sciris.sc_asd

Adaptive stochastic descent optimization algorithm, building on scipy.optimize.

This algorithm is published as “Optimization by adaptive stochastic descent” by Kerr et al. (2018).

Functions

asd

Optimization using adaptive stochastic descent (ASD).

asd(function, x, args=None, stepsize=0.1, sinc=2, sdec=2, pinc=2, pdec=2, pinitial=None, sinitial=None, xmin=None, xmax=None, maxiters=None, maxtime=None, abstol=1e-06, reltol=0.001, stalliters=None, stoppingfunc=None, randseed=None, label=None, verbose=1, **kwargs)[source]

Optimization using adaptive stochastic descent (ASD). Can be used as a faster and more powerful alternative to e.g. scipy.optimize.minimize().

ASD starts at x0 and attempts to find a local minimizer x of the function func(). func() accepts input x and returns a scalar function value evaluated at x. x0 can be a scalar, list, or Numpy array of any size.

Parameters
  • function (func) – The function to minimize

  • x (arr) – The vector of initial parameters

  • args (any) – List, tuple, or dictionary of additional parameters to be passed to the function

  • kwargs (dict) – Additional keywords passed to the function

  • stepsize (0.1) – Initial step size as a fraction of each parameter

  • sinc (2) – Step size learning rate (increase)

  • sdec (2) – Step size learning rate (decrease)

  • pinc (2) – Parameter selection learning rate (increase)

  • pdec (2) – Parameter selection learning rate (decrease)

  • pinitial (None) – Set initial parameter selection probabilities

  • sinitial (None) – Set initial step sizes; if empty, calculated from stepsize instead

  • xmin (None) – Min value allowed for each parameter

  • xmax (None) – Max value allowed for each parameter

  • maxiters (1000) – Maximum number of iterations (1 iteration = 1 function evaluation)

  • maxtime (3600) – Maximum time allowed, in seconds

  • abstol (1e-6) – Minimum absolute change in objective function

  • reltol (1e-3) – Minimum relative change in objective function

  • stalliters (10*n) – Number of iterations over which to calculate TolFun (n = number of parameters)

  • stoppingfunc (None) – External method that can be used to stop the calculation from the outside.

  • randseed (None) – The random seed to use

  • verbose (1) – How much information to print during the run (max 3); less than one will print out once every 1/verbose steps

  • label (None) – A label to use to annotate the output

Returns

objdict (see below)

The returned object is an objdict, which can be accessed by index, key, or attribute. Its keys/attributes are:

  • x – The parameter set that minimizes the objective function

  • fval – The value of the objective function at the final iteration

  • exitreason – Why the algorithm terminated;

  • details – See below

The details key consists of:

  • fvals – The value of the objective function at each iteration

  • xvals – The parameter values at each iteration;

  • probabilities – The probability of each step; and

  • stepsizes – The size of each step for each parameter.

Examples:

# Basic usage
import numpy as np
import sciris as sc
result = sc.asd(np.linalg.norm, [1, 2, 3])
print(result.x)

# With arguments
def my_func(x, scale=1.0, weight=1.0): # Example function with keywords
    return abs((x[0] - 1)) + abs(x[1] + 2)*scale + abs(x[2] + 3)*weight

result = sc.asd(my_func, x=[0, 0, 1], args=[0.5, 0.1]) # Option 1 for passing arguments
result = sc.asd(my_func, x=[0, 0, 1], args=dict(scale=0.5, weight=0.1)) # Option 1 for passing arguments
result = sc.asd(my_func, x=[0, 0, 1], scale=0.5, weight=0.1) # Option 2 for passing arguments

Please use the following citation for this method:

CC Kerr, S Dura-Bernal, TG Smolinski, GL Chadderdon, DP Wilson (2018). Optimization by adaptive stochastic descent. PLOS ONE 13 (3), e0192944.

Version: 2019jul08