I have matrices where elements can be defined as arithmetic expressions and have written Python code to optimise parameters in these expressions in order to minimize particular eigenvalues of the matrix. I have used scipy
to do this, but was wondering if it is possible with NLopt
as I would like to try a few more algorithms which it has (derivative free variants).
In scipy
I would do something like this:
import numpy as np
from scipy.linalg import eig
from scipy.optimize import minimize
def my_func(x):
y, w = x
arr = np.array([[y+w,-2],[-2,w-2*(w+y)]])
ev, ew=eig(arr)
return ev[0]
x0 = np.array([10, 3.45]) # Initial guess
minimize(my_func, x0)
In NLopt I have tried this:
import numpy as np
from scipy.linalg import eig
import nlopt
def my_func(x,grad):
arr = np.array([[x[0]+x[1],-2],[-2,x[1]-2*(x[1]+x[0])]])
ev, ew=eig(arr)
return ev[0]
opt = nlopt.opt(nlopt.LN_BOBYQA, 2)
opt.set_lower_bounds([1.0,1.0])
opt.set_min_objective(my_func)
opt.set_xtol_rel(1e-7)
x = opt.optimize([10.0, 3.5])
minf = opt.last_optimum_value()
print "optimum at ", x[0],x[1]
print "minimum value = ", minf
print "result code = ", opt.last_optimize_result()
This returns:
ValueError: nlopt invalid argument
Is NLopt able to process this problem?
my_func should return double, posted sample return complex
print(type(ev[0]))
None
<class 'numpy.complex128'>
ev[0]
(13.607794065928395+0j)
correct version of my_func:
def my_func(x, grad):
arr = np.array([[x[0]+x[1],-2],[-2,x[1]-2*(x[1]+x[0])]])
ev, ew=eig(arr)
return ev[0].real
updated sample returns:
optimum at [ 1. 1.]
minimum value = 2.7015621187164243
result code = 4