Mailman 3 December 2011 - SciPy-Dev

SLSQP Constrained Optimizer Status
by Rob Falck 25 Nov '13

25 Nov '13

I'm currently implementing the Sequential Least Squares Quadratic Programming (SLSQP) optimizer, by Dieter Kraft, for use in Scipy. The Fortran code being wrapped with F2PY is here: http://www.netlib.org/toms/733 (its use within Scipy has been cleared) SLSQP provides for bounds on the independent variables, as well as equality and inequality constraint functions, which is a capability that doesn't exist in scipy.optimize. Currently the code works, although the constraint normals are being generated by approximation. I'm working on a way to pass these in. I think the most elegant way will be a single function that returns the matrix of constraint normals. For a demonstration of what the code can do, here is an optimization of f(x,y) = 2xy + 2x - x**2 - 2y**2 Example 14.2 in Chapra & Canale gives the maximum as x=2.0, y=1.0. The unbounded optimization tests find this solution. As expected, its faster when derivatives are provided rather than approximated. Unbounded optimization. Derivatives approximated. Elapsed time: 1.45792961121 ms Results [[1.9999999515712266, 0.99999996181577444], -1.9999999999999984, 4, 0, 'Optimization terminated successfully.'] Unbounded optimization. Derivatives provided. Elapsed time: 1.03211402893 ms Results [[1.9999999515712266, 0.99999996181577444], -1.9999999999999984, 4, 0, 'Optimization terminated successfully.'] The following example uses an equality constraint to find the optimal when x=y. Bound optimization. Derivatives approximated. Elapsed time: 1.384973526 ms Results [[0.99999996845920858, 0.99999996845920858], -0.99999999999999889, 4, 0, 'Optimization terminated successfully.'] I've tried to conform to the syntax used by the other optimizers in scipy.optimize. The function definition and doc string are below. If anyone is interested in testing it out, let me know. def fmin_slsqp( func, x0 , eqcons=[], f_eqcons=None, ieqcons=[], f_ieqcons=None, bounds = [], fprime = None, fprime_cons=None,args = (), iter = 100, acc = 1.0E-6, iprint = 1, full_output = 0, epsilon = _epsilon ): """ Minimize a function using Sequential Least SQuares Programming Description: Python interface function for the SLSQP Optimization subroutine originally implemented by Dieter Kraft. Inputs: func - Objective function (in the form func(x, *args)) x0 - Initial guess for the independent variable(s). eqcons - A list of functions of length n such that eqcons[j](x0,*args) == 0.0 in a successfully optimized problem f_eqcons - A function of the form f_eqcons(x, *args) that returns an array in which each element must equal 0.0 in a successfully optimized problem. If f_eqcons is specified, eqcons is ignored. ieqcons - A list of functions of length n such that ieqcons[j](x0,*args) >= 0.0 in a successfully optimized problem f_ieqcons - A function of the form f_ieqcons(x0, *args) that returns an array in which each element must be greater or equal to 0.0 in a successfully optimized problem. If f_ieqcons is specified, ieqcons is ignored. bounds - A list of tuples specifying the lower and upper bound for each independent variable [ (xl0, xu0), (xl1, xu1), ...] fprime - A function that evaluates the partial derivatives of func fprime_cons - A function of the form f(x, *args) that returns the m by n array of constraint normals. If not provided, the normals will be approximated. Equality constraint normals precede inequality constraint normals. args - A sequence of additional arguments passed to func and fprime iter - The maximum number of iterations (int) acc - Requested accuracy (float) iprint - The verbosity of fmin_slsqp. iprint <= 0 : Silent operation iprint == 1 : Print summary upon completion (default) iprint >= 2 : Print status of each iterate and summary full_output - If 0, return only the minimizer of func (default). Otherwise, output final objective function and summary information. epsilon - The step size for finite-difference derivative estimates. Outputs: ( x, { fx, gnorm, its, imode, smode }) x - The final minimizer of func. fx - The final value of the objective function. its - The number of iterations. imode - The exit mode from the optimizer, as an integer. smode - A string describing the exit mode from the optimizer. Exit modes are defined as follows: -1 : Gradient evaluation required (g & a) 0 : Optimization terminated successfully. 1 : Function evaluation required (f & c) 2 : Number of equality constraints larger than number of independent variables 3 : More than 3*n iterations in LSQ subproblem 4 : Inequality constraints incompatible 5 : Singular matrix E in LSQ subproblem 6 : Singular matrix C in LSQ subproblem 7 : Rank-deficient equality constraint subproblem HFTI 8 : Positive directional derivative for linesearch 9 : Iteration limit exceeded -- - Rob Falck

