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Add constraints support for NOMAD #817

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Sep 17, 2024
Merged

Add constraints support for NOMAD #817

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7e763ec
Add constraints support for NOMAD
Vaibhavdixit02 Sep 11, 2024
d31fd15
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Vaibhavdixit02 Sep 11, 2024
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45 changes: 34 additions & 11 deletions lib/OptimizationNOMAD/src/OptimizationNOMAD.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -7,8 +7,11 @@ using NOMAD, Optimization.SciMLBase
export NOMADOpt
struct NOMADOpt end

@enum ConstraintBarrierType ExtremeBarrierMethod ProgressiveBarrierMethod

SciMLBase.allowsbounds(::NOMADOpt) = true
SciMLBase.allowscallback(::NOMADOpt) = false
SciMLBase.allowsconstraints(::NOMADOpt) = true

function __map_optimizer_args!(prob::OptimizationProblem, opt::NOMAD.NomadProblem;
callback = nothing,
Expand Down Expand Up @@ -40,12 +43,14 @@ function __map_optimizer_args!(prob::OptimizationProblem, opt::NOMAD.NomadProble
return nothing
end

@inline strcnsmethod(m::ConstraintBarrierType) = m === ExtremeBarrierMethod ? "EB" : "PB"

function SciMLBase.__solve(prob::OptimizationProblem, opt::NOMADOpt;
maxiters::Union{Number, Nothing} = nothing,
maxtime::Union{Number, Nothing} = nothing,
abstol::Union{Number, Nothing} = nothing,
reltol::Union{Number, Nothing} = nothing,
progress = false,
cons_method = ExtremeBarrierMethod,
kwargs...)
local x

Expand All @@ -57,15 +62,27 @@ function SciMLBase.__solve(prob::OptimizationProblem, opt::NOMADOpt;
return first(x)
end

function bb(x)
l = _loss(x)
success = !isnan(l) && !isinf(l)
count_eval = true
return (success, count_eval, [l])
end

if !isnothing(prob.lcons) | !isnothing(prob.ucons)
@warn "Linear and nonlinear constraints defined in OptimizationProblem are currently not used by $(opt)"
if prob.f.cons === nothing
function bb(x)
l = _loss(x)
success = !isnan(l) && !isinf(l)
count_eval = true
return (success, count_eval, [l])
end
else
eqinds = findall(i -> prob.lcons[i] == prob.ucons[i], 1:length(prob.ucons))
function bbcons(x)
l = _loss(x)
c = zeros(eltype(x), length(prob.ucons))
prob.f.cons(c, x, prob.p)
c -= prob.ucons
if !isempty(eqinds)
c[eqinds] = abs.(c[eqinds])
end
success = !isnan(l) && !isinf(l)
count_eval = true
return (success, count_eval, vcat(l, c))
end
end

bounds = (;)
Expand All @@ -77,7 +94,13 @@ function SciMLBase.__solve(prob::OptimizationProblem, opt::NOMADOpt;
bounds = (; bounds..., upper_bound = prob.ub)
end

opt_setup = NOMAD.NomadProblem(length(prob.u0), 1, ["OBJ"], bb; bounds...)
if prob.f.cons === nothing
opt_setup = NOMAD.NomadProblem(length(prob.u0), 1, ["OBJ"], bb; bounds...)
else
opt_setup = NOMAD.NomadProblem(length(prob.u0), 1 + length(prob.ucons),
vcat("OBJ", fill(strcnsmethod(cons_method), length(prob.ucons))),
bbcons; bounds...)
end

__map_optimizer_args!(prob, opt_setup, maxiters = maxiters, maxtime = maxtime,
abstol = abstol, reltol = reltol; kwargs...)
Expand Down
15 changes: 15 additions & 0 deletions lib/OptimizationNOMAD/test/runtests.jl
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Expand Up @@ -16,4 +16,19 @@ using Test
prob = OptimizationProblem(f, x0, _p; lb = [-1.0, -1.0], ub = [1.5, 1.5])
sol = Optimization.solve(prob, NOMADOpt())
@test 10 * sol.objective < l1

cons = (res, x, p) -> (res[1] = x[1]^2 + x[2]^2; nothing)
f = OptimizationFunction(rosenbrock, cons = cons)
prob = OptimizationProblem(f, x0, _p; lcons = [-Inf], ucons = [1.0])
sol = Optimization.solve(prob, NOMADOpt(), maxiters = 5000)
@test 10 * sol.objective < l1

function con2_c(res, x, p)
res .= [x[1]^2 + x[2]^2, x[2] * sin(x[1]) - x[1]]
end

f = OptimizationFunction(rosenbrock, cons = con2_c)
prob = OptimizationProblem(f, x0, _p; lcons = [-Inf, -Inf], ucons = [0.5, 0.0])
sol = Optimization.solve(prob, NOMADOpt(), maxiters = 5000)
@test sol.objective < l1
end
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