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import numpy as np
from numpy.random import default_rng
from matplotlib import pyplot as plt
import matplotlib as mpl
from matplotlib.ticker import LogLocator
import os
import pickle
mpl.rcParams.update(mpl.rcParamsDefault)
class TrackingFcn:
errordef = 1
def __init__(self, rng, npar):
self.ncall = 0
self.y = 5 * rng.standard_normal(npar)
def __call__(self, par, *args):
self.ncall += 1
# make problem non-linear
z = self.y - par
return np.sum(z**2 + 0.1 * z**4)
class Runner:
def __init__(self, npars):
self.npars = npars
def __call__(self, seed):
from iminuit import Minuit
import nlopt
from scipy.optimize import minimize
data = []
rng = default_rng(seed)
for npar in self.npars:
fcn = TrackingFcn(rng, npar)
for stra in (0, 1, 2):
key = f"Minuit2/strategy={stra}"
print(key, npar)
fcn.ncall = 0
m = Minuit(fcn, np.zeros(npar))
m.strategy = stra
m.migrad()
max_dev = np.max(np.abs(m.np_values() - fcn.y))
data.append((key, npar, fcn.ncall, max_dev))
for algo in ("BOBYQA", "NEWUOA", "PRAXIS", "SBPLX"):
if npar == 1 and algo == "PRAXIS":
continue # PRAXIS does not work for npar==1
print(algo, npar)
fcn.ncall = 0
opt = nlopt.opt(getattr(nlopt, "LN_" + algo), npar)
opt.set_min_objective(lambda par, grad: fcn(par))
opt.set_xtol_abs(1e-2)
try:
xopt = opt.optimize(np.zeros(npar))
max_dev = np.max(np.abs(xopt - fcn.y))
key = f"nlopt/{algo}"
data.append((key, npar, fcn.ncall, max_dev))
except Exception:
pass
for algo in ("BFGS", "CG", "Powell", "Nelder-Mead"):
print(algo, npar)
fcn.ncall = 0
result = minimize(fcn, np.zeros(npar), method=algo, jac=False)
max_dev = np.max(np.abs(result.x - fcn.y))
key = f"scipy/{algo}"
data.append((key, npar, fcn.ncall, max_dev))
return data
if os.path.exists("bench.pkl"):
with open("bench.pkl", "rb") as f:
results = pickle.load(f)
else:
npars = (1, 2, 3, 4, 6, 10, 20, 30, 40, 60, 100)
from numpy.random import SeedSequence
from concurrent.futures import ProcessPoolExecutor as Pool
sg = SeedSequence(1)
with Pool() as p:
results = tuple(p.map(Runner(npars), sg.spawn(16)))
with open("bench.pkl", "wb") as f:
pickle.dump(results, f)
# plt.figure()
# f = TrackingFcn(default_rng(), 2)
# x = np.linspace(-10, 10)
# X, Y = np.meshgrid(x, x)
# F = np.empty_like(X)
# for i, xi in enumerate(x):
# for j, yi in enumerate(x):
# F[i, j] = f((xi, yi))
# plt.pcolormesh(X, Y, F.T)
# plt.colorbar()
methods = {}
for data in results:
for key, npar, ncal, maxdev in data:
methods.setdefault(key, {}).setdefault(npar, []).append((ncal, maxdev))
fig, ax = plt.subplots(1, 2, figsize=(10, 5), sharex=True)
plt.subplots_adjust(
top=0.96, bottom=0.14, left=0.075, right=0.81, hspace=0.2, wspace=0.25
)
handles = []
labels = []
markers = (
("o", 10),
("s", 7),
("D", 7),
("<", 7),
(">", 7),
("^", 7),
("v", 7),
("*", 9),
("X", 7),
("P", 7),
("p", 8),
)
for method, (m, ms) in zip(sorted(methods), markers):
ls = "-"
lw = 1
zorder = None
color = None
mfc = None
mew = 1
if "Minuit" in method:
ls = "-"
lw = 2
zorder = 10
color = "k"
mfc = "w"
mew = 2
data = methods[method]
npars = np.sort(list(data))
ncalls = np.empty_like(npars)
max_devs = np.empty_like(npars, dtype=float)
for i, npar in enumerate(npars):
nc, md = np.transpose(data[npar])
ncalls[i] = np.median(nc)
max_devs[i] = np.median(md)
plt.sca(ax[0])
(p,) = plt.plot(
npars,
ncalls / npars,
ls=ls,
lw=lw,
marker=m,
ms=ms,
zorder=zorder,
color=color,
mfc=mfc,
mew=mew,
)
handles.append(p)
labels.append(method)
plt.xlabel("$N_\\mathrm{par}$")
plt.ylabel("$N_\\mathrm{call}$ / $N_\\mathrm{par}$")
plt.loglog()
plt.ylim(8, 5e2)
plt.xlim(0.7, 150)
plt.sca(ax[1])
plt.xlabel("$N_\\mathrm{par}$")
plt.ylabel("maximum deviation")
plt.plot(
npars,
max_devs,
lw=lw,
ls=ls,
marker=m,
ms=ms,
zorder=zorder,
color=color,
mfc=mfc,
mew=mew,
)
plt.loglog()
plt.gca().yaxis.set_major_locator(LogLocator(numticks=100))
plt.figlegend(handles, labels, loc="center right", fontsize="small")
plt.savefig("bench.svg")
plt.figure(constrained_layout=True)
plt.loglog()
for method, (m, ms) in zip(sorted(methods), markers):
zorder = None
color = None
mfc = None
mew = 1
if "Minuit" in method:
zorder = 10
color = "k"
mfc = "w"
mew = 2
data = methods[method]
x = []
y = []
s = []
for npar in (2, 10, 100):
if npar not in data:
continue
nc, md = np.transpose(data[npar])
x.append(np.median(nc) / npar)
y.append(np.median(md))
s.append(50 * npar**0.5)
plt.scatter(x, y, s, marker=m, color=mfc, edgecolor=color, zorder=zorder)
plt.xlabel("$N_\\mathrm{call}$ / $N_\\mathrm{par}$")
plt.ylabel("maximum deviation")
plt.title("small: npar = 2, medium: npar = 10, large: npar = 100")
plt.savefig("bench2d.svg")
plt.show()
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