Source code for pypop7.optimizers.cem.mras

import numpy as np  # engine for numerical computing
from scipy.stats import multivariate_normal as mn

from pypop7.optimizers.cem import CEM


[docs]class MRAS(CEM): """Model Reference Adaptive Search (MRAS). Parameters ---------- problem : dict problem arguments with the following common settings (`keys`): * 'fitness_function' - objective function to be **minimized** (`func`), * 'ndim_problem' - number of dimensionality (`int`), * 'upper_boundary' - upper boundary of search range (`array_like`), * 'lower_boundary' - lower boundary of search range (`array_like`). options : dict optimizer options with the following common settings (`keys`): * 'max_function_evaluations' - maximum of function evaluations (`int`, default: `np.Inf`), * 'max_runtime' - maximal runtime to be allowed (`float`, default: `np.Inf`), * 'seed_rng' - seed for random number generation needed to be *explicitly* set (`int`); and with the following particular settings (`keys`): * 'sigma' - initial global step-size, aka mutation strength (`float`), * 'mean' - initial (starting) point, aka mean of Gaussian search distribution (`array_like`), * if not given, it will draw a random sample from the uniform distribution whose search range is bounded by `problem['lower_boundary']` and `problem['upper_boundary']`. * 'n_individuals' - number of offspring, aka offspring population size (`int`, default: `1000`), * 'p' - percentage of samples as parents (`int`, default: `0.1`), * 'alpha' - increasing factor of samples/individuals (`float`, default: `1.1`), * 'v' - smoothing factor for search distribution update (`float`, default: `0.2`). Examples -------- Use the optimizer to minimize the well-known test function `Rosenbrock <http://en.wikipedia.org/wiki/Rosenbrock_function>`_: .. code-block:: python :linenos: >>> import numpy # engine for numerical computing >>> from pypop7.benchmarks.base_functions import rosenbrock # function to be minimized >>> from pypop7.optimizers.cem.mras import MRAS >>> problem = {'fitness_function': rosenbrock, # define problem arguments ... 'ndim_problem': 2, ... 'lower_boundary': -5*numpy.ones((2,)), ... 'upper_boundary': 5*numpy.ones((2,))} >>> options = {'max_function_evaluations': 5000, # set optimizer options ... 'seed_rng': 2022, ... 'sigma': 10} # the global step-size may need to be tuned for better performance >>> mras = MRAS(problem, options) # initialize the optimizer class >>> results = mras.optimize() # run the optimization process >>> # return the number of function evaluations and best-so-far fitness >>> print(f"MRAS: {results['n_function_evaluations']}, {results['best_so_far_y']}") MRAS: 5000, 0.18363570418709932 For its correctness checking of coding, refer to `this code-based repeatability report <https://tinyurl.com/yv44nbwu>`_ for more details. Attributes ---------- alpha : `float` increasing factor of samples/individuals. mean : `array_like` initial (starting) point, aka mean of Gaussian search distribution. n_individuals : `int` number of offspring, aka offspring population size. p : `float` percentage of samples as parents. sigma : `float` initial global step-size, aka mutation strength, v : `float` smoothing factor for search distribution update. References ---------- Hu, J., Fu, M.C. and Marcus, S.I., 2007. A model reference adaptive search method for global optimization. Operations Research, 55(3), pp.549-568. https://pubsonline.informs.org/doi/abs/10.1287/opre.1060.0367 """ def __init__(self, problem, options): CEM.__init__(self, problem, options) self.p = options.get('p', 0.1) # percentage of samples as parents assert 0.0 < self.p <= 1.0 self.alpha = options.get('alpha', 1.1) # increasing factor of samples/individuals assert self.alpha > 1.0 self.v = options.get('v', 0.2) # smoothing factor for search distribution update self.r = options.get('r', 1e-4) self.epsilon = options.get('epsilon', 1e-5) assert self.epsilon >= 0.0 self._lambda = 0.01 self._initial_pdf = None self._gamma = None self._min_elitists = 5*self.ndim_problem def initialize(self, is_restart=False): mean, cov = self._initialize_mean(is_restart), np.diag((self.sigma**2)*np.ones((self.ndim_problem,))) x = np.empty((self.n_individuals, self.ndim_problem)) # samples (population) y = np.empty((self.n_individuals,)) # fitness (no evaluation) self._initial_pdf = [np.copy(mean), np.copy(cov)] return mean, cov, x, y def iterate(self, mean=None, cov=None, x=None, y=None, args=None): for i in range(self.n_individuals): if self._check_terminations(): return mean, cov, x, y # use a very simple way to generate a mixed pdf if self.rng_optimization.uniform() <= 1.0 - self._lambda: x[i] = self.rng_optimization.multivariate_normal(mean=mean, cov=cov) else: x[i] = self.rng_optimization.multivariate_normal( mean=self._initial_pdf[0], cov=self._initial_pdf[1]) y[i] = self._evaluate_fitness(x[i], args) order = np.argsort(y) gamma = y[order[int(np.ceil(self.p*self.n_individuals))]] # fitness threshold for top-p elitists if self._n_generations == 0 or gamma <= self._gamma + self.epsilon/2: # Step 3(a) self._gamma = gamma else: # Step 3(b) yy, _p = np.Inf, np.Inf # this is not detailed in the original paper (but may not be a key setting) for i in np.linspace(self.p, 0, 100)[1:]: yy = y[order[int(np.ceil(i*self.n_individuals))]] if yy <= self._gamma + self.epsilon/2: _p = i break if 0 < _p < self.p: # Step 3(c) self._gamma, self.p = yy, _p else: self.n_individuals = int(np.ceil(self.alpha*self.n_individuals)) if np.sum(y <= self._gamma) > self._min_elitists: _mean, _cov = np.zeros((self.ndim_problem,)), np.zeros((self.ndim_problem, self.ndim_problem)) _n, weights, pdfs = 0, np.zeros((len(y),)), np.zeros((len(y),)) for i in range(len(y)): if y[i] <= self._gamma: _n += 1 pdfs[i] = ((1.0 - self._lambda)*mn.pdf(x[i], mean=mean, cov=cov) + self._lambda * mn.pdf(x[i], mean=self._initial_pdf[0], cov=self._initial_pdf[1])) weights[i] = np.power(np.exp(-self.r*y[i]), self._n_generations)/pdfs[i] _mean += weights[i]*x[i] if _n > 0: _mean = (_mean/_n)/(np.sum(weights)/_n) for i in range(len(y)): if y[i] <= self._gamma: xm = x[i] - _mean _cov += weights[i]*np.dot(xm[:, np.newaxis], xm[np.newaxis, :]) _cov = (_cov/_n)/(np.sum(weights)/_n) mean = self.v*_mean + (1.0 - self.v)*mean cov = self.v*_cov + (1.0 - self.v)*cov return mean, cov, x, y def optimize(self, fitness_function=None, args=None): fitness = CEM.optimize(self, fitness_function) mean, cov, x, y = self.initialize() while True: mean, cov, x, y = self.iterate(mean, cov, x, y, args) self._print_verbose_info(fitness, y) if self._check_terminations(): break self._n_generations += 1 if self.n_individuals > len(y): x = np.empty((self.n_individuals, self.ndim_problem)) # samples (population) y = np.empty((self.n_individuals,)) # fitness (no evaluation) return self._collect(fitness, y, mean)