Approximating Optimum Value¶
In various cases, separating functions and symbols are either very difficult or impossible. For example \(x, \sin x\) and \(e^x\) are not algebraically independent, but their dependency can not be easily expressed in finitely many relations. One possible approach to these problems is replacing transcendental terms with a reasonably good approximation. This certainly will introduce more numerical error, but at least gives a reliable estimate for the optimum value.
Using pyProximation.OrthSystem¶
A simple and common method to approximate transcendental functions is using truncated Taylor expansions. In spite of its simplicity, there are various pitfalls which needs to be avoided. The most common is that the radius of convergence of the Taylor expansion may be smaller than the feasibility region of the optimization problem.
Example 1:¶
Find the minimum of \(x + e^{x\sin x}\) where \(-\pi\leq x\leq \pi\).
The objective function includes terms of \(x\) and transcendental functions. So, it is
difficult to find a suitable algebraic representation to transform this optimization problem.
Let us try to use Taylor expansion of \(e^{x\sin x}\) to find an approximation for the
optimum and compare the result with scipy.optimize, pyOpt.ALPSO and pyOpt.NSGA2:
from sympy import *
from Irene import *
# introduce symbols and functions
x = Symbol('x')
e = Function('e')(x)
# transcendental term of objective
f = exp(x * sin(x))
# Taylor expansion
f_app = f.series(x, 0, 12).removeO()
# initiate the Relaxation object
Rlx = SDPRelaxations([x])
# set the objective
Rlx.SetObjective(x + f_app)
# add support constraints
Rlx.AddConstraint(pi**2 - x**2 >= 0)
# initialize the SDP
Rlx.InitSDP()
# solve the SDP
Rlx.Minimize()
print Rlx.Solution
# using scipy
from scipy.optimize import minimize
fun = lambda x: x[0] + exp(x[0] * sin(x[0]))
cons = (
{'type': 'ineq', 'fun': lambda x: pi**2 - x[0]**2},
)
sol1 = minimize(fun, (0, 0), method='COBYLA', constraints=cons)
sol2 = minimize(fun, (0, 0), method='SLSQP', constraints=cons)
print "solution according to 'COBYLA':"
print sol1
print "solution according to 'SLSQP':"
print sol2
# pyOpt
from pyOpt import *
def objfunc(x):
from numpy import sin, exp, pi
f = x[0] + exp(x[0] * sin(x[0]))
g = [
x[0]**2 - pi**2
]
fail = 0
return f, g, fail
opt_prob = Optimization('A mixed function', objfunc)
opt_prob.addVar('x1', 'c', lower=-pi, upper=pi, value=0.0)
opt_prob.addObj('f')
opt_prob.addCon('g1', 'i')
# Augmented Lagrangian Particle Swarm Optimizer
alpso = ALPSO()
alpso(opt_prob)
print opt_prob.solution(0)
# Non Sorting Genetic Algorithm II
nsg2 = NSGA2()
nsg2(opt_prob)
print opt_prob.solution(1)
The output will look like:
Solution of a Semidefinite Program:
Solver: CVXOPT
Status: Optimal
Initialization Time: 0.270121097565 seconds
Run Time: 0.012974 seconds
Primal Objective Value: -416.628918881
Dual Objective Value: -416.628917197
Feasible solution for moments of order 5
solution according to 'COBYLA':
fun: 0.76611902154788758
maxcv: 0.0
message: 'Optimization terminated successfully.'
nfev: 34
status: 1
success: True
x: array([ -4.42161128e-01, -9.76206736e-05])
solution according to 'SLSQP':
fun: 0.766119450232887
jac: array([ 0.00154828, 0. , 0. ])
message: 'Optimization terminated successfully.'
nfev: 17
nit: 4
njev: 4
status: 0
success: True
x: array([-0.44164406, 0. ])
ALPSO Solution to A mixed function
================================================================================
Objective Function: objfunc
Solution:
--------------------------------------------------------------------------------
Total Time: 0.0683
Total Function Evaluations: 1240
Lambda: [ 0.]
