=None, constr_hess=None):
        self.n_electrons = n_electrons
        self.rng = np.random.RandomState(random_state)
        # Initial Guess
        phi = self.rng.uniform(0, 2 * np.pi, self.n_electrons)
        theta = self.rng.uniform(-np.pi, np.pi, self.n_electrons)
        x = np.cos(theta) * np.cos(phi)
        y = np.cos(theta) * np.sin(phi)
        z = np.sin(theta)
        self.x0 = np.hstack((x, y, z))
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