# -*- coding: utf-8 -*-
from abc import ABC
from enum import Enum
import numpy as np
from pyunlocbox import acceleration, functions, solvers
from scipy.optimize import OptimizeResult
import talon
# These keys are lambda functions in the original pyunlocbox.functions.func
# class that must be removed before serialization.
PYUNLOCBOX_KEYS_TO_REMOVE = ['y', 'A', 'At']
class RegularizationTerm(functions.func, ABC):
def __init__(self, regularization_parameter):
"""Abstract base class for all regularization terms
The optimization problem solved by `talon` is
.. math:: \min_x 0.5 \|A x - y\|^2 + \Omega(x)
where :math:`\Omega` is a regularization term. This class is the base
for all concrete implementations of this term.
Args:
regularization_parameter: The scaling factor of the regularization
term. Must be a float greater or equal to zero.
Raises:
TypeError: If the regularization parameter is not a float and
cannot be converted to a float.
ValueError: If the regularization parameter is negative.
"""
super().__init__()
# Verify that the regularization parameter is a non-negative float.
try:
regularization_parameter = float(regularization_parameter)
except (TypeError, ValueError):
raise TypeError(
f'The regularization parameter must be a float, not a '
f'{type(regularization_parameter)}.')
if regularization_parameter < 0:
raise ValueError(
f'The regularization parameter must be non-negative '
f'({regularization_parameter} < 0).')
self._regularization_parameter = regularization_parameter
self._groups = None
self._non_negativity = False
self._weights = None
def __call__(self, x):
return self._eval(x)
def __getstate__(self):
clean_dict = self.__dict__.copy()
for k in PYUNLOCBOX_KEYS_TO_REMOVE:
clean_dict.pop(k, None)
return clean_dict
@property
def groups(self):
return self._groups
@property
def non_negativity(self):
return self._non_negativity
@property
def regularization_parameter(self):
return self._regularization_parameter
@property
def weights(self):
return self._weights
class NoRegularization(RegularizationTerm):
def __init__(self):
super().__init__(0.0)
def _eval(self, x):
return 0.0
def _grad(self, x):
raise NotImplementedError(
'The gradient is not available for this regularization term.')
def _prox(self, x, _=None):
return x
class NonNegativity(NoRegularization):
def __init__(self):
super().__init__()
self._non_negativity = True
def _grad(self, x):
raise NotImplementedError(
'The gradient is not available for this regularization term.')
def _prox(self, x, _=None):
return np.maximum(x, 0.0)
class StructuredSparsity(RegularizationTerm):
def __init__(self, regularization_parameter, groups, weights):
super().__init__(regularization_parameter)
self._groups = groups
self._weights = weights
def _eval(self, x):
costs = [w * np.sqrt(np.sum(x[g] ** 2))
for g, w in zip(self._groups, self._weights)]
return self._regularization_parameter * np.sum(costs)
def _grad(self, x):
raise NotImplementedError(
'The gradient is not available for this regularization term.')
def _prox(self, x, mu):
v = x.copy()
for g, w in zip(self._groups, self._weights):
xn = np.sqrt(np.dot(v[g], v[g]))
r = mu * self.regularization_parameter * w
if xn > r:
v[g] -= v[g] * r / xn
else:
v[g] = 0.0
return v
class NonNegativeStructuredSparsity(StructuredSparsity):
def __init__(self, regularization_parameter, groups, weights):
super().__init__(regularization_parameter, groups, weights)
self._non_negativity = True
def _grad(self, x):
raise NotImplementedError(
'The gradient is not available for this regularization term.')
def _prox(self, x, mu):
v = np.maximum(x, 0.0)
return super()._prox(v, mu)
[docs]def regularization(non_negativity=False, regularization_parameter=None,
groups=None, weights=None):
"""Get regularization term for the optimization problem.
By default this method returns an object encoding the regularization term
.. math:: \Omega(x) = 0 .
If `regularization_parameter`, `groups` and `weights` are all not None it
returns the structured sparsity regularization.
.. math:: \Omega(x) = \lambda \sum_{g\in G} w_g \|x_g\|_2
where :math:`\lambda` is `regularization_parameter`, :math:`w_g` is the
entry of `w` associated to `g`, :math:`x_g` is the subset of entries
of *x* encoded by the indices of *g* and `G` is the list of groups.
If non_negativity is True it adds the non-negativity constraint to the
regularization term.
.. math:: \Omega(x) \leftarrow \Omega(x) + \iota_{\ge 0}(x) .
Args:
non_negativity: boolean (default = False)
regularization_parameter: float. Must be >= 0 (default = None)
groups: list of lists where each element encodes the indices of the
streamlines belonging to a single group. (default = None).
