scipy.optimize.minimize 不在 maxiter 或回调处停止

Question

我已经实施 scipy.optimize.minimize 以最小化具有 128 个值的一维数组的 pandas 数据帧的增量值的平均值。

它似乎运行并做了一些事情，但它不会在 maxiter 或从这里的另一个 Stack Overflow 问题中获取的回调函数停止。

我的代码是：

import numpy as np
from scipy.optimize import minimize, rosen
import time
import warnings

class TookTooLong(Warning):
    pass

class MinimizeStopper(object):
    def __init__(self, max_sec=60*60*5):
        self.max_sec = max_sec
        self.start = time.time()
    def __call__(self, xk=None):
        elapsed = time.time() - self.start
        if elapsed > self.max_sec:
            warnings.warn("Terminating optimization: time limit reached",
                          TookTooLong)
        else:
            # you might want to report other stuff here
            print("Elapsed: %.3f sec" % elapsed)

import scipy.optimize
res = scipy.optimize.minimize(minFunct,oned,options= 
            {"disp":True,"maxiter":100},tol=0.01,
                     method ="BFGS",callback=MinimizeStopper(1E-3))

一段时间后显示的消息告诉我已达到 maxiter 并且已达到比开始时更小的函数值，但它并没有停止。由于它是运行ning in jupyter，我无法在没有完成单元格的情况下到达 res。

Answer 1

根据 docs 回调应该是可调用的，返回 True 以终止并具有以下格式 callback(xk)。而在您的代码中，您将其定义为 class 的初始化。相反，您应该定义 class 的实例，然后将其 __call__() 函数分配给 callback，如下所示：

import time
import warnings
import numpy as np
from scipy.optimize import minimize, rosen

class TookTooLong(Warning):
    pass

class MinimizeStopper(object):
    def __init__(self, max_sec=10):
        self.max_sec = max_sec
        self.start   = time.time()

    def __call__(self, xk):
        # callback to terminate if max_sec exceeded
        elapsed = time.time() - self.start
        if elapsed > self.max_sec:
            warnings.warn("Terminating optimization: time limit reached",
                          TookTooLong)
        else:
            # you might want to report other stuff here
            print("Elapsed: %.3f sec" % elapsed)
# init stopper
minimize_stopper = MinimizeStopper()
# minimze
res = minimize(rosen,
               x0       = np.random.randint(5, size=128),
               method   ="BFGS",
               tol      = 0.01,
               options  = {"maxiter":10, "disp":True},
               callback = minimize_stopper.__call__)

或者您可以为您的最小化器定义一个 class 并在其中构建一个回调函数以在特定时间后终止您的最小化。可以这样做：

import time
import warnings
import numpy as np
from scipy.optimize import minimize, rosen


class TookTooLong(Warning):
    pass

class Minimizer:
    def __init__(self, timeout, maxiter):
        self.timeout = timeout
        self.maxiter = maxiter

    def minimize(self):
        self.start_time = time.time()
        # minimize
        res = minimize(rosen,
                       x0       = np.random.randint(5, size=128),
                       method   ="BFGS",
                       tol      = 0.01,
                       options  = {"maxiter":self.maxiter, "disp":True},
                       callback = self.callback)
        return res

    def callback(self, x):
        # callback to terminate if max_sec exceeded
        elapsed = time.time() - self.start_time
        if elapsed > self.timeout:
            warnings.warn("Terminating optimization: time limit reached",
                          TookTooLong)
            return True
        else: 
            print("Elapsed: %.3f sec" % elapsed)

# init minimizer and minimize
minimizer = Minimizer(0.1, 100)
result    = minimizer.minimize()

使用以下方法测试这些代码：timeout=0.1 & maxiter=100 然后 timeout=10 & maxiter=10 以观察两种类型的终止。

scipy.optimize.minimize 不在 maxiter 或回调处停止

scipy.optimize.minimize does not stop at maxiter or callback

python

scipy

scipy-optimize-minimize