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Add PRIMA wrapper
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‎lib/OptimizationPRIMA/LICENSE

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MIT License
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Copyright (c) 2023 Vaibhav Dixit <[email protected]> and contributors
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Permission is hereby granted, free of charge, to any person obtaining a copy
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of this software and associated documentation files (the "Software"), to deal
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in the Software without restriction, including without limitation the rights
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to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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copies of the Software, and to permit persons to whom the Software is
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furnished to do so, subject to the following conditions:
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The above copyright notice and this permission notice shall be included in all
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copies or substantial portions of the Software.
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THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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SOFTWARE.

‎lib/OptimizationPRIMA/Project.toml

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name = "OptimizationPRIMA"
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uuid = "72f8369c-a2ea-4298-9126-56167ce9cbc2"
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authors = ["Vaibhav Dixit <[email protected]> and contributors"]
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version = "1.0.0-DEV"
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[deps]
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Optimization = "7f7a1694-90dd-40f0-9382-eb1efda571ba"
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PRIMA = "0a7d04aa-8ac2-47b3-b7a7-9dbd6ad661ed"
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[compat]
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julia = "1"
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[extras]
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Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
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[targets]
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test = ["Test"]

‎lib/OptimizationPRIMA/src/OptimizationPRIMA.jl

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module OptimizationPRIMA
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using PRIMA, Optimization, Optimization.SciMLBase
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abstract type PRIMASolvers end
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struct UOBYQA <: PRIMASolvers end
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struct NEWUOA <: PRIMASolvers end
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struct BOBYQA <: PRIMASolvers end
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struct LINCOA <: PRIMASolvers end
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struct COBYLA <: PRIMASolvers end
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SciMLBase.supports_opt_cache_interface(::PRIMASolvers) = true
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SciMLBase.allowsconstraints(::Union{LINCOA, COBYLA}) = true
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SciMLBase.allowsbounds(opt::Union{BOBYQA, LINCOA, COBYLA}) = true
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SciMLBase.requiresconstraints(opt::COBYLA) = true
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function SciMLBase.__init(prob::SciMLBase.OptimizationProblem, opt::PRIMASolvers,
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data = Optimization.DEFAULT_DATA;
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callback = (args...) -> (false),
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progress = false, kwargs...)
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return OptimizationCache(prob, opt, data; callback, progress,
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kwargs...)
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end
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function get_solve_func(opt::PRIMASolvers)
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if opt isa UOBYQA
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return PRIMA.uobyqa
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elseif opt isa NEWUOA
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return PRIMA.newuoa
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elseif opt isa BOBYQA
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return PRIMA.bobyqa
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elseif opt isa LINCOA
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return PRIMA.lincoa
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elseif opt isa COBYLA
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return PRIMA.cobyla
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end
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end
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function __map_optimizer_args!(cache::OptimizationCache, opt::PRIMASolvers;
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callback = nothing,
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maxiters::Union{Number, Nothing} = nothing,
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maxtime::Union{Number, Nothing} = nothing,
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abstol::Union{Number, Nothing} = nothing,
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reltol::Union{Number, Nothing} = nothing,
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kwargs...)
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kws = (; kwargs...)
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if !isnothing(maxiters)
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kws = (; kws..., maxfun = maxiters)
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end
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if cache.ub !== nothing
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kws = (; kws..., xu = cache.ub, xl = cache.lb)
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end
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if !isnothing(maxtime) || !isnothing(abstol) || !isnothing(reltol)
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error("maxtime, abstol and reltol kwargs not supported in $opt")
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end
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return kws
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end
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function sciml_prima_retcode(rc::AbstractString)
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if rc in ["SMALL_TR_RADIUS", "TRSUBP_FAILED","NAN_INF_X"
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,"NAN_INF_F"
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,"NAN_INF_MODEL"
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,"DAMAGING_ROUNDING"
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,"ZERO_LINEAR_CONSTRAINT"
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,"INVALID_INPUT"
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,"ASSERTION_FAILS"
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,"VALIDATION_FAILS"
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,"MEMORY_ALLOCATION_FAILS"]
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return ReturnCode.Failure
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else rc in [
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"FTARGET_ACHIEVED"
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"MAXFUN_REACHED"
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"MAXTR_REACHED"
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"NO_SPACE_BETWEEN_BOUNDS"
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]
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return ReturnCode.Success
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end
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end
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function SciMLBase.__solve(cache::OptimizationCache{
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F,
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RC,
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LB,
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UB,
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LC,
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UC,
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S,
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O,
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D,
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P,
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C,
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}) where {
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F,
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RC,
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LB,
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UB,
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LC,
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UC,
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S,
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O <: PRIMASolvers,
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D,
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P,
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C,
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}
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_loss = function (θ)
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x = cache.f(θ, cache.p)
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if cache.callback(θ, x...)
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error("Optimization halted by callback.")
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end
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return x[1]
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end
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optfunc = get_solve_func(cache.opt)
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maxiters = Optimization._check_and_convert_maxiters(cache.solver_args.maxiters)
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maxtime = Optimization._check_and_convert_maxtime(cache.solver_args.maxtime)
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kws = __map_optimizer_args!(cache, cache.opt; callback = cache.callback, maxiters = maxiters,
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maxtime = maxtime,
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cache.solver_args...)
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t0 = time()
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if cache.opt isa COBYLA
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function fwcons(θ, res)
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cache.f.cons(res, θ, cache.p)
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return _loss(θ)
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end
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(minx, minf, nf, rc, cstrv) = optfunc(fwcons, cache.u0; kws...)
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elseif cache.opt isa LINCOA
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(minx, minf, nf, rc, cstrv) = optfunc(_loss, cache.u0; kws...)
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else
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(minx, minf, nf, rc) = optfunc(_loss, cache.u0; kws...)
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end
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t1 = time()
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retcode = sciml_prima_retcode(PRIMA.reason(rc))
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SciMLBase.build_solution(cache, cache.opt, minx,
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minf; retcode = retcode,
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solve_time = t1 - t0)
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end
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export UOBYQA, NEWUOA, BOBYQA, LINCOA, COBYLA
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end

‎lib/OptimizationPRIMA/test/runtests.jl

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using OptimizationPRIMA, Optimization
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using Test
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@testset "OptimizationPRIMA.jl" begin
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rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
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x0 = zeros(2)
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_p = [1.0, 100.0]
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l1 = rosenbrock(x0, _p)
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prob = OptimizationProblem(rosenbrock, x0, _p)
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sol = Optimization.solve(prob, UOBYQA(), maxiters = 1000)
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@test 10 * sol.objective < l1
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sol = Optimization.solve(prob, NEWUOA(), maxiters = 1000)
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@test 10 * sol.objective < l1
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sol = Optimization.solve(prob, BOBYQA(), maxiters = 1000)
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@test 10 * sol.objective < l1
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sol = Optimization.solve(prob, LINCOA(), maxiters = 1000)
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@test 10 * sol.objective < l1
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@test_throws SciMLBase.IncompatibleOptimizerError Optimization.solve(prob, COBYLA(), maxiters = 1000)
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end

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