Source code for rtctools.optimization.goal_programming_mixin_base

import functools
import logging
import sys
from abc import ABCMeta, abstractmethod
from collections import OrderedDict
from typing import Callable, Dict, List, Union

import casadi as ca
import numpy as np

from .optimization_problem import OptimizationProblem
from .timeseries import Timeseries

logger = logging.getLogger("rtctools")

class _EmptyEnsembleList(list):
    An indexable object containing infinitely many empty lists.
    Only to be used as a placeholder.

    def __getitem__(self, key):
        return []

class _EmptyEnsembleOrderedDict(OrderedDict):
    An indexable object containing infinitely many empty OrderedDicts.
    Only to be used as a placeholder.

    def __getitem__(self, key):
        return OrderedDict()

[docs] class Goal(metaclass=ABCMeta): r""" Base class for lexicographic goal programming goals. **Types of goals** There are 2 types of goals: minimization goals and target goals. *Minimization goals* Minimization goals are of the form: .. math:: \text{minimize } f(x). *Target goals* Target goals weakly enforce a constraint of the form .. math:: m_{target} \leq g(x) \leq M_{target}, by turning it into a minimization problem of the form .. math:: \text{minimize } & \epsilon^r, \\ \text{subject to } &g_{low}(\epsilon) \leq g(x) \leq g_{up}(\epsilon), \\ \text{and } &0 \leq \epsilon \leq 1, where .. math:: g_{low}(\epsilon) &:= (1-\epsilon) m_{target} + \epsilon m, \\ g_{up}(\epsilon) &:= (1-\epsilon) M_{target} + \epsilon M. Here, :math:`m` and :math:`M` are hard constraints for :math:`g(x)`, :math:`m_{target}` and :math:`M_{target}` are target bounds for :math:`g(x)`, :math:`\epsilon` is an auxiliary variable that indicates how strongly the target bounds are violated, and :math:`\epsilon^r` is a function that indicates the variation of :math:`\epsilon`, where the order :math:`r` is by default :math:`2`. We have .. math:: m < m_{target} \leq M_{target} < M. Note that when :math:`\epsilon=0`, the constraint on :math:`g(x)` becomes .. math:: m_{target} \leq g(x) \leq M_{target} and if :math:`\epsilon=1`, it becomes .. math:: m \leq g(x) \leq M. **Scaling goals** Goals can be scaled by a nominal value :math:`c_{nom}` to improve the performance of the solvers. In case of a minimization goal, the scaled problem is given by .. math:: \text{minimize } \hat{f}(x), where :math:`\hat{f}(x) := f(x) / c_{nom}`. In case of a target goal, the scaled problem is given by .. math:: \text{minimize } & \epsilon^r, \\ \text{subject to } &\hat{g}_{low}(\epsilon) \leq \hat{g}(x) \leq \hat{g}_{up}(\epsilon), \\ \text{and } &0 \leq \epsilon \leq 1, where :math:`\hat{g}(x) := g(x) / c_{nom}`, :math:`\hat{g}_{low}(\epsilon) := {g}_{low}(\epsilon) / c_{nom}`, and :math:`\hat{g}_{up}(\epsilon) := {g}_{up}(\epsilon) / c_{nom}`. **Implementing goals** A goal class is created by inheriting from the :py:class:Goal class and overriding the :func:`function` method. This method defines the goal function :math:`f(x)` in case of a minimization goal, and the goal function :math:`g(x)` in case of a target goal. A goal becomes a target goal if either the class attribute ``target_min`` or ``target_max`` is set. To further define a goal, the following class attributes can also be set. :cvar function_range: Range of goal function :math:`[m ,M]`. Only applies to target goals. Required for a target goal. :cvar function_nominal: Nominal value of a function :math:`c_{nom}`. Used for scaling. Default is ``1``. :cvar target_min: Desired lower bound for goal function :math:`m_{target}`. Default is ``numpy.nan``. :cvar target_max: Desired upper bound for goal function :math:`M_{target}`. Default is ``numpy.nan``. :cvar priority: Priority of a goal. Default is ``1``. :cvar weight: Optional weighting applied to the goal. Default is ``1.0``. :cvar order: Penalization order of goal violation :math:`r`. Default is ``2``. :cvar critical: If ``True``, the algorithm will abort if this goal cannot be fully met. Default is ``False``. :cvar