DFOLS.jl

Author QuantEcon
Popularity
2 Stars
Updated Last
2 Years Ago
Started In
December 2018

DFOLS

Build Status

A light wrapper around the DFO-LS (Derivative-Free Optimizer for Least-Squares Minimization) Python package written by the Numerical Algorithms Group at Oxford University. See here for the paper and the github repository.

TOC

  1. Installation
  2. Usage
  3. Constraints and Stochastic Objectives
  4. Advanced Usage

Note: This package is GPL3 licensed, to comply with the underlying Python.

Installation

Simply run

] add DFOLS

Note: The build script assumes that $(PyCall.pyprogramname) pip is a valid command. This is automatically true on Windows and macOS, but needs to be verified on Linux (i.e., make sure it isn't pip3, or python-pip3, or something). You can do this by aliasing pip=pip3 or setting up a symbolic link pip -> pip3.

Usage

We define a type DFOLSResults to store the solver output.

struct DFOLSResults{TI, TF}
    x::Array{TF, 1}
    resid::Array{TF, 1}
    f::TF
    jacobian::Union{Nothing, Matrix{TF}} # jacobian is nothing if convergence is immediate
    nf::TI
    nx::TI # differs from nf if sample averaging is used
    nruns::TI # > 1 if multiple restarts
    flag::TI
    msg::String
    EXIT_SUCCESS::TI
    EXIT_MAXFUN_WARNING::TI
    EXIT_SLOW_WARNING::TI
    EXIT_FALSE_SUCCESS_WARNING::TI
    EXIT_INPUT_ERROR::TI
    EXIT_TR_INCREASE_ERROR::TI
    EXIT_LINALG_ERROR::TI
end

And we define a set of convenience functions to interact with it

converged, optimizer, optimum, residuals, jacobian, nf, nruns, nx, flag, msg

You can run the solver by calling the solve function, as below

rosenbrock = x -> [10. * (x[2]-x[1]^2), 1. - x[1]]
sol = solve(rosenbrock, [-1.2, 1.])

Options for solve include

function solve(objfun, x0::Array{TF, 1};
                bounds = nothing,
                npt = nothing,
                rhobeg = nothing,
                rhoend = 1e-8,
                maxfun = nothing,
                nsamples = nothing,
                user_params = nothing, # see https://numericalalgorithmsgroup.github.io/dfols/build/html/advanced.html
                objfun_has_noise = false,
                scaling_within_bounds = false) where {TF <: AbstractFloat}

Constraints and Stochastic Objectives

You can impose constraints on the solution space

solve(rosenbrock, x0, bounds = ([-5., -5.], [5., 5.])) # two-sided box
solve(rosenbrock, x0, bounds = ([-5., -5.], nothing)) # one-sided constraint

And note that the objective is stochastic

σ = 0.01
μ = 1.
rosenbrock_noisy = x -> rosenbrock(x) .* (μ .+ σ*randn(2))
solve(rosenbrock_noisy, x0, objfun_has_noise=true)

Note: The solver will determine the stochasticity of the objective only by examining the objfun_has_noise flag, and not by looking at the actual function supplied.

Advanced Usage

The user_params should be a Julia dict (see here for valid key, value pairs). For example:

solve(rosenbrock, x0, user_params = Dict("init.random_initial_directions" => false,
                                        "model.abs_tol" => 1e-20,
                                        "noise.quit_on_noise_level" => false))

Used By Packages

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