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prepending underscores to private module names
by Ralf Gommers 16 May '12

16 May '12

Hi, A while ago we discussed making a clear distinction between public and private modules by using underscores consistently, see http://thread.gmane.org/gmane.comp.python.scientific.devel/14936. I've done this for a few modules now, see https://github.com/rgommers/scipy/tree/underscores. Most files could simply be underscored, some other would conflict with extension modules so I also had to append _py to the name. Also I added a file doc/source/api.rst that states which modules are public (up for discussion of course). With google code search I checked how common it is to import from modules that are supposed to be private, for example "from scipy.optimize.optimize import fmin". It's not very common but does happen, so deprecation warnings should be put in. Before going further I'd like to check that this looks okay to people. What do you think? Cheers, Ralf <https://github.com/rgommers/scipy/tree/underscores>

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studentized range approximations
by Roger Lew 29 Mar '12

29 Mar '12

Hi, I have implemented some approximations for studentized range quantiles and probabilities based on John R. Gleason's (1999) "An accurate, non-iterative approximation for studentized range quantiles." Computational Statistics & Data Analysis, (31), 147-158. Probability approximations rely on scipy.optimize.fminbound. The functions accept both scalars or array-like data thanks to numpy.vectorize. A fair amount of validation and testing has been conducted on the code. More details can be found here: http://code.google.com/p/qsturng-py/ I welcome any thoughts as to whether you all think this might be useful to add to SciPy or make into a scikit. Any general comments would be helpful as well. I should mention I'm a cognitive neuroscientist by trade, my use of statistical jargon probably isn't that good. Regards, Roger Roger Lew

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Update on pythonequations unit tests
by James Phillips 14 Mar '12

