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An interior-point method written in python for solving constrained and unconstrained nonlinear optimization problems.
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README.md

Python Interior-Point Method (PYIPM)

Python Interior-Point Method (PYIPM) is a class written in python for optimizing nonlinear programs of the form

min f(x) subject to {ce(x) = 0} and {ci(x) >= 0}
 x

where f is a function that is being minimized with respect to unknown weights x subject to sets of equality constraints, {ce}, and inequality constraints, {ci}. PYIPM uses a line search interior-point method to search for an x that is a feasible local minimizer of a user-defined nonlinear program.

Getting Started

The following instructions guide you through the necessary prerequisites and installation of the code.

Prerequisites

Using PYIPM requires either a python 2.7 or python 3 interpreter. In addition to having python installed, the following packages are required:

NumPy, SciPy, Theano

Theano is used to speed up the code execution through parallelization and compilations of certain functions used in PYIPM. Furthermore, Theano makes it possible to perform many of largest steps in the algorithm on graphics processing units (GPUs). For information on using the GPUs, see the Theano documentation at http://deeplearning.net/software/theano/.

All of the above required packages may be installed through pip.

Optional prerequisites include linear algebra backends that run on CPUs:

Intel MKL, OpenBLAS, ATLAS, or BLAS/LAPACK

and GPU backends:

Nvidia's CUDA or OpenCL

Installation

To install PYIPM, download pyipm.py and simply move the file to your preferred directory. To make sure that python is able to find pyipm.py, make sure that the folder that contains pyipm.py is on your PYTHONPATH.

In the future, the installation will be formalized with a setup.py file.

Importing PYIPM

PYIPM may be imported into your own programs via

import pyipm

The entirety of the interior-point method is contained in the class IPM (in fact this is the only content of pyipm.py except for the example problems in the main function). Therefore, you may prefer to just import class itself:

from pyipm import IPM

Trying PYIPM

After satisfying the prerequisites and installing PYIPM, you can try the code by running the example problems that appear in the 'main' function in pyipm.py. The problems are an assortment of unconstrained and constrained optimization problems featuring equality constraints, inequality constraints, and both types of constraints. There are a total of 10 example problems that may be run by choosing an integer in 1 through 10 and passing that integer as a command line argument like so:

python pyipm.py 7

which will execute the 7th problem. If you run this exact line, you should see something like:

maximize f(x,y,z) = x*y*z subject to x+y+z = 1, x >= 0, y >= 0, z >= 0

Searching for a feasible local minimizer using the exact Hessian.
OUTER ITERATION 1
* INNER ITERATION 1
* INNER ITERATION 2
* INNER ITERATION 3
OUTER ITERATION 2
* INNER ITERATION 1
* INNER ITERATION 2
* INNER ITERATION 3
Converged to Ktol tolerance after 1 outer iteration and 3 inner iterations (6 total).

Ground truth: [x, y, z] = [0.333333333333, 0.333333333333, 0.333333333333]
Solver solution: [x, y, z] = [0.333333127815, 0.333332812448, 0.333334059737]
Slack variables: s = [0.333333127815, 0.333332812448, 0.333334059737]
Lagrange multipliers: lda = [-0.111112107809, 3.44469534696e-07, 9.09227565123e-08, 2.38490989435e-06]
f(x,y,z) = 0.0370370370369
Karush-Kuhn-Tucker conditions (up to a sign):
[array([  5.8372e-07,   7.3215e-07,  -1.1461e-06]), array([  1.0917e-07,   2.4654e-08,   7.8932e-07]), array([ 0.]), array([ 0.,  0.,  0.])]

Note that the solver has succeeded in attaining a feasible local minimum if you compare the 'Ground truth' line to the 'Solver solution' line.

These example problems can also be used as a guide to construct your own problems which may be helpful if you are unfamiliar with Theano.

Building and solving your own problems

The basics of writing your own problem statements are to define the objective function, f, the equality constraints function, ce, and the inequality constraints function, ci, as symbolic expressions that depend on the Theano tensor variable, x_dev. The tensor variable x_dev is the symbolic input to all of the aforementioned functions that represents the weights, x.

