feat: least-squares iterator

queens/iterators/__init__.py

@@ -26,8 +26,8 @@
 from queens.iterators.elementary_effects_iterator import ElementaryEffectsIterator
 from queens.iterators.grid_iterator import GridIterator
 from queens.iterators.hmc_iterator import HMCIterator
+from queens.iterators.least_squares_iterator import LeastSquaresIterator
 from queens.iterators.lhs_iterator import LHSIterator
-from queens.iterators.lm_iterator import LMIterator
 from queens.iterators.metropolis_hastings_iterator import MetropolisHastingsIterator
 from queens.iterators.metropolis_hastings_pymc_iterator import MetropolisHastingsPyMCIterator
 from queens.iterators.monte_carlo_iterator import MonteCarloIterator
@@ -61,7 +61,7 @@
     "points": PointsIterator,
     "bmfmc": BMFMCIterator,
     "grid": GridIterator,
-    "lm": LMIterator,
+    "least_squares": LeastSquaresIterator,
     "bbvi": BBVIIterator,
     "bmfia": BMFIAIterator,
     "rpvi": RPVIIterator,

queens/iterators/least_squares_iterator.py

@@ -0,0 +1,145 @@
+#
+# SPDX-License-Identifier: LGPL-3.0-or-later
+# Copyright (c) 2024-2025, QUEENS contributors.
+#
+# This file is part of QUEENS.
+#
+# QUEENS is free software: you can redistribute it and/or modify it under the terms of the GNU
+# Lesser General Public License as published by the Free Software Foundation, either version 3 of
+# the License, or (at your option) any later version. QUEENS is distributed in the hope that it will
+# be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+# FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License for more details. You
+# should have received a copy of the GNU Lesser General Public License along with QUEENS. If not,
+# see <https://www.gnu.org/licenses/>.
+#
+"""Least squares iterator."""
+
+import logging
+
+import numpy as np
+from scipy.optimize import Bounds, least_squares
+
+from queens.iterators.optimization_iterator import OptimizationIterator
+from queens.utils.logger_settings import log_init_args
+
+_logger = logging.getLogger(__name__)
+
+
+class LeastSquaresIterator(OptimizationIterator):
+    """Iterator for least-squares optimization.
+
+    Based on the *scipy.optimize.least_squares* optimization toolbox [1].
+
+    References:
+        [1]: https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.least_squares.html
+
+    Attributes:
+        algorithm (str): Algorithm to perform minimization:
+
+                         - trf : Trust Region Reflective algorithm, particularly suitable for large
+                                 sparse problems with bounds. Generally robust method.
+
+                         - dogbox : dogleg algorithm with rectangular trust regions, typical use
+                                    case is small problems with bounds. Not recommended for problems
+                                    with rank-deficient Jacobian.
+                         - lm : Levenberg-Marquardt algorithm as implemented in MINPACK. Doesn’t
+                                handle bounds and sparse Jacobians. Usually the most  efficient
+                                method for small unconstrained problems.
+    """
+
+    @log_init_args
+    def __init__(
+        self,
+        model,
+        parameters,
+        global_settings,
+        initial_guess,
+        result_description,
+        verbose_output=False,
+        bounds=Bounds(lb=-np.inf, ub=np.inf),
+        max_feval=None,
+        algorithm="lm",
+        jac_method="2-point",
+        jac_rel_step=None,
+        objective_and_jacobian=True,
+    ):
+        """Initialize LeastSquaresIterator.
+
+        Args:
+            model (Model): Model to be evaluated by iterator
+            parameters (Parameters): Parameters object
+            global_settings (GlobalSettings): settings of the QUEENS experiment including its name
+                                              and the output directory
+            initial_guess (array like): initial position at which the optimization starts
+            result_description (dict): Description of desired post-processing.
+            verbose_output (int): Integer encoding which kind of verbose information should be
+                                  printed by the optimizers.
+            bounds (sequence, Bounds): Bounds on variables for Nelder-Mead, L-BFGS-B, TNC, SLSQP,
+                                       Powell, and trust-constr methods.
+                                       There are two ways to specify the bounds:
+
+                                       1. Instance of `Bounds` class.
+                                       2. A sequence with 2 elements. The first element corresponds
+                                       to a sequence of lower bounds and the second element to
+                                       sequence of upper bounds. The length of each of the two
+                                       subsequences must be equal to the number of variables.
+            max_feval (int): Maximum number of function evaluations.
+            algorithm (str): Algorithm to perform minimization:
+
+                             - trf : Trust Region Reflective algorithm, particularly suitable for
+                                       large sparse problems with bounds. Generally robust method.
+
+                             - dogbox : dogleg algorithm with rectangular trust regions, typical use
+                                        case is small problems with bounds. Not recommended for
+                                        problems with rank-deficient Jacobian.
+                             - lm : Levenberg-Marquardt algorithm as implemented in MINPACK.
+                                    Doesn’t handle bounds and sparse Jacobians. Usually the most
+                                    efficient method for small unconstrained problems.
+            jac_method (str): Method to calculate a finite difference based approximation of the
+                              Jacobian matrix:
+
+                              - '2-point': a one-sided scheme by definition
+                              - '3-point': more exact but needs twice as many function evaluations
+            jac_rel_step (array_like): Relative step size to use for finite difference approximation
+                                       of Jacobian matrix. If None (default) then it is selected
+                                       automatically. (see SciPy documentation for details)
+            objective_and_jacobian (bool, opt): If true, every time the objective is evaluated also
+                                                the jacobian is evaluated. This leads to improved
+                                                batching, but can lead to unnecessary evaluations of
+                                                the jacobian during line-search.
+                                                Default for is true.
+        """
+        super().__init__(
+            model=model,
+            parameters=parameters,
+            global_settings=global_settings,
+            initial_guess=initial_guess,
+            result_description=result_description,
+            verbose_output=verbose_output,
+            bounds=bounds,
+            max_feval=max_feval,
+            algorithm=algorithm,
+            jac_method=jac_method,
+            jac_rel_step=jac_rel_step,
+            objective_and_jacobian=objective_and_jacobian,
+        )
+        self.algorithm = algorithm  # We don't want algorithm.upper() here
+
+    def core_run(self):
+        """Core run of Optimization iterator."""
+        self.solution = least_squares(
+            self.objective,
+            self.initial_guess,
+            method=self.algorithm,
+            jac=self.jacobian,
+            bounds=self.bounds,
+            max_nfev=self.max_feval,
+            verbose=int(self.verbose_output),
+        )
+
+    def post_run(self):
+        """Analyze the resulting optimum."""
+        _logger.info("Optimality:\n\t%s", self.solution.optimality)
+        _logger.info("Cost:\n\t%s", self.solution.cost)
+
+        super().post_run()