[SciPy-user] fsolve with sparse matrices
Pauli Virtanen
pav@iki...
Fri Apr 17 11:28:14 CDT 2009
Fri, 17 Apr 2009 17:29:29 +0200, Jan Wicijowski kirjoitti:
[clip]
> I would like to ask you, if anyone was ever confronted with solving
> nonlinear system with scipy.optimize.fsolve, with huge no. of equations,
> say 10000.
Sure, but as you noticed, fsolve won't cut it, as it assumes dense
matrices.
[clip: fsolve & sparse jacobian]
> Injecting custom function instead of scipy.optimize.minpack.check_func
> didn't work as well with fsolve. This wasn't surprising, as I guessed,
> that FORTRAN hybrj won't be able to deal with interfacing with scipy
> matrices.
>
> So, am I left with rewriting the original FORTRAN hybrj source to
> python, or is there somebody, who dealt with such problem?
Translating hybrj directly to sparse matrices is a bit of work; it's a
trust-region Newton method, so it doesn't simply invert the Jacobian, but
solves a restricted linear programming problem involving it. (I think
some of the tricks it does work well only with sparse matrices.) In
principle, writing something like this with sparse matrices should
nevertheless be possible with the tools in Scipy (though Scipy does not
have a sparse QR decomposition).
If you write a sparse trust-region Newton algorithm in Python, I'm sure
there's a place in Scipy for it :)
***
The easier way would be just to implement a Newton method combined with
line search:
x = x0
maxiter = 100
abs_tolerance = 1e-8
for k in xrange(maxiter):
J = jacobian(x)
r = residual(x)
d = -sparse.linalg.spsolve(J, r) # or, iterative
r_norm = norm(r)
# check convergence
if r_norm < abs_tolerance:
break
# naive line search, could consider using
# scipy.optimize.line_search instead
for alpha in [1, 0.5, 0.1, 0.01]:
x2 = x + alpha*d
r2 = residual(x2)
if norm(r2) < r_norm:
break
x = x2
else:
raise RuntimeError("Didn't converge")
It's very naive, but if your problem is easy enough, it works.
--
Pauli Virtanen
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