SAOR

The Sequential Approximate Optimization Repository, or SAOR, provides an concise implementation of multiple sequential approximate optimization routines. The package aims to provide a simple, modular implementation that enables users to investigate and modify the optimization routines to match their optimization problems.

SAOR provides multiple well-known algorithms, e.g. Optimality Criteria (Venkayya 1989), ConLin (Fleury, 1989), and the Method of Moving Asymptotes (MMA) (K. Svanberg, 1987). Although these are implemented in a modular fashion, simple wrappers are provided to use a standard implementation with corresponding default settings.

Usage

A problem can be setup using predefined wrappers

problem = Square()
x, f = sao.solvers.method_of_moving_asymptotes.mma(problem, x0=x0)
print(f'Final design: {x} with objective: {f[0]} and constraints: {f[1:]}')

Or by constructing the full optimization strategy

problem = Square()
x = problem.x0
intervening_variables = sao.intervening_variables.MMA()
approximation = sao.approximation.Taylor1(intervening_variables)
sub_problem = sao.problems.Subproblem(problem)
criterion = sao.convergence_criteria.VariableChange(x, tolerance=1e-2)

while not criterion.converged:
    f = problem.g(x)
    df = problem.dg(x)
    sub_problem.build(x, f, df)
    x[:] = sao.solvers.primal_dual_interior_point.pdip(sub_problem)

print(f'Final design: {x} with objective: {f} and constraints: {f[1:]}')

Many alternative variations are illustrated in examples/optimization_problem_setup.py.

Installation

To install the package for development, first clone the repository. Then, from the project's root run make. This will setup a virtual environment inside the project at ./venv. After activating this environment, source ./venv/bin/activate, the sao package and its dependencies are available.

The tests for sao are evaluated with pytest:

# minimal reporting on the test status
pytest tests/

# explicit coverage report with missing lines highlighted
pytest tests/ --cov sao --cov-report term-missing

Documentation

Documentation is generated using Sphinx. To build and clean docs:

# create documentation
make docs

# clean documentation
make docsclean

The documentation is generated from the source at docs/source/ and the documentation strings throughout the Python code. The output is placed at docs/build/. Open docs/build/index.html to browse locally.

Requirements to building the docs can be setup in the local environment by running

pip install -e .[doc]

The extra docs dependencies are pulled from the setup.py, which installs sphinx, sphix_rtd_theme and sphinxcontrib-napolean into the local (virtual)environment.