Seed: 1482112089.31088901
Objectives:
Name Value Optimum
f -2.14159 0
Variables (c - continuous, i - integer, d - discrete):
Name Type Value Lower Bound Upper Bound
x1 c -3.141593 -3.14e+00 3.14e+00
Constraints (i - inequality, e - equality):
Name Type Bounds
g1 i -1.00e+21 <= 0.000000 <= 0.00e+00
--------------------------------------------------------------------------------
NSGA-II Solution to A mixed function
================================================================================
Objective Function: objfunc
Solution:
--------------------------------------------------------------------------------
Total Time: 0.4231
Total Function Evaluations:
Objectives:
Name Value Optimum
f -2.14159 0
Variables (c - continuous, i - integer, d - discrete):
Name Type Value Lower Bound Upper Bound
x1 c -3.141593 -3.14e+00 3.14e+00
Constraints (i - inequality, e - equality):
Name Type Bounds
g1 i -1.00e+21 <= 0.000000 <= 0.00e+00
--------------------------------------------------------------------------------
Now instead of Taylor expansion, we use Legendre polynomials to estimate \(e^{x\sin x}\). To find Legendre estimators, we use pyProximation which implements general Hilbert space methods (see Appendix-pyProximation):
from sympy import *
from Irene import *
from pyProximation import OrthSystem
# introduce symbols and functions
x = Symbol('x')
e = Function('e')(x)
# transcendental term of objective
f = exp(x * sin(x))
# Legendre polynomials via pyProximation
D = [(-pi, pi)]
S = OrthSystem([x], D)
# set B = {1, x, x^2, ..., x^12}
B = S.PolyBasis(12)
# link B to S
S.Basis(B)
# generate the orthonormal basis
S.FormBasis()
# extract the coefficients of approximation
Coeffs = S.Series(f)
# form the approximation
f_app = sum([S.OrthBase[i] * Coeffs[i] for i in range(len(S.OrthBase))])
# initiate the Relaxation object
Rlx = SDPRelaxations([x])
# set the objective
Rlx.SetObjective(x + f_app)
# add support constraints
Rlx.AddConstraint(pi**2 - x**2 >= 0)
# set the solver
Rlx.SetSDPSolver('dsdp')
# initialize the SDP
Rlx.InitSDP()
# solve the SDP
Rlx.Minimize()
print Rlx.Solution
The output will be:
Solution of a Semidefinite Program:
Solver: DSDP
Status: Optimal
Initialization Time: 0.722383022308 seconds
Run Time: 0.077674 seconds
Primal Objective Value: -2.26145824829
Dual Objective Value: -2.26145802066
Feasible solution for moments of order 6
By a small modification of the above code, we can employ Chebyshev polynomials for approximation:
from sympy import *
from Irene import *
from pyProximation import Measure, OrthSystem
# introduce symbols and functions
x = Symbol('x')
e = Function('e')(x)
# transcendental term of objective
f = exp(x * sin(x))
# Chebyshev polynomials via pyProximation
D = [(-pi, pi)]
# the Chebyshev weight
w = lambda x: 1. / sqrt(pi**2 - x**2)
M = Measure(D, w)
S = OrthSystem([x], D)
# link the measure to S
S.SetMeasure(M)
# set B = {1, x, x^2, ..., x^12}
B = S.PolyBasis(12)
# link B to S
S.Basis(B)
# generate the orthonormal basis
S.FormBasis()
# extract the coefficients of approximation
Coeffs = S.Series(f)
# form the approximation
f_app = sum([S.OrthBase[i] * Coeffs[i] for i in range(len(S.OrthBase))])
# initiate the Relaxation object
Rlx = SDPRelaxations([x])
# set the objective
Rlx.SetObjective(x + f_app)
# add support constraints
Rlx.AddConstraint(pi**2 - x**2 >= 0)
# set the solver
Rlx.SetSDPSolver('dsdp')
# initialize the SDP
Rlx.InitSDP()
# solve the SDP
Rlx.Minimize()
print Rlx.Solution
which returns:
Solution of a Semidefinite Program:
Solver: DSDP
Status: Optimal
Initialization Time: 0.805300951004 seconds
Run Time: 0.066767 seconds
Primal Objective Value: -2.17420785198
Dual Objective Value: -2.17420816422
Feasible solution for moments of order 6
This gives a better approximation for the optimum value. The optimum values found via
Legendre and Chebyshev polynomials are certainly better than Taylor expansion and the
results of scipy.optimize.
Example 2:¶
Find the minimum of \(x\sinh y + e^{y\sin x}\) where \(-\pi\leq x, y\leq\pi\).
