Scipy Optimiser from Omar

cmake/modules/SearchInstalledSoftware.cmake

@@ -678,8 +678,6 @@ set(Python3_FIND_FRAMEWORK LAST)
 list(APPEND python_components Interpreter)
 if(pyroot OR tmva-pymva)
   list(APPEND python_components Development)
-endif()
-if(tmva-pymva)
   list(APPEND python_components NumPy)
 endif()
 find_package(Python3 3.8 COMPONENTS ${python_components})

etc/plugins/ROOT@@Math@@Minimizer/P100_Scipy.C

@@ -0,0 +1,5 @@
+void P100_Scipy()
+{
+   gPluginMgr->AddHandler("ROOT::Math::Minimizer", "Scipy", "ROOT::Math::Experimental::ScipyMinimizer", "Scipy",
+                          "ScipyMinimizer(const char*)");
+}

math/CMakeLists.txt

@@ -34,4 +34,6 @@ if(r)
   add_subdirectory(rtools)
 endif()
 
+add_subdirectory(scipy)
+
 add_subdirectory(vecops)

math/scipy/CMakeLists.txt

@@ -0,0 +1,22 @@
+############################################################################
+# CMakeLists.txt file for building ROOT math/scipy package
+############################################################################
+# author: [email protected] 2022
+
+include_directories(SYSTEM ${PYTHON_INCLUDE_DIRS_Development_Main} ${NUMPY_INCLUDE_DIRS})
+ROOT_STANDARD_LIBRARY_PACKAGE(Scipy
+                              HEADERS 
+                                Math/ScipyMinimizer.h
+                              LINKDEF 
+                                Math/LinkDef.h
+                              LIBRARIES
+                                Python3::NumPy
+                                Python3::Python
+                              SOURCES
+                                src/ScipyMinimizer.cxx
+                              DEPENDENCIES Core MathCore RIO
+                              )
+
+target_compile_definitions(Scipy PUBLIC USE_ROOT_ERROR ${PYTHON_DEFINITIONS})
+target_include_directories(Scipy PUBLIC ${PYTHON_INCLUDE_DIRS})
+ROOT_ADD_TEST_SUBDIRECTORY(test)

math/scipy/inc/Math/LinkDef.h

@@ -0,0 +1,11 @@
+// @(#)root/math/ipopt:$Id$
+// Authors: [email protected]  12/2022
+
+#ifdef __CINT__
+
+#pragma link C++ nestedclasses;
+#pragma link C++ nestedtypedef;
+
+#pragma link C++ class ROOT::Math::Experimental::ScipyMinimizer;
+
+#endif //__CINT__