14 Mar '12

From: Alan G Isaac <alan.isaac <at> gmail.com> Subject: Re: Subversion scipy.stats irregular problem with source code example<http://news.gmane.org/find-root.php?message_id=%3c4CA22FA3.5080402%40gmail.…> Newsgroups: gmane.comp.python.scientific.devel<http://news.gmane.org/gmane.comp.python.scientific.devel> Date: 2010-09-28 18:10:43 GMT (1 year, 2 weeks, 1 day, 15 hours and 46 minutes ago) As long as you can provide unit tests, I don't see a problem. But you and Skipper shd work out the details. Cheers, Alan Isaac ------------------------------------------------------------------------------------------------------------------ I have 76 unit tests so far, see below. I'm working on more, and expect to be done sometime around the end of this year. James Phillips http://zunzun.com testCalculateCoefficientAndFitStatisticsUsingDE_2D (Test_CalculateCoefficientAndFitStatistics.TestCalculateCoefficientAndFitStatistics) ... ok testCalculateCoefficientAndFitStatisticsUsingSpline_2D (Test_CalculateCoefficientAndFitStatistics.TestCalculateCoefficientAndFitStatistics) ... ok testDataCache_2D (Test_DataCache.TestDataCache) ... ok testDataCache_3D (Test_DataCache.TestDataCache) ... ok testReducedDataSize_2D (Test_DataCache.TestDataCache) ... ok testConversionOfColumns_ASCII_2D_NoWeights (Test_DataConverterService.TestConversions) ... ok testConversionOfColumns_ASCII_2D_NoWeights_ExampleData (Test_DataConverterService.TestConversions) ... ok testConversionOfColumns_ASCII_2D_Weights (Test_DataConverterService.TestConversions) ... ok testConversionOfColumns_ASCII_3D_NoWeights (Test_DataConverterService.TestConversions) ... ok testConversionOfColumns_ASCII_3D_Weights (Test_DataConverterService.TestConversions) ... ok testPolynomialLinear_2D (Test_EquationPolynomials.TestEquationPolynomials) ... ok testPolynomialLinear_3D (Test_EquationPolynomials.TestEquationPolynomials) ... ok testExtendedVersion_Exponential_WithExponentialDecayAndOffset_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Exponential_WithExponentialDecay_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Exponential_WithExponentialGrowthAndOffset_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Exponential_WithExponentialGrowth_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Exponential_WithLinearDecayAndOffset_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Exponential_WithLinearDecay_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Exponential_WithLinearGrowthAndOffset_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Exponential_WithLinearGrowth_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Exponential_WithOffset_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Inverse_Exponential_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Inverse_Exponential_WithOffset_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Reciprocal_Exponential_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testExtendedVersion_Reciprocal_Exponential_WithOffset_2D (Test_ExtendedVersionHandlers.TestExtendedVersionHandlers) ... ok testArcTangent_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testCosine_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testExponential_VariableTimesNegativeOne_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testExponential_VariableUnchanged_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testHyperbolicCosine_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testHyperbolicSine_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testHyperbolicTangent_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testLog_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testOffset_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testPower_NegativeOne_OfLog_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testPower_NegativeOne_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testPower_NegativeTwo_OfLog_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testPower_NegativeTwo_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testPower_NegativeZeroPointFive_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testPower_OnePointFive_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testPower_Two_OfLog_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testPower_Two_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testPower_ZeroPointFive_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testSine_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testTangent_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testVariableUnchanged_Term (Test_IndividualPolyFunctions.TestPolyFunctions) ... ok testSplineSolve_2D (Test_ModelSolveMethods.TestModelSolveMethods) ... ok testSplineSolve_3D (Test_ModelSolveMethods.TestModelSolveMethods) ... ok testUserDefinedFunctionSolve_2D (Test_ModelSolveMethods.TestModelSolveMethods) ... ok testUserDefinedFunctionSolve_3D (Test_ModelSolveMethods.TestModelSolveMethods) ... ok testConversionFromCppToCSHARP (Test_OutputSourceCodeService.TestConversionsFromCPP) ... ok testConversionFromCppToJAVA (Test_OutputSourceCodeService.TestConversionsFromCPP) ... ok testConversionFromCppToMATLAB (Test_OutputSourceCodeService.TestConversionsFromCPP) ... ok testConversionFromCppToPYTHON (Test_OutputSourceCodeService.TestConversionsFromCPP) ... ok testConversionFromCppToSCILAB (Test_OutputSourceCodeService.TestConversionsFromCPP) ... ok testConversionFromCppToVBA (Test_OutputSourceCodeService.TestConversionsFromCPP) ... ok testGenerationOfCPP (Test_OutputSourceCodeService.TestGenerationOfOutputSourceCode) ... ok testGenerationOfCSHARP (Test_OutputSourceCodeService.TestGenerationOfOutputSourceCode) ... ok testGenerationOfJAVA (Test_OutputSourceCodeService.TestGenerationOfOutputSourceCode) ... ok testGenerationOfMATLAB (Test_OutputSourceCodeService.TestGenerationOfOutputSourceCode) ... ok testGenerationOfPYTHON (Test_OutputSourceCodeService.TestGenerationOfOutputSourceCode) ... ok testGenerationOfSCILAB (Test_OutputSourceCodeService.TestGenerationOfOutputSourceCode) ... ok testGenerationOfVBA (Test_OutputSourceCodeService.TestGenerationOfOutputSourceCode) ... ok testSolveUsingDE_2D (Test_SolverService.TestSolverService) ... ok testSolveUsingDE_3D (Test_SolverService.TestSolverService) ... ok testSolveUsingLevenbergMarquardt_2D (Test_SolverService.TestSolverService) ... ok testSolveUsingLevenbergMarquardt_3D (Test_SolverService.TestSolverService) ... ok testSolveUsingLinear_2D (Test_SolverService.TestSolverService) ... ok testSolveUsingLinear_3D (Test_SolverService.TestSolverService) ... ok testSolveUsingODR_2D (Test_SolverService.TestSolverService) ... ok testSolveUsingODR_3D (Test_SolverService.TestSolverService) ... ok testSolveUsingSimplex_3D (Test_SolverService.TestSolverService) ... ok testSolveUsingSimplex_SSQABS_2D (Test_SolverService.TestSolverService) ... ok testSolveUsingSimplex_SSQREL_2D (Test_SolverService.TestSolverService) ... ok testSolveUsingSpline_2D (Test_SolverService.TestSolverService) ... ok testSolveUsingSpline_3D (Test_SolverService.TestSolverService) ... ok ---------------------------------------------------------------------- Ran 76 tests in 94.615s OK

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installation of scipy on Mac OS X 10.7
by Ben Willmore 27 Jan '12