Again, we use Legendre approximations for \(\sinh y\) and \(e^{y\sin x}\):
from sympy import *
from Irene import *
from pyProximation import OrthSystem
# introduce symbols and functions
x = Symbol('x')
y = Symbol('y')
sh = Function('sh')(y)
ch = Function('ch')(y)
# transcendental term of objective
f = exp(y * sin(x))
g = sinh(y)
# Legendre polynomials via pyProximation
D_f = [(-pi, pi), (-pi, pi)]
D_g = [(-pi, pi)]
Orth_f = OrthSystem([x, y], D_f)
Orth_g = OrthSystem([y], D_g)
# set bases
B_f = Orth_f.PolyBasis(10)
B_g = Orth_g.PolyBasis(10)
# link B_f to Orth_f and B_g to Orth_g
Orth_f.Basis(B_f)
Orth_g.Basis(B_g)
# generate the orthonormal bases
Orth_f.FormBasis()
Orth_g.FormBasis()
# extract the coefficients of approximations
Coeffs_f = Orth_f.Series(f)
Coeffs_g = Orth_g.Series(g)
# form the approximations
f_app = sum([Orth_f.OrthBase[i] * Coeffs_f[i]
for i in range(len(Orth_f.OrthBase))])
g_app = sum([Orth_g.OrthBase[i] * Coeffs_g[i]
for i in range(len(Orth_g.OrthBase))])
# initiate the Relaxation object
Rlx = SDPRelaxations([x, y])
# set the objective
Rlx.SetObjective(x * g_app + f_app)
# add support constraints
Rlx.AddConstraint(pi**2 - x**2 >= 0)
Rlx.AddConstraint(pi**2 - y**2 >= 0)
# set the sdp solver
Rlx.SetSDPSolver('cvxopt')
# initialize the SDP
Rlx.InitSDP()
# solve the SDP
Rlx.Minimize()
print Rlx.Solution
# using scipy
from scipy.optimize import minimize
fun = lambda x: x[0] * sinh(x[1]) + exp(x[1] * sin(x[0]))
cons = (
{'type': 'ineq', 'fun': lambda x: pi**2 - x[0]**2},
{'type': 'ineq', 'fun': lambda x: pi**2 - x[1]**2}
)
sol1 = minimize(fun, (0, 0), method='COBYLA', constraints=cons)
sol2 = minimize(fun, (0, 0), method='SLSQP', constraints=cons)
print "solution according to 'COBYLA':"
print sol1
print "solution according to 'SLSQP':"
print sol2
# pyOpt
from pyOpt import *
def objfunc(x):
from numpy import sin, sinh, exp, pi
f = x[0] * sinh(x[1]) + exp(x[1] * sin(x[0]))
g = [
x[0]**2 - pi**2,
x[1]**2 - pi**2
]
fail = 0
return f, g, fail
opt_prob = Optimization(
'A trigonometric-hyperbolic-exponential function', objfunc)
opt_prob.addVar('x1', 'c', lower=-pi, upper=pi, value=0.0)
opt_prob.addVar('x2', 'c', lower=-pi, upper=pi, value=0.0)
opt_prob.addObj('f')
opt_prob.addCon('g1', 'i')
opt_prob.addCon('g2', 'i')
# Augmented Lagrangian Particle Swarm Optimizer
alpso = ALPSO()
alpso(opt_prob)
print opt_prob.solution(0)
# Non Sorting Genetic Algorithm II
nsg2 = NSGA2()
nsg2(opt_prob)
print opt_prob.solution(1)
The result will be:
Solution of a Semidefinite Program:
Solver: CVXOPT
Status: Optimal
Initialization Time: 4.09241986275 seconds
Run Time: 0.123869 seconds
Primal Objective Value: -35.3574475835
Dual Objective Value: -35.3574473266
Feasible solution for moments of order 5
solution according to 'COBYLA':
fun: 1.0
maxcv: 0.0
message: 'Optimization terminated successfully.'
nfev: 13
status: 1
success: True
x: array([ 0., 0.])
solution according to 'SLSQP':
fun: 1
jac: array([ 0., 0., 0.])
message: 'Optimization terminated successfully.'
nfev: 4
nit: 1
njev: 1
status: 0
success: True
x: array([ 0., 0.])
ALPSO Solution to A trigonometric-hyperbolic-exponential function
================================================================================
Objective Function: objfunc
Solution:
--------------------------------------------------------------------------------
Total Time: 0.0946
Total Function Evaluations: 1240
Lambda: [ 0. 0.]
Seed: 1482112613.82665610
Objectives:
Name Value Optimum
f -35.2814 0
Variables (c - continuous, i - integer, d - discrete):
Name Type Value Lower Bound Upper Bound
x1 c -3.141593 -3.14e+00 3.14e+00
x2 c 3.141593 -3.14e+00 3.14e+00
Constraints (i - inequality, e - equality):
Name Type Bounds
g1 i -1.00e+21 <= 0.000000 <= 0.00e+00
g2 i -1.00e+21 <= 0.000000 <= 0.00e+00
--------------------------------------------------------------------------------
NSGA-II Solution to A trigonometric-hyperbolic-exponential function
================================================================================
Objective Function: objfunc
Solution:
--------------------------------------------------------------------------------
Total Time: 0.5331
Total Function Evaluations:
Objectives:
Name Value Optimum
f -35.2814 0
Variables (c - continuous, i - integer, d - discrete):
Name Type Value Lower Bound Upper Bound
x1 c 3.141593 -3.14e+00 3.14e+00
x2 c -3.141593 -3.14e+00 3.14e+00
Constraints (i - inequality, e - equality):
Name Type Bounds
g1 i -1.00e+21 <= 0.000000 <= 0.00e+00
g2 i -1.00e+21 <= 0.000000 <= 0.00e+00
--------------------------------------------------------------------------------
which shows a significant improvement compare to results of scipi.minimize.