Merge pull request #25 from fides-dev/develop

Release 0.3.1

fides/constants.py

@@ -85,6 +85,7 @@ class ExitFlag(int, enum.Enum):
     MAXTIME = -2  #: Expected to reach maximum allowed time in next iteration
     NOT_FINITE = -3  #: Encountered non-finite fval/grad/hess
     EXCEEDED_BOUNDARY = -4  #: Exceeded specified boundaries
+    DELTA_TOO_SMALL = -5  #: Trust Region Radius too small to proceed
     FTOL = 1  #: Converged according to fval difference
     XTOL = 2  #: Converged according to x difference
     GTOL = 3  #: Converged according to gradient norm

fides/hessian_approximation.py

@@ -9,6 +9,7 @@
 
 from typing import Optional
 import numpy as np
+from numpy.linalg import norm
 
 
 class HessianApproximation:
@@ -73,7 +74,11 @@ class SR1(HessianApproximation):
     """
     def update(self, s, y):
         z = y - self._hess.dot(s)
-        self._hess += np.outer(z, z.T)/z.T.dot(s)
+        d = z.T.dot(s)
+
+        # [NocedalWright2006] (6.26) reject if update degenerate
+        if np.abs(d) >= 1e-8 * norm(s) * norm(z):
+            self._hess += np.outer(z, z.T)/d
 
 
 class BFGS(HessianApproximation):
@@ -136,7 +141,7 @@ def __init__(self,
 
     def init_mat(self, dim: int):
         if self.switch_iteration is None:
-            self.switch_iteration = 5*dim
+            self.switch_iteration = 2*dim
         self.hessian_update.init_mat(dim)
 
     def update(self, s, y):

fides/minimize.py

@@ -235,7 +235,7 @@ def minimize(self, x0: np.ndarray):
             step = \
                 trust_region(
                     self.x, self.grad, self.hess, scaling,
-                    self.delta, dv, theta, self.lb, self.ub,
+                    self.delta_iter, dv, theta, self.lb, self.ub,
                     subspace_dim=self.get_option(Options.SUBSPACE_DIM),
                     stepback_strategy=self.get_option(Options.STEPBACK_STRAT),
                     refine_stepback=self.get_option(Options.REFINE_STEPBACK),
@@ -359,7 +359,7 @@ def update_tr_radius(self,
             qpval = 0.5 * stepsx.dot(dv * np.abs(grad) * stepsx)
             self.tr_ratio = (fval + qpval - self.fval) / step.qpval
 
-            interior_solution = nsx < self.delta * 0.9
+            interior_solution = nsx < self.delta_iter * 0.9
 
             # values as proposed in algorithm 4.1 in Nocedal & Wright
             if self.tr_ratio >= self.get_option(Options.ETA) \
@@ -395,7 +395,8 @@ def check_convergence(self, fval, x, grad) -> None:
         grtol = self.get_option(Options.GRTOL)
         gnorm = norm(grad)
 
-        if np.isclose(fval, self.fval, atol=fatol, rtol=frtol):
+        if self.delta <= self.delta_iter and \
+                np.abs(fval - self.fval) < fatol + frtol*np.abs(self.fval):
             self.exitflag = ExitFlag.FTOL
             self.logger.warning(
                 'Stopping as function difference '
@@ -404,11 +405,13 @@ def check_convergence(self, fval, x, grad) -> None:
             )
             converged = True
 
-        elif np.isclose(x, self.x, atol=xatol, rtol=xrtol).all():
+        elif self.tr_ratio > 0.0 \
+                and norm(x - self.x) < xatol + xrtol*norm(self.x):
             self.exitflag = ExitFlag.XTOL
             self.logger.warning(
-                'Stopping as step was smaller than specified tolerances ('
-                f'atol={xatol:.2E}, rtol={xrtol:.2E})'
+                'Stopping as norm of step '
+                f'{norm(x - self.x)} was smaller than specified '
+                f'tolerances (atol={xatol:.2E}, rtol={xrtol:.2E})'
             )
             converged = True
 
@@ -463,6 +466,15 @@ def check_continue(self) -> bool:
             )
             return False
 
+        if self.delta < np.spacing(1):
+            self.exitflag = ExitFlag.DELTA_TOO_SMALL
+            self.logger.warning(
+                f'Stopping as trust region radius {self.delta:.2E} is '
+                f'smaller '
+                'than machine precision.'
+            )
+            return False
+
         return True
 
     def make_non_degenerate(self, eps=1e2 * np.spacing(1)) -> None:

fides/version.py

@@ -1 +1 @@
-__version__ = "0.3.0"
+__version__ = "0.3.1"