# Crate argmin[−][src]

## Expand description

argmin is a numerical optimization toolbox/framework written entirely in Rust. This crate is looking for contributors!

Documentation of most recent release

# Design goals

argmin aims at offering a wide range of optimization algorithms with a consistent interface, written purely in Rust. It comes with additional features such as checkpointing and observers which for instance allow one to log the progress of an optimization to screen or file.

In addition it provides a framework for implementing iterative optimization algorithms in a convenient manner. Essentially, a single iteration of the algorithm needs to be implemented and everything else, such as handling termination, parameter vectors, gradients and Hessians, is taken care of by the library.

This library makes heavy use of generics in order to be as type-agnostic as possible. It
supports `nalgebra`

and `ndarray`

types via feature gates, but custom types can easily be made
compatible with argmin by implementing the respective traits.

Future plans include functionality for easy performance evaluation of optimization algorithms, parallel computation of cost functions/gradients/Hessians as well as GPU support And of course more optimization algorithms!

# Contributing

This crate is looking for contributors! Potential projects can be found in the Github issues, but even if you have an idea that is not already mentioned there or if you found a bug, feel free to open a new issue. Besides adding optimization methods and new features, other contributions are also highly welcome, for instance improving performance, documentation, writing examples (with real world problems), developing tests, adding observers, implementing a C interface or Python wrappers.

# Algorithms

- Line searches
- Trust region method
- Steepest descent
- Conjugate gradient method
- Nonlinear conjugate gradient method
- Newton methods
- Quasi-Newton methods
- Gauss-Newton method
- Gauss-Newton method with linesearch
- Golden-section search
- Landweber iteration
- Brent’s method
- Nelder-Mead method
- Simulated Annealing
- Particle Swarm Optimization

# Usage

Add this to your `Cargo.toml`

:

[dependencies] argmin = "0.4.7"

## Optional features (recommended)

There are additional features which can be activated in `Cargo.toml`

:

[dependencies] argmin = { version = "0.4.7", features = ["ctrlc", "ndarrayl", "nalgebral"] }

These may become default features in the future. Without these features compilation to
`wasm32-unknown-unkown`

seems to be possible.

`ctrlc`

: Uses the`ctrlc`

crate to properly stop the optimization (and return the current best result) after pressing Ctrl+C.`ndarrayl`

: Support for`ndarray`

,`ndarray-linalg`

and`ndarray-rand`

.`nalgebral`

: Support for`nalgebra`

.

Using the `ndarrayl`

feature on Windows might require to explicitly choose the `ndarray-linalg`

BLAS backend in the `Cargo.toml`

:

ndarray-linalg = { version = "*", features = ["intel-mkl-static"] }

## Running the tests and building the examples

Running the tests requires the `ndarrayl`

and feature to be enabled:

cargo test --features "ndarrayl"

The examples require all features to be enabled:

cargo test --features --all-features

# Defining a problem

A problem can be defined by implementing the `ArgminOp`

trait which comes with the
associated types `Param`

, `Output`

and `Hessian`

. `Param`

is the type of your
parameter vector (i.e. the input to your cost function), `Output`

is the type returned
by the cost function, `Hessian`

is the type of the Hessian and `Jacobian`

is the type of the
Jacobian.
The trait provides the following methods:

`apply(&self, p: &Self::Param) -> Result<Self::Output, Error>`

: Applys the cost function to parameters`p`

of type`Self::Param`

and returns the cost function value.`gradient(&self, p: &Self::Param) -> Result<Self::Param, Error>`

: Computes the gradient at`p`

.`hessian(&self, p: &Self::Param) -> Result<Self::Hessian, Error>`

: Computes the Hessian at`p`

.`jacobian(&self, p: &Self::Param) -> Result<Self::Jacobian, Error>`

: Computes the Jacobian at`p`

.

