Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
- Loading branch information
Showing
9 changed files
with
254 additions
and
4 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,7 @@ | ||
Optimize | ||
======== | ||
|
||
.. toctree:: | ||
:maxdepth: 2 | ||
|
||
optimize/scalar_maximization |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,7 @@ | ||
scalar_maximization | ||
=================== | ||
|
||
.. automodule:: quantecon.optimize.scalar_maximization | ||
:members: | ||
:undoc-members: | ||
:show-inheritance: |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,6 @@ | ||
""" | ||
Initialization of the optimize subpackage | ||
""" | ||
|
||
from .scalar_maximization import brent_max | ||
|
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,144 @@ | ||
import numpy as np | ||
from numba import jit, njit | ||
|
||
@njit | ||
def brent_max(func, a, b, args=(), xtol=1e-5, maxiter=500): | ||
""" | ||
Uses a jitted version of the maximization routine from SciPy's fminbound. | ||
The algorithm is identical except that it's been switched to maximization | ||
rather than minimization, and the tests for convergence have been stripped | ||
out to allow for jit compilation. | ||
Note that the input function `func` must be jitted or the call will fail. | ||
Parameters | ||
---------- | ||
func : jitted function | ||
a : scalar | ||
Lower bound for search | ||
b : scalar | ||
Upper bound for search | ||
args : tuple, optional | ||
Extra arguments passed to the objective function. | ||
maxiter : int, optional | ||
Maximum number of iterations to perform. | ||
xtol : float, optional | ||
Absolute error in solution `xopt` acceptable for convergence. | ||
Returns | ||
------- | ||
xf : float | ||
The maximizer | ||
fval : float | ||
The maximum value attained | ||
info : tuple | ||
A tuple of the form (status_flag, num_iter). Here status_flag | ||
indicates whether or not the maximum number of function calls was | ||
attained. A value of 0 implies that the maximum was not hit. | ||
The value `num_iter` is the number of function calls. | ||
Example | ||
------- | ||
``` | ||
@njit | ||
def f(x): | ||
return -(x + 2.0)**2 + 1.0 | ||
xf, fval, info = maximize_scalar(f, -2, 2) | ||
``` | ||
""" | ||
|
||
maxfun = maxiter | ||
status_flag = 0 | ||
|
||
sqrt_eps = np.sqrt(2.2e-16) | ||
golden_mean = 0.5 * (3.0 - np.sqrt(5.0)) | ||
|
||
fulc = a + golden_mean * (b - a) | ||
nfc, xf = fulc, fulc | ||
rat = e = 0.0 | ||
x = xf | ||
fx = -func(x, *args) | ||
num = 1 | ||
|
||
ffulc = fnfc = fx | ||
xm = 0.5 * (a + b) | ||
tol1 = sqrt_eps * np.abs(xf) + xtol / 3.0 | ||
tol2 = 2.0 * tol1 | ||
|
||
while (np.abs(xf - xm) > (tol2 - 0.5 * (b - a))): | ||
golden = 1 | ||
# Check for parabolic fit | ||
if np.abs(e) > tol1: | ||
golden = 0 | ||
r = (xf - nfc) * (fx - ffulc) | ||
q = (xf - fulc) * (fx - fnfc) | ||
p = (xf - fulc) * q - (xf - nfc) * r | ||
q = 2.0 * (q - r) | ||
if q > 0.0: | ||
p = -p | ||
q = np.abs(q) | ||
r = e | ||
e = rat | ||
|
||
# Check for acceptability of parabola | ||
if ((np.abs(p) < np.abs(0.5*q*r)) and (p > q*(a - xf)) and | ||
(p < q * (b - xf))): | ||
rat = (p + 0.0) / q | ||
x = xf + rat | ||
|
||
if ((x - a) < tol2) or ((b - x) < tol2): | ||
si = np.sign(xm - xf) + ((xm - xf) == 0) | ||
rat = tol1 * si | ||
else: # do a golden section step | ||
golden = 1 | ||
|
||
if golden: # Do a golden-section step | ||
if xf >= xm: | ||
e = a - xf | ||
else: | ||
e = b - xf | ||
rat = golden_mean*e | ||
|
||
if rat == 0: | ||
si = np.sign(rat) + 1 | ||
else: | ||
si = np.sign(rat) | ||
|
||
x = xf + si * np.maximum(np.abs(rat), tol1) | ||
fu = -func(x, *args) | ||
num += 1 | ||
|
||
if fu <= fx: | ||
if x >= xf: | ||
a = xf | ||
else: | ||
b = xf | ||
fulc, ffulc = nfc, fnfc | ||
nfc, fnfc = xf, fx | ||
xf, fx = x, fu | ||
else: | ||
if x < xf: | ||
a = x | ||
else: | ||
b = x | ||
if (fu <= fnfc) or (nfc == xf): | ||
fulc, ffulc = nfc, fnfc | ||
nfc, fnfc = x, fu | ||
elif (fu <= ffulc) or (fulc == xf) or (fulc == nfc): | ||
fulc, ffulc = x, fu | ||
|
||
xm = 0.5 * (a + b) | ||
tol1 = sqrt_eps * np.abs(xf) + xtol / 3.0 | ||
tol2 = 2.0 * tol1 | ||
|
||
if num >= maxfun: | ||
status_flag = 1 | ||
break | ||
|
||
fval = -fx | ||
info = status_flag, num | ||
|
||
return xf, fval, info |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,58 @@ | ||
""" | ||
Tests for scalar maximization. | ||
""" | ||
import numpy as np | ||
from numpy.testing import assert_almost_equal | ||
from numba import njit | ||
|
||
from quantecon.optimize import brent_max | ||
|
||
@njit | ||
def f(x): | ||
""" | ||
A function for testing on. | ||
""" | ||
return -(x + 2.0)**2 + 1.0 | ||
|
||
def test_brent_max(): | ||
""" | ||
Uses the function f defined above to test the scalar maximization | ||
routine. | ||
""" | ||
true_fval = 1.0 | ||
true_xf = -2.0 | ||
xf, fval, info = brent_max(f, -2, 2) | ||
assert_almost_equal(true_fval, fval, decimal=4) | ||
assert_almost_equal(true_xf, xf, decimal=4) | ||
|
||
@njit | ||
def g(x, y): | ||
""" | ||
A multivariate function for testing on. | ||
""" | ||
return -x**2 + y | ||
|
||
def test_brent_max(): | ||
""" | ||
Uses the function f defined above to test the scalar maximization | ||
routine. | ||
""" | ||
y = 5 | ||
true_fval = 5.0 | ||
true_xf = -0.0 | ||
xf, fval, info = brent_max(g, -10, 10, args=(y,)) | ||
assert_almost_equal(true_fval, fval, decimal=4) | ||
assert_almost_equal(true_xf, xf, decimal=4) | ||
|
||
|
||
if __name__ == '__main__': | ||
import sys | ||
import nose | ||
|
||
argv = sys.argv[:] | ||
argv.append('--verbose') | ||
argv.append('--nocapture') | ||
nose.main(argv=argv, defaultTest=__file__) | ||
|
||
|
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -1,4 +1,4 @@ | ||
""" | ||
This is a VERSION file and should NOT be manually altered | ||
""" | ||
version = '0.3.7' | ||
version = '0.3.8' |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters