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Simplex algorithm #183

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Simplex algorithm #183

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2519824
Allow different kinds of operators
stefan-k Feb 4, 2022
622c22e
Simplex method
stefan-k Feb 4, 2022
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3 changes: 2 additions & 1 deletion argmin/Cargo.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -51,6 +51,7 @@ wasm-bindgen = ["instant/wasm-bindgen", "getrandom/js"]
slog-logger = ["slog", "slog-term", "slog-async"]
serde1 = ["serde", "serde_json", "rand/serde1", "bincode", "slog-json"]
ndarrayl = ["argmin-math/ndarray_latest-serde"]
nalgebral = ["argmin-math/nalgebra_latest-serde"]

[badges]
maintenance = { status = "actively-developed" }
Expand Down Expand Up @@ -93,7 +94,7 @@ required-features = ["argmin-math/ndarray_latest-serde", "slog-logger"]

[[example]]
name = "gaussnewton_nalgebra"
required-features = ["argmin-math/nalgebra_latest-serde", "slog-logger"]
required-features = ["nalgebral", "argmin-math/nalgebra_latest-serde", "slog-logger"]

[[example]]
name = "goldensectionsearch"
Expand Down
89 changes: 89 additions & 0 deletions argmin/examples/simplex.rs
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Original file line number Diff line number Diff line change
@@ -0,0 +1,89 @@
// Copyright 2018-2022 argmin developers
//
// Licensed under the Apache License, Version 2.0 <LICENSE-APACHE or
// http://apache.org/licenses/LICENSE-2.0> or the MIT license <LICENSE-MIT or
// http://opensource.org/licenses/MIT>, at your option. This file may not be
// copied, modified, or distributed except according to those terms.

// use argmin::core::{ArgminOp, ArgminSlogLogger, Error, Executor, ObserverMode};
use argmin::core::*;
use argmin::solver::simplex::Simplex;

struct Problem {
c: Vec<f64>,
b: Vec<f64>,
a: Vec<Vec<f64>>,
}

impl LinearProgram for Problem {
type Param = Vec<Self::Float>;
type Float = f64;

fn c(&self) -> Result<&[Self::Float], Error> {
Ok(&self.c)
}

fn b(&self) -> Result<&[Self::Float], Error> {
Ok(&self.b)
}

fn A(&self) -> Result<&[Vec<Self::Float>], Error> {
Ok(&self.a)
}
}

fn run() -> Result<(), Error> {
// let problem = Problem {
// c: [-5.0f64, -6.0, -6.0].to_vec(),
// b: [10.0f64, 10.0, 10.0].to_vec(),
// a: [
// [1.0, 2.0, 2.0].to_vec(),
// [2.0, 1.0, 2.0].to_vec(),
// [2.0, 2.0, 1.0].to_vec(),
// ]
// .to_vec(),
// };
// let problem = Problem {
// c: [-3.0f64, -1.0].to_vec(),
// b: [1.0f64, 1.0, 2.0].to_vec(),
// a: [
// [-1.0, 1.0].to_vec(),
// [1.0, -1.0].to_vec(),
// [0.0, 1.0].to_vec(),
// ]
// .to_vec(),
// };
let problem = Problem {
c: [-12.0f64, -8.0].to_vec(),
b: [80.0f64, 100.0, 75.0].to_vec(),
a: [
[4.0, 2.0].to_vec(),
[2.0, 3.0].to_vec(),
[5.0, 1.0].to_vec(),
]
.to_vec(),
};

let solver: Simplex<f64> = Simplex::new();

// let init_param = [1.0, 2.0, 3.0].to_vec();
let init_param = vec![];
let res = Executor::new(problem, solver, init_param)
// .add_observer(ArgminSlogLogger::term(), ObserverMode::Always)
.max_iters(3)
.run()?;

// Wait a second (lets the logger flush everything before printing again)
std::thread::sleep(std::time::Duration::from_secs(1));

// Print result
println!("{}", res);
Ok(())
}

fn main() {
if let Err(ref e) = run() {
println!("{}", e);
std::process::exit(1);
}
}
54 changes: 27 additions & 27 deletions argmin/src/core/executor.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -10,8 +10,8 @@
#[cfg(feature = "serde1")]
use crate::core::{serialization::*, ArgminCheckpoint, DeserializeOwnedAlias};
use crate::core::{
ArgminIterData, ArgminKV, ArgminOp, ArgminResult, Error, IterState, Observe, Observer,
ObserverMode, OpWrapper, Solver, TerminationReason,
ArgminIterData, ArgminKV, ArgminResult, Error, Observe, Observer, ObserverMode, OpWrapper,
Solver, State, TerminationReason,
};
use instant;
use num_traits::Float;
Expand All @@ -25,18 +25,18 @@ use std::sync::Arc;
/// Executes a solver
#[derive(Clone)]
#[cfg_attr(feature = "serde1", derive(Serialize, Deserialize))]
pub struct Executor<O: ArgminOp, S> {
pub struct Executor<O, S, I> {
/// solver
solver: S,
/// operator
#[cfg_attr(feature = "serde1", serde(skip))]
pub op: OpWrapper<O>,
/// State
#[cfg_attr(feature = "serde1", serde(bound = "IterState<O>: Serialize"))]
state: IterState<O>,
// #[cfg_attr(feature = "serde1", serde(bound = "IterState<O>: Serialize"))]
state: I,
/// Storage for observers
#[cfg_attr(feature = "serde1", serde(skip))]
observers: Observer<O>,
observers: Observer<I>,
/// Checkpoint
#[cfg(feature = "serde1")]
checkpoint: ArgminCheckpoint,
Expand All @@ -46,14 +46,14 @@ pub struct Executor<O: ArgminOp, S> {
timer: bool,
}

impl<O, S> Executor<O, S>
impl<O, S, I> Executor<O, S, I>
where
O: ArgminOp,
S: Solver<O>,
S: Solver<I>,
I: State<Operator = O>,
{
/// Create a new executor with a `solver` and an initial parameter `init_param`
pub fn new(op: O, solver: S, init_param: O::Param) -> Self {
let state = IterState::new(init_param);
pub fn new(op: O, solver: S, init_param: I::Param) -> Self {
let state = I::new(init_param);
Executor {
solver,
op: OpWrapper::new(op),
Expand All @@ -77,7 +77,7 @@ where
Ok(executor)
}

fn update(&mut self, data: &ArgminIterData<O>) -> Result<(), Error> {
fn update(&mut self, data: &ArgminIterData<I>) -> Result<(), Error> {
if let Some(cur_param) = data.get_param() {
self.state.param(cur_param);
}
Expand Down Expand Up @@ -122,7 +122,7 @@ where
}

/// Run the executor
pub fn run(mut self) -> Result<ArgminResult<O>, Error> {
pub fn run(mut self) -> Result<ArgminResult<I>, Error> {
let total_time = if self.timer {
Some(instant::Instant::now())
} else {
Expand Down Expand Up @@ -247,7 +247,7 @@ where

/// Attaches a observer which implements `ArgminLog` to the solver.
#[must_use]
pub fn add_observer<OBS: Observe<O> + 'static>(
pub fn add_observer<OBS: Observe<I> + 'static>(
mut self,
observer: OBS,
mode: ObserverMode,
Expand All @@ -265,35 +265,35 @@ where

/// Set target cost value
#[must_use]
pub fn target_cost(mut self, cost: O::Float) -> Self {
pub fn target_cost(mut self, cost: I::Float) -> Self {
self.state.target_cost(cost);
self
}

/// Set cost value
#[must_use]
pub fn cost(mut self, cost: O::Float) -> Self {
pub fn cost(mut self, cost: I::Float) -> Self {
self.state.cost(cost);
self
}

/// Set Gradient
#[must_use]
pub fn grad(mut self, grad: O::Param) -> Self {
pub fn grad(mut self, grad: I::Param) -> Self {
self.state.grad(grad);
self
}

