Polish changelog for release 0.5.0 (#525)

Author: janosg

CHANGES.md

@@ -10,31 +10,71 @@ we drop the official support for Python 3.9.
 
 ## 0.5.0
 
-This is a major release with several breaking changes and deprecations. On a high level,
-the major changes are:
+This is a major release with several breaking changes and deprecations. In this
+release we started implementing two major enhancement proposals and renamed the package
+from estimagic to optimagic (while keeping the `estimagic` namespace for the estimation
+capabilities).
 
-- Implement EP-02: Static typing
-- Implement EP-03: Alignment with SciPy
-- Rename the package from `estimagic` to `optimagic` (while keeping the `estimagic`
-  namespace for the estimation capabilities).
+- [EP-02: Static typing](https://estimagic.org/en/latest/development/ep-02-typing.html)
+- [EP-03: Alignment with SciPy](https://estimagic.org/en/latest/development/ep-03-alignment.html)
 
+The implementation of the two enhancement proposals is not complete and will likely
+take until version `0.6.0`. However, all breaking changes and deprecations (with the
+exception of a minor change in benchmarking) are already implemented such that updating
+to version `0.5.0` is future proof.
 
 - {gh}`500` removes the dashboard, the support for simopt optimizers and the
   `derivative_plot` ({ghuser}`janosg`)
+- {gh}`502` renames estimagic to optimagic ({ghuser}`janosg`)
 - {gh}`504` aligns `maximize` and `minimize` more closely with scipy. All related
   deprecations and breaking changes are listed below. As a result, scipy code that uses
   minimize with the arguments `x0`, `fun`, `jac` and `method` will run without changes
   in optimagic. Similarly, to `OptimizeResult` gets some aliases so it behaves more
   like SciPy's.
+- {gh}`506` introduces the new `Bounds` object and deprecates `lower_bounds`,
+  `upper_bounds`, `soft_lower_bounds` and `soft_upper_bounds` ({ghuser}`janosg`)
+- {gh}`507` updates the infrastructure so we can make parallel releases under the names
+  `optimagic` and `estimagic` ({ghuser}`timmens`)
+- {gh}`508` introduces the new `ScalingOptions` object and deprecates the
+  `scaling_options` argument of `maximize` and `minimize` ({ghuser}`timmens`)
+- {gh}`512` implements the new interface for objective functions and derivatives
+  ({ghuser}`janosg`)
+- {gh}`513` implements the new `optimagic.MultistartOptions` object and deprecates the
+  `multistart_options` argument of `maximize` and `minimize` ({ghuser}`timmens`)
+- {gh}`514` and {gh}`516` introduce the `NumdiffResult` object that is returned from
+  `first_derivative` and `second_derivative`. It also fixes several bugs in the
+  pytree handling in `first_derivative` and `second_derivative` and deprecates
+  Richardson Extrapolation and the `key` ({ghuser}`timmens`)
+- {gh}`517` introduces the new `NumdiffOptions` object for configuring numerical
+  differentiation during optimization or estimation ({ghuser}`timmens`)
+- {gh}`519` rewrites the logging code and introduces new `LogOptions` objects
+  ({ghuser}`schroedk`)
+- {gh}`521` introduces the new internal algorithm interface.
+  ({ghuser}`janosg` and {ghuser}`mpetrosian`)
+- {gh}`522` introduces the new `Constraint` objects and deprecates passing
+  dictionaries or lists of dictionaries as constraints ({ghuser}`timmens`)
+
 
 ### Breaking changes
 
 - When providing a path for the argument `logging` of the functions
   `maximize` and `minimize` and the file already exists, the default
   behavior is to raise an error now. Replacement or extension
   of an existing file must be explicitly configured.
-- The argument `if_table_exists` has no effect anymore and a
+- The argument `if_table_exists` in `log_options` has no effect anymore and a
   corresponding warning is raised.
+- `OptimizeResult.history` is now a `optimagic.History` object instead of a
+  dictionary. Dictionary style access is implemented but deprecated. Other dictionary
+  methods might not work.
+- The result of `first_derivative` and `second_derivative` is now a
+  `optimagic.NumdiffResult` object instead of a dictionary. Dictionary style access is
+  implemented but other dictionary methods might not work.
+- The dashboard is removed
+- The `derivative_plot` is removed.
+- Optimizers from Simopt are removed.
+- Passing callables with the old internal algorithm interface as `algorithm` to
+  `minimize` and `maximize` is not supported anymore. Use the new
+  `Algorithm` objects instead. For examples see: https://tinyurl.com/24a5cner
 