relaxation: Amount of slack added to the hard constraints related to the goal. Must be a nonnegative value. The unit is equal to that of the goal function. Default is ``0.0``. When ``target_min`` is set, but not ``target_max``, the target goal becomes a lower bound target goal and the constraint on :math:`g(x)` becomes .. math:: g_{low}(\epsilon) \leq g(x). Similary, if ``target_max`` is set, but not ``target_min``, the target goal becomes a upper bound target goal and the constraint on :math:`g(x)` becomes .. math:: g(x) \leq g_{up}(\epsilon). Relaxation is used to loosen the constraints that are set after the optimization of the goal's priority. Notes: * If one is unsure about the function range, it is recommended to overestimate this interval. However, this will negatively influence how accurately the target bounds are met. * The function range should be strictly larger than the target range. In particular, :math:`m < m_{target}` and :math:`M_{target} < M`. * In a path goal, the target can be a Timeseries. * In case of multiple goals with the same priority, it is crucial that an accurate function nominal value is provided. This ensures that all goals are given similar importance. A goal can be written in vector form. In a vector goal: * The goal size determines how many goals there are. * The goal function has shape ``(goal size, 1)``. * The function is either minimized or has, possibly various, targets. * Function nominal can either be an array with as many entries as the goal size or have a single value. * Function ranges can either be an array with as many entries as the goal size or have a single value. * In a goal, the target can either be an array with as many entries as the goal size or have a single value. * In a path goal, the target can also be a Timeseries whose values are either a 1-dimensional vector or have as many columns as the goal size. **Examples** Example definition of the point goal :math:`x(t) \geq 1.1` for :math:`t=1.0` at priority 1:: class MyGoal(Goal): def function(self, optimization_problem, ensemble_member): # State 'x' at time t = 1.0 t = 1.0 return optimization_problem.state_at('x', t, ensemble_member) function_range = (1.0, 2.0) target_min = 1.1 priority = 1 Example definition of the path goal :math:`x(t) \geq 1.1` for all :math:`t` at priority 2:: class MyPathGoal(Goal): def function(self, optimization_problem, ensemble_member): # State 'x' at any point in time return optimization_problem.state('x') function_range = (1.0, 2.0) target_min = 1.1 priority = 2 **Note path goals** Note that for path goals, the ensemble member index is not passed to the call to :func:`OptimizationProblem.state`. This call returns a time-independent symbol that is also independent of the active ensemble member. Path goals are applied to all times and all ensemble members simultaneously. """
[docs] @abstractmethod def function(self, optimization_problem: OptimizationProblem, ensemble_member: int) -> ca.MX: """ This method returns a CasADi :class:`MX` object describing the goal function. :returns: A CasADi :class:`MX` object. """ pass
#: Range of goal function function_range = (np.nan, np.nan) #: Nominal value of function (used for scaling) function_nominal = 1.0 #: Desired lower bound for goal function target_min = np.nan #: Desired upper bound for goal function target_max = np.nan #: Lower priority goals take precedence over higher priority goals. priority = 1 #: Goals with the same priority are weighted off against each other in a #: single objective function. weight = 1.0 #: The goal violation value is taken to the order'th power in the objective #: function. order = 2 #: The size of the goal if it's a vector goal. size = 1 #: Critical goals must always be fully satisfied. critical = False #: Absolute relaxation applied to the optimized values of this goal relaxation = 0.0 #: Timeseries ID for function value data (optional) function_value_timeseries_id = None #: Timeseries ID for goal violation data (optional) violation_timeseries_id = None @property def has_target_min(self) -> bool: """ ``True`` if the user goal has min bounds. """ if isinstance(self.target_min, Timeseries): return True else: return np.any(np.isfinite(self.target_min)) @property def has_target_max(self) -> bool: """ ``True`` if the user goal has max bounds. """ if isinstance(self.target_max, Timeseries): return True else: return np.any(np.isfinite(self.target_max)) @property def has_target_bounds(self) -> bool: """ ``True`` if the user goal has min/max bounds. """ return self.has_target_min or self.has_target_max @property def is_empty(self) -> bool: target_min_set = isinstance(self.target_min, Timeseries) or np.any( np.isfinite(self.target_min) ) target_max_set = isinstance(self.target_max, Timeseries) or np.any( np.isfinite(self.target_max) ) if not target_min_set and not target_max_set: # A minimization goal return False target_min = self.target_min if isinstance(target_min, Timeseries): target_min = target_min.values target_max = self.target_max if isinstance(target_max, Timeseries): target_max = target_max.values min_empty = not np.any(np.isfinite(target_min)) max_empty = not np.any(np.isfinite(target_max)) return min_empty and max_empty
[docs] def get_function_key( self, optimization_problem: OptimizationProblem, ensemble_member: int ) -> str: """ Returns a key string uniquely identifying the goal function. This is used to eliminate linearly dependent constraints from the optimization problem. """ if hasattr(self, "function_key"): return self.function_key # This must be deterministic. See RTCTOOLS-485. if not hasattr(Goal, "_function_key_counter"): Goal._function_key_counter = 0 self.function_key = "{}_{}".format(self.__class__.__name__, Goal._function_key_counter) Goal._function_key_counter += 1 return self.function_key
def __repr__(self) -> str: return "{}(priority={}, target_min={}, target_max={}, function_range={})".format( self.__class__, self.priority, self.target_min, self.target_max, self.function_range )
[docs] class StateGoal(Goal): r""" Base class for lexicographic goal programming path goals that act on a single model state. A state goal is defined by setting at least the ``state`` class variable. :cvar state: State on which the goal acts. *Required*. :cvar target_min: Desired lower bound for goal function. Default is ``numpy.nan``. :cvar target_max: Desired upper bound for goal function. Default is ``numpy.nan``. :cvar priority: Integer priority of goal. Default is ``1``. :cvar weight: Optional weighting applied to the goal. Default is ``1.0``. :cvar order: Penalization order of goal violation. Default is ``2``. :cvar critical: If ``True``, the algorithm will abort if this goal cannot be fully met. Default is ``False``. Example definition of the goal :math:`x(t) \geq 1.1` for all :math:`t` at priority 2:: class MyStateGoal(StateGoal): state = 'x' target_min = 1.1 priority = 2 Contrary to ordinary ``Goal`` objects, ``PathGoal`` objects need to be initialized with an ``OptimizationProblem`` instance to allow extraction of state metadata, such as bounds and nominal values. Consequently, state goals must be instantiated as follows:: my_state_goal = MyStateGoal(optimization_problem) Note that ``StateGoal`` is a helper class. State goals can also be defined using ``Goal`` as direct base class, by implementing the ``function`` method and providing the ``function_range`` and ``function_nominal`` class variables manually. """ #: The state on which the goal acts. state = None
[docs] def __init__(self, optimization_problem): """ Initialize the state goal object. :param optimization_problem: ``OptimizationProblem`` instance. """ # Check whether a state has been specified if self.state is None: raise Exception("Please specify a state.") # Extract state range from model if self.has_target_bounds: try: self.function_range = optimization_problem.bounds()[self.state] except KeyError: raise Exception( "State {} has no bounds or does not exist in the model.".format(self.state) ) if self.function_range[0] is None: raise Exception("Please provide a lower bound for state {}.".format(self.state)) if self.function_range[1] is None: raise Exception("Please provide an upper bound for state {}.".format(self.state)) # Extract state nominal from model self.function_nominal = optimization_problem.variable_nominal(self.state) # Set function key canonical, sign = optimization_problem.alias_relation.canonical_signed(self.state) self.function_key = canonical if sign > 0.0 else "-" + canonical
def function(self, optimization_problem, ensemble_member): return optimization_problem.state(self.state) def __repr__(self): return "{}(priority={}, state={}, target_min={}, target_max={}, function_range={})".format( self.__class__, self.priority, self.state, self.target_min, self.target_max, self.function_range, )
class _GoalConstraint: def __init__( self, goal: Goal, function: Callable[[OptimizationProblem], ca.MX], m: Union[float, np.ndarray, Timeseries], M: Union[float, np.ndarray, Timeseries], optimized: bool, ): assert isinstance(m, (float, np.ndarray, Timeseries)) assert isinstance(M, (float, np.ndarray, Timeseries)) assert type(m) == type(M) # NumPy arrays only allowed for vector goals if isinstance(m, np.ndarray): assert len(m) == goal.size assert len(M) == goal.size self.goal = goal self.function = function self.min = m self.max = M self.optimized = optimized def update_bounds(self, other, enforce="self"): # NOTE: a.update_bounds(b) is _not_ the same as b.update_bounds(a). # See how the 'enforce' parameter is used. min_, max_ = self.min, self.max other_min, other_max = other.min, other.max if isinstance(min_, Timeseries): assert isinstance(max_, Timeseries) assert isinstance(other_min, Timeseries) assert isinstance(other_max, Timeseries) min_ = min_.values max_ = max_.values other_min = other_min.values other_max = other_max.values min_ = np.maximum(min_, other_min) max_ = np.minimum(max_, other_max) # Ensure new constraint bounds do not loosen or shift # previous bounds due to numerical errors. if enforce == "self": min_ = np.minimum(max_, other_min) max_ = np.maximum(min_, other_max) else: min_ = np.minimum(min_, other_max) max_ = np.maximum(max_, other_min) # Ensure consistency of bounds. Bounds may become inconsistent due to # small numerical computation errors. min_ = np.minimum(min_, max_) if isinstance(self.min, Timeseries): self.min = Timeseries(self.min.times, min_) self.max = Timeseries(self.max.times, max_) else: self.min = min_ self.max = max_ class _GoalProgrammingMixinBase(OptimizationProblem, metaclass=ABCMeta): def _gp_n_objectives(self, subproblem_objectives, subproblem_path_objectives, ensemble_member): return ( ca.vertcat(*[o(self, ensemble_member) for o in subproblem_objectives]).size1() + ca.vertcat(*[o(self, ensemble_member) for o in subproblem_path_objectives]).size1() ) def _gp_objective(self, subproblem_objectives, n_objectives, ensemble_member): if len(subproblem_objectives) > 0: acc_objective = ca.sum1( ca.vertcat(*[o(self, ensemble_member) for o in subproblem_objectives]) ) if self.goal_programming_options()["scale_by_problem_size"]: acc_objective = acc_objective / n_objectives return acc_objective else: return ca.MX(0) def _gp_path_objective(self, subproblem_path_objectives, n_objectives, ensemble_member): if len(subproblem_path_objectives) > 0: acc_objective = ca.sum1( ca.vertcat(*[o(self, ensemble_member) for o in subproblem_path_objectives]) ) if self.goal_programming_options()["scale_by_problem_size"]: # Objective is already divided by number of active time steps # at this point when `scale_by_problem_size` is set. acc_objective = acc_objective / n_objectives return acc_objective else: return ca.MX(0) @abstractmethod def goal_programming_options(self) -> Dict[str, Union[float, bool]]: raise NotImplementedError() def goals(self) -> List[Goal]: """ User problem returns list of :class:`Goal` objects. :returns: A list of goals. """ return [] def path_goals(self) -> List[Goal]: """ User problem returns list of path :class:`Goal` objects. :returns: A list of path goals. """ return [] def _gp_min_max_arrays(self, g, target_shape=None): """ Broadcasts the goal target minimum and target maximum to arrays of a desired target shape. Depending on whether g is a vector goal or not, the output shape differs: - A 2-D array of size (goal.size, target_shape or 1) if the goal size is larger than one, i.e. a vector goal - A 1-D array of size (target_shape or 1, ) otherwise """ times = self.times() m, M = None, None if isinstance(g.target_min, Timeseries): m = self.interpolate(times, g.target_min.times, g.target_min.values, -np.inf, -np.inf) if m.ndim > 1: m = m.transpose() elif isinstance(g.target_min, np.ndarray) and target_shape: m = np.broadcast_to(g.target_min, (target_shape, g.size)).transpose() elif target_shape: m = np.full(target_shape, g.target_min) else: m = np.array([g.target_min]).transpose() if isinstance(g.target_max, Timeseries): M = self.interpolate(times, g.target_max.times, g.target_max.values, np.inf, np.inf) if M.ndim > 1: M = M.transpose() elif isinstance(g.target_max, np.ndarray) and target_shape: M = np.broadcast_to(g.target_max, (target_shape, g.size)).transpose() elif target_shape: M = np.full(target_shape, g.target_max) else: M = np.array([g.target_max]).transpose() if g.size > 1 and m.ndim == 1: m = np.broadcast_to(m, (g.size, len(m))) if g.size > 1 and M.ndim == 1: M = np.broadcast_to(M, (g.size, len(M))) if g.size > 1: assert m.shape == (g.size, 1 if target_shape is None else target_shape) else: assert m.shape == (1 if target_shape is None else target_shape,) assert m.shape == M.shape return m, M def _gp_validate_goals(self, goals, is_path_goal): goals = sorted(goals, key=lambda x: x.priority) options = self.goal_programming_options() # Validate goal definitions for goal in goals: m, M = goal.function_range # The function range should not be a symbolic expression if isinstance(m, ca.MX): assert m.is_constant() if m.size1() == 1: m = float(m) else: m = np.array(m.to_DM()) if isinstance(M, ca.MX): assert M.is_constant() if M.size1() == 1: M = float(M) else: M = np.array(M.to_DM()) assert isinstance(m, (float, int, np.ndarray)) assert isinstance(M, (float, int, np.ndarray)) if np.any(goal.function_nominal <= 0): raise Exception("Nonpositive nominal value specified for goal {}".format(goal)) if goal.critical and not goal.has_target_bounds: raise Exception("Minimization goals cannot be critical") if goal.critical: # Allow a function range for backwards compatibility reasons. # Maybe raise a warning that its not actually used? pass elif goal.has_target_bounds: if not np.all(np.isfinite(m)) or not np.all(np.isfinite(M)): raise Exception("No function range specified for goal {}".format(goal)) if np.any(m >= M): raise Exception("Invalid function range for goal {}".format(goal)) if goal.weight <= 0: raise Exception("Goal weight should be positive for goal {}".format(goal)) else: if goal.function_range != (np.nan, np.nan): raise Exception( "Specifying function range not allowed for goal {}".format(goal) ) if not is_path_goal: if isinstance(goal.target_min, Timeseries): raise Exception("Target min cannot be a Timeseries for goal {}".format(goal)) if isinstance(goal.target_max, Timeseries): raise Exception("Target max cannot be a Timeseries for goal {}".format(goal)) try: int(goal.priority) except ValueError: raise Exception("Priority of not int or castable to int for goal {}".format(goal)) if options["keep_soft_constraints"]: if goal.relaxation != 0.0: raise Exception( "Relaxation not allowed with `keep_soft_constraints` for goal {}".format( goal ) ) if goal.violation_timeseries_id is not None: raise Exception( "Violation timeseries id not allowed with " "`keep_soft_constraints` for goal {}".format(goal) ) else: if goal.size > 1: raise Exception( "Option `keep_soft_constraints` needs to be set for vector goal {}".format( goal ) ) if goal.critical and goal.size > 1: raise Exception("Vector goal cannot be critical for goal {}".format(goal)) if is_path_goal: target_shape = len(self.times()) else: target_shape = None # Check consistency and