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1 | 1 | # Optimization Problem Reusage and Caching Interface |
2 | 2 |
|
3 | | -One of the key features for high-performance optimization workflows is the ability to reuse and modify existing optimization problems without full reconstruction. Optimization.jl provides several mechanisms for efficiently reusing optimization setups, particularly through the `reinit!` function and caching interfaces. |
4 | 3 |
|
5 | | -## Basic Reusage with `reinit!` |
| 4 | +## Reusing Optimization Caches with `reinit!` |
6 | 5 |
|
7 | | -The `reinit!` function allows you to modify an existing optimization problem and reuse the solver setup. This is particularly useful for parameter sweeps, sensitivity analysis, and warm-starting optimization problems. |
| 6 | +The `reinit!` function allows you to efficiently reuse an existing optimization cache with new parameters or initial values. This is particularly useful when solving similar optimization problems repeatedly with different parameter values, as it avoids the overhead of creating a new cache from scratch. |
8 | 7 |
|
9 | | -```julia |
10 | | -using Optimization, OptimizationOptimJL |
11 | | - |
12 | | -# Define the Rosenbrock function |
13 | | -rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2 |
| 8 | +### Basic Usage |
14 | 9 |
|
15 | | -# Initial setup |
16 | | -x0 = [0.0, 0.0] |
| 10 | +```@example reinit |
| 11 | +# Create initial problem and cache |
| 12 | +using Optimization, OptimizationOptimJL |
| 13 | +rosenbrock(u, p) = (p[1] - u[1])^2 + p[2] * (u[2] - u[1]^2)^2 |
| 14 | +u0 = zeros(2) |
17 | 15 | p = [1.0, 100.0] |
18 | | -prob = OptimizationProblem(rosenbrock, x0, p) |
19 | 16 |
|
20 | | -# Solve the first optimization |
21 | | -sol1 = solve(prob, BFGS()) |
| 17 | +optf = OptimizationFunction(rosenbrock, Optimization.AutoForwardDiff()) |
| 18 | +prob = OptimizationProblem(optf, u0, p) |
22 | 19 |
|
23 | | -# Reinitialize with new parameters without reconstructing the entire problem |
24 | | -reinit!(prob, x0, p = [2.0, 100.0]) |
25 | | -sol2 = solve(prob, BFGS()) |
| 20 | +# Initialize cache and solve |
| 21 | +cache = Optimization.init(prob, Optim.BFGS()) |
| 22 | +sol = Optimization.solve!(cache) |
26 | 23 |
|
27 | | -# Reinitialize with new initial conditions |
28 | | -reinit!(prob, [1.0, 1.0], p = [1.0, 100.0]) |
29 | | -sol3 = solve(prob, BFGS()) |
| 24 | +# Reinitialize cache with new parameters |
| 25 | +cache = Optimization.reinit!(cache; p = [2.0, 50.0]) |
| 26 | +sol2 = Optimization.solve!(cache) |
30 | 27 | ``` |
31 | 28 |
|
32 | | -## Parameter Sweeps |
| 29 | +### Supported Arguments |
33 | 30 |
|
34 | | -The `reinit!` function is particularly powerful for parameter sweeps where you need to solve the same optimization problem with different parameter values: |
| 31 | +The `reinit!` function supports updating various fields of the optimization cache: |
35 | 32 |
|
36 | | -```julia |
37 | | -using Optimization, OptimizationOptimJL |
| 33 | +- `u0`: New initial values for the optimization variables |
| 34 | +- `p`: New parameter values |
| 35 | +- `lb`: New lower bounds (if applicable) |
| 36 | +- `ub`: New upper bounds (if applicable) |
| 37 | +- `lcons`: New lower bounds for constraints (if applicable) |
| 38 | +- `ucons`: New upper bounds for constraints (if applicable) |
38 | 39 |
|
39 | | -# Define optimization problem |
40 | | -f(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2 |
41 | | -x0 = [0.0, 0.0] |
42 | | -prob = OptimizationProblem(f, x0, [1.0, 100.0]) |