The following code snippet shows an example of how to use the Rosenbrock test functions from
`argmin-testfunctions`

in argmin:

use argmin_testfunctions::{rosenbrock_2d, rosenbrock_2d_derivative, rosenbrock_2d_hessian}; use argmin::prelude::*; /// First, create a struct for your problem struct Rosenbrock { a: f64, b: f64, } /// Implement `ArgminOp` for `Rosenbrock` impl ArgminOp for Rosenbrock { /// Type of the parameter vector type Param = Vec<f64>; /// Type of the return value computed by the cost function type Output = f64; /// Type of the Hessian. Can be `()` if not needed. type Hessian = Vec<Vec<f64>>; /// Type of the Jacobian. Can be `()` if not needed. type Jacobian = (); /// Floating point precision type Float = f64; /// Apply the cost function to a parameter `p` fn apply(&self, p: &Self::Param) -> Result<Self::Output, Error> { Ok(rosenbrock_2d(p, self.a, self.b)) } /// Compute the gradient at parameter `p`. fn gradient(&self, p: &Self::Param) -> Result<Self::Param, Error> { Ok(rosenbrock_2d_derivative(p, self.a, self.b)) } /// Compute the Hessian at parameter `p`. fn hessian(&self, p: &Self::Param) -> Result<Self::Hessian, Error> { let t = rosenbrock_2d_hessian(p, self.a, self.b); Ok(vec![vec![t[0], t[1]], vec![t[2], t[3]]]) } }

It is optional to implement any of these methods, as there are default implementations which
will return an `Err`

when called. What needs to be implemented is defined by the requirements
of the solver that is to be used.

# Running a solver

The following example shows how to use the previously shown definition of a problem in a Steepest Descent (Gradient Descent) solver.

use argmin::prelude::*; use argmin::solver::gradientdescent::SteepestDescent; use argmin::solver::linesearch::MoreThuenteLineSearch; // Define cost function (must implement `ArgminOperator`) let cost = Rosenbrock { a: 1.0, b: 100.0 }; // Define initial parameter vector let init_param: Vec<f64> = vec![-1.2, 1.0]; // Set up line search let linesearch = MoreThuenteLineSearch::new(); // Set up solver let solver = SteepestDescent::new(linesearch); // Run solver let res = Executor::new(cost, solver, init_param) // Add an observer which will log all iterations to the terminal .add_observer(ArgminSlogLogger::term(), ObserverMode::Always) // Set maximum iterations to 10 .max_iters(10) // run the solver on the defined problem .run()?; // print result println!("{}", res);

# Observing iterations

Argmin offers an interface to observe the state of the iteration at initialization as well as
after every iteration. This includes the parameter vector, gradient, Hessian, iteration number,
cost values and many more as well as solver-specific metrics. This interface can be used to
implement loggers, send the information to a storage or to plot metrics.
Observers need to implment the `Observe`

trait.
Argmin ships with a logger based on the `slog`

crate. `ArgminSlogLogger::term`

logs to the
terminal and `ArgminSlogLogger::file`

logs to a file in JSON format. Both loggers also come
with a `*_noblock`

version which does not block the execution of logging, but may drop some
messages if the buffer is full.
Parameter vectors can be written to disc using `WriteToFile`

.
For each observer it can be defined how often it will observe the progress of the solver. This
is indicated via the enum `ObserverMode`

which can be either `Always`

, `Never`

, `NewBest`

(whenever a new best solution is found) or `Every(i)`

which means every `i`

th iteration.

let res = Executor::new(problem, solver, init_param) // Add an observer which will log all iterations to the terminal (without blocking) .add_observer(ArgminSlogLogger::term_noblock(), ObserverMode::Always) // Log to file whenever a new best solution is found .add_observer(ArgminSlogLogger::file("solver.log", false)?, ObserverMode::NewBest) // Write parameter vector to `params/param.arg` every 20th iteration .add_observer(WriteToFile::new("params", "param"), ObserverMode::Every(20)) // run the solver on the defined problem .run()?;

# Checkpoints

The probability of crashes increases with runtime, therefore one may want to save checkpoints
in order to be able to resume the optimization after a crash.
The `CheckpointMode`

defines how often checkpoints are saved and is either `Never`

(default),
`Always`

(every iteration) or `Every(u64)`

(every Nth iteration). It is set via the setter
method `checkpoint_mode`

of `Executor`

.
In addition, the directory where the checkpoints and a prefix for every file can be set via
`checkpoint_dir`

and `checkpoint_name`

, respectively.

