Source code for nubo.optimisation.lbfgsb

import torch
from torch import Tensor
from scipy.optimize import minimize
from typing import Tuple, Optional, Callable, Any
from nubo.optimisation import gen_candidates

[docs] def lbfgsb(func: Callable, bounds: Tensor, num_starts: Optional[int]=10, num_samples: Optional[int]=100, **kwargs: Any) -> Tuple[Tensor, Tensor]: """ Multi-start L-BFGS-B optimiser using the ``scipy.optimize.minimize`` implementation from ``SciPy``. Used for optimising analytical acquisition functions or Monte Carlo acquisition function when base samples are fixed. Picks the best `num_starts` points from a total `num_samples` Latin hypercube samples to initialise the optimser. Returns the best result. Minimises `func`. Parameters ---------- func : ``Callable`` Function to optimise. bounds : ``torch.Tensor`` (size 2 x d) Optimisation bounds of input space. num_starts : ``int``, optional Number of start for multi-start optimisation, default is 10. num_samples : ``int``, optional Number of samples from which to draw the starts, default is 100. **kwargs : ``Any`` Keyword argument passed to ``scipy.optimize.minimize``. Returns ------- best_result : ``torch.Tensor`` (size 1 x d) Minimiser inputs. best_func_result : ``torch.Tensor`` (size 1) Minimiser output. """ dims = bounds.size(1) opt_bounds = bounds.numpy().T # generate candidates candidates = gen_candidates(func, bounds, num_starts, num_samples) candidates = candidates.numpy() # initialise objects for results results = torch.zeros((num_starts, dims)) func_results = torch.zeros(num_starts) # iteratively optimise over candidates for i in range(num_starts): result = minimize(func, x0=candidates[i], method="L-BFGS-B", bounds=opt_bounds, **kwargs) results[i, :] = torch.from_numpy(result["x"].reshape(1, -1)) func_results[i] = float(result["fun"]) # select best candidate best_i = torch.argmin(func_results) best_result = torch.reshape(results[best_i, :], (1, -1)) best_func_result = torch.reshape(func_results[best_i], (1,)) return best_result, best_func_result