Scipy.Optimize

目录

1.Scipy.Optimize.Minimize

例子1：数学问题，非线性函数在约定条件下求解最小值问题

例子2：机器学习寻找参数

---

 

1.Scipy.Optimize.Minimize

Source:   https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html#scipy.optimize.minimize

 

scipy.optimize.minimize(fun, x0, args=(), method=None, jac=None, hess=None, hessp=None, bounds=None, constraints=(), tol=None, callback=None, options=None)[source]

fun callable

The objective function to be minimized.

fun(x, *args) -> float

where x is an 1-D array with shape (n,) and args is a tuple of the fixed parameters needed to completely specify the function.

#x是一维数组，目标函数所需的固定参数的元组，由后面的args初始化

x0 ndarray, shape (n,)

Initial guess. Array of real elements of size (n,), where ‘n’ is the number of independent variables.

#初始化自变量参数

args tuple, optional

Extra arguments passed to the objective function and its derivatives (fun, jacand hess functions).

#传递给目标函数的额外参数

method:  str or callable, optional

Method for computing the gradient vector.  

#计算梯度的方法

例子1：数学问题，非线性函数在约定条件下求解最小值问题

Source：http://apmonitor.com/che263/index.php/Main/PythonOptimization

 

Scipy.Optimize.Minimize is demonstrated for solving a nonlinear objective function

subject to general inequality and equality constraints.

def objective(x):
    x1 = x[0]
    x2 = x[1]
    x3 = x[2]
    x4 = x[3]
    return x1*x4*(x1+x2+x3)+x3

def constraint1(x):
    return x[0]*x[1]*x[2]*x[3]-25.0

def constraint2(x):
    sum_sq = 40
    for i in range(4):
        sum_sq = sum_sq - x[i]**2
    return sum_sq

x0 = [1, 5 , 5, 1]
print(objective(x0))
#16

b = (1.0 , 5.0)
bnds = (b,b,b,b)
cons1 = {'type' : 'ineq' , 'fun' : constraint1}
cons2 = {'type' : 'eq' , 'fun' : constraint2}
cons = [cons1,cons2]

sol = minimize(objective, x0, method='SLSQP', bounds=bnds, constraints=cons)
print(sol)

    fun: 17.01401724563517
     jac: array([14.57227015,  1.37940764,  2.37940764,  9.56415057])
 message: 'Optimization terminated successfully.'
    nfev: 30
     nit: 5
    njev: 5
  status: 0
 success: True
       x: array([1.        , 4.7429961 , 3.82115462, 1.37940765])

例子2：机器学习寻找参数

在吴恩达cs229的机器学习

作业1中 linear_regression中，通过Gradient Descent方法，设置学习率，循环次数，进行寻找参数

而在作业2中 logistic_regression中，我们采用scipy.optimize,minimize,去寻找参数。

详细细节，请参考作业，这里只贴出关键代码

Source : https://study.163.com/course/courseMain.htm?courseId=1004570029&_trace_c_p_k2_=00b4467624554d9fae0c292a58af0a45

theta = theta=np.zeros(3) 

def cost(theta, X, y):
    costf = np.mean(-y * np.log(sigmoid(X.dot(theta))) - (1 - y) * np.log(1 - sigmoid(X @ theta)))
    return costf

def gradient(theta, X, y):   
    grad = (1 / len(X)) * X.T @ (sigmoid(X @ theta) - y)
    return grad

import scipy.optimize as opt
res = opt.minimize(fun=cost, x0=theta, args=(X, y), method='Newton-CG', jac=gradient)
print(res)