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Optimization quick start (Python)

Julian Valentin edited this page Mar 15, 2019 · 1 revision

On this page, we look at an example application of the sgpp::optimization module. Versions of the example are given in all languages currently supported by SG++: C++, Python, Java, and MATLAB.

The example interpolates a bivariate test function with B-splines instead of piecewise linear basis functions to obtain a smoother interpolant. The resulting sparse grid function is then minimized with the method of steepest descent. For comparison, we also minimize the objective function with Nelder-Mead's method.

First, we import pysgpp and the required modules.

import pysgpp
import math
import sys

The function f0 to be minimized is called objective function and has to derive from pysgpp.OptScalarFunction. In the constructor, we give the dimensionality of the domain (in this case f1). The eval method evaluates the objective function and returns the function value f2 for a given point f3.

class ExampleFunction(pysgpp.OptScalarFunction):
    """Example objective function from the title of my Master's thesis."""
    def __init__(self):
        super(ExampleFunction, self).__init__(2)

    def eval(self, x):
        """Evaluates the function."""
        return math.sin(8.0 * x[0]) + math.sin(7.0 * x[1])

def printLine():
    print("----------------------------------------" + \
          "----------------------------------------")

We have to disable OpenMP within pysgpp since it interferes with SWIG's director feature.

pysgpp.omp_set_num_threads(1)

print("sgpp::optimization example program started.\n")
# increase verbosity of the output
pysgpp.OptPrinter.getInstance().setVerbosity(2)

Here, we define some parameters: objective function, dimensionality, B-spline degree, maximal number of grid points, and adaptivity.

# objective function
f = ExampleFunction()
# dimension of domain
d = f.getNumberOfParameters()
# B-spline degree
p = 3
# maximal number of grid points
N = 30
# adaptivity of grid generation
gamma = 0.95

First, we define a grid with modified B-spline basis functions and an iterative grid generator, which can generate the grid adaptively.

grid = pysgpp.Grid.createModBsplineGrid(d, p)
gridGen = pysgpp.OptIterativeGridGeneratorRitterNovak(f, grid, N, gamma)

With the iterative grid generator, we generate adaptively a sparse grid.

printLine()
print("Generating grid...\n")

if not gridGen.generate():
    print("Grid generation failed, exiting.")
    sys.exit(1)

Then, we hierarchize the function values to get hierarchical B-spline coefficients of the B-spline sparse grid interpolant f4.

printLine()
print("Hierarchizing...\n")
functionValues = gridGen.getFunctionValues()
coeffs = pysgpp.DataVector(len(functionValues))
hierSLE = pysgpp.OptHierarchisationSLE(grid)
sleSolver = pysgpp.OptAutoSLESolver()

# solve linear system
if not sleSolver.solve(hierSLE, gridGen.getFunctionValues(), coeffs):
    print("Solving failed, exiting.")
    sys.exit(1)

We define the interpolant f5 and its gradient f6 for use with the gradient method (steepest descent). Of course, one can also use other optimization algorithms from sgpp::optimization::optimizer.

printLine()
print("Optimizing smooth interpolant...\n")
ft = pysgpp.OptInterpolantScalarFunction(grid, coeffs)
ftGradient = pysgpp.OptInterpolantScalarFunctionGradient(grid, coeffs)
gradientDescent = pysgpp.OptGradientDescent(ft, ftGradient)
x0 = pysgpp.DataVector(d)

The gradient method needs a starting point. We use a point of our adaptively generated sparse grid as starting point. More specifically, we use the point with the smallest (most promising) function value and save it in x0.

gridStorage = gridGen.getGrid().getStorage()

# index of grid point with minimal function value
x0Index = 0
fX0 = functionValues[0]
for i in range(1, len(functionValues)):
    if functionValues[i] < fX0:
        fX0 = functionValues[i]
        x0Index = i

x0 = gridStorage.getCoordinates(gridStorage.getPoint(x0Index));
ftX0 = ft.eval(x0)

print("x0 = {}".format(x0))
print("f(x0) = {:.6g}, ft(x0) = {:.6g}\n".format(fX0, ftX0))

We apply the gradient method and print the results.

gradientDescent.setStartingPoint(x0)
gradientDescent.optimize()
xOpt = gradientDescent.getOptimalPoint()
ftXOpt = gradientDescent.getOptimalValue()
fXOpt = f.eval(xOpt)

print("\nxOpt = {}".format(xOpt))
print("f(xOpt) = {:.6g}, ft(xOpt) = {:.6g}\n".format(fXOpt, ftXOpt))

For comparison, we apply the classical gradient-free Nelder-Mead method directly to the objective function f7.

printLine()
print("Optimizing objective function (for comparison)...\n")
nelderMead = pysgpp.OptNelderMead(f, 1000)
nelderMead.optimize()
xOptNM = nelderMead.getOptimalPoint()
fXOptNM = nelderMead.getOptimalValue()
ftXOptNM = ft.eval(xOptNM)

print("\nxOptNM = {}".format(xOptNM))
print("f(xOptNM) = {:.6g}, ft(xOptNM) = {:.6g}\n".format(fXOptNM, ftXOptNM))

printLine()
print("\nsgpp::optimization example program terminated.")

The example program outputs the following results:

sgpp::optimization example program started.

--------------------------------------------------------------------------------
Generating grid...

Adaptive grid generation (Ritter-Novak)...
    100.0% (N = 29, k = 3)
Done in 3ms.
--------------------------------------------------------------------------------
Hierarchizing...

Solving linear system (automatic method)...
    estimated nnz ratio: 59.8% 
    Solving linear system (Armadillo)...
        constructing matrix (100.0%)
        nnz ratio: 58.0%
        solving with Armadillo
    Done in 0ms.
Done in 1ms.
--------------------------------------------------------------------------------
Optimizing smooth interpolant...

x0 = [0.625, 0.75]
f(x0) = -1.81786, ft(x0) = -1.81786

Optimizing (gradient method)...
    9 steps, f(x) = -2.000780
Done in 1ms.

xOpt = [0.589526, 0.673268]
f(xOpt) = -1.99999, ft(xOpt) = -2.00078

--------------------------------------------------------------------------------
Optimizing objective function (for comparison)...

Optimizing (Nelder-Mead)...
    280 steps, f(x) = -2.000000
Done in 2ms.

xOptNM = [0.589049, 0.673198]
f(xOptNM) = -2, ft(xOptNM) = -2.00077

--------------------------------------------------------------------------------

sgpp::optimization example program terminated.

We see that both the gradient-based optimization of the smooth sparse grid interpolant and the gradient-free optimization of the objective function find reasonable approximations of the minimum, which lies at f8.

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