math/scipy/inc/Math/ScipyMinimizer.h

@@ -0,0 +1,173 @@
+// @(#)root/math/scipy:$Id$
+// Author: [email protected] 2023
+
+/*************************************************************************
+ * Copyright (C) 1995-2022, Rene Brun and Fons Rademakers.               *
+ * All rights reserved.                                                  *
+ *                                                                       *
+ * For the licensing terms see $ROOTSYS/LICENSE.                         *
+ * For the list of contributors see $ROOTSYS/README/CREDITS.             *
+ *************************************************************************/
+
+#ifndef ROOT_Math_ScipyMinimizer
+#define ROOT_Math_ScipyMinimizer
+
+#include "Math/Minimizer.h"
+#include "Math/MinimizerOptions.h"
+
+#include "Math/IFunctionfwd.h"
+
+#include "Math/IParamFunctionfwd.h"
+
+#include "Math/BasicMinimizer.h"
+
+#include "Rtypes.h"
+#include "TString.h"
+
+#include <functional>
+#include <vector>
+#include <map>
+
+#ifndef PyObject_HEAD
+struct _object;
+typedef _object PyObject;
+#define Py_single_input 256
+#endif
+
+namespace ROOT {
+
+namespace Math {
+
+class GenAlgoOptions;
+
+namespace Experimental {
+/**
+   enumeration specifying the types of Scipy solvers
+   @ingroup MultiMin
+*/
+
+//_____________________________________________________________________________________
+/**
+  \class ScipyMinimizer
+  ScipyMinimizer class.
+  Scipy minimizer implementation using Python C API that supports several methods such as
+  Nelder-Mead, L-BFGS-B, Powell, CG, BFGS, TNC, COBYLA, SLSQP, trust-constr,
+  Newton-CG, dogleg, trust-ncg, trust-exact and trust-krylov.
+
+  It supports the Jacobian (Gradients), Hessian and bounds for the variables.
+
+  Support for constraint functions will be implemented in the next releases.
+  You can find a macro example in the folder $ROOTSYS/tutorial/fit/scipy.C
+
+  To provide extra options to the minimizer, you can use the class GenAlgoOptions
+  and the method SetExtraOptions().
+  Example:
+   ```
+   ROOT::Math::GenAlgoOptions l_bfgs_b_opt;
+   l_bfgs_b_opt.SetValue("gtol", 1e-3);
+   l_bfgs_b_opt.SetValue("ftol", 1e7);
+   minimizer->SetExtraOptions(l_bfgs_b_opt);
+   ```
+
+  See <A HREF="https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html">Scipy doc</A>
+  from more info on the Scipy minimization algorithms.
+
+   @ingroup MultiMin
+*/
+
+class ScipyMinimizer : public BasicMinimizer {
+private:
+   PyObject *fMinimize;
+   PyObject *fTarget;
+   PyObject *fJacobian;
+   PyObject *fHessian;
+   PyObject *fBoundsMod;
+   PyObject *fConstraintsList; /// contraints functions
+   GenAlgoOptions *fExtraOpts;
+   std::function<bool(std::span<const double>, double *)> fHessianFunc;
+   unsigned int fConstN;
+   unsigned int fCalls;
+
+protected:
+   PyObject *fGlobalNS;
+   PyObject *fLocalNS;
+
+public:
+   /**
+      Default constructor
+   */
+   ScipyMinimizer();
+   /**
+      Constructor with a string giving name of algorithm
+   */
+   ScipyMinimizer(const char *type);
+
+   /**
+      Destructor
+   */
+   virtual ~ScipyMinimizer();
+
+   /**
+      Python initialization
+    */
+   void PyInitialize();
+
+   /**
+      Checks if Python was initialized
+    */
+   int PyIsInitialized();
+
+   /*
+      Python finalization
+    */
+   void PyFinalize();
+   /*
+      Python code execution
+    */
+   void PyRunString(TString code, TString errorMessage = "Failed to run python code", int start = Py_single_input);
+
+   /*
+      Number of function calls
+    */
+   virtual unsigned int NCalls() const override;
+
+   /*
+      Method to add Constraint function,
+      multiples constraints functions can be added.
+      type have to be a string "eq" or "ineq" where
+      eq (means Equal, then fun() = 0)
+      ineq (means that, it is to be non-negative. fun() >=0)
+      https://kitchingroup.cheme.cmu.edu/f19-06623/13-constrained-optimization.html
+   */
+   virtual void AddConstraintFunction(std::function<double(const std::vector<double> &)>, std::string type);
+
+private:
+   // usually copying is non trivial, so we make this unaccessible
+
+   /**
+      Copy constructor
+   */
+   ScipyMinimizer(const ScipyMinimizer &) : BasicMinimizer() {}
+
+   /**
+      Get extra options from IOptions
+   */
+   void SetExtraOptions();
+
+public:
+   /// method to perform the minimization
+   virtual bool Minimize() override;
+
+   virtual void SetHessianFunction(std::function<bool(std::span<const double>, double *)>) override;
+
+protected:
+   ClassDef(ScipyMinimizer, 0) //
+};
+
+} // end namespace Experimental
+
+} // end namespace Math
+
+} // end namespace ROOT
+
+#endif /* ROOT_Math_ScipyMinimizer */