I'm using CVXPY through Julia, a language where multidimentional arrays are stored in memory using column-major order. However CVXPY is written in Python and accepts Numpy style arrays (which are row-major by default) to be used as constants.
I want to know if I should care about ordering, e.g. with matrix A, when translating Python code like this:
import cvxpy as cp
import numpy as np
m = 30
n = 20
A = np.random.randn(m, n)
b = np.random.randn(m)
# Construct the problem.
x = cp.Variable(n)
objective = cp.Minimize(cp.sum_squares(A*x - b))
constraints = [0 <= x, x <= 1]
prob = cp.Problem(objective, constraints)
to Julia:
using Random, PyCall
cp = pyimport("cvxpy")
m = 30
n = 20
A = randn(m, n)
b = randn(m)
# Construct the problem.
x = cp.Variable(n)
objective = cp.Minimize(cp.sum_squares(cp.matmul(A,x) - b))
constraints = [0 <= x, x <= 1]
prob = cp.Problem(objective, constraints)
I've seen exactly this done, and not seen any special handling from want I recall.
So no, it doesn't cause any issues
Related
My code is as follows:
gekko = GEKKO(remote=True)
# create variable, each variable is a vector, each element
# of the vector is a binary
s = []
for i in range(N):
s.append(gekko.Array(gekko.Var, s_len[i], value=0, lb=0, ub=1, integer=True))
# some constants used in the objective/constraint function
c, d, r, m, L = create_c_d_r_m_L() # they are all numpy ndarry
# define the objective function
def objective():
obj = 0
for i in range(N):
obj += np.dot(s[i], c[i]) + np.dot(s[i], d[i])
for idx, (i, j) in enumerate(E):
obj += np.dot(np.dot(s[i], r[idx].reshape(s_len[i], s_len[j])),\
s[j]) # s[i] * r[i, j] * s[j]
return obj
# add constraints
# (a) each vector can only have and must have one 1
for i in range(N):
gekko.Equation(gekko.sum(s[i]) == 1)
# (b)
for t in range(N):
peak_mem = gekko.sum([np.dot(s[i], m[i]) for i in L[t]])
gekko.Equation(peak_mem < DEVICE_MEM)
# DEVICE_MEM is a predefined big int
# solve
gekko.Obj(objective())
gekko.solve(disp=True)
I found that when removing constraint (b), the solver can output the optimal solution for s. However, if we add (b) and set DEVICE_MEM to a very large number (which should not affect the solution), the s is not optimal anymore. I'm wondering if I am doing something wrong here because I tried both APOPT(solvertype=1) and IPOPT (solvertype=3) and they give the same nonoptimal results.
To give more context to the problem: this is an optimization over the graph. N represents the number of nodes in the graph. E is the set that contains all edges in the graph. c, d, m are three types of cost of a node. r is the cost of edges. Each node has multiple strategies (represented by the vector s[i]), and we need to select the best strategy for each node so that the overall cost is minimal.
Detailed constants:
# s_len: record the length of each vector
# (the # of strategies for each node,
# here we assume the length are all 10)
s_len = np.ones(N) * 10
# c, d, m are the costs of each node
# let's assume the c/d/m cost for i node is just i
c, d, m = [], [], []
for i in range(N):
c[i] = s_len[i] * [i]
d[i] = s_len[i] * [i]
m[i] = s_len[i] * [i]
# r is the edge cost, let's assume the cost for
# each edge is just i * j
r = []
for (i,j) in E: # E records all edges
cur_r = s_len[i] * s_len[j] * [i*j]
r.append(cur_r)
# L contains the node ids, we just randomly generate 10 integers here
L = []
for i in range(N):
cur_L = [randrange(N) for _ in range(10)]
L.append(cur_L)
I've been stuck on this for a while and any comments/answers are highly appreciated! Thanks!
Try reframing the inequality constraint:
for t in range(N):
peak_mem = gekko.sum([np.dot(s[i], m[i]) for i in L[t]])
gekko.Equation(peak_mem < DEVICE_MEM)
as a variable with an upper bound:
peak_mem = m.Array(m.Var,N,ub=DEVICE_MEM)
for t in range(N):
m.Equation(peak_mem[t]==\
gekko.sum([np.dot(s[i], m[i]) for i in L[t]])
The N inequality constraints peak_mem < DEVICE_MEM are converted to equality constraints with slack variables as s[i] = DEVICE_MEM - peak_mem with a simple inequality constraint on the slack s[i]>=0. If the inequality constraint far from the bound, then the slack variable can be very large. Formulating the equation as a variable may help.
