Python solvers.options方法代碼示例

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def radius(K):
    """evaluate the radius of the MEB (Minimum Enclosing Ball) of examples in
    feature space.

    Parameters
    ----------
    K : (n,n) ndarray,
        the kernel that represents the data.

    Returns
    -------
    r : np.float64,
        the radius of the minimum enclosing ball of examples in feature space.
    """
    K = validation.check_K(K).numpy()
    n = K.shape[0]
    P = 2 * matrix(K)
    p = -matrix(K.diagonal())
    G = -spdiag([1.0] * n)
    h = matrix([0.0] * n)
    A = matrix([1.0] * n).T
    b = matrix([1.0])
    solvers.options['show_progress']=False
    sol = solvers.qp(P,p,G,h,A,b)
    return abs(sol['primal objective'])**.5 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def __init__(self, transitions, reward, discount, skip_check=False):
        # Initialise a linear programming MDP.
        # import some functions from cvxopt and set them as object methods
        try:
            from cvxopt import matrix, solvers
            self._linprog = solvers.lp
            self._cvxmat = matrix
        except ImportError:
            raise ImportError("The python module cvxopt is required to use "
                              "linear programming functionality.")
        # initialise the MDP. epsilon and max_iter are not needed
        MDP.__init__(self, transitions, reward, discount, None, None,
                     skip_check=skip_check)
        # Set the cvxopt solver to be quiet by default, but ...
        # this doesn't do what I want it to do c.f. issue #3
        if not self.verbose:
            solvers.options['show_progress'] = False 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def default_psd_opts():
    """
    Return default options for psd method


    Returns
    -------
    dict : dictionary
        Default options for psd method

    """
    return {  # Default option values
        'method': 'cvx',  # solution method (no other currently supported)
        'bas_nonneg': True,  # bseline strictly non-negative
        'noise_range': (.25, .5),  # frequency range for averaging noise PSD
        'noise_method': 'logmexp',  # method of averaging noise PSD
        'lags': 5,  # number of lags for estimating time constants
        'resparse': 0,  # times to resparse original solution (not supported)
        'fudge_factor': 1,  # fudge factor for reducing time constant bias
        'verbosity': False,  # display optimization details
    } 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def margin(K,Y):
    """evaluate the margin in a classification problem of examples in feature space.
    If the classes are not linearly separable in feature space, then the
    margin obtained is 0.

    Note that it works only for binary tasks.