monotonicity of goals. Scalar target min/max # of normal goals are also converted to arrays to unify checks with # path goals. if options["check_monotonicity"]: for e in range(self.ensemble_size): # Store the previous goal of a certain function key we # encountered, such that we can compare to it. fk_goal_map = {} for goal in goals: fk = goal.get_function_key(self, e) prev = fk_goal_map.get(fk) fk_goal_map[fk] = goal if prev is not None: goal_m, goal_M = self._gp_min_max_arrays(goal, target_shape) other_m, other_M = self._gp_min_max_arrays(prev, target_shape) indices = np.where( np.logical_not(np.logical_or(np.isnan(goal_m), np.isnan(other_m))) ) if goal.has_target_min: if np.any(goal_m[indices] < other_m[indices]): raise Exception( "Target minimum of goal {} must be greater or equal than " "target minimum of goal {}.".format(goal, prev) ) indices = np.where( np.logical_not(np.logical_or(np.isnan(goal_M), np.isnan(other_M))) ) if goal.has_target_max: if np.any(goal_M[indices] > other_M[indices]): raise Exception( "Target maximum of goal {} must be less or equal than " "target maximum of goal {}".format(goal, prev) ) for goal in goals: goal_m, goal_M = self._gp_min_max_arrays(goal, target_shape) goal_lb = np.broadcast_to(goal.function_range[0], goal_m.shape[::-1]).transpose() goal_ub = np.broadcast_to(goal.function_range[1], goal_M.shape[::-1]).transpose() if goal.has_target_min and goal.has_target_max: indices = np.where( np.logical_not(np.logical_or(np.isnan(goal_m), np.isnan(goal_M))) ) if np.any(goal_m[indices] > goal_M[indices]): raise Exception( "Target minimum exceeds target maximum for goal {}".format(goal) ) if goal.has_target_min and not goal.critical: indices = np.where(np.isfinite(goal_m)) if np.any(goal_m[indices] <= goal_lb[indices]): raise Exception( "Target minimum should be greater than the lower bound " "of the function range for goal {}".format(goal) ) if np.any(goal_m[indices] > goal_ub[indices]): raise Exception( "Target minimum should not be greater than the upper bound " "of the function range for goal {}".format(goal) ) if goal.has_target_max and not goal.critical: indices = np.where(np.isfinite(goal_M)) if np.any(goal_M[indices] >= goal_ub[indices]): raise Exception( "Target maximum should be smaller than the upper bound " "of the function range for goal {}".format(goal) ) if np.any(goal_M[indices] < goal_lb[indices]): raise Exception( "Target maximum should not be smaller than the lower bound " "of the function range for goal {}".format(goal) ) if goal.relaxation < 0.0: raise Exception("Relaxation of goal {} should be a nonnegative value".format(goal)) def _gp_goal_constraints(self, goals, sym_index, options, is_path_goal): """ There are three ways in which a goal turns into objectives/constraints: 1. A goal with target bounds results in a part for the objective (the violation variable), and 1 or 2 constraints (target min, max, or both). 2. A goal without target bounds (i.e. minimization goal) results in just a part for the objective. 3. A critical goal results in just a (pair of) constraint(s). These are hard constraints, which need to be put in the constraint store to guarantee linear independence. """ epsilons = [] objectives = [] soft_constraints = [[] for ensemble_member in range(self.ensemble_size)] hard_constraints = [[] for ensemble_member in range(self.ensemble_size)] extra_constants = [] eps_format = "eps_{}_{}" min_format = "min_{}_{}" max_format = "max_{}_{}" if is_path_goal: eps_format = "path_" + eps_format min_format = "path_" + min_format max_format = "path_" + max_format for j, goal in enumerate(goals): if goal.critical: assert goal.size == 1, "Critical goals cannot be vector goals" epsilon = np.zeros(len(self.times()) if is_path_goal else 1) elif goal.has_target_bounds: epsilon = ca.MX.sym(eps_format.format(sym_index, j), goal.size) epsilons.append(epsilon) # Make symbols for the target bounds (if set) if goal.has_target_min: min_variable = min_format.format(sym_index, j) # NOTE: When using a vector goal, we want to be sure that