 
 ### Deprecations
@@ -62,10 +102,29 @@ the major changes are:
     - `convergence_scaled_gradient_tolerance` -> `convergence_gtol_scaled`
     - `stopping_max_criterion_evaluations` -> `stopping_maxfun`
     - `stopping_max_iterations` -> `stopping_maxiter`
-- The `log_options` argument of `minimize` and `maximize` is deprecated,
-  an according FutureWarning is raised.
+- The arguments `lower_bounds`, `upper_bounds`, `soft_lower_bounds` and
+  `soft_upper_bounds` are deprecated and replaced by `optimagic.Bounds`. This affects
+  `maximize`, `minimize`, `estimate_ml`, `estimate_msm`, `slice_plot` and several
+  other functions.
+- The `log_options` argument of `minimize` and `maximize` is deprecated. Instead,
+  `LogOptions` objects can be passed under the `logging` argument.
 - The class `OptimizeLogReader` is deprecated and redirects to
   `SQLiteLogReader`.
+- The `scaling_options` argument of `maximize` and `minimize` is deprecated. Instead a
+  `ScalingOptions` object can be passed under the `scaling` argument that was previously
+  just a bool.
+- Objective functions that return a dictionary with the special keys "value",
+  "contributions" and "root_contributions" are deprecated. Instead, likelihood and
+  least-squares functions are marked with a `mark.likelihood` or `mark.least_squares`
+  decorator. There is a detailed how-to guide that shows the new behavior. This affects
+  `maximize`, `minimize`, `slice_plot` and other functions that work with objective
+  functions.
+- The `multistart_options` argument of `minimize` and `maximize` is deprecated. Instead,
+  a `MultistartOptions` object can be passed under the `multistart` argument.
+- Richardson Extrapolation is deprecated in `first_derivative` and `second_derivative`
+- The `key` argument is deprecated in `first_derivative` and `second_derivative`
+- Passing dictionaries or lists of dictionaries as `constraints` to `maximize` or
+  `minimize` is deprecated. Use the new `Constraint` objects instead.
 
 ## 0.4.7
 

README.md

@@ -28,10 +28,20 @@ tools, parallel numerical derivatives and more.
 perform statistical inference on estimated parameters. *estimagic* is now a subpackage
 of *optimagic*.
 
+## Documentation
+
+The documentation is hosted at https://optimagic.readthedocs.io
+
 ## Installation
 