    Parameters
    ----------
    K : (n,n) ndarray,
        the kernel that represents the data.
    Y : (n) array_like,
        the labels vector.
    """
    K, Y = validation.check_K_Y(K, Y, binary=True)
    n = Y.size()[0]
    Y = [1 if y==Y[0] else -1 for y in Y]
    YY = spdiag(Y)
    P = 2*(YY*matrix(K.numpy())*YY)
    p = matrix([0.0]*n)
    G = -spdiag([1.0]*n)
    h = matrix([0.0]*n)
    A = matrix([[1.0 if Y[i]==+1 else 0 for i in range(n)],
                [1.0 if Y[j]==-1 else 0 for j in range(n)]]).T
    b = matrix([[1.0],[1.0]],(2,1))
    solvers.options['show_progress']=False
    sol = solvers.qp(P,p,G,h,A,b)
    return sol['primal objective']**.5 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def opt_radius(K, init_sol=None): 
    n = K.shape[0]
    K = matrix(K.numpy())
    P = 2 * K
    p = -matrix([K[i,i] for i in range(n)])
    G = -spdiag([1.0] * n)
    h = matrix([0.0] * n)
    A = matrix([1.0] * n).T
    b = matrix([1.0])
    solvers.options['show_progress']=False
    sol = solvers.qp(P,p,G,h,A,b,initvals=init_sol)
    radius2 = (-p.T * sol['x'])[0] - (sol['x'].T * K * sol['x'])[0]
    return sol, radius2 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def opt_margin(K, YY, init_sol=None):
    '''optimized margin evaluation'''
    n = K.shape[0]
    P = 2 * (YY * matrix(K.numpy()) * YY)
    p = matrix([0.0]*n)
    G = -spdiag([1.0]*n)
    h = matrix([0.0]*n)
    A = matrix([[1.0 if YY[i,i]==+1 else 0 for i in range(n)],
                [1.0 if YY[j,j]==-1 else 0 for j in range(n)]]).T
    b = matrix([[1.0],[1.0]],(2,1))
    solvers.options['show_progress']=False
    sol = solvers.qp(P,p,G,h,A,b,initvals=init_sol) 
    margin2 = sol['primal objective']
    return sol, margin2 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def opt_margin(K,YY,init_sol=None):
	'''optimized margin evaluation'''
	n = K.shape[0]
	P = 2 * (YY * matrix(K) * YY)
	p = matrix([0.0]*n)
	G = -spdiag([1.0]*n)
	h = matrix([0.0]*n)
	A = matrix([[1.0 if YY[i,i]==+1 else 0 for i in range(n)],
				[1.0 if YY[j,j]==-1 else 0 for j in range(n)]]).T
	b = matrix([[1.0],[1.0]],(2,1))
	solvers.options['show_progress']=False
	sol = solvers.qp(P,p,G,h,A,b,initvals=init_sol)	
	margin2 = sol['primal objective']
	return margin2, sol['x'], sol 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def _fit(self,X,Y):    
        self.X = X
        values = np.unique(Y)
        Y = [1 if l==values[1] else -1 for l in Y]
        self.Y = Y
        npos = len([1.0 for l in Y if l == 1])
        nneg = len([1.0 for l in Y if l == -1])
        gamma_unif = matrix([1.0/npos if l == 1 else 1.0/nneg for l in Y])
        YY = matrix(np.diag(list(matrix(Y))))

        Kf = self.__kernel_definition__()
        ker_matrix = matrix(Kf(X,X).astype(np.double))
        #KLL = (1.0 / (gamma_unif.T * YY * ker_matrix * YY * gamma_unif)[0])*(1.0-self.lam)*YY*ker_matrix*YY
        KLL = (1.0-self.lam)*YY*ker_matrix*YY
        LID = matrix(np.diag([self.lam * (npos * nneg / (npos+nneg))]*len(Y)))
        Q = 2*(KLL+LID)
        p = matrix([0.0]*len(Y))
        G = -matrix(np.diag([1.0]*len(Y)))
        h = matrix([0.0]*len(Y),(len(Y),1))
        A = matrix([[1.0 if lab==+1 else 0 for lab in Y],[1.0 if lab2==-1 else 0 for lab2 in Y]]).T
        b = matrix([[1.0],[1.0]],(2,1))
        
        solvers.options['show_progress'] = False#True
        solvers.options['maxiters'] = self.max_iter
        sol = solvers.qp(Q,p,G,h,A,b)
        self.gamma = sol['x']
        if self.verbose:
            print ('[KOMD]')
            print ('optimization finished, #iter = %d' % sol['iterations'])
            print ('status of the solution: %s' % sol['status'])
            print ('objval: %.5f' % sol['primal objective'])
            
        bias = 0.5 * self.gamma.T * ker_matrix * YY * self.gamma
        self.bias = bias
        self.is_fitted = True
        self.ker_matrix = ker_matrix
        return self 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def update(self, b, x, x2):

        # Update portfolio with no regret
        last_x = x[-1, :]
        leader = np.zeros_like(last_x)
        leader[np.argmax(last_x)] = -1

        b = simplex_proj(self.opt.optimize(leader, b))

        # Manage allocation risk
        b = minimize(
            self.loss,
            b,
            args=(*risk.polar_returns(x2, self.k), last_x),
            constraints=self.cons,
            options={'maxiter': 300},
            tol=1e-6,
            bounds=tuple((0,1) for _ in range(b.shape[0]))
        )

        # Log variables
        self.log['lr'] = "%.4f" % self.opt.lr
        self.log['mpc'] = "%.4f" % self.mpc
        self.log['risk'] = "%.6f" % b['fun']