its constraints # and objective end up _exactly_ equal to its non-vector equivalent. We # therefore have to get rid of any superfluous/trivial constraints that # would otherwise be generated by the vector goal. target_min_slice_inds = np.full(goal.size, True) if isinstance(goal.target_min, Timeseries): target_min = Timeseries(goal.target_min.times, goal.target_min.values) inds = np.logical_or( np.isnan(target_min.values), np.isneginf(target_min.values) ) target_min.values[inds] = -sys.float_info.max n_times = len(goal.target_min.times) target_min_slice_inds = ~np.all( np.broadcast_to(inds.transpose(), (goal.size, n_times)), axis=1 ) elif isinstance(goal.target_min, np.ndarray): target_min = goal.target_min.copy() inds = np.logical_or(np.isnan(target_min), np.isneginf(target_min)) target_min[inds] = -sys.float_info.max target_min_slice_inds = ~inds else: target_min = goal.target_min extra_constants.append((min_variable, target_min)) else: min_variable = None if goal.has_target_max: max_variable = max_format.format(sym_index, j) target_max_slice_inds = np.full(goal.size, True) if isinstance(goal.target_max, Timeseries): target_max = Timeseries(goal.target_max.times, goal.target_max.values) inds = np.logical_or( np.isnan(target_max.values), np.isposinf(target_max.values) ) target_max.values[inds] = sys.float_info.max n_times = len(goal.target_max.times) target_max_slice_inds = ~np.all( np.broadcast_to(inds.transpose(), (goal.size, n_times)), axis=1 ) elif isinstance(goal.target_max, np.ndarray): target_max = goal.target_max.copy() inds = np.logical_or(np.isnan(target_max), np.isposinf(target_max)) target_max[inds] = sys.float_info.max target_max_slice_inds = ~inds else: target_max = goal.target_max extra_constants.append((max_variable, target_max)) else: max_variable = None # Make objective for soft constraints and minimization goals if not goal.critical: if hasattr(goal, "_objective_func"): _objective_func = goal._objective_func elif goal.has_target_bounds: if is_path_goal and options["scale_by_problem_size"]: goal_m, goal_M = self._gp_min_max_arrays( goal, target_shape=len(self.times()) ) goal_active = np.isfinite(goal_m) | np.isfinite(goal_M) n_active = np.sum(goal_active.astype(int), axis=-1) # Avoid possible division by zero if goal is inactive n_active = np.maximum(n_active, 1) else: n_active = 1 def _objective_func( problem, ensemble_member, goal=goal, epsilon=epsilon, is_path_goal=is_path_goal, n_active=n_active, ): if is_path_goal: epsilon = problem.variable( else: epsilon = problem.extra_variable(, ensemble_member) return goal.weight * ca.constpow(epsilon, goal.order) / n_active else: if is_path_goal and options["scale_by_problem_size"]: n_active = len(self.times()) else: n_active = 1 def _objective_func( problem, ensemble_member, goal=goal, is_path_goal=is_path_goal, n_active=n_active, ): f = goal.function(problem, ensemble_member) / goal.function_nominal return goal.weight * ca.constpow(f, goal.order) / n_active objectives.append(_objective_func) # Make constraints for goals with target bounds if goal.has_target_bounds: if goal.critical: for ensemble_member in range(self.ensemble_size): constraint = self._gp_goal_hard_constraint( goal, epsilon, None, ensemble_member, options, is_path_goal ) hard_constraints[ensemble_member].append(constraint) else: for ensemble_member in range(self.ensemble_size): # We use a violation variable formulation, with the violation # variables epsilon bounded between 0 and 1. def _soft_constraint_func( problem, target, bound, inds, goal=goal, epsilon=epsilon, ensemble_member=ensemble_member, is_path_constraint=is_path_goal, ): if is_path_constraint: target = problem.variable(target) eps = problem.variable( else: target = problem.parameters(ensemble_member)[target] eps = problem.extra_variable(, ensemble_member) inds = inds.nonzero()[0].astype(int).tolist() f = goal.function(problem, ensemble_member) nominal = goal.function_nominal return ca.if_else( ca.fabs(target) < sys.float_info.max, (f - eps * (bound - target) - target) / nominal, 