/// Set Hessian
#[must_use]
pub fn hessian(mut self, hessian: O::Hessian) -> Self {
pub fn hessian(mut self, hessian: I::Hessian) -> Self {
self.state.hessian(hessian);
self
}

/// Set Jacobian
#[must_use]
pub fn jacobian(mut self, jacobian: O::Jacobian) -> Self {
pub fn jacobian(mut self, jacobian: I::Jacobian) -> Self {
self.state.jacobian(jacobian);
self
}
Expand Down Expand Up @@ -340,7 +340,7 @@ where
#[cfg(test)]
mod tests {
use super::*;
use crate::core::MinimalNoOperator;
use crate::core::{ArgminOp, IterState, MinimalNoOperator, State};
use approx::assert_relative_eq;

#[test]
Expand All @@ -349,15 +349,15 @@ mod tests {
#[cfg_attr(feature = "serde1", derive(Serialize, Deserialize))]
struct TestSolver {}

impl<O> Solver<O> for TestSolver
impl<O> Solver<IterState<O>> for TestSolver
where
O: ArgminOp,
{
fn next_iter(
&mut self,
_op: &mut OpWrapper<O>,
_state: &mut IterState<O>,
) -> Result<ArgminIterData<O>, Error> {
) -> Result<ArgminIterData<IterState<O>>, Error> {
Ok(ArgminIterData::new())
}
}
Expand All @@ -369,7 +369,7 @@ mod tests {

// 1) Parameter vector changes, but not cost (continues to be `Inf`)
let new_param = vec![1.0, 1.0];
let new_iterdata: ArgminIterData<MinimalNoOperator> =
let new_iterdata: ArgminIterData<IterState<MinimalNoOperator>> =
ArgminIterData::new().param(new_param.clone());
executor.update(&new_iterdata).unwrap();
assert_eq!(executor.state.get_best_param().unwrap(), new_param);
Expand All @@ -379,7 +379,7 @@ mod tests {
// 2) Parameter vector and cost changes to something better
let new_param = vec![2.0, 2.0];
let new_cost = 10.0;
let new_iterdata: ArgminIterData<MinimalNoOperator> = ArgminIterData::new()
let new_iterdata: ArgminIterData<IterState<MinimalNoOperator>> = ArgminIterData::new()
.param(new_param.clone())
.cost(new_cost);
executor.update(&new_iterdata).unwrap();
Expand All @@ -395,7 +395,7 @@ mod tests {
let new_param = vec![3.0, 3.0];
let old_cost = executor.state.get_best_cost();
let new_cost = old_cost + 1.0;
let new_iterdata: ArgminIterData<MinimalNoOperator> =
let new_iterdata: ArgminIterData<IterState<MinimalNoOperator>> =
ArgminIterData::new().param(new_param).cost(new_cost);
executor.update(&new_iterdata).unwrap();
assert_eq!(executor.state.get_best_param(), old_param);
Expand All @@ -411,7 +411,7 @@ mod tests {

let new_param = vec![1.0, 1.0];
let new_cost = std::f64::NEG_INFINITY;
let new_iterdata: ArgminIterData<MinimalNoOperator> = ArgminIterData::new()
let new_iterdata: ArgminIterData<IterState<MinimalNoOperator>> = ArgminIterData::new()
.param(new_param.clone())
.cost(new_cost);
executor.update(&new_iterdata).unwrap();
Expand All @@ -423,7 +423,7 @@ mod tests {
let old_param = executor.state.get_best_param().unwrap();
let new_param = vec![6.0, 6.0];
let new_cost = std::f64::INFINITY;
let new_iterdata: ArgminIterData<MinimalNoOperator> =
let new_iterdata: ArgminIterData<IterState<MinimalNoOperator>> =
ArgminIterData::new().param(new_param).cost(new_cost);
executor.update(&new_iterdata).unwrap();
assert_eq!(executor.state.get_best_param().unwrap(), old_param);
Expand Down
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