initial commit

.gitignore

@@ -0,0 +1,107 @@
+# remove .DS_Store from the fucking planet
+.DS_Store
+
+# ignore PyCharm stuff
+.idea/
+
+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
+
+# C extensions
+*.so
+
+# Distribution / packaging
+.Python
+env/
+build/
+develop-eggs/
+dist/
+downloads/
+eggs/
+.eggs/
+lib/
+lib64/
+parts/
+sdist/
+var/
+wheels/
+*.egg-info/
+.installed.cfg
+*.egg
+
+# PyInstaller
+#  Usually these files are written by a python script from a template
+#  before PyInstaller builds the exe, so as to inject date/other infos into it.
+*.manifest
+*.spec
+
+# Installer logs
+pip-log.txt
+pip-delete-this-directory.txt
+
+# Unit test / coverage reports
+htmlcov/
+.tox/
+.coverage
+.coverage.*
+.cache
+nosetests.xml
+coverage.xml
+*.cover
+.hypothesis/
+
+# Translations
+*.mo
+*.pot
+
+# Django stuff:
+*.log
+local_settings.py
+
+# Flask stuff:
+instance/
+.webassets-cache
+
+# Scrapy stuff:
+.scrapy
+
+# Sphinx documentation
+docs/_build/
+
+# PyBuilder
+target/
+
+# Jupyter Notebook
+.ipynb_checkpoints
+
+# pyenv
+.python-version
+
+# celery beat schedule file
+celerybeat-schedule
+
+# SageMath parsed files
+*.sage.py
+
+# dotenv
+.env
+
+# virtualenv
+.venv
+venv/
+ENV/
+
+# Spyder project settings
+.spyderproject
+.spyproject
+
+# Rope project settings
+.ropeproject
+
+# mkdocs documentation
+/site
+
+# mypy
+.mypy_cache/

LICENSE

@@ -0,0 +1,29 @@
+BSD 3-Clause License
+
+Copyright (c) 2018, Sycorax
+All rights reserved.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are met:
+
+* Redistributions of source code must retain the above copyright notice, this
+  list of conditions and the following disclaimer.
+
+* Redistributions in binary form must reproduce the above copyright notice,
+  this list of conditions and the following disclaimer in the documentation
+  and/or other materials provided with the distribution.
+
+* Neither the name of the copyright holder nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
+FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
+DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
+SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
+CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
+OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

README.md

@@ -0,0 +1,6 @@
+# LIPO
+Global optimization of Lipschitz functions
+
+## References
+Cédric Malherbe and Nicolas Vayatis, "Global optimization of Lipschitz functions"
+https://arxiv.org/abs/1703.02628

lipo/lipo.py

@@ -0,0 +1,74 @@
+#!/usr/bin/python3
+# -*- coding: utf-8 -*-
+# Author: David J. Elkind
+# Creation date: 2018-02-17 (YYYY-MM-DD)
+
+"""
+An implementation of
+
+Cédric Malherbe and Nicolas Vayatis, "Global optimization of Lipschitz functions"
+https://arxiv.org/abs/1703.02628
+
+with some experimental modifications also implemented.
+"""
+
+from __future__ import division
+
+import numpy as np
+import os
+
+
+class LIPO(object):
+  def __init__(self, objective_functon, bounding_box, acquisition_function, stan_surrogate_model_path):
+    """
+
+    :param objective_functon: function object - the function under minimization; must return a float
+    :param bounding_box: iterable containing the max and min for each dimension. Order of max and min is irrelevant,
+     but all outputs depend on the order in which the dimensions are supplied.
+     For example, suppose you want a bounding box on (Z x Y) = [2, -2] x [-5, 5]. You could supply
+       [(2,-2),(-5,5)] or
+       [[-2,2],[5,-5]] or
+       np.array([[2,-2],[5,-5])
+     or similar as each of these will be iterated in the order of first [-2,2], and second [-5,5].
+    :param acquisition_function: string - string must be in {"PI", "EQI", "EI", "UCB"}
+      PI - probability of improvement
+      EQI - expected quantile improvement
+      EI - expected improvement
+      UCB - upper confidence bound
+    :param stan_surrogate_model_path:
+    """
+    self._obj_fn = objective_functon
+    self.bounding_box = bounding_box
+    self.acquisition_function = acquisition_function
+
+    try:
+      with open(stan_surrogate_model_path) as f:
+        self._model_str = f.read()
+    except FileNotFoundError:
+      load_path = os.path.join(os.path.abspath(os.path.dirname(__file__)), stan_surrogate_model_path)
+      with open(load_path) as f:
+        self._model_str = f.read()
+
+  @property
+  def obj_fn(self):
+    return self._obj_fn
+
+  @property
+  def model_str(self):
+    return self._model_str
+
+  def fit(self):
+    return
+
+
+if __name__ == "__main__":
+  def gramacy_lee_2012(x):
+    if not (0.5 < x < 2.5):
+      raise ValueError("provided value of x not in [0.5, 2.5].")
+    y = np.sin(10.0 * np.pi * x)
+    y /= 2 * x
+    y += np.power(x - 1.0, 4.0)
+    return y
+
+
+  pass