I tried using the information in the question to pose a minimal problem that could reproduce the error and the potential solution. If you need more specific suggestions, please modify the code to be a complete and minimal example that reproduces the error. This helps with verifying the solution.
Let's say that I want to solve the following problem.
minimize Tr(CY)
s.t. Y = xxT
x is 0 or 1.
where xxT indicates an outer product of n-1 dimension vector x. C is a n-1 by n-1 square matrix. To convert this problem to a problem with a single matrix variable, I can write down the code as follows by using cvxpy.
import cvxpy as cp
import numpy as np
n = 8
np.random.seed(1)
S = np.zeros(shape=(int(n), int(n)))
S[int(n-1), int(n-1)] = 1
C = np.zeros(shape=(n,n))
C[:n-1, :n-1] = np.random.randn(n-1, n-1)
X = cp.Variable((n,n), PSD=True)
constraints=[]
constraints.append(cp.trace(S # X) == 1)
for i in range(n-1):
Q = np.zeros(shape=(n,n))
Q[i,i] = 1
Q[-1,i] = -0.5
Q[i,-1] = -0.5
const = cp.trace(Q # X) == 0
constraints.append(const)
prob = cp.Problem(cp.Minimize(cp.trace(C # X)),constraints)
prob.solve(solver=cp.MOSEK)
print("X is")
print(X.value)
print("C is")
print(C)
To satisfy the binary constraint that the entries of the vector x should be one or zero, I added some constraints for the matrix variable X.
X = [Y x; xT 1]
Tr(QX) == 0
There are n-1 Q matrices which are forcing the vector x's entries to be 0 or 1.
However, when I ran this simple code, the constraints are violated severely.
Looking forward to see any suggestion or comments on this.
I have the following code:
f=tan(x)*x**2
q=Wild('q')
s=f.match(tan(q))
s={q_ : x}
How to work with the result of the "wild"? How to not address the array, for example, s[0], s{0}?
Wild can be used when you have an expression which is the result of some complicated calculation, but you know it has to be of the form sin(something) times something else. Then s[q] will be the sympy expression for the "something". And s[p] for the "something else". This could be used to investigate both p and q. Or to further work with a simplified version of f, substituting p and q with new variables, especially if p and q would be complex expressions involving multiple variables.
Many more use cases are possible.
Here is an example:
from sympy import *
from sympy.abc import x, y, z
p = Wild('p')
q = Wild('q')
f = tan(x) * x**2
s = f.match(p*tan(q))
print(f'f is the tangent of "{s[q]}" multiplied by "{s[p]}"')
g = f.xreplace({s[q]: y, s[p]:z})
print(f'f rewritten in simplified form as a function of y and z: "{g}"')
h = s[p] * s[q]
print(f'a new function h, combining parts of f: "{h}"')
Output:
f is the tangent of "x" multiplied by "x**2"
f rewritten in simplified form as a function of y and z: "z*tan(y)"
a new function h, combining parts of f: "x**3"
If you're interested in all arguments from tan that appear in f written as a product, you might try:
from sympy import *
from sympy.abc import x
f = tan(x+2)*tan(x*x+1)*7*(x+1)*tan(1/x)
if f.func == Mul:
all_tan_args = [a.args[0] for a in f.args if a.func == tan]
# note: the [0] is needed because args give a tupple of arguments and
# in the case of tan you'ld want the first (there is only one)
elif f.func == tan:
all_tan_args = [f.args[0]]
else:
all_tan_args = []
prod = 1
for a in all_tan_args:
prod *= a
print(f'All the tangent arguments are: {all_tan_args}')
print(f'Their product is: {prod}')
Output:
All the tangent arguments are: [1/x, x**2 + 1, x + 2]
Their product is: (x + 2)*(x**2 + 1)/x
Note that neither method would work for f = tan(x)**2. For that, you'ld need to write another match and decide whether you'ld want to take the same power of the arguments.