27 Jan '12

I have spent a day attempting to get a version of scipy that passes unit tests on Mac OS X 10.7. I hope the results of my investigations (below) are useful to others trying to do the same thing. Ben == Introduction I have attempted to obtain a version of scipy on Mac OS X 10.7 that passes unit tests, both by downloading it, or by compiling against the system's python, using the three C compilers available, and various compile flags. == Conclusions 1. Both Enthought Python 7.1 and the scipy superpack crash during scipy unit tests. 2. Compilation with the default C compiler (llvm-gcc-4.2) also leads to a crash during unit tests. 3. Compilation using either of the other C compilers (gcc-4.2 or clang) allows scipy to complete unit tests, only if the fortran flag --ff2c is used. In both cases, scipy passes almost all tests -- producing errors on one, and failing two more. With gcc-4.2, numpy passes all tests. With clang, numpy fails one test. 4. The following recipe was most successful for me: * Remove everything in /usr/local and /Library/Python/2.7/site-packages (BEWARE! These directories may well contain stuff you care about) * Install gfortran from here: http://r.research.att.com/gfortran-lion-5666-3.pkg mkdir ~/tmp cd ~/tmp git clone git://github.com/numpy/numpy.git cd numpy export CC=gcc-4.2 export CXX=g++-4.2 export FFLAGS=-ff2c python setupegg.py build --fcompiler=gfortran sudo python setupegg.py install cd ~/tmp git clone git://github.com/scipy/scipy.git cd scipy export CC=gcc-4.2 export CXX=g++-4.2 export FFLAGS=-ff2c python setupegg.py build --fcompiler=gfortran sudo python setupegg.py install (repeat for matplotlib, ipython ...) == Details of test results = Enthought python 7.1 numpy.test(): OK scipy.test(): Crash (Segmentation fault) = Scipy superpack numpy.test(): 3 failures: FAIL: test_umath_complex.TestCsqrt.test_special_values(<ufunc 'sqrt'>, 1, inf, inf, inf) FAIL: test_umath_complex.TestCsqrt.test_special_values(<ufunc 'sqrt'>, -1, inf, inf, inf) FAIL: test_umath_complex.TestCsqrt.test_special_values(<ufunc 'sqrt'>, 0.0, inf, inf, inf) FAIL: test_umath_complex.TestCsqrt.test_special_values(<ufunc 'sqrt'>, -0.0, inf, inf, inf) FAIL: test_umath_complex.TestCsqrt.test_special_values(<ufunc 'sqrt'>, inf, inf, inf, inf) FAIL: test_umath_complex.TestCsqrt.test_special_values(<ufunc 'sqrt'>, -inf, inf, inf, inf) FAIL: test_umath_complex.TestCsqrt.test_special_values(<ufunc 'sqrt'>, nan, inf, inf, inf) FAIL: test_umath_complex.TestCsqrt.test_special_values(<ufunc 'sqrt'>, -inf, 1, 0.0, inf) scipy.test(): Crash (Abort trap) = Compilation from scratch (see above for recipe) = llvm-gcc-4.2 = (no compiler flags) numpy.test(): OK scipy.test(): Crash (Segmentation fault: 11) = gcc-4.2 = CC=gcc-4.2 CXX=g++-4.2 numpy.test(): OK scipy.test(): Hang (during ARPACK tests) = clang = CC=clang CXX=clang++ numpy.test(): 1 failure: FAIL: Test basic arithmetic function errors AssertionError: Type <type 'numpy.complex64'> did not raise fpe error ''. scipy.test(): Hang (during ARPACK tests) = llvm-gcc-4.2 and -ff2c = FFLAGS=-ff2c numpy.test(): OK scipy.test(): Crash (Segmentation fault: 11) = gcc-4.2 and -ff2c = CC=gcc-4.2 CXX=g++-4.2 FFLAGS=-ff2c numpy.test(): OK scipy.test(): 1 error, 2 failures: ERROR: test_arpack.test_hermitian_modes(True, <gen-hermitian>, 'F', 2, 'SA', None, None, <function aslinearoperator at 0x1098cd500>) FAIL: test_iterative.test_convergence(<function bicg at 0x1098cdd70>, <nonsymposdef>) FAIL: test_expon (test_morestats.TestAnderson) = clang and -ff2c = CC=clang CXX=clang++ FFLAGS=-ff2c numpy.test(): 1 failure: FAIL: Test basic arithmetic function errors AssertionError: Type <type 'numpy.complex64'> did not raise fpe error ''. scipy.test(): 1 error, 2 failures: ERROR: test_arpack.test_hermitian_modes(True, <gen-hermitian>, 'F', 2, 'SA', None, None, <function aslinearoperator at 0x1098cd500>) FAIL: test_iterative.test_convergence(<function bicg at 0x1098cdd70>, <nonsymposdef>) FAIL: test_expon (test_morestats.TestAnderson)

