Objective functions and constraints


disropt comes with many already implemented mathematical functions. Functions are defined in terms of optimization variables (Variable) or other functions. Let us start by defining a Variable object as:

from disropt.functions import Variable
n = 2 # dimension of the variable
x = Variable(n)
print(x.input_shape) # -> (2, 1)
print(x.output_shape) # -> (2, 1)

Now, suppose you want to define an affine function \(f(x)=A^\top x - b\) with \(A\in\mathbb{R}^{2\times 2}\) and \(b\in\mathbb{R}^2\):

import numpy as np
a = 1
A = np.array([[1,2], [2,4]])
b = np.array([[1], [1]])
f = A @ x - b

# or, alternatively
from disropt.functions import AffineForm
f = AffineForm(x, A, b)

The composition of functions is fully supported. Suppose you want to define a function \(g(x)=f(x)^\top Q f(x)\), then:

from disropt.functions import QuadraticForm
Q = np.random.rand(2,2)
g = QuadraticForm(f, Q) # or: g = f @ (Q.tranpose() @ f)
print(g.input_shape) # -> (2, 1)
print(g.output_shape) # -> (1, 1)

Currently supported operations with functions are sum (+), difference (-), product(*) and matrix product (@). Combination with numpy arrays is supported as well.

Function properties and methods

Each function has three properties that can be checked: differentiablity, being affine and quadratic:

g.is_differentiable # -> True
g.is_affine # -> False
g.is_quadratic # -> True
f.is_affine # -> True

and their input and output shapes can be obtained as

g.output_shape # -> (1,1)
g.input_shape # -> (2,1)

Moreover, it is possible to evaluate functions at desired points and to obtain the corresponding (sub)gradient/jacobian/hessian as:

pt = np.random.rand(2,1)
# the value of g computed at pt is obtained as
# the value of the jacobian of g computed at pt is
# the value of a (sub)gradient of g is available only if the output shape of g is (1,1)
# otherwise it will result in an error
f.subgradient(pt) # -> Error
# the value of the hessian of g computed at pt is

For affine and quadratic functions, a method called get_parameters is implemented, which returns the matrices and vectors that define those functions. The generic form for an affine function is \(A^\top x + b\) while the one for a quadratic form is \(x^\top P x + q^\top x + r\):

f = A @ x + b
f.get_parameters() # -> A, b

Defining constraints from functions

Constraints are represented in the canonical forms \(f(x)=0\) and \(f(x)\leq 0\).

They are directly obtained from functions:

constraint = g == 0 # g(x) = 0
constraint = g >= 0 # g(x) >= 0
constraint = g <= 0 # g(x) <= 0

On the right side of (in)equalities, numpy arrays and functions (with appropriate shapes) are also allowed:

c = np.random.rand(2,1)
constr = f <= c

which is automatically translated in the corresponding canonical form.

Constraints can be evaluated at any point by using the eval method which returns a boolean value if the constraint is satisfied. Moreover, the function defining a constraints can be retrieved with the function method:

pt = np.random.rand(2,1)
constr.eval(pt) # -> True if f(pt) <= c
constr.function.eval(pt) # -> value of f - c at pt

Affine and quadratic constraints

Parameters defining affine and quadratic constraints can be easily obtained. They can be accessed by calling the get_parameters method:

f = A @ x + b
constraint = f == 0 # affine equality constraint
# f has the form A^T x + b
constraint.get_parameters() # returns A and b

g = f @ f
constraint = g == 0 # quadratic equality constraint
# g has the form x^T P x + q^T x + r
constraint.get_parameters() # returns P, q and r

Projection onto a constraint set

The projection of a point onto the set defined by a constraint can be computed via the projection method:

projected_point = f.projection(pt)

Constraint sets

Some particular constraint sets (for which projection of points is easy to compute) are also available through specialized classes, which are extensions of the class Constraint. For instance, suppose you want all the components of \(x\) to be in \([-1,1]\). Then you can define a Box constraint as:

from disropt.constraints import Box
bound = np.ones((2,1))
constr = Box(-bound, bound)

Two methods are available: projection and intersection. The first one returns the projection of a given point on the set, while the second one intersects the set with another one. This feature is particularly useful in set-membership estimation algorithms.

Constraint sets can be converted into a list of constraints through the method to_constraints.