        # Return best portfolio
        return b['x'] 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def loss(self, w, alpha, Z, x):
        # minimize allocation risk
        gamma = self.estimate_gamma(alpha, Z, w)
        # if the experts mean returns are low and you have no options, you can choose fiat
        return self.rc * gamma + w[-1] * ((x.mean()) * x.var()) ** 2 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def fit(self, x, y):
        from cvxopt import matrix, solvers
        solvers.options['show_progress'] = False

        check_classification_targets(y)
        x, y = check_X_y(x, y)
        x_s, x_u = x[y == +1, :], x[y == 0, :]
        n_s, n_u = len(x_s), len(x_u)

        p_p = self.prior
        p_n = 1 - self.prior
        p_s = p_p ** 2 + p_n ** 2
        k_s = self._basis(x_s)
        k_u = self._basis(x_u)
        d = k_u.shape[1]

        P = np.zeros((d + 2 * n_u, d + 2 * n_u))
        P[:d, :d] = self.lam * np.eye(d)
        q = np.vstack((
            -p_s / (n_s * (p_p - p_n)) * k_s.T.dot(np.ones((n_s, 1))),
            -p_n / (n_u * (p_p - p_n)) * np.ones((n_u, 1)),
            -p_p / (n_u * (p_p - p_n)) * np.ones((n_u, 1))
        ))
        G = np.vstack((
            np.hstack((np.zeros((n_u, d)), -np.eye(n_u), np.zeros((n_u, n_u)))),
            np.hstack((0.5 * k_u, -np.eye(n_u), np.zeros((n_u, n_u)))),
            np.hstack((k_u, -np.eye(n_u), np.zeros((n_u, n_u)))),
            np.hstack((np.zeros((n_u, d)), np.zeros((n_u, n_u)), -np.eye(n_u))),
            np.hstack((-0.5 * k_u, np.zeros((n_u, n_u)), -np.eye(n_u))),
            np.hstack((-k_u, np.zeros((n_u, n_u)), -np.eye(n_u)))
        ))
        h = np.vstack((
            np.zeros((n_u, 1)),
            -0.5 * np.ones((n_u, 1)),
            np.zeros((n_u, 1)),
            np.zeros((n_u, 1)),
            -0.5 * np.ones((n_u, 1)),
            np.zeros((n_u, 1))
        ))
        sol = solvers.qp(matrix(P), matrix(q), matrix(G), matrix(h))
        self.coef_ = np.array(sol['x'])[:d] 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def find_nearest_valid_distribution(u_alpha, kernel, initial=None, reg=0):
    """ (solution,distance_sqd)=find_nearest_valid_distribution(u_alpha,kernel):
    Given a n-vector u_alpha summing to 1, with negative terms, 
    finds the distance (squared) to the nearest n-vector summing to 1, 
    with non-neg terms. Distance calculated using nxn matrix kernel. 
    Regularization parameter reg -- 

    min_v (u_alpha - v)^\top K (u_alpha - v) + reg* v^\top v"""

    P = matrix(2 * kernel)
    n = kernel.shape[0]
    q = matrix(np.dot(-2 * kernel, u_alpha))
    A = matrix(np.ones((1, n)))
    b = matrix(1.)
    G = spmatrix(-1., range(n), range(n))
    h = matrix(np.zeros(n))
    dims = {'l': n, 'q': [], 's': []}
    solvers.options['show_progress'] = False
    solution = solvers.coneqp(
        P,
        q,
        G,
        h,
        dims,
        A,
        b,
        initvals=initial
        )
    distance_sqd = solution['primal objective'] + np.dot(u_alpha.T,
            np.dot(kernel, u_alpha))[0, 0]
    return (solution, distance_sqd) 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def calculate(self, x_fit: np.ndarray) -> np.ndarray:
        if x_fit.ndim == 1:
            x_fit = x_fit.reshape(x_fit.shape[0], 1)
        solvers.options['show_progress'] = False

        M = self.X.collapse()

