Yes, that is workable solution as long as there are only few binary params.
But if there is say 32 binary parameters, you end up with 4 billion combinations, and then the mapping approach suggested in the paper I mentioned is good. Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "Dennis Brown" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Wednesday, October 01, 2008 6:58 PM Subject: Re: [amibroker] Re: CMAE behavior when optimizing control parameters? > Hello, > > I sounds to me like the approach that needs to be taken is modal > parameters must be part of an exhaustive group and the continuous > parameters can be intelligently optimized for each mode. This really > means running a separate optimization for each different mode. Since > a different operating mode is really a different algorithmic "system" > this makes sense. Finding the best combination of operating mode and > optimum parameters for each mode in one optimization setup would > require a hybrid approach. > > BR, > Dennis > > On Oct 1, 2008, at 12:10 PM, Tomasz Janeczko wrote: > >> Hello, >> >> There are few scientific papers that suggest workarounds to problem >> of optimizing >> binary parameter spaces. >> For example this one: >> http://ieeexplore.ieee.org/iel5/11108/35623/01688535.pdf?tp=&isnumber=&arnumber=1688535 >> >> As we can read in the abstract: >> "The ability of Differential Evolution (DE) to perform well in >> CONTINUOUS-valued search spaces is well documented. >> >> The arithmetic reproduction operator used by differential evolution >> is simple, however, the manner in which >> >> the operator is defined, makes it **PRACTICALLY IMPOSSIBLE** to >> effectively apply the standard DE to other problem spaces." >> >> (emphasis is from me). >> >> Authors of the article suggest that DE can only be used if >> appropriate MAPPING of >> binary space into continuous space is applied. >> >> You really need to be carefull with *ALL* non-exhaustive optimizers, >> as >> they are NOT suited for binary parameters. >> >> Best regards, >> Tomasz Janeczko >> amibroker.com >> ----- Original Message ----- >> From: "Steve Davis" <[EMAIL PROTECTED]> >> To: <[email protected]> >> Sent: Wednesday, October 01, 2008 5:56 PM >> Subject: [amibroker] Re: CMAE behavior when optimizing control >> parameters? >> >> >>> Interesting. If meta-data existed to indicate which parameters are >>> continuous and which are discreet, could a future optimization >>> algorithm use that information to improve the optimization process? >>> >>> --- In [email protected], "Tomasz Janeczko" <[EMAIL PROTECTED]> >>> wrote: >>>> >>>> Differential Evolution is also for CONTINUOUS functions, see >>>> the AUTHORS' page: >>>> http://www.icsi.berkeley.edu/~storn/code.html >>>> >>>> All those methods use gradient of fitness function change >>>> to decide in which direction they should move. For binary (0 or 1) >>> parameters >>>> gradients make no sense. >>>> >>>> Best regards, >>>> Tomasz Janeczko >>>> amibroker.com >>>> ----- Original Message ----- >>>> From: "Steve Davis" <[EMAIL PROTECTED]> >>>> To: <[email protected]> >>>> Sent: Wednesday, October 01, 2008 4:30 PM >>>> Subject: [amibroker] Re: CMAE behavior when optimizing control >>> parameters? >>>> >>>> >>>>> Thanks Paul and Tomasz, >>>>> >>>>> I have also used IO for many years and consulted with Fred on this >>>>> issue. Fred suggested using the Differential Evolution algorithm >>>>> rather than Particle Swarm when a system has many non-continuous >>>>> parameters. >>>>> >>>>> In any case, Tomasz gave me the answer I needed regarding CMAE. >>>>> >>>>> Thanks again, >>>>> Steve >>>>> >>>>> --- In [email protected], "Paul Ho" <paul.tsho@> wrote: >>>>>> >>>>>> Tomasz >>>>>> >>>>>> What you said and what I said can co-exist quite happily if you >>>>>> want >>>>> to read >>>>>> it again, and want to read it that way! >>>>>> It is not a debate that I want to enter into with you. I am just >>>>> sharing my >>>>>> experience - it is "possible" to do it. >>>>>> All of these IO used simulated "Continuous" parameters, which by >>> its own >>>>>> nature are discrete, and it is the job of the user to get the >>>>>> best >>>>> use out >>>>>> of it. >>>>>> >>>>>> Finally, I have done tens of thousands of optimizations, lost of >>>>> them with >>>>>> success, so its about making your own luck in this game. >>>>>> >>>>>> for example consider this statement >>>>>> xyz = m1 * (MA(C, pds) > C) + (!m1) * (ma(c,pds) <= C); >>>>>> where m1 is a control parameters that decides whether xyz = ma(c, >>>>> pds) > C >>>>>> or the other way around, and pds is the period of ma, as it stands >>>>> it wont >>>>>> be get much "luck" as you say. because, pds that is optimimum in >>>>>> the >>>>> case of >>>>>>> is probably very different than in the case of <=. >>>>>> so by making xyz = m1 * (ma(c, pds1) > C) + (!m1) * (ma(c, pds2) >>>>>> <= >>>>> C); and >>>>>> optimize pds1, m1 and pds2 separately, you will get pds1 and pds2 >>>>> gathering >>>>>> around a cluster of value closer to its optiminum, and m1 has own >>>>> value of 0 >>>>>> or 1 which sort out what way is better. >>>>>> >>>>>> I hope this will be useful those who wants to use it. >>>>>> >>>>>> >>>>>> _____ >>>>>> >>>>>> From: [email protected] [mailto:[EMAIL PROTECTED] >>>>> On Behalf >>>>>> Of Tomasz Janeczko >>>>>> Sent: Wednesday, 1 October 2008 7:18 PM >>>>>> To: [email protected] >>>>>> Subject: Re: [amibroker] Re: CMAE behavior when optimizing control >>>>>> parameters? >>>>>> >>>>>> >>>>>> >>>>>> Paul, >>>>>> >>>>>> I don't want to enter into yet another useless debate, but if you >>> learn >>>>>> about >>>>>> *MATHEMATICAL* background of >>>>>> Particle Swarm Optimizers you will >>>>>> know that they are all designed to be used for CONTINUOUS >>>>>> parameter >>>>> spaces. >>>>>> >>>>>> The fact that non-exhaustive methods like CMAE, PSO, etc *may* >>>>>> work >>>>> in some >>>>>> cases for discrete spaces >>>>>> is more a question of luck and relative simplicity (or more or >>>>>> less >>>>>> "smoothness") of the problem >>>>>> being optimized than anything else. >>>>>> >>>>>> Best regards, >>>>>> Tomasz Janeczko >>>>>> amibroker.com >>>>>> ----- Original Message ----- >>>>>> From: "Paul Ho" <[EMAIL PROTECTED] <mailto:paul.tsho%40gmail.com> >>>>>> com> >>>>>> To: <[EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> >>>>>> ps.com> >>>>>> Sent: Wednesday, October 01, 2008 11:03 AM >>>>>> Subject: [amibroker] Re: CMAE behavior when optimizing control >>>>> parameters? >>>>>> >>>>>>> Talking from personal experience - and I've been using >>>>>>> intelligent >>>>>>> Optimizers for quite a number of years optimizing combinations of >>>>>>> continuous and "discrete" control parameters. Fred's IO has >>>>>>> worked >>>>>>> extremely well - in that I'm able to find optiminiums >>> successfully, >>>>>>> it may be a little more tricky, but not impossible. There are >>> things >>>>>>> that would help to IO work better. Nevertheless, I do have more >>>>>>> problems with cmae with a lot of discrete parameters. But I >>> suspect >>>>>>> that's more to do with configuration of cmae rather than the >>> ability >>>>>>> of cmae itself. >>>>>>> >>>>>>> --- In [EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> >>>>> ps.com, >>>>>> "Tomasz Janeczko" <groups@> >>>>>>> wrote: >>>>>>>> >>>>>>>> No, CMAE, PSO and most other non-exhaustive methods >>>>>>>> are best for continuous parameter spaces. Discrete spaces >>>>>>>> where adjacent param values result in wild changes in fitness >>>>>>>> tend to be very difficult to optimize in "intelligent" manner. >>>>>>>> >>>>>>>> Best regards, >>>>>>>> Tomasz Janeczko >>>>>>>> amibroker.com >>>>>>>> ----- Original Message ----- >>>>>>>> From: "Steve Davis" <_sdavis@> >>>>>>>> To: <[EMAIL PROTECTED] <mailto:amibroker%40yahoogroups.com> >>> ps.com> >>>>>>>> Sent: Wednesday, October 01, 