| 40 | +### Example: Parameter Sweep |
43 | 41 |
|
44 | | -# Parameter sweep |
45 | | -parameter_values = [50.0, 100.0, 150.0, 200.0] |
46 | | -solutions = [] |
| 42 | +```@example reinit |
| 43 | +# Solve for multiple parameter values efficiently |
| 44 | +results = [] |
| 45 | +p_values = [[1.0, 100.0], [2.0, 100.0], [3.0, 100.0]] |
47 | 46 |
|
48 | | -for p_val in parameter_values |
49 | | - reinit!(prob, x0, p = [1.0, p_val]) |
50 | | - sol = solve(prob, BFGS()) |
51 | | - push!(solutions, sol) |
52 | | -end |
| 47 | +# Create initial cache |
| 48 | +cache = Optimization.init(prob, Optim.BFGS()) |
53 | 49 |
|
54 | | -# Access results |
55 | | -for (i, sol) in enumerate(solutions) |
56 | | - println("Parameter $(parameter_values[i]): Minimum at $(sol.u)") |
| 50 | +for p in p_values |
| 51 | + cache = Optimization.reinit!(cache; p = p) |
| 52 | + sol = Optimization.solve!(cache) |
| 53 | + push!(results, (p = p, u = sol.u, objective = sol.objective)) |
57 | 54 | end |
58 | 55 | ``` |
59 | 56 |
|
60 | | -## Warm-Starting Optimization |
61 | | - |
62 | | -You can use previous solutions as starting points for new optimizations, which can significantly improve convergence: |
| 57 | +### Example: Updating Initial Values |
63 | 58 |
|
64 | 59 | ```julia |
65 | | -using Optimization, OptimizationOptimJL |
66 | | - |
67 | | -# Define a more complex optimization problem |
68 | | -complex_objective(x, p) = sum((x[i] - p[i])^2 for i in 1:length(x)) + |
69 | | - sum(sin(x[i]) for i in 1:length(x)) |
70 | | - |
71 | | -# Initial problem |
72 | | -n = 10 |
73 | | -x0 = zeros(n) |
74 | | -p0 = ones(n) |
75 | | -prob = OptimizationProblem(complex_objective, x0, p0) |
76 | | - |
77 | | -# Solve initial problem |
78 | | -sol1 = solve(prob, BFGS()) |
79 | | - |
80 | | -# Use previous solution as warm start for new parameter set |
81 | | -new_params = 1.1 * ones(n) # Slightly different parameters |
82 | | -reinit!(prob, sol1.u, p = new_params) # Warm start with previous solution |
83 | | -sol2 = solve(prob, BFGS()) |
84 | | - |
85 | | -# Compare convergence |
86 | | -println("Initial problem converged in $(sol1.iterations) iterations") |
87 | | -println("Warm-started problem converged in $(sol2.iterations) iterations") |
88 | | -``` |
89 | | - |
90 | | -## Advanced Caching with Iterator Interface |
91 | | - |
92 | | -For more advanced use cases, you can use the solver's iterator interface to have fine-grained control over the optimization process: |
| 60 | +# Warm-start optimization from different initial points |
| 61 | +u0_values = [[0.0, 0.0], [0.5, 0.5], [1.0, 1.0]] |
93 | 62 |
|
94 | | -```julia |
95 | | -using Optimization, OptimizationOptimJL |
96 | | - |
97 | | -# Setup optimization problem |
98 | | -rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2 |
99 | | -prob = OptimizationProblem(rosenbrock, [0.0, 0.0], [1.0, 100.0]) |
100 | | - |
101 | | -# Initialize the solver (this creates the cache) |
102 | | -cache = init(prob, BFGS()) |
103 | | - |
104 | | -# Perform optimization steps manually |
105 | | -for i in 1:10 |
106 | | - step!(cache) |
107 | | - println("Step $i: Current point = $(cache.u), Objective = $(cache.objective)") |
| 63 | +for u0 in u0_values |
| 64 | + cache = Optimization.reinit!(cache; u0 = u0) |
| 65 | + sol = Optimization.solve!(cache) |
| 66 | + println("Starting from ", u0, " converged to ", sol.u) |
108 | 67 | end |
109 | | - |
110 | | -# Get final solution |
111 | | -sol = solve!(cache) |
112 | 68 | ``` |
113 | 69 |
|
114 | | -## Performance Benefits |
