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https://github.com/Vindaar/nimnlopt

A wrapper for the nonlinear optimization library Nlopt
https://github.com/Vindaar/nimnlopt

nim nlopt non-linear-optimization nonlinear

Last synced: 3 months ago
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A wrapper for the nonlinear optimization library Nlopt

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README 

        
* Nlopt



This library provides a wrapper for the [[https://nlopt.readthedocs.io/en/latest/][Nlopt]] C library, which is a

library for non-linear optimizations. It provides many different

algorithms for easy comparison separated into local / gradient based,

global / gradient based, local / derivative free and global /

derivative free algorithms.



** Installation



This library is part of the Nimble repository. You can install it just

like any other Nimble package:

#+BEGIN_SRC sh

nimble install nlopt

#+END_SRC



** Usage

For general usage look at the test case in

[[file:tests/tsimple.nim]]. Despite the name it should be reasonably

concise to understand how the library interface is used. For an

explanation of the different Nim procedures and types, see

Documentation below.



** Documentation



The C library has an "object oriented like" structure. A central

=nlopt_opt= type, which is created by the user. This object needs to

be given to all other =nlopt= functions, of which there are many.

See the documentation of the C library here: 

https://nlopt.readthedocs.io/en/latest/NLopt_Reference/



Here we only cover the functionality related to the usage of the Nim

library.



The Nim library partly follows that structure in the sense that it

provides a slightly more astract =NloptOpt= type. This type stores the

user defined settings (algorithm, dimensionality, bounds, step sizes,

etc.) and writes them to the C library before the call to the

optimization function.



Instead of depending on a large amount of different getter and setter

functions, the user sets all parameters on the =NloptOpt= object.



Some functionality is still missing from the Nim interface. General

optimization with and without gradients, including inequality bounds

is available already. The other functionality can be used using the

exported wrapper functions. In that case care needs to be taken about

the data types.



The number of functions / types used by the user is reduced to 5

functions / 3 types:

*** =proc newNloptOpt= 

As the name suggests, used to create a new =NloptOpt= object.

Signature:

#+BEGIN_SRC nim

proc newNloptOpt(opt_name: string, nDims: int, bounds: seq[tuple[l, u: float]] = @[]): NloptOpt

#+END_SRC

Needs the algorithm =opt_name= as a string (to be changed to a pure enum), the

dimensionality of the problem =nDims= and potential bounds on each

dimension. The bounds are given as a sequence of tuples. Each tuple

corresponds to one dimension of =nDims= with =(lower bound, upper

bound)= of that dimension. Either empty, or bounds for all dimensions

need to be given. If only a single dimension is to be bounded, set the

other bounds to =-Inf= and =Inf=.



*** =proc newVarStruct=

To create a new =VarStruct= object. It is used to wrap the user

defined optimization function and arbitrary data to be used in

that function.

Signature:

#+BEGIN_SRC nim

proc newVarStruct[T, U](uFunc: T, data: U): VarStruct[U]

#+END_SRC

due to a bug (?), we cannot constrain =T= unfortunately. =T= needs to

be either a =FuncProto= or a =FuncProtoGrad=. See below for an

explanation of these. Thus the custom function following either

type will be haneded as =uFunc=.



The =data= argument is an arbitrary user defined object, which is used

to hand data to the user defined function. To be precise, it is the

object, which will be given to =FuncProto= or =FuncProtoGrad= as

explained below.



*** =type FuncProto=

One generic primitive procedure type, which the custom function to be

optimized needs to match. This is the type to be used for algorithms,

which are *gradient free* (i.e. the user does not have to calculate the

gradients manually). 

Signature:

#+BEGIN_SRC nim

FuncProto[T] = proc (p: seq[float], func_data: T): float

#+END_SRC

The first argument =p= are the parameters, which are optimized. The

generic type =func_data= is an arbitrary type, which usually contains

the data on which the optmization is done. But it can be any type, so

it allows arbitrary data to be injected into the function, which can

be used for the calculation. Internally =FuncProto= is wrapped by a

function following the =nlopt_func= signature. The =func_data= is

handed as a raw pointer to the C library and from there upon a

function evaluation back to Nim.



The return value of the function must be the value of the function

after evaluation.



*** =type FuncProtoGrad=

One generic primitive procedure type, which the custom function to be

optimized needs to match. This is the type to be used for algorithms,

which are *not gradient free* (i.e. the user *does* have to calculate the

gradients manually). 

#+BEGIN_SRC nim

FuncProtoGrad[T] = proc (p: seq[float], func_data: T): (float, seq[float])

#+END_SRC

The signature of =FuncProtoGrad= is identical to =FuncProto= (the =p=

and =func_data= arguments serve the same purpose, read above for an

explanation), with the exception of the return type.



The second element of the return tuple has to be the gradients of the

function with respect to the parameters. These will be returned back

to NLopt to take into account for the calculation of the next parameters.