The following example shows how the `from_checkpoint`

method can be used to resume from a
checkpoint. In case this fails (for instance because the file does not exist, which could mean
that this is the first run and there is nothing to resume from), it will resort to creating a
new `Executor`

, thus starting from scratch.

let res = Executor::from_checkpoint(".checkpoints/optim.arg", Rosenbrock {}) .unwrap_or(Executor::new(Rosenbrock {}, solver, init_param)) .max_iters(iters) .checkpoint_dir(".checkpoints") .checkpoint_name("optim") .checkpoint_mode(CheckpointMode::Every(20)) .run()?;

# Implementing an optimization algorithm

In this section we are going to implement the Landweber solver, which essentially is a special
form of gradient descent. In iteration `k`

, the new parameter vector `x_{k+1}`

is calculated
from the previous parameter vector `x_k`

and the gradient at `x_k`

according to the following
update rule:

`x_{k+1} = x_k - omega * \nabla f(x_k)`

In order to implement this using the argmin framework, one first needs to define a struct which
holds data specific to the solver. Then, the `Solver`

trait needs to be implemented for the
struct. This requires setting the associated constant `NAME`

which gives your solver a name.
The `next_iter`

method defines the computations performed in a single iteration of the solver.
Via the parameters `op`

and `state`

one has access to the operator (cost function, gradient
computation, Hessian, …) and to the current state of the optimization (parameter vectors,
cost function values, iteration number, …), respectively.

use argmin::prelude::*; use serde::{Deserialize, Serialize}; // Define a struct which holds any parameters/data which are needed during the execution of the // solver. Note that this does not include parameter vectors, gradients, Hessians, cost // function values and so on, as those will be handled by the `Executor`. #[derive(Serialize, Deserialize)] pub struct Landweber<F> { /// omega omega: F, } impl<F> Landweber<F> { /// Constructor pub fn new(omega: F) -> Self { Landweber { omega } } } impl<O, F> Solver<O> for Landweber<F> where // `O` always needs to implement `ArgminOp` O: ArgminOp<Float = F>, // `O::Param` needs to implement `ArgminScaledSub` because of the update formula O::Param: ArgminScaledSub<O::Param, O::Float, O::Param>, F: ArgminFloat, { // This gives the solver a name which will be used for logging const NAME: &'static str = "Landweber"; // Defines the computations performed in a single iteration. fn next_iter( &mut self, // This gives access to the operator supplied to the `Executor`. `O` implements // `ArgminOp` and `OpWrapper` takes care of counting the calls to the respective // functions. op: &mut OpWrapper<O>, // Current state of the optimization. This gives access to the parameter vector, // gradient, Hessian and cost function value of the current, previous and best // iteration as well as current iteration number, and many more. state: &IterState<O>, ) -> Result<ArgminIterData<O>, Error> { // First we obtain the current parameter vector from the `state` struct (`x_k`). let xk = state.get_param(); // Then we compute the gradient at `x_k` (`\nabla f(x_k)`) let grad = op.gradient(&xk)?; // Now subtract `\nabla f(x_k)` scaled by `omega` from `x_k` to compute `x_{k+1}` let xkp1 = xk.scaled_sub(&self.omega, &grad); // Return new paramter vector which will then be used by the `Executor` to update // `state`. Ok(ArgminIterData::new().param(xkp1)) } }

# License

Licensed under either of

- Apache License, Version 2.0, (LICENSE-APACHE or http://www.apache.org/licenses/LICENSE-2.0)
- MIT License (LICENSE-MIT or http://opensource.org/licenses/MIT)

at your option.

## Contribution

Unless you explicitly state otherwise, any contribution intentionally submitted for inclusion in the work by you, as defined in the Apache-2.0 license, shall be dual licensed as above, without any additional terms or conditions.

## Modules

Core functionality Argmin Optimizaton toolbox core

Definition of all relevant traits and types

Solvers

## Macros

Release an `T`

from an `Option<T>`

if it is not `None`

. If it is `None`

, return an
`ArgminError`

with a message that needs to be provided.

Creates an `ArgminKV`

at compile time in order to avoid pushing to the `kv`

vector.

Reuse a list of trait bounds by giving it a name, e.g. trait_bound!(CopyAndDefault; Copy, Default);