2008 1:19 AM >>>>>>>> Subject: [amibroker] CMAE behavior when optimizing control >>>>>>> parameters? >>>>>>>> >>>>>>>> >>>>>>>>> Does anyone know if the CMAE algorithm can be used >>> effectively to >>>>>>>>> optimize a system containing control parameters? By this I mean >>>>>>>>> optimizable parameters that do not measure a quantity, but are >>>>>>> instead >>>>>>>>> used to control the flow of execution of the program. In this >>>>>>> sort of >>>>>>>>> system, adjacent parameter values could result in wildly >>>>>>> different >>>>>>>>> system fitness. >>>>>>>>> >>>>>>>>> Thanks, >>>>>>>>> Steve >>>>>>>>> >>>>>>>>> >>>>>>>>> >>>>>>>>> ------------------------------------ >>>>>>>>> >>>>>>>>> **** IMPORTANT **** >>>>>>>>> This group is for the discussion between users only. >>>>>>>>> This is *NOT* technical support channel. >>>>>>>>> >>>>>>>>> ********************* >>>>>>>>> TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail >>>>>>> directly to >>>>>>>>> SUPPORT {at} amibroker.com >>>>>>>>> ********************* >>>>>>>>> >>>>>>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check >>> DEVLOG: >>>>>>>>> http://www.amibroke <http://www.amibroker.com/devlog/> >>>>> r.com/devlog/ >>>>>>>>> >>>>>>>>> For other support material please check also: >>>>>>>>> http://www.amibroke <http://www.amibroker.com/support.html> >>>>>> r.com/support.html >>>>>>>>> >>>>>>>>> ********************************* >>>>>>>>> Yahoo! Groups Links >>>>>>>>> >>>>>>>>> >>>>>>>>> >>>>>>>> >>>>>>> >>>>>>> >>>>>>> >>>>>>> ------------------------------------ >>>>>>> >>>>>>> **** IMPORTANT **** >>>>>>> This group is for the discussion between users only. >>>>>>> This is *NOT* technical support channel. >>>>>>> >>>>>>> ********************* >>>>>>> TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail >>>>> directly to >>>>>>> SUPPORT {at} amibroker.com >>>>>>> ********************* >>>>>>> >>>>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >>>>>>> http://www.amibroke <http://www.amibroker.com/devlog/> >>> r.com/devlog/ >>>>>>> >>>>>>> For other support material please check also: >>>>>>> http://www.amibroke <http://www.amibroker.com/support.html> >>>>>> r.com/support.html >>>>>>> >>>>>>> ********************************* >>>>>>> Yahoo! Groups Links >>>>>>> >>>>>>> >>>>>>> >>>>>> >>>>> >>>>> >>>>> >>>>> ------------------------------------ >>>>> >>>>> **** IMPORTANT **** >>>>> This group is for the discussion between users only. >>>>> This is *NOT* technical support channel. >>>>> >>>>> ********************* >>>>> TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail >>> directly to >>>>> SUPPORT {at} amibroker.com >>>>> ********************* >>>>> >>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >>>>> http://www.amibroker.com/devlog/ >>>>> >>>>> For other support material please check also: >>>>> http://www.amibroker.com/support.html >>>>> >>>>> ********************************* >>>>> Yahoo! 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Groups Links >>> >>> >>> >> >> ------------------------------------ >> >> **** IMPORTANT **** >> This group is for the discussion between users only. >> This is *NOT* technical support channel. >> >> ********************* >> TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail >> directly to >> SUPPORT {at} amibroker.com >> ********************* >> >> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >> http://www.amibroker.com/devlog/ >> >> For other support material please check also: >> http://www.amibroker.com/support.html >> >> ********************************* >> Yahoo! Groups Links >> >> >> > > > ------------------------------------ > > **** IMPORTANT **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > ********************* > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > ********************* > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > ********************************* > Yahoo! Groups Links > > >