-The package can be installed via conda. To do so, type the following commands in a
-terminal:
+The package can be installed via pip or conda. To do so, type the following commands in
+a terminal:
+
+```bash
+pip install optimagic
+```
+
+or
 
 ```bash
 $ conda config --add channels conda-forge
@@ -67,10 +77,6 @@ To enable all algorithms at once, do the following:
 
 `pip install fides>=0.7.4 (Make sure you have at least 0.7.1)`
 
-## Documentation
-
-The documentation is hosted ([on rtd](https://estimagic.readthedocs.io/en/latest/#))
-
 ## Citation
 
 If you use optimagic for your research, please do not forget to cite it.

docs/source/explanation/internal_optimizers.md

@@ -23,49 +23,10 @@ transformed problem.
 
 ## The internal optimizer interface
 
-An internal optimizer is a a function that minimizes a criterion function and fulfills a
-few conditions. In our experience, it is not hard to wrap any optimizer into this
-interface. The mandatory conditions for an internal optimizer function are:
-
-1. It is decorated with the `mark_minimizer` decorator and thus carries information that
-   tells optimagic how to use the internal optimizer.
-
-1. It uses the standard names for the arguments that describe the optimization problem:
-
-   - criterion: for the criterion function
-   - x: for the start parameters in form of a 1d numpy array
-   - derivative: for the first derivative of the criterion function
-   - criterion_and_derivative: for a function that evaluates the criterion and its first
-     derivative jointly
-   - lower_bounds: for lower bounds in form of a 1d numpy array
-   - upper_bounds: for upper bounds in form of a 1d numpy array
-   - nonlinear_constraints: for nonlinear constraints in form a list of dictionaries
-
-   Of course, algorithms that do not need a certain argument (e.g. unbounded or
-   derivative free ones) do not need those arguments at all.
-
-1. All other arguments have default values.
-
-(internal-optimizer-output)=
+(to be written)
 
 ## Output of internal optimizers
 
-After convergence or when another stopping criterion is achieved the internal optimizer
-should return a dictionary with the following entries:
-
-- solution_x: The best parameter achieved so far
-- solution_criterion: The value of the criterion at solution_x. This can be a scalar or
-  dictionary.
-- n_fun_evals: The number of criterion evaluations.
-- n_jac_evals: The number of derivative evaluations.
-- n_iterations: The number of iterations
-- success: True if convergence was achieved
-- message: A string with additional information.
-
-If some of the entries are missing, they will automatically be filled with `None` and no
-errors are raised. Nevertheless, you should try to return as much information as
-possible.
-
 (naming-conventions)=
 
 ## Naming conventions for algorithm specific arguments
@@ -89,75 +50,8 @@ the exact meaning of all options for all optimizers.
 
 ## Algorithms that parallelize
 
-Algorithms can evaluate the criterion function in parallel. To make such a parallel
-algorithm fully compatible with optimagic (including history collection and benchmarking
-functionality), the following conditions need to be fulfilled:
-
-- The algorithm has an argument called `n_cores` which determines how many cores are
-  used for the parallelization.
-- The algorithm has an argument called `batch_evaluator` and all parallelization is done
-  using a built-in or user provided batch evaluator.
-
-Moreover, we strongly suggest to comply with the following convention:
-
-- The algorithm has an argument called `batch_size` which is an integer that is greater
-  or equal to `n_cores`. Setting the `batch_size` larger than n_cores, allows to
-  simulate how the algorithm would behave with `n_cores=batch_size` but only uses
-  `n_cores` cores. This allows to simulate / benchmark the parallelizability of an
-  algorithm even if no parallel hardware is available.
-
-If the mandatory conditions are not fulfilled, the algorithm should disable all history
-collection by using `mark_minimizer(..., disable_history=True)`.
+(to be written)
 
 ## Nonlinear constraints
 
-optimagic can pass nonlinear constraints to the internal optimizer. The internal
-interface for nonlinear constraints is as follows.
-
-A nonlinear constraint is a `list` of `dict` 's, where each `dict` represents a group of
-constraints. In each group the constraint function can potentially be multi-dimensional.
-We distinguish between equality and inequality constraints, which is signalled by a dict
-entry `type` that takes values `"eq"` and `"ineq"`. The constraint function, which takes
-as input an internal parameter vector, is stored under the entry `fun`, while the
-Jacobian of that function is stored at `jac`. The tolerance for the constraints is
-stored under `tol`. At last, the number of constraints in each group is specified under
-`n_constr`. An example list with one constraint that would be passed to the internal
-optimizer is given by
-
-```
-constraints = [
-    {
-        "type": "ineq",
-        "n_constr": 1,
-        "tol": 1e-5,
-        "fun": lambda x: x**3,
-        "jac": lambda x: 3 * x**2,
-    }
-]
-```
-
-**Equality.** Internal equality constraints assume that the constraint is met when the
-function is zero. That is
-
-$$
-0 = g(x) \in \mathbb{R}^m .
-$$
-
-**Inequality.** Internal inequality constraints assume that the constraint is met when
-the function is greater or equal to zero. That is
-
-$$
-0 \leq g(x) \in \mathbb{R}^m .
-$$
-
-## Other conventions
-
-- Internal optimizer are functions and should thus adhere to python naming conventions,
-  for functions (i.e. only consist of lowercase letters and individual words should be
-  separated by underscores). For optimizers that are implemented in many packages (e.g.
-  Nelder Mead or BFGS), the name of the original package in which it was implemented has
-  to be part of the name.
-- All arguments of an internal optimizer should actually be used. In particular, if an
-  optimizer does not support bounds it should not have `lower_bounds` and `upper_bounds`
-  as arguments; derivative free optimizers should not have `derivative` or
-  `criterion_and_derivative` as arguments, etc.
+(to be written)

pyproject.toml

@@ -14,23 +14,28 @@ dependencies = [
     "pybaum>=0.1.2",
     "scipy>=1.2.1",
     "sqlalchemy>=1.3",
+    "annotated-types",
+    "typing-extensions",
+    "nlopt",
 ]
 dynamic = ["version"]
 keywords = [
-    "econometrics",
+    "nonlinear optimization",
+    "optimization",
+    "derivative free optimization",
+    "global optimization",
+    "parallel optimization",
     "statistics",
     "estimation",
     "extremum estimation",
-    "optimization",
     "inference",
     "numerical differentiation",
     "finite differences",
-    "derivative free optimization",
     "method of simulated moments",
     "maximum likelihood",
 ]
 classifiers = [
-    "Development Status :: 4 - Beta",
+    "Development Status :: 5 - Production/Stable",
     "Intended Audience :: Science/Research",
     "License :: OSI Approved :: MIT License",
     "Operating System :: MacOS :: MacOS X",