- class zfit.minimize.NLoptStoGOV1(tol=None, randomized=None, verbosity=None, maxiter=None, strategy=None, criterion=None, name='NLopt MLSL')#
Global minimizer which divides the space into smaller rectangles and uses a local BFGS variant inside.
StoGO is a global optimization algorithm that works by systematically dividing the search space (which must be bound-constrained) into smaller hyper-rectangles via a branch-and-bound technique, and searching them by a gradient-based local-search algorithm (a BFGS variant), optionally including some randomness (hence the “Sto”, which stands for “stochastic” I believe).
Some references on StoGO are:
S. Gudmundsson, “Parallel Global Optimization,” M.Sc. Thesis, IMM, Technical University of Denmark, 1998.
K. Madsen, S. Zertchaninov, and A. Zilinskas, “Global Optimization using Branch-and-Bound,” unpublished (1998). A preprint of this paper is included in the
stogosubdirectory of NLopt as
S. Zertchaninov and K. Madsen, “A C++ Programme for Global Optimization,” IMM-REP-1998-04, Department of Mathematical Modelling, Technical University of Denmark, DK-2800 Lyngby, Denmark, 1998. A copy of this report is included in the
stogosubdirectory of NLopt as
More information on the algorithm can be found here.
This implenemtation uses internally the NLopt library. It is a free/open-source library for nonlinear optimization, providing a common interface for a number of different free optimization routines available online as well as original implementations of various other algorithms.
tol (float | None) – Termination value for the convergence/stopping criterion of the algorithm in order to determine if the minimum has been found. Defaults to 1e-3.
randomized (bool | None) – If True, uses the randomized version ‘GD_STOGO_RAND’ instead of ‘GD_STOGO’
verbosity (int | None) –
Verbosity of the minimizer. Has to be between 0 and 10. The verbosity has the meaning:
a value of 0 means quiet and no output
above 0 up to 5, information that is good to know but without flooding the user, corresponding to a “INFO” level.
A value above 5 starts printing out considerably more and is used more for debugging purposes.
Setting the verbosity to 10 will print out every evaluation of the loss function and gradient.
Some minimizers offer additional output which is also distributed as above but may duplicate certain printed values.
maxiter (int | str | None) – Approximate number of iterations. This corresponds to roughly the maximum number of evaluations of the
value, ‘gradient` or
strategy (ZfitStrategy | None) – A class of type
ZfitStrategythat takes no input arguments in the init. Determines the behavior of the minimizer in certain situations, most notably when encountering NaNs. It can also implement a callback function.
criterion (ConvergenceCriterion | None) – Criterion of the minimum. This is an estimated measure for the distance to the minimum and can include the relative or absolute changes of the parameters, function value, gradients and more. If the value of the criterion is smaller than
loss.errordef * tol, the algorithm stopps and it is assumed that the minimum has been found.
name (str) – Human-readable name of the minimizer.
- create_criterion(loss=None, params=None)#
Create a criterion instance for the given loss and parameters.
loss (ZfitLoss | None) – Loss that is used for the criterion. Can be None if called inside
params (ztyping.ParametersType | None) – Parameters that will be associated with the loss in this order. Can be None if called within
- Return type
ConvergenceCriterion to check if the function converged.
- create_evaluator(loss=None, params=None, strategy=None)#
Make a loss evaluator using the strategy and more from the minimizer.
Convenience factory for the loss evaluator. This wraps the loss to return a numpy array, to catch NaNs, stop on maxiter and evaluate the gradient and hessian without the need to specify the order every time.
loss (ZfitLoss | None) – Loss to be wrapped. Can be None if called inside
strategy (ZfitStrategy | None) – Instance of a Strategy that will be used during the evaluation.
The evaluator that wraps the Loss ant Strategy with the current parameters.
- Return type
- minimize(loss, params=None, init=None)#
Fully minimize the
losswith respect to
params, optionally using information from
The minimizer changes the parameter values in order to minimize the loss function until the convergence criterion value is less than the tolerance. This is a stateless function that can take a
FitResultin order to initialize the minimization.
loss (ZfitLoss | Callable) – Loss to be minimized until convergence is reached. Usually a
attribute (- If this is a simple callable that takes an array as argument and an attribute errordef. The) –
can be set to any arbitrary function like
def loss(x): return - x ** 2 loss.errordef = 0.5 # as an example minimizer.minimize(loss, [2, 5])
If not TensorFlow is used inside the function, make sure to set
method (- A FitResult can be provided as the only argument to the) – parameters to be minimized are taken from it. This allows to easily chain minimization algorithms.
the (in which case the loss as well as) – parameters to be minimized are taken from it. This allows to easily chain minimization algorithms.
params (ztyping.ParamsTypeOpt | None) –
The parameters with respect to which to minimize the
None, the parameters will be taken from the
In order to fix the parameter values to a specific value (and thereby make them indepented of their current value), a dictionary mapping a parameter to a value can be given.
lossis a callable,
paramscan also be (instead of
an array of initial values
for more control, a
dictwith the keys:
value(required): array-like initial values.
name: list of unique names of the parameters.
lower: array-like lower limits of the parameters,
upper: array-like upper limits of the parameters,
step_size: array-like initial step size of the parameters (approximately the expected uncertainty)
This will create internally a single parameter for each value that can be accessed in the
FitResultvia params. Repeated calls can therefore (in the current implement) cause a memory increase. The recommended way is to re-use parameters (just taken from the
init (ZfitResult | None) –
A result of a previous minimization that provides auxiliary information such as the starting point for the parameters, the approximation of the covariance and more. Which information is used can depend on the specific minimizer implementation.
In general, the assumption is that the loss provided is similar enough to the one provided in
What is assumed to be close:
the parameters at the minimum of loss will be close to the parameter values at the minimum of init.
Covariance matrix, or in general the shape, of init to the loss at its minimum.
What is explicitly _not_ assumed to be the same:
absolute value of the loss function. If init has a function value at minimum x of fmin, it is not assumed that
losswill have the same/similar value at x.
parameters that are used in the minimization may differ in order or which are fixed.
- Return type
The fit result containing all information about the minimization.
Using the ability to restart a minimization with a previous result allows to use a more global search algorithm with a high tolerance and an additional local minimization to polish the found minimum.
result_approx = minimizer_global.minimize(loss, params) result = minimizer_local.minimize(result_approx)
For a simple usage with a callable only, the parameters can be given as an array of initial values.
def func(x): return np.log(np.sum(x ** 2)) func.errordef = 0.5 params = [1.1, 3.5, 8.35] # initial values result = minimizer.minimize(func, param)