如何解决具有非线性约束的科学最小化
我正在尝试优化此模型:
最小化obj:sum(变量* a)
s.t:1)sum(log(变量)* c)> = b
-
sum(variables)= 1
-
变量> = 0
其中'a'和'b'是常数,'c'是类型概率的向量。我尝试了scipy包中的三种不同方法,但是没有一种有效。这是我使用'trust-constr'方法的代码
def objective(x):
return np.sum(np.dot(x,v))
lincos = LinearConstraint( [1]*(len(f)),1,1)
lincos1 = LinearConstraint( [1]*(len(f)),np.inf)
nonlincos = NonlinearConstraint(constraint,0.01,np.inf)
result1 = minimize(objective,f,method='trust-constr',constraints=[lincos,lincos1,nonlincos ] )
这给出了一个值错误,在该值以下,我认为这与我的日志约束有关,但我不知道该如何解决。
............................................... .................................
ValueError Traceback (most recent call last)
<ipython-input-97-18fbd5e75692> in <module>
----> 1 result1 = minimize(objective,nonlincos ] )
~\Anaconda3\lib\site-packages\scipy\optimize\_minimize.py in minimize(fun,x0,args,method,jac,hess,hessp,bounds,constraints,tol,callback,options)
620 return _minimize_trustregion_constr(fun,621 bounds,--> 622 callback=callback,**options)
623 elif meth == 'dogleg':
624 return _minimize_dogleg(fun,~\Anaconda3\lib\site-packages\scipy\optimize\_trustregion_constr\minimize_trustregion_constr.py in _minimize_trustregion_constr(fun,grad,xtol,gtol,barrier_tol,sparse_jacobian,maxiter,verbose,finite_diff_rel_step,initial_constr_penalty,initial_tr_radius,initial_barrier_parameter,initial_barrier_tolerance,factorization_method,disp)
517 initial_barrier_tolerance,518 initial_constr_penalty,--> 519 factorization_method)
520
521 # Status 3 occurs when the callback function requests termination,~\Anaconda3\lib\site-packages\scipy\optimize\_trustregion_constr\tr_interior_point.py in tr_interior_point(fun,lagr_hess,n_vars,n_ineq,n_eq,constr,fun0,grad0,constr_ineq0,jac_ineq0,constr_eq0,jac_eq0,stop_criteria,enforce_feasibility,state,initial_tolerance,initial_penalty,initial_trust_radius,factorization_method)
327 constr0_subprob,jac0_subprob,subprob.stop_criteria,328 state,trust_radius,--> 329 factorization_method,trust_lb,trust_ub,subprob.scaling)
330 if subprob.terminate:
331 break
~\Anaconda3\lib\site-packages\scipy\optimize\_trustregion_constr\equality_constrained_sqp.py in equality_constrained_sqp(fun_and_constr,grad_and_jac,constr0,jac0,scaling)
119 dt,cg_info = projected_cg(H,c_t,Z,Y,b_t,120 trust_radius_t,--> 121 lb_t,ub_t)
122
123 # Compute update (normal + tangential steps).
~\Anaconda3\lib\site-packages\scipy\optimize\_trustregion_constr\qp_subproblem.py in projected_cg(H,c,b,lb,ub,max_iter,max_infeasible_iter,return_all)
497 # Initial Values
498 x = Y.dot(-b)
--> 499 r = Z.dot(H.dot(x) + c)
500 g = Z.dot(r)
501 p = -g
~\Anaconda3\lib\site-packages\scipy\sparse\linalg\interface.py in dot(self,x)
413
414 if x.ndim == 1 or x.ndim == 2 and x.shape[1] == 1:
--> 415 return self.matvec(x)
416 elif x.ndim == 2:
417 return self.matmat(x)
~\Anaconda3\lib\site-packages\scipy\sparse\linalg\interface.py in matvec(self,x)
227 raise ValueError('dimension mismatch')
228
--> 229 y = self._matvec(x)
230
231 if isinstance(x,np.matrix):
~\Anaconda3\lib\site-packages\scipy\sparse\linalg\interface.py in _matvec(self,x)
525
526 def _matvec(self,x):
--> 527 return self.__matvec_impl(x)
528
529 def _rmatvec(self,x):
~\Anaconda3\lib\site-packages\scipy\optimize\_trustregion_constr\projections.py in null_space(x)
191 # v = P inv(R) Q.T x
192 aux1 = Q.T.dot(x)
--> 193 aux2 = scipy.linalg.solve_triangular(R,aux1,lower=False)
194 v = np.zeros(m)
195 v[P] = aux2
~\Anaconda3\lib\site-packages\scipy\linalg\basic.py in solve_triangular(a,trans,lower,unit_diagonal,overwrite_b,debug,check_finite)
334
335 a1 = _asarray_validated(a,check_finite=check_finite)
--> 336 b1 = _asarray_validated(b,check_finite=check_finite)
337 if len(a1.shape) != 2 or a1.shape[0] != a1.shape[1]:
338 raise ValueError('expected square matrix')
~\Anaconda3\lib\site-packages\scipy\_lib\_util.py in _asarray_validated(a,check_finite,sparse_ok,objects_ok,mask_ok,as_inexact)
244 raise ValueError('masked arrays are not supported')
245 toarray = np.asarray_chkfinite if check_finite else np.asarray
--> 246 a = toarray(a)
247 if not objects_ok:
248 if a.dtype is np.dtype('O'):
~\Anaconda3\lib\site-packages\numpy\lib\function_base.py in asarray_chkfinite(a,dtype,order)
497 if a.dtype.char in typecodes['AllFloat'] and not np.isfinite(a).all():
498 raise ValueError(
--> 499 "array must not contain infs or NaNs")
500 return a
501
ValueError: array must not contain infs or NaNs
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