        N, p1 = M.shape
        nvars, p2 = x_fit.T.shape
        C = _numpy_to_cvxopt_matrix(x_fit)
        Q = C.T * C

        lb_A = -np.eye(nvars)
        lb = np.repeat(0, nvars)
        A = _numpy_None_vstack(None, lb_A)
        b = _numpy_None_concatenate(None, -lb)
        A = _numpy_to_cvxopt_matrix(A)
        b = _numpy_to_cvxopt_matrix(b)

        Aeq = _numpy_to_cvxopt_matrix(np.ones((1, nvars)))
        beq = _numpy_to_cvxopt_matrix(np.ones(1))

        M = np.array(M, dtype=np.float64)
        self.map = np.zeros((N, nvars), dtype=np.float32)
        for n1 in range(N):
            d = matrix(M[n1], (p1, 1), 'd')
            q = - d.T * C
            sol = solvers.qp(Q, q.T, A, b, Aeq, beq, None, None)['x']
            self.map[n1] = np.array(sol).squeeze()
        self.map = self.map.reshape(self.X.shape[:-1] + (x_fit.shape[-1],))

        return self.map 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def _design_knockoff_sdp(exog):
    """
    Use semidefinite programming to construct a knockoff design
    matrix.
    Requires cvxopt to be installed.
    """

    try:
        from cvxopt import solvers, matrix
    except ImportError:
        raise ValueError("SDP knockoff designs require installation of cvxopt")

    nobs, nvar = exog.shape

    # Standardize exog
    xnm = np.sum(exog**2, 0)
    xnm = np.sqrt(xnm)
    exog = exog / xnm

    Sigma = np.dot(exog.T, exog)

    c = matrix(-np.ones(nvar))

    h0 = np.concatenate((np.zeros(nvar), np.ones(nvar)))
    h0 = matrix(h0)
    G0 = np.concatenate((-np.eye(nvar), np.eye(nvar)), axis=0)
    G0 = matrix(G0)

    h1 = 2 * Sigma
    h1 = matrix(h1)
    i, j = np.diag_indices(nvar)
    G1 = np.zeros((nvar * nvar, nvar))
    G1[i * nvar + j, i] = 1
    G1 = matrix(G1)

    solvers.options['show_progress'] = False
    sol = solvers.sdp(c, G0, h0, [G1], [h1])
    sl = np.asarray(sol['x']).ravel()

    xcov = np.dot(exog.T, exog)
    exogn = _get_knmat(exog, xcov, sl)

    return exog, exogn, sl 

# 需要導入模塊: from cvxopt import solvers [as 別名]
# 或者: from cvxopt.solvers import options [as 別名]
def _design_knockoff_sdp(exog):
    """
    Use semidefinite programming to construct a knockoff design
    matrix.

    Requires cvxopt to be installed.
    """

    try:
        from cvxopt import solvers, matrix
    except ImportError:
        raise ValueError("SDP knockoff designs require installation of cvxopt")

    nobs, nvar = exog.shape

    # Standardize exog
    xnm = np.sum(exog**2, 0)
    xnm = np.sqrt(xnm)
    exog /= xnm

    Sigma = np.dot(exog.T, exog)

    c = matrix(-np.ones(nvar))

    h0 = np.concatenate((np.zeros(nvar), np.ones(nvar)))
    h0 = matrix(h0)
    G0 = np.concatenate((-np.eye(nvar), np.eye(nvar)), axis=0)
    G0 = matrix(G0)

    h1 = 2 * Sigma
    h1 = matrix(h1)
    i, j = np.diag_indices(nvar)
    G1 = np.zeros((nvar*nvar, nvar))
    G1[i*nvar + j, i] = 1
    G1 = matrix(G1)

    solvers.options['show_progress'] = False
    sol = solvers.sdp(c, G0, h0, [G1], [h1])
    sl = np.asarray(sol['x']).ravel()

    xcov = np.dot(exog.T, exog)
    exogn = _get_knmat(exog, xcov, sl)

    return exog, exogn, sl