[SciPy-user] constrained optimization

Robert Kern robert.kern@gmail....
Mon Apr 28 15:19:55 CDT 2008


On Mon, Apr 28, 2008 at 3:03 PM, Ondrej Certik <ondrej@certik.cz> wrote:
> On Mon, Apr 28, 2008 at 8:57 PM, Robert Kern <robert.kern@gmail.com> wrote:
>  > On Mon, Apr 28, 2008 at 1:34 PM, John Hunter <jdh2358@gmail.com> wrote:
>  >  > I need to do a N dimensional constrained optimization over a weight w
>  >  >  vector with the constraints:
>  >  >
>  >  >   * w[i] >=0
>  >  >
>  >  >   * w.sum() == 1.0
>  >  >
>  >  >  Scanning through the scipy.optimize docs, I see a number of examples
>  >  >  where parameters can be bounded by a bracketing interval, but none
>  >  >  where constraints can be placed on combinations of the parameters, eg
>  >  >  the sum of them.  One approach I am considering is doing a bracketed
>  >  >  [0,1] constrained optimization over N-1 weights (assigning the last
>  >  >  weight to be 1-sum others) and modifying my cost function to punish
>  >  >  the optimizer when the N-1 input weights sum  to more than one.
>  >  >
>  >  >  Is there a better approach?
>  >
>  >  Transform the coordinates to an unconstrained N-1-dimensional space.
>  >  One such transformation is the Aitchison (or "additive log-ratio")
>  >  transform:
>  >
>  >   y = log(x[:-1] / x[-1])
>  >
>  >  And to go back:
>  >
>  >   tmp = hstack([exp(y), 1.0])
>  >   x = tmp / tmp.sum()
>  >
>  >  Searching for "compositional data analysis" should yield similar
>  >  transformations, but this one should be sufficient for maintaining
>  >  constraints. For doing statistics, the other have better properties.
>
>  Wow, that is very clever. Just today I was thinking how to do it and
>  it didn't occur to me I should read scipy-user. :)
>
>  The exp/log transform is clear, but I didn't figure out that in order
>  to maintain
>  the norm, I can maintain it in the last element, so it's enough to do:
>
>  y = x[:-1]/x[-1]
>
>  tmp = hstack([y, 1.0])
>  x = tmp / tmp.sum()
>
>  Very cool, thanks. However, the transform is not one to one, e.g. both
>
>  x = [1, 2, 1, 4]
>  x = [2, 4, 2, 8]
>
>  represent the same thing:
>
>  y = [0.25, 0.5, 0.25]

Yes, that is by design. With compositional data, only the ratios
between components matter. They are unique only up to a scaling
factor, and typically, you normalize them such that they sum to 1.

-- 
Robert Kern

"I have come to believe that the whole world is an enigma, a harmless
enigma that is made terrible by our own mad attempt to interpret it as
though it had an underlying truth."
 -- Umberto Eco


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