"""Minuit Optimizer Class."""
from pyhf import exceptions
from pyhf.optimize.mixins import OptimizerMixin
import scipy
import iminuit
[docs]class minuit_optimizer(OptimizerMixin):
"""
Optimizer that minimizes via :meth:`iminuit.Minuit.migrad`.
"""
__slots__ = ['name', 'errordef', 'steps', 'strategy', 'tolerance']
[docs] def __init__(self, *args, **kwargs):
"""
Create :class:`iminuit.Minuit` optimizer.
.. note::
``errordef`` should be 1.0 for a least-squares cost function and 0.50
for negative log-likelihood function --- see `MINUIT: Function Minimization
and Error Analysis Reference Manual <https://cdsweb.cern.ch/record/2296388/>`_
Section 7.1: Function normalization and ERROR DEF.
This parameter is sometimes called ``UP`` in the ``MINUIT`` docs.
Args:
errordef (:obj:`float`): See minuit docs. Default is ``1.0``.
steps (:obj:`int`): Number of steps for the bounds. Default is ``1000``.
strategy (:obj:`int`): See :attr:`iminuit.Minuit.strategy`. Default is ``None``.
tolerance (:obj:`float`): Tolerance for termination.
See specific optimizer for detailed meaning.
Default is ``0.1``.
"""
self.name = 'minuit'
self.errordef = kwargs.pop('errordef', 1)
self.steps = kwargs.pop('steps', 1000)
self.strategy = kwargs.pop('strategy', None)
self.tolerance = kwargs.pop('tolerance', 0.1)
super().__init__(*args, **kwargs)
[docs] def _get_minimizer(
self,
objective_and_grad,
init_pars,
init_bounds,
fixed_vals=None,
do_grad=False,
par_names=None,
):
fixed_vals = fixed_vals or []
# Minuit wants True/False for each parameter
fixed_bools = [False] * len(init_pars)
for index, val in fixed_vals:
fixed_bools[index] = True
init_pars[index] = val
# Minuit requires jac=callable
if do_grad:
wrapped_objective = lambda pars: objective_and_grad(pars)[0] # noqa: E731
jac = lambda pars: objective_and_grad(pars)[1] # noqa: E731
else:
wrapped_objective = objective_and_grad
jac = None
minuit = iminuit.Minuit(wrapped_objective, init_pars, grad=jac, name=par_names)
minuit.limits = init_bounds
minuit.fixed = fixed_bools
minuit.print_level = self.verbose
minuit.errordef = self.errordef
return minuit
[docs] def _minimize(
self,
minimizer,
func,
x0,
do_grad=False,
bounds=None,
fixed_vals=None,
options={},
):
"""
Same signature as :func:`scipy.optimize.minimize`.
Note: an additional `minuit` is injected into the fitresult to get the
underlying minimizer.
Minimizer Options:
* maxiter (:obj:`int`): Maximum number of iterations. Default is ``100000``.
* strategy (:obj:`int`): See :attr:`iminuit.Minuit.strategy`.
Default is to configure in response to ``do_grad``.
* tolerance (:obj:`float`): Tolerance for termination.
See specific optimizer for detailed meaning.
Default is ``0.1``.
Returns:
fitresult (scipy.optimize.OptimizeResult): the fit result
"""
maxiter = options.pop('maxiter', self.maxiter)
# 0: Fast, user-provided gradient
# 1: Default, no user-provided gradient
strategy = options.pop(
'strategy', self.strategy if self.strategy else not do_grad
)
tolerance = options.pop('tolerance', self.tolerance)
if options:
raise exceptions.Unsupported(
f"Unsupported options were passed in: {list(options)}."
)
minimizer.strategy = strategy
minimizer.tol = tolerance
minimizer.migrad(ncall=maxiter)
# Following lines below come from:
# https://github.com/scikit-hep/iminuit/blob/23bad7697e39d363f259ca8349684df939b1b2e6/src/iminuit/_minimize.py#L111-L130
message = "Optimization terminated successfully."
if not minimizer.valid:
message = "Optimization failed."
fmin = minimizer.fmin
if fmin.has_reached_call_limit:
message += " Call limit was reached."
if fmin.is_above_max_edm:
message += " Estimated distance to minimum too large."
hess_inv = None
corr = None
unc = None
if minimizer.valid:
# Extra call to hesse() after migrad() is always needed for good error estimates. If you pass a user-provided gradient to MINUIT, convergence is faster.
minimizer.hesse()
hess_inv = minimizer.covariance
corr = hess_inv.correlation()
unc = minimizer.errors
return scipy.optimize.OptimizeResult(
x=minimizer.values,
unc=unc,
corr=corr,
success=minimizer.valid,
fun=minimizer.fval,
hess_inv=hess_inv,
message=message,
nfev=minimizer.nfcn,
njev=minimizer.ngrad,
minuit=minimizer,
)