"""
Adaptive stochastic descent optimization algorithm, building on :mod:`scipy.optimize`.
This algorithm is published as:
Kerr CC, Dura-Bernal S, Smolinski TG, Chadderdon GL, Wilson DP (2018).
**Optimization by Adaptive Stochastic Descent**. *PLoS ONE* 13(3): e0192944.
https://doi.org/10.1371/journal.pone.0192944
"""
import time
import numpy as np
from . import sc_utils as scu
from . import sc_printing as scp
from . import sc_odict as sco
__all__ = ['asd']
[docs]
def 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-6, reltol=1e-3, stalliters=None, stoppingfunc=None, randseed=None,
label=None, verbose=1, **kwargs):
"""
Optimization using adaptive stochastic descent (ASD). Can be used as a faster
and more powerful alternative to e.g. :func:`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.
Args:
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.
*New in version 3.0.0:* Uses its own random number stream
"""
rng = np.random.default_rng(randseed)
if verbose >= 2: print(f'ASD: Launching with random seed {randseed}')
def consistentshape(userinput, origshape=False):
"""
Make sure inputs have the right shape and data type.
"""
output = np.reshape(np.array(userinput, dtype='float'), -1)
if origshape: return output, np.shape(userinput)
else: return output
# Handle inputs and set defaults
if maxtime is None: maxtime = 3600
if maxiters is None: maxiters = 1000
maxrangeiters = 100 # Number of times to try generating a new parameter
x, origshape = consistentshape(x, origshape=True) # Turn it into a vector but keep the original shape (not necessarily class, though)
nparams = len(x) # Number of parameters
if not nparams: # pragma: no cover
errormsg = 'ASD: The length of the input vector cannot be zero'
raise ValueError(errormsg)
if sinc<1: # pragma: no cover
print('ASD: sinc cannot be less than 1; resetting to 2')
sinc = 2
if sdec<1: # pragma: no cover
print('ASD: sdec cannot be less than 1; resetting to 2')
sdec = 2
if pinc<1: # pragma: no cover
print('ASD: pinc cannot be less than 1; resetting to 2')
pinc = 2
if pdec<1: # pragma: no cover
print('ASD: pdec cannot be less than 1; resetting to 2')
pdec = 2
# Set initial parameter selection probabilities -- uniform by default
if pinitial is None: probabilities = np.ones(2 * nparams)
else: probabilities = consistentshape(pinitial)
if not sum(probabilities): # pragma: no cover
errormsg = 'ASD: The sum of input probabilities cannot be zero'
raise ValueError(errormsg)
# Handle step sizes
if sinitial is None:
stepsizes = abs(stepsize * x)
stepsizes = np.concatenate((stepsizes, stepsizes)) # need to duplicate since two for each parameter
else:
stepsizes = consistentshape(sinitial)
# Handle x limits
xmin = np.zeros(nparams) - np.inf if xmin is None else consistentshape(xmin)
xmax = np.zeros(nparams) + np.inf if xmax is None else consistentshape(xmax)
# Final input checking
if sum(np.isnan(x)): # pragma: no cover
errormsg = f'ASD: At least one value in the vector of starting points is NaN:\n{x}'
raise ValueError(errormsg)
if label is None: label = ''
if stalliters is None: stalliters = 10 * nparams # By default, try 10 times per parameter on average
stalliters = int(stalliters)
maxiters = int(maxiters)
# Initialization
if all(stepsizes == 0): stepsizes += stepsize # Handle the case where all step sizes are 0
if any(stepsizes == 0): stepsizes[stepsizes == 0] = np.mean(stepsizes[stepsizes != 0]) # Replace step sizes of zeros with the mean of non-zero entries
if args is None: # Reset if no function arguments supplied
args = []
elif isinstance(args, dict): # It's actually kwargs supplied
kwargs = scu.mergedicts(args, kwargs)
args = []
fval = function(x, *args, **kwargs) # Calculate initial value of the objective function
fvalorig = fval # Store the original value of the objective function, since fval is overwritten on each step
xorig = x.copy() # Keep the original x, just in case
# Initialize history
abserrorhistory = np.zeros(stalliters) # Store previous error changes
relerrorhistory = np.zeros(stalliters) # Store previous error changes
fvals = np.zeros(maxiters + 1) # Store all objective function values
allsteps = np.zeros((maxiters + 1, nparams)) # Store all parameters
fvals[0] = fvalorig # Store initial function output
allsteps[0, :] = xorig # Store initial input vector
# Loop
count = 0 # Keep track of how many iterations have occurred
start = time.time() # Keep track of when we begin looping
offset = ' ' * 4 # Offset the print statements
exitreason = 'Unknown exit reason' # Catch everything else
while True:
count += 1 # Increment the count
if verbose >= 3: print(f'\n\n Count={count} \n x={x} \n probabilities={probabilities} \n stepsizes={stepsizes}')
# Calculate next parameters
probabilities = probabilities / sum(probabilities) # Normalize probabilities
cumprobs = np.cumsum(probabilities) # Calculate the cumulative distribution
inrange = False
for r in range(maxrangeiters): # Try to find parameters within range
choice = np.flatnonzero(cumprobs > rng.random())[0] # Choose a parameter and upper/lower at random
par = np.mod(choice, nparams) # Which parameter was chosen
pm = np.floor((choice) / nparams) # Plus or minus
newval = x[par] + ((-1)**pm) * stepsizes[choice] # Calculate the new vector
if newval<xmin[par]: newval = xmin[par] # Reset to the lower limit
if newval>xmax[par]: newval = xmax[par] # Reset to the upper limit
inrange = (newval != x[par])
if verbose >= 3: print(offset*2 + f'count={count} r={r}, choice={choice}, par={par}, x[par]={x[par]}, pm={(-1)**pm}, step={stepsizes[choice]}, newval={newval}, xmin={xmin[par]}, xmax={xmax[par]}, inrange={inrange}')
if inrange: # Proceed as long as they're not equal
break
if not inrange: # Treat it as a failure if a value in range can't be found
probabilities[choice] = probabilities[choice] / pdec
stepsizes[choice] = stepsizes[choice] / sdec
# Calculate the new value
xnew = x.copy() # Initialize the new parameter set
xnew[par] = newval # Update the new parameter set
fvalnew = function(xnew, *args, **kwargs) # Calculate the objective function for the new parameter set
eps = 1e-12 # Small value to avoid divide-by-zero errors
if abs(fvalnew)<eps and abs(fval)<eps: ratio = 1 # They're both zero: set the ratio to 1
elif abs(fvalnew)<eps: ratio = 1.0/eps # Only the denominator is zero: reset to the maximum ratio
else: ratio = fval/float(fvalnew) # The normal situation: calculate the real ratio
abserrorhistory[np.mod(count, stalliters)] = max(0, fval-fvalnew) # Keep track of improvements in the error
relerrorhistory[np.mod(count, stalliters)] = max(0, ratio-1.0) # Keep track of improvements in the error
if verbose >= 2: print(offset + f'step={count} choice={choice}, par={par}, pm={pm}, origval={x[par]}, newval={xnew[par]}')
# Check if this step was an improvement
fvalold = fval # Store old fval
if fvalnew < fvalold: # New parameter set is better than previous one
probabilities[choice] = probabilities[choice] * pinc # Increase probability of picking this parameter again
stepsizes[choice] = stepsizes[choice] * sinc # Increase size of step for next time
x = xnew # Reset current parameters
fval = fvalnew # Reset current error
flag = '++' # Marks an improvement
else: # New parameter set is the same or worse than the previous one
probabilities[choice] = probabilities[choice] / pdec # Decrease probability of picking this parameter again
stepsizes[choice] = stepsizes[choice] / sdec # Decrease size of step for next time
flag = '--' # Marks no change
if np.isnan(fvalnew):
if verbose >= 1: print('ASD: Warning, objective function returned NaN')
if verbose > 0 and not (count % max(1, int(1.0/verbose))): # Print out every 1/verbose steps
orig, best, new, diff = scp.sigfig([fvalorig, fvalold, fvalnew, fvalnew-fvalold])
print(offset + label + f' step {count} ({time.time()-start:0.1f} s) {flag} (orig:{orig} | best:{best} | new:{new} | diff:{diff})')
# Store output information
fvals[count] = fval # Store objective function evaluations
allsteps[count, :] = x # Store parameters
# Stopping criteria
if count >= maxiters: # Stop if the iteration limit is exceeded # pragma: no cover
exitreason = 'Maximum iterations reached'
break
if (time.time() - start) > maxtime: # pragma: no cover
strtime, strmax = scp.sigfig([(time.time()-start), maxtime])
exitreason = f'Time limit reached ({strtime} > {strmax})'
break
if (count > stalliters) and (abs(np.mean(abserrorhistory)) < abstol): # Stop if improvement is too small
strabs, strtol = scp.sigfig([np.mean(abserrorhistory), abstol])
exitreason = f'Absolute improvement too small ({strabs} < {strtol})'
break
if (count > stalliters) and (sum(relerrorhistory) < reltol): # Stop if improvement is too small
strrel, strtol = scp.sigfig([np.mean(relerrorhistory), reltol])
exitreason = f'Relative improvement too small ({strrel} < {strtol})'
break
if stoppingfunc and stoppingfunc(): # pragma: no cover
exitreason = 'Stopping function called'
break
# Return
if verbose > 0:
orig, best, ratio = scp.sigfig([fvals[0], fvals[count], fvals[count]/fvals[0]])
print(f'=== {label} {exitreason} ({count} steps, orig: {orig} | best: {best} | ratio: {ratio}) ===')
output = sco.objdict()
output['x'] = np.reshape(x, origshape) # Parameters
output['fval'] = fvals[count]
output['exitreason'] = exitreason
output['details'] = sco.objdict()
output['details']['fvals'] = fvals[:count+1] # Function evaluations
output['details']['xvals'] = allsteps[:count+1, :]
output['details']['probabilities'] = probabilities
output['details']['stepsizes'] = stepsizes
return output # Return parameter vector as well as details about run