115 | | - |
116 | | -The reusage interface provides several performance advantages: |
117 | | - |
118 | | -1. **Reduced Memory Allocation**: Reusing problem structures avoids repeated memory allocations |
119 | | -2. **Warm Starting**: Using previous solutions as initial guesses can reduce iterations needed |
120 | | -3. **Solver State Preservation**: Internal solver states (like Hessian approximations) can be preserved |
121 | | -4. **Batch Processing**: Efficient processing of multiple related optimization problems |
| 70 | +### Performance Benefits |
122 | 71 |
|
123 | | -## When to Use `reinit!` vs `remake` |
| 72 | +Using `reinit!` is more efficient than creating a new problem and cache for each parameter value, especially when: |
| 73 | +- The optimization algorithm maintains internal state that can be reused |
| 74 | +- The problem structure remains the same (only parameter values change) |
124 | 75 |
|
125 | | -- **Use `reinit!`** when: |
126 | | - - You want to preserve solver internal state |
127 | | - - Parameters or initial conditions change slightly |
128 | | - - You're doing parameter sweeps or sensitivity analysis |
129 | | - - Performance is critical |
130 | | - |
131 | | -- **Use `remake`** when: |
132 | | - - The problem structure changes significantly |
133 | | - - You need a completely fresh start |
134 | | - - Problem dimensions change |
135 | | - |
136 | | -## Example: Complete Parameter Study |
137 | | - |
138 | | -Here's a comprehensive example showing how to efficiently perform a parameter study: |
139 | | - |
140 | | -```julia |
141 | | -using Optimization, OptimizationOptimJL, Plots |
142 | | - |
143 | | -# Define objective function |
144 | | -objective(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2 + p[3] * x[1] * x[2] |
145 | | - |
146 | | -# Setup base problem |
147 | | -x0 = [0.0, 0.0] |
148 | | -base_params = [1.0, 100.0, 0.0] |
149 | | -prob = OptimizationProblem(objective, x0, base_params) |
150 | | - |
151 | | -# Parameter study over the third parameter |
152 | | -param3_range = -5.0:0.5:5.0 |
153 | | -results = Dict() |
154 | | - |
155 | | -for p3 in param3_range |
156 | | - # Efficiently update only the changing parameter |
157 | | - new_params = [1.0, 100.0, p3] |
158 | | - reinit!(prob, x0, p = new_params) |
159 | | - |
160 | | - # Solve and store results |
161 | | - sol = solve(prob, BFGS()) |
162 | | - results[p3] = (solution = sol.u, objective = sol.objective) |
163 | | -end |
164 | | - |
165 | | -# Analyze results |
166 | | -objectives = [results[p3].objective for p3 in param3_range] |
167 | | -plot(param3_range, objectives, xlabel="Parameter 3", ylabel="Objective Value", |
168 | | - title="Parameter Study using reinit!") |
169 | | -``` |
| 76 | +### Notes |
170 | 77 |
|
171 | | -This reusage interface makes Optimization.jl highly efficient for production optimization workflows where the same problem structure is solved repeatedly with different parameters or initial conditions. |
| 78 | +- The `reinit!` function modifies the cache in-place and returns it for convenience |
| 79 | +- Not all fields need to be specified; only provide the ones you want to update |
| 80 | +- The function is particularly useful in iterative algorithms, parameter estimation, and when solving families of related optimization problems |
| 81 | +- For creating a new problem with different parameters (rather than modifying a cache), use `remake` on the `OptimizationProblem` instead |
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