In many cases it may be enough to perform numeric differentiation,

e.g. via the [[https://en.wikipedia.org/wiki/Numerical_differentiation][symmetric difference quotient]].



A possible implementation might look something like:

#+BEGIN_SRC nim

proc myFunc(p: seq[float], fitObj: FitObject): (float, seq[float]) =

  ## `FitObject` takes the place of `func_data`. 

  ## In this case:

  ## type

  ##   FitObject = object

  ##     x, y: seq[float]

  # NOTE: do not need last gradients

  let x = fitObj.x

  let y = fitObj.y

  # a seq for the resulting gradients

  var gradRes = newSeq[float](p.len)

  # a float for the function evaluation at `p`

  var res = 0.0

  # a variable for the small change we take in `p_i`

  var h: float  

  # a temp variable for the individual part of a `Chi^2` sum

  var diff = 0.0

  proc fn(params: seq[float]): float =

    # calculate the model's Y position to be used to perform a curve fit 

    # of `funcToCall` to `(x, y)` data

    let fitY = x.mapIt(funcToCall(params, it))

    for i in 0 .. x.high:

      diff = (y[i] - fitY[i]) / yErr[i]

      result += pow(diff, 2.0)

    # result of our internal `f(p)` is the reduced Pearson's Chi^2

    result = result / (x.len - p.len).float

  # the function evaluation is simply our `Chi^2` value of the parameters

  res = fn(p)

  # now calculate the numerical derivative

  for i in 0 .. gradRes.high:

    # calc some reasonable `h` for this parameter

    h = p[i] * sqrt(epsilon(float64))

    var

      modParsUp = p

      modParsDown = p

    modParsUp[i] = p[i] + h

    modParsDown[i] = p[i] - h

    # numerical partial derivative according to `symmetric difference quotient`

    gradRes[i] = (fn(modParsUp) - fn(modParsDown)) / (2.0 * h)

  result = (res, gradRes)

#+END_SRC

The above can be easily wrapped in a template for instance to lift any

function =funcToCall= to be fitable via Pearson's chi-squared test. 



*** =type VarStruct=

=VarStruct= is the unified container, which stores the user defined

function of either type above and arbitrary user data, which will be

handed to that function during each evaluation of the function.

Signature:

#+BEGIN_SRC nim

  VarStruct*[T] = ref object

    case kind*: FuncKind:

    of NoGrad:

      userFunc*: FuncProto[T]

    of Grad:

      userFuncGrad*: FuncProtoGrad[T]

    data*: T

# where ``FuncKind`` is

  FuncKind* {.pure.} = enum

    NoGrad, Grad

#+END_SRC

It's a variant object, which either stores a =FuncProto= if the type

is =NoGrad= or a =FuncProtoGrad= if it is =Grad=. In principle the

=newVarStruct= does not need to be used. One can create such a variant

object manually, but needs to take care to:

1. set the =kind= field accordingly

2. use the correct field name for the user function for this type.

This is what the =newVarStruct= procedure takes care of.



*** =proc setFunction= (TODO: rename?)

This procedure is used to set the set the =FuncProco(Grad)= function

as the =nlopt_func= of the C =nlopt_opt= object. If performs the

wrapping of the user function into a suitable =nlopt_func=. In

addition it also sets the data, which will be given to the user

defined function.

Signature:

#+BEGIN_SRC nim

proc setFunction[T](nlopt: var NloptOpt, vStruct: var VarStruct[T])

#+END_SRC

The first argument is the optmizer and =vStruct= is the user created

=VarStruct= object. It is a =var= argument as well, since we want to

avoid copying the data internally. 



*** =proc addInequalityConstraint=

Used to add inequality constraints to the optimization problem. The

signature is exactly the same as for =setFunction=. One also creates a

custom constraints function and a corresponding =VarStruct=

object. This constraints function will be called in between calls to

the actual function to be optimized. There may be one constraint for each

dimension. See the Nlopt doc for more information.

Signature:

#+BEGIN_SRC nim

proc addInequalityConstraint*[T](nlopt: var NloptOpt, vStruct: var VarStruct[T])

#+END_SRC

see the =setFunction= explanation above.



*** =proc optimize=

The actual function, which starts the optimization routine after

everything has been set up. It sets all additional parameters of the

=NloptOpt= (tolerances, step sizes etc.) before calling the actual

=nlopt_optimize= function. 

Signature:

#+BEGIN_SRC nim

proc optimize*[T](nlopt: var NloptOpt, params: seq[T]): tuple[p: seq[float], f: float] =

#+END_SRC

The first parameter is the configures =NloptOpt= object. =params= is

the initial guess for the parameters to be optmized.

After optimization the status of the optimization will be stored in

the =status= field of the =nlopt= object. 



The return value is a tuple of the sequence of optmized parameters =p=

and the function value after the last evaluation of the function =f=.



** License



The license of the C library is found in the [[file:c_header/][c_header]] folder, which

contains the headers as they were wrapped using c2nim. 



The Nim code is published under the MIT license.