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discrete sine transforms
by Matt Terry 21 Jan '12

21 Jan '12

Hi, I noticed that scipy.fftpack has discrete cosine transforms, but not sine transforms. It also looks like the dst's are in the fftpack source, just not the scipy wrappers. Is there a special reason for not wrapping the dst's, or do they just lack a champion? -matt

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Proposal for Scikit-Signal - a SciPy toolbox for signal processing
by Jaidev Deshpande 17 Jan '12

17 Jan '12

Hi I gave a talk at SciPy India 2011 about a Python implementation of the Hilbert-Huang Transform that I was working on. The HHT is a method used as an alternative to Fourier and Wavelet analyses of nonlinear and nonstationary data. Following the talk Gael Varoquaux said that there's room for a separate scikit for signal processing. He also gave a lightning talk about bootstrapping a SciPy community project soon after. So with this list let us start working out what the project should be like. For noobs like me, Gael's talk was quite a useful guide. Here's the link to a gist he made about it - https://gist.github.com/1433151 Here's the link to my SciPy talk: http://urtalk.kpoint.in/kapsule/gcc-57b6c86b-2f12-4244-950c-a34360a2cc1f/vi… I personally am researching nonlinear and nonstationary signal processing, I'd love to know what others can bring to this project. Also, let's talk about the limitations of the current signal processing tools available in SciPy and other scikits. I think there's a lot of documentation to be worked out, and there is also a lack of physically meaningful examples in the documentation. Thanks PS: I'm ccing a few people who might already be on the scipy-dev list. Sorry for the inconvenience.

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gaussian_kde changes - review request
by Ralf Gommers 02 Jan '12

02 Jan '12

Hi all, At https://github.com/scipy/scipy/pull/123 I've submitted some changes to stats.gaussian_kde. Since it turned out to be relatively tricky to not break subclasses that can be found in various places (ML attachments, StackOverflow, etc.), I'm asking for a review here. Especially if you do have code that subclasses it, please try these changes. I've also written a tutorial that can be added to the docs, comments/additions welcome: https://gist.github.com/1534517 Cheers, Ralf

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ANN: EPD 7.2 released
by Ilan Schnell 31 Dec '11

31 Dec '11

Hello, I am pleased to announce the release of Enthought Python Distribution, EPD version 7.2, along with its "EPD Free" counterpart. The highlights of this release are: the addition of GDAL and updates to over 30 packages, including SciPy, matplotlib and IPython. The new IPython 0.12 includes the HTML notebook, which caused the Tornado web-server also to be added to EPD. To see which libraries are included in the free vs. full version, please see: http://www.enthought.com/products/epdlibraries.php The complete list of additions, updates and fixes is in the change log: http://www.enthought.com/products/changelog.php About EPD --------- The Enthought Python Distribution (EPD) is a "kitchen-sink-included" distribution of the Python programming language, including over 90 additional tools and libraries. The EPD bundle includes NumPy, SciPy, IPython, 2D and 3D visualization tools, and many other tools. EPD is currently available as a single-click installer for Windows XP, Vista and 7, MacOS (10.5 and 10.6), RedHat 3, 4, 5 and 6, as well as Solaris 10 (x86 and x86_64/amd64 on all platforms). All versions of EPD (32 and 64-bit) are free for academic use. An annual subscription including installation support is available for individual and commercial use. Additional support options, including customization, bug fixes and training classes are also available: http://www.enthought.com/products/epd_sublevels.php - Ilan

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Graph shortest path
by Jacob VanderPlas 24 Dec '11

24 Dec '11

Hello, A while ago in scikit-learn we implemented an efficient cython graph shortest-path search using both Dijkstra's algorithm and the Floyd-Warshall algorithm with Fibonacci heaps. Currently this is well-hidden in the scikit-learn utils: https://github.com/scikit-learn/scikit-learn/blob/master/sklearn/utils/grap… This is the kind of basic algorithm that I think belongs in scipy rather than scikit-learn. I know that some developers have been thinking about graph tools for scipy: are there ideas about whether/where the shortest path search would fit in scipy? Thanks Jake

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