0.5.10 release; improvements to line search

Author: yoelcortes

flexsolve/__init__.py

@@ -35,4 +35,4 @@
 from .problem import *
 from .profiler import *
 
-__version__ = '0.5.9'
+__version__ = '0.5.10'

flexsolve/line_search.py

@@ -3,77 +3,77 @@
 Line search utilities for simultaneous correction methods.
 
 """
-from scipy.optimize import fminbound
+import numpy as np
+from typing import NamedTuple
 
-__all__ = ('exact_line_search', 'inexact_line_search')
+__all__ = ('inexact_line_search', 'LineSearchResult')
 
-def exact_line_search(f, x, correction, t0=1e-9, t1=2, ttol=1e-6, maxiter=20,
-                      full_output=True):
-    return fminbound(
-        lambda t: f(x + t * correction),
-        x1=t0,
-        x2=t1,
-        xtol=ttol,
-        maxfun=maxiter,
-        full_output=full_output,
-    )
+
+class LineSearchResult(NamedTuple):
+    t: float
+    x: np.ndarray
+    f: float
+
+
+# def exact_line_search(f, x, correction, t0=1e-9, t1=2, ttol=1e-6, maxiter=20,
+#                       full_output=True):
+#     return fminbound(
+#         lambda t: f(x + t * correction),
+#         x1=t0,
+#         x2=t1,
+#         xtol=ttol,
+#         maxfun=maxiter,
+#         full_output=full_output,
+#     )
 
 def inexact_line_search(
-        f, x, correction, t0=1e-6, t1=2, ttol=1e-3, maxiter=100,
+        f, x, correction, t0=1e-6, t1=1.1, ttol=1e-3, maxiter=10,
         fx=None, tguess=None, rho=0.618,
     ):
     # Find t such that f(x + t * correction) - fx < 0
-    if tguess is None or not t0 < tguess < t1:
-        tguess = 0.5 * (t1 + t0)
-        fx = None
-    if fx is None: 
-        fx = f(x)
+    if tguess is None or not t0 < tguess < t1: tguess = 0.5 * (t1 + t0)
+    if fx is None: fx = f(x)
+    x0 = x + t0 * correction
+    ft0 = f(x0)
     x1 = x + t1 * correction
     ft1 = f(x1)
     if ft1 > fx:
         xguess = x + tguess * correction
         ftguess = f(xguess)
-        if ftguess > fx:
+        if ft1 > ft0:
+            best = LineSearchResult(t0, x0, ft0)
             for i in range(maxiter):
                 t = rho * tguess + (1 - rho) * t0
                 xt = x + t * correction
                 ft = f(xt)
-                if ft < fx: return t, xt, ft
+                if ft < best.f: best = LineSearchResult(t, xt, ft)
                 if abs(t - tguess) < ttol: break
                 tguess = t
-            x0 = x + t0 * correction
-            ft0 = f(x0)
-            if ft0 >= fx:
-                raise ValueError(
-                    'line search could not find improvement over reference point'
-                )
-            return t0, x0, ft0
         else:
+            best = LineSearchResult(tguess, xguess, ftguess)
             for i in range(maxiter):
                 t = (1 - rho) * tguess + rho * t1
                 xt = x + t * correction
                 ft = f(xt)
-                if ft < ftguess: return t, xt, ft
+                if ft < ftguess: best = LineSearchResult(t, xt, ft)
                 if abs(t - tguess) < ttol: break
                 t1 = t
-            xguess = x + tguess * correction
-            ftguess = f(xguess)
-            return tguess, xguess, ftguess
     else:
         xguess = x + tguess * correction
         ftguess = f(xguess)
         if ftguess < ft1:
             tnext = tguess
+            best = LineSearchResult(tguess, xguess, ftguess)
             for i in range(maxiter):
                 t = (1 - rho) * tnext + rho * t1
                 xt = x + t * correction
                 ft = f(xt)
-                if ft < ftguess: return t, xt, ft
+                if ft < best.f: best = LineSearchResult(t, xt, ft)
                 if abs(t - tguess) < ttol: break
-                tnext = t
-            return tguess, xguess, ftguess
+                t1 = t
         else:
-            return t1, x1, ft1
+            best = LineSearchResult(t1, x1, ft1)
+    return best
 
 
 

setup.py

@@ -10,7 +10,7 @@
     name='flexsolve',
     packages=['flexsolve'],
     license='MIT',
-    version='0.5.9',
+    version='0.5.10',
     description='Flexible function solvers',
     long_description=open('README.rst').read(),
     author='Yoel Cortes-Pena',