I've written the this radix-2 FFT with the goal of making it functionally idiomatic without sacrificing too much performance:
let reverse x bits =
let rec reverse' x bits y =
match bits with
| 0 -> y
| _ -> ((y <<< 1) ||| (x &&& 1))
|> reverse' (x >>> 1) (bits - 1)
reverse' x bits 0
let radix2 (vector: Complex[]) (direction: int) =
let z = vector.Length
let depth = floor(Math.Log(double z, 2.0)) |> int
if (1 <<< depth) <> z then failwith "Vector length is not a power of 2"
// Complex roots of unity; "twiddle factors"
let unity: Complex[] =
let xpn = float direction * Math.PI / double z
Array.Parallel.init<Complex> (z/2) (fun i ->
Complex.FromPolarCoordinates(1.0, (float i) * xpn))
// Permutes elements of input vector via bit-reversal permutation
let pvec = Array.Parallel.init z (fun i -> vector.[reverse i depth])
let outerLoop (vec: Complex[]) =
let rec recLoop size =
if size <= z then
let mid, step = size / 2, z / size
let rec inrecLoop i =
if i < z then
let rec bottomLoop idx k =
if idx < i + mid then
let temp = vec.[idx + mid] * unity.[k]
vec.[idx + mid] <- (vec.[idx] - temp)
vec.[idx] <- (vec.[idx] + temp)
bottomLoop (idx + 1) (k + step)
bottomLoop i 0
inrecLoop (i + size)
inrecLoop 0
recLoop (size * 2)
recLoop 2
vec
outerLoop pvec
The outerLoop segment is the biggest nested tail-recursive mess I have ever written. I replicated the algorithm in the Wikipedia article for the Cooley-Tukey algorithm, but the only functional constructs I could think to implement using higher-order functions result in massive hits to both performance and memory efficiency. Are there other solutions that would yield the same results without resulting in massive slow-downs, while still being idiomatic?
I'm not an expert on how the algorithm works, so there might be a nice functional implementation, but it is worth noting that using a localised mutation is perfectly idiomatic in F#.
Your radix2 function is functional from the outside - it takes vector array as an input, never mutates it, creates a new array pvec which it then initializes (using some mutation along the way) and then returns it. This is a similar pattern to what built-in functions like Array.map use (which initializes a new array, mutates it and then returns it). This is often a sensible way of doing things, because some algorithms are better written using mutation.
In this case, it's perfectly reasonable to also use local mutable variables and loops. Doing that will make your code more readable compared to the tail-recursive version. I have not tested this, but my naive translation of your outerLoop function would just be to use three nested loops - something like this:
let mutable size = 2
while size <= z do
let mid, step = size / 2, z / size
let mutable i = 0
while i < z do
for j in 0 .. mid - 1 do
let idx, k = i + j, step * j
let temp = pvec.[idx + mid] * unity.[k]
pvec.[idx + mid] <- (pvec.[idx] - temp)
pvec.[idx] <- (pvec.[idx] + temp)
i <- i + size
size <- size * 2
This might not be exactly right (I did this just be refactoring your code), but I think it's actually more idiomatic than using complex nested tail-recursive functions in this case.
I want to create a polynomial with given coefficients. This seems very simple but what I have found till now did not appear to be the thing I desired.
For example in such an environment;
n = 11
K = GF(4,'a')
R = PolynomialRing(GF(4,'a'),"x")
x = R.gen()
a = K.gen()
v = [1,a,0,0,1,1,1,a,a,0,1]
Given a list/vector v of length n (I will set this n and v at the begining), I want to get the polynomial v(x) as v[i]*x^i.
(Actually after that I am going to build the quotient ring GF(4,'a')[x] /< x^n-v(x) > after getting this v(x) from above) then I will say;
S = R.quotient(x^n-v(x), 'y')
y = S.gen()
But I couldn't write it.
This is a frequently asked question in many places so it is better to leave it here as an answer although the answer I have is so simple:
I just wrote R(v) and it gave me the polynomial:
sage
n = 11
K = GF(4,'a')
R = PolynomialRing(GF(4,'a'),"x")
x = R.gen()
a = K.gen()
v = [1,a,0,0,1,1,1,a,a,0,1]
R(v)
x^10 + a*x^8 + a*x^7 + x^6 + x^5 + x^4 + a*x + 1
Basically (that is, ignoring the specifics of your polynomial ring) you have a list/vector v of length n and you require a polynomial which is the sum of all v[i]*x^i. Note that this sum equals the matrix product V.X where V is a one row matrix (essentially equal to the vector v) and X is a column matrix consisting of powers of x. In Maxima you could write
v: [1,a,0,0,1,1,1,a,a,0,1]$
n: length(v)$
V: matrix(v)$
X: genmatrix(lambda([i,j], x^(i-1)), n, 1)$
V.X;
The output is
x^10+ax^8+ax^7+x^6+x^5+x^4+a*x+1