wrapdisc 1.3.3

Optimize both discrete and continuous variables using just a continuous optimizer such as in scipy.optimize

wrapdisc

wrapdisc is a Python 3.10 package to wrap a discrete optimization objective such that it can be optimized by a continuous optimizer such as in scipy.optimize. It maps the discrete variables into a continuous space, and uses an in-memory cache over the discrete space. Both discrete and continuous variables are supported, and are motivated by Ray Tune's search spaces.

Limitations

• The use of an unbounded in-memory cache over the original objective function imposes a memory requirement. If multiple workers are used, each worker has its own such cache, thereby using additional memory for each worker. This cache prevents duplicated calls to the original objective function in a worker.
• The ability to support constraints such as scipy.optimize.NonlinearConstraint or scipy.optimize.LinearConstraint is unclear. A constraint can however be modeled by returning inf upon its violation in the original objective function.

Links

Caption	Link
Repo	https://github.com/impredicative/wrapdisc/
Changelog	https://github.com/impredicative/wrapdisc/releases
Package	https://pypi.org/project/wrapdisc/

Installation

Python ≥3.10 is required. To install, run:

pip install wrapdisc

No additional third-party packages are required or installed.

Variables

The following classes of variables are available:

Space	Usage	Description	Decoder	Examples
Discrete	ChoiceVar(items)	Nominal (unordered categorical)	one-hot via max	• fn(["USA", "Panama", "Cayman"])
Discrete	GridVar(values)	Ordinal (ordered categorical)	round	• fn([2, 4, 8, 16]) • fn(["good", "better", "best"])
Discrete	RandintVar(lower, upper)	Integer from lower to upper, both inclusive	round	• fn(0, 6) • fn(3, 9) • fn(-10, 10)
Discrete	QrandintVar(lower, upper, q)	Quantized integer from lower to upper in multiples of q	round to a multiple	• fn(0, 12, 3) • fn(1, 10, 2) • fn(-10, 10, 4)
Continuous	UniformVar(lower, upper)	Float from lower to upper	passthrough	• fn(0.0, 5.11) • fn(0.2, 4.6) • fn(-10.0, 10.0)
Continuous	QuniformVar(lower, upper, q)	Quantized float from lower to upper in multiples of q	round to a multiple	• fn(0.0, 5.1, 0.3) • fn(-5.1, -0.2, 0.3)

Usage

Example:

import operator
from typing import Any

import scipy.optimize

from wrapdisc import Objective
from wrapdisc.var import ChoiceVar, GridVar, QrandintVar, QuniformVar, RandintVar, UniformVar

def your_mixed_optimization_objective(x: tuple, *args: Any) -> float:
    return float(sum(x_i if isinstance(x_i, (int, float)) else len(str(x_i)) for x_i in (*x, *args)))

wrapped_objective = Objective(
            your_mixed_optimization_objective,
            variables=[
                ChoiceVar(["foobar", "baz"]),
                ChoiceVar([operator.index, abs, operator.invert]),
                GridVar([0.01, 0.1, 1, 10, 100]),
                GridVar(["good", "better", "best"]),
                RandintVar(-8, 10),
                QrandintVar(1, 10, 2),
                UniformVar(1.2, 3.4),
                QuniformVar(-11.1, 9.99, 0.22),
            ],
        )

optional_fixed_args = ("arg1", 2, 3.0)
result = scipy.optimize.differential_evolution(wrapped_objective, wrapped_objective.bounds, args=optional_fixed_args, seed=0)
cache_usage = wrapped_objective.cache_info
encoded_solution = result.x
decoded_solution = wrapped_objective[encoded_solution]
assert result.fun == wrapped_objective(encoded_solution, *optional_fixed_args)
assert result.fun == your_mixed_optimization_objective(decoded_solution, *optional_fixed_args)

Output:

>>> wrapped_objective.bounds
((0.0, 1.0), (0.0, 1.0), (0.0, 1.0), (0.0, 1.0), (0.0, 1.0), (-0.49999999999999994, 4.499999999999999), (-0.49999999999999994, 2.4999999999999996), (-8.499999999999998, 10.499999999999998), (1.0000000000000002, 10.999999999999998), (1.2, 3.4), (-11.109999999999998, 10.009999999999998))

>>> result
     fun: 23.21
     jac: array([0.        , 0.        , 0.        , 0.        , 0.        ,
       0.        , 0.        , 0.        , 0.        , 1.00000009,
       0.        ])
 message: 'Optimization terminated successfully.'
    nfev: 7119
     nit: 42
 success: True
       x: array([  0.58467199,   0.72299406,   0.35864397,   0.65881822,
         0.12084548,  -0.46336082,  -0.22147362,  -8.01661046,
         2.32989067,   1.2       , -10.91142129])

>>> decoded_solution
('baz', <built-in function abs>, 0.01, 'good', -8, 2, 1.2, -11.0)

>>> your_mixed_optimization_objective(decoded_solution, *optional_fixed_args)
23.21

>>> cache_usage
CacheInfo(hits=153, misses=6966, maxsize=None, currsize=6966)