0.0, )[inds] if goal.has_target_min and np.any(target_min_slice_inds): _f = functools.partial( _soft_constraint_func, target=min_variable, bound=goal.function_range[0], inds=target_min_slice_inds, ) constraint = _GoalConstraint(goal, _f, 0.0, np.inf, False) soft_constraints[ensemble_member].append(constraint) if goal.has_target_max and np.any(target_max_slice_inds): _f = functools.partial( _soft_constraint_func, target=max_variable, bound=goal.function_range[1], inds=target_max_slice_inds, ) constraint = _GoalConstraint(goal, _f, -np.inf, 0.0, False) soft_constraints[ensemble_member].append(constraint) return epsilons, objectives, soft_constraints, hard_constraints, extra_constants def _gp_goal_hard_constraint( self, goal, epsilon, existing_constraint, ensemble_member, options, is_path_goal ): if not is_path_goal: epsilon = epsilon[:1] goal_m, goal_M = self._gp_min_max_arrays(goal, target_shape=epsilon.shape[0]) if goal.has_target_bounds: # We use a violation variable formulation, with the violation # variables epsilon bounded between 0 and 1. m, M = np.full_like(epsilon, -np.inf, dtype=np.float64), np.full_like( epsilon, np.inf, dtype=np.float64 ) # A function range does not have to be specified for critical # goals. Avoid multiplying with NaN in that case. if goal.has_target_min: m = ( epsilon * ((goal.function_range[0] - goal_m) if not goal.critical else 0.0) + goal_m - goal.relaxation ) / goal.function_nominal if goal.has_target_max: M = ( epsilon * ((goal.function_range[1] - goal_M) if not goal.critical else 0.0) + goal_M + goal.relaxation ) / goal.function_nominal if goal.has_target_min and goal.has_target_max: # Avoid comparing with NaN inds = ~(np.isnan(m) | np.isnan(M)) inds[inds] &= np.abs(m[inds] - M[inds]) < options["equality_threshold"] if np.any(inds): avg = 0.5 * (m + M) m[inds] = M[inds] = avg[inds] m[~np.isfinite(goal_m)] = -np.inf M[~np.isfinite(goal_M)] = np.inf inds = epsilon > options["violation_tolerance"] if np.any(inds): if is_path_goal: expr = self.map_path_expression( goal.function(self, ensemble_member), ensemble_member ) else: expr = goal.function(self, ensemble_member) function = ca.Function("f", [self.solver_input], [expr]) value = np.array(function(self.solver_output)) m[inds] = (value - goal.relaxation) / goal.function_nominal M[inds] = (value + goal.relaxation) / goal.function_nominal m -= options["constraint_relaxation"] M += options["constraint_relaxation"] else: # Epsilon encodes the position within the function range. if options["fix_minimized_values"] and goal.relaxation == 0.0: m = epsilon / goal.function_nominal M = epsilon / goal.function_nominal self.check_collocation_linearity = False self.linear_collocation = False else: m = -np.inf * np.ones(epsilon.shape) M = (epsilon + goal.relaxation) / goal.function_nominal + options[ "constraint_relaxation" ] if is_path_goal: m = Timeseries(self.times(), m) M = Timeseries(self.times(), M) else: m = m[0] M = M[0] constraint = _GoalConstraint( goal, lambda problem, ensemble_member=ensemble_member, goal=goal: ( goal.function(problem, ensemble_member) / goal.function_nominal ), m, M, True, ) # Epsilon is fixed. Override previous {min,max} constraints for this # state. if existing_constraint: constraint.update_bounds(existing_constraint, enforce="other") return constraint def _gp_update_constraint_store(self, constraint_store, constraints): for ensemble_member in range(self.ensemble_size): for other in constraints[ensemble_member]: fk = other.goal.get_function_key(self, ensemble_member) try: constraint_store[ensemble_member][fk].update_bounds(other) except KeyError: constraint_store[ensemble_member][fk] = other def priority_started(self, priority: int) -> None: """ Called when optimization for goals of certain priority is started. :param priority: The priority level that was started. """ pass def priority_completed(self, priority: int) -> None: """ Called after optimization for goals of certain priority is completed. :param priority: The priority level that was completed. """ pass