Merge pull request #532 from oyamad/linprog_simplex

EHN: Add Numba-jitted linprog solver

Author: oyamad

docs/source/optimize.rst

@@ -6,4 +6,6 @@ Optimize
 
    optimize/nelder_mead
    optimize/root_finding
+   optimize/linprog_simplex
+   optimize/pivoting
    optimize/scalar_maximization

docs/source/optimize/linprog_simplex.rst

@@ -0,0 +1,7 @@
+linprog_simplex
+===============
+
+.. automodule:: quantecon.optimize.linprog_simplex
+    :members:
+    :undoc-members:
+    :show-inheritance:

docs/source/optimize/pivoting.rst

@@ -0,0 +1,7 @@
+pivoting
+========
+
+.. automodule:: quantecon.optimize.pivoting
+    :members:
+    :undoc-members:
+    :show-inheritance:

quantecon/game_theory/lemke_howson.py

@@ -7,10 +7,7 @@
 import numpy as np
 from numba import jit
 from .utilities import NashResult
-
-
-TOL_PIV = 1e-10
-TOL_RATIO_DIFF = 1e-15
+from ..optimize.pivoting import _pivoting, _lex_min_ratio_test
 
 
 def lemke_howson(g, init_pivot=0, max_iter=10**6, capping=None,
@@ -398,8 +395,8 @@ def _lemke_howson_tbl(tableaux, bases, init_pivot, max_iter):
     while True:
         for pl in pls:
             # Determine the leaving variable
-            row_min = _lex_min_ratio_test(tableaux[pl], pivot,
-                                          slack_starts[pl], argmins)
+            _, row_min = _lex_min_ratio_test(tableaux[pl], pivot,
+                                             slack_starts[pl], argmins)
 
             # Pivoting step: modify tableau in place
             _pivoting(tableaux[pl], pivot, row_min)
@@ -421,147 +418,6 @@ def _lemke_howson_tbl(tableaux, bases, init_pivot, max_iter):
     return converged, num_iter
 
 
-@jit(nopython=True, cache=True)
-def _pivoting(tableau, pivot, pivot_row):
-    """
-    Perform a pivoting step. Modify `tableau` in place.
-
-    Parameters
-    ----------
-    tableau : ndarray(float, ndim=2)
-        Array containing the tableau.
-
-    pivot : scalar(int)
-        Pivot.
-
-    pivot_row : scalar(int)
-        Pivot row index.
-
-    Returns
-    -------
-    tableau : ndarray(float, ndim=2)
-        View to `tableau`.
-
-    """
-    nrows, ncols = tableau.shape
-
-    pivot_elt = tableau[pivot_row, pivot]
-    for j in range(ncols):
-        tableau[pivot_row, j] /= pivot_elt
-
-    for i in range(nrows):
-        if i == pivot_row:
-            continue
-        multiplier = tableau[i, pivot]
-        if multiplier == 0:
-            continue
-        for j in range(ncols):
-            tableau[i, j] -= tableau[pivot_row, j] * multiplier
-
-    return tableau
-
-
-@jit(nopython=True, cache=True)
-def _min_ratio_test_no_tie_breaking(tableau, pivot, test_col,
-                                    argmins, num_candidates):
-    """
-    Perform the minimum ratio test, without tie breaking, for the
-    candidate rows in `argmins[:num_candidates]`. Return the number
-    `num_argmins` of the rows minimizing the ratio and store thier
-    indices in `argmins[:num_argmins]`.
-
-    Parameters
-    ----------
-    tableau : ndarray(float, ndim=2)
-        Array containing the tableau.
-
-    pivot : scalar(int)
-        Pivot.
-
-    test_col : scalar(int)
-        Index of the column used in the test.
-
-    argmins : ndarray(int, ndim=1)
-        Array containing the indices of the candidate rows. Modified in
-        place to store the indices of minimizing rows.
-
-    num_candidates : scalar(int)
-        Number of candidate rows in `argmins`.
-
-    Returns
-    -------
-    num_argmins : scalar(int)
-        Number of minimizing rows.
-
-    """
-    ratio_min = np.inf
-    num_argmins = 0
-
-    for k in range(num_candidates):
-        i = argmins[k]
-        if tableau[i, pivot] <= TOL_PIV:  # Treated as nonpositive
-            continue
-        ratio = tableau[i, test_col] / tableau[i, pivot]
-        if ratio > ratio_min + TOL_RATIO_DIFF:  # Ratio large for i
-            continue
-        elif ratio < ratio_min - TOL_RATIO_DIFF:  # Ratio smaller for i
-            ratio_min = ratio
-            num_argmins = 1
-        else:  # Ratio equal
-            num_argmins += 1
-        argmins[num_argmins-1] = i
-
-    return num_argmins
-
-
-@jit(nopython=True, cache=True)
-def _lex_min_ratio_test(tableau, pivot, slack_start, argmins):
-    """
-    Perform the lexico-minimum ratio test.
-
-    Parameters
-    ----------
-    tableau : ndarray(float, ndim=2)
-        Array containing the tableau.
-
-    pivot : scalar(int)
-        Pivot.
-
-    slack_start : scalar(int)
-        First index for the slack variables.
-
-    argmins : ndarray(int, ndim=1)
-        Empty array used to store the row indices. Its length must be no
-        smaller than the number of the rows of `tableau`.
-
-    Returns
-    -------
-    row_min : scalar(int)
-        Index of the row with the lexico-minimum ratio.
-
-    """
-    nrows = tableau.shape[0]
-    num_candidates = nrows
-
-    # Initialize `argmins`
-    for i in range(nrows):
-        argmins[i] = i
-
-    num_argmins = _min_ratio_test_no_tie_breaking(tableau, pivot, -1,
-                                                  argmins, num_candidates)
-    if num_argmins == 1:
-        return argmins[0]
-
-    for j in range(slack_start, slack_start+nrows):
-        if j == pivot:
-            continue
-        num_argmins = _min_ratio_test_no_tie_breaking(tableau, pivot, j,
-                                                      argmins, num_argmins)
-        if num_argmins == 1:
-            break
-    return argmins[0]
-
-
 @jit(nopython=True, cache=True)
 def _get_mixed_actions(tableaux, bases):
     """

quantecon/optimize/__init__.py

@@ -2,7 +2,9 @@
 """
 Initialization of the optimize subpackage
 """
-
+from .linprog_simplex import (
+    linprog_simplex, solve_tableau, get_solution, PivOptions
+)
 from .scalar_maximization import brent_max
 from .nelder_mead import nelder_mead
 from .root_finding import newton, newton_halley, newton_secant, bisect, brentq