E.g.: ``groups = [[0,2,5], [1,3,4,6], [7,8,9]]``.
weights: ndarray of the same length as `groups`. Weight associated to
each group. (default = None)
Returns:
instance of one between
* ``talon.optimize.NoRegularization``;
* ``talon.optimize.NonNegativity``;
* ``talon.optimize.StructuredSparsity``;
* ``talon.optimize.NonNegativeStructuredSparsity``.
Raises:
ValueError: If weights and groups do not have the same length.
ValueError: If regularization_parameter < 0 .
"""
if regularization_parameter is None or groups is None or weights is None:
is_structure_sparsity = False
elif regularization_parameter == 0.0:
is_structure_sparsity = False
elif regularization_parameter < 0.0:
raise ValueError('Negative regularization parameter not allowed.')
elif len(groups) == len(weights):
is_structure_sparsity = True
else:
raise ValueError('`groups` and `weights` are not coherent objects. '
'Check the type and the length.')
if non_negativity:
if is_structure_sparsity:
return NonNegativeStructuredSparsity(regularization_parameter,
groups, weights)
else:
return NonNegativity()
else:
if is_structure_sparsity:
return StructuredSparsity(regularization_parameter, groups,
weights)
else:
return NoRegularization()
class ExitStatus(Enum):
UNKNOWN = -1
MAXIMUM_NUMBER_ITERATIONS = 0
ABSOLUTE_TOLERANCE_COST = 1
RELATIVE_TOLERANCE_COST = 2
ABSOLUTE_TOLERANCE_X = 3
def _pyunlocbox_to_scipy_result(pub_result, **kwargs):
sp_result = OptimizeResult()
if pub_result['crit'] == 'DTOL':
new_status = ExitStatus.ABSOLUTE_TOLERANCE_COST
elif pub_result['crit'] == 'RTOL':
new_status = ExitStatus.RELATIVE_TOLERANCE_COST
elif pub_result['crit'] == 'XTOL':
new_status = ExitStatus.ABSOLUTE_TOLERANCE_X
elif pub_result['crit'] == 'MAXIT':
new_status = ExitStatus.MAXIMUM_NUMBER_ITERATIONS
else:
new_status = ExitStatus.UNKNOWN
sp_result['status'] = new_status
sp_result['success'] = sp_result['status'].value > 0
sp_result['message'] = pub_result['crit']
sp_result['fun'] = pub_result['objective'][-1]
sp_result['nit'] = pub_result['niter']
sp_result['x'] = pub_result['sol']
for key, value in kwargs.items():
sp_result[key] = value
return sp_result
[docs]def solve(linear_operator, data, reg_term=None, cost_reltol=1e-6,
x_abstol=1e-6, max_nit=1000, x0=None, verbose='LOW'):
"""Fit the solution.
This routine finds the `x` that solves the problem
.. math:: \min_x 0.5 \|A x - y\|^2 + \Omega(x)
where `x` is the vector of coefficients to be retrieved, `A` is the linear
operator, `y` is the data vector and :math:`\Omega` is defined as in
``talon.regularization``.
Args:
linear_operator: linear operator endowed with the @ operation.
data: ndarray of data to be fit. First dimension must be compatible
with the second of `linear_operator`.
reg_term: regularization term defined by talon.regularization.
(default: :math:`\Omega(x) = 0.0`)
cost_reltol: float relative tolerance on the cost (default = 1e-6).
x_abstol: float mean abs tolerance on the variable (default = 1e-6).
max_nit: int maximum number of iterations (default = 1000).
x0: ndarray starting value for the optimization. The length must be the
equal to the second dimension of `linear_operator`. (default=zeros)
verbose : {'NONE', 'LOW', 'HIGH', 'ALL'} The log level : ``'NONE'``
for no log, ``'LOW'`` for resume at convergence, ``'HIGH'`` for
info at all solving steps, ``'ALL'`` for all possible outputs,
including at each steps of the proximal operators computation
(default='LOW').
Return:
scipy.optimize.OptimizeResult: dictionary with the following fields
* x : estimated minimizer of the cost function.
* status : attribute of talon.optimization.ExitStatus enumeration.
* message : string that explains the reason for termination.
* fun : evaluation of each term at the minimizer.
* nit : number of performed iterations.
* reg_param: value of the regularization parameter.
"""
fit_term = functions.norm_l2(y=data, lambda_=0.5)
fit_term.A = lambda x: linear_operator @ x
fit_term.At = lambda x: linear_operator.T @ x
if reg_term is None:
reg_term = regularization()
my_acceleration = acceleration.fista_backtracking()
the_solver = solvers.forward_backward(accel=my_acceleration, step=0.5)
if x0 is None:
x0 = np.zeros(linear_operator.shape[1], dtype=talon.core.DATATYPE)
solution = solvers.solve([fit_term, reg_term], x0, the_solver,
rtol=cost_reltol, xtol=x_abstol, maxit=max_nit,
verbosity=verbose)
return _pyunlocbox_to_scipy_result(solution, regularization_term=reg_term)