The symbolic expression for f should result in a scalar output while the symbolic expressions for ce and ci should return one-dimensional arrays equal to the number of equality and inequality constraints, respectively. Once these symbolic expressions are constructed, they need not be compiled into functions (in fact, doing so at this point would cause pyipm.py to raise errors). You can then initialize the class by assigning IPM to a variable, say, problem, with the following keyword arguments:

problem = pyipm.IPM(x0=x0, x_dev=x_dev, f=f, ce=ce, ci=ci)

where the one-dimensional NumPy array x0 is a weight initialization (which can be omitted until later).

At this point, you are now ready to solve the problem. To do this, call the class function solve():

x, s, lda, fval, kkt = problem.solve(x0=x0)

where the weight initialization x0 must be set here if it had not been set during initialization of the problem. The outputs of solve() are:

x = the best solution found for the weights (NumPy array) s = the slack variables (NumPy array; empty if there are no inequality constraints) lda = the Lagrange multipliers (NumPy array; empty if there are no constraints) fval = the function value of the objective function at x (scalar) kkt = the Karush-Kuhn-Tucker (KKT) conditions (length 4 list of NumPy arrays)

The reason why compiling f, ce, and ci would cause errors in this case is because PYIPM uses Theano's symbolic differentation functionality to generate expressions for the gradients, df, dce, and dci, and, if the exact Hessian is being used, the Hessians, d2f, d2ce, and d2ci. Unfortunately, once these expressions are compiled, they cannot be used for symbolic differentiation. That is not to say, however, that you cannot use theano.function() to precompile your expressions into functions. You can do that at your own convenience so long as you provide your own symbolic expressions or functions for df, dce, and dci and, if applicable, d2f, d2ce, and d2ci. It is worth pointing out, however, that PYIPM does much more than just automatic differentiation (through Theano) and compiling your expressions; PYIPM also organizes these inputs into an overall gradient and Hessian. To take full advantage of PYIPM for larger problems, it is best to provide PYIPM with expressions such that it can construct and compile the symbolic expressions into the gradient and Hessian function. Otherwise, PYIPM will still build the gradient and Hessian using anonymous functions which may be less efficient.

As implied in the prior paragraph, PYIPM can either use the exact Hessian in its calculation or a quasi-Newton method known as the Limited-memory Broyden-Fletcher-Goldfarb-Shanno (L-BFGS) algorithm. Since the Hessian grows as (D+M+N)^2 where D is the number of weights, M is the number of equality constraints, and N is the number of inequality constraints, computing the exact Hessian may be impractical in large scale applications. The L-BFGS algorithm allows you to avoid this difficulty by having PYIPM replace the calculation of the Hessian instead with a low-dimensional approximation of the Hessian. This can be done by setting the lbfgs parameter to an integer greater than zero that corresponds to the number of D-dimensional vectors to store from the most recent iterations of the interior-point algorithm. This can be applied when initializing the problem; e.g. to store 4 iterations:

problem = pyipm.IPM(x0=x0, x_dev=x_dev, f=f, ce=ce, ci=ci,
lbfgs=4)

To use the exact Hessian, either do not set the lbfgs parameter or set it to 0 or False.

For a more thorough guide to the parameters and public class functions, see the docstring of class IPM in pyipm.py. For more information about how to build and compile expressions, see the Theano documentation at http://deeplearning.net/software/theano/.

Contributing, help, bug reporting, etc.

For help, comments, suggestions, bug reports, or if you are interested in contributing, please feel free to leave a message at https://github.com/jkaardal/pyipm.

Thank you for your interest!

Authors

Joel T. Kaardal (https://github.com/jkaardal)

References

[1] Nocedal J & Wright SJ, 'Numerical Optimization', 2nd Ed. Springer (2006).

[2] Byrd RH, Nocedal J, & Schnabel RB, 'Representations of quasi-Newton matrices and their use in limited memory methods', Mathematical programming, 63(1), 129-156 (1994),

[3] Wachter A & Biegler LT, 'On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming', Mathematical programming, 106(1), 25-57 (2006).

License

This project is licensed under the MIT License (see LICENSE.md for details).

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