Author: luc
Date: Sun Mar 15 21:33:31 2009
New Revision: 754763
URL: http://svn.apache.org/viewvc?rev=754763&view=rev
Log:
added all necessary multi-start optimizers types
Added:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarDifferentiableOptimizer.java
(with props)
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarOptimizer.java
(contents, props changed)
- copied, changed from r754499,
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartOptimizer.java
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartVectorialDifferentiableOptimizer.java
(with props)
Removed:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartOptimizer.java
Added:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarDifferentiableOptimizer.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarDifferentiableOptimizer.java?rev=754763&view=auto
==============================================================================
---
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarDifferentiableOptimizer.java
(added)
+++
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarDifferentiableOptimizer.java
Sun Mar 15 21:33:31 2009
@@ -0,0 +1,190 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.commons.math.optimization;
+
+import java.util.Arrays;
+import java.util.Comparator;
+
+import org.apache.commons.math.ConvergenceException;
+import org.apache.commons.math.MathRuntimeException;
+import org.apache.commons.math.random.RandomVectorGenerator;
+
+/**
+ * Special implementation of the {...@link ScalarDifferentiableOptimizer}
interface adding
+ * multi-start features to an existing optimizer.
+ * <p>
+ * This class wraps a classical optimizer to use it several times in
+ * turn with different starting points in order to avoid being trapped
+ * into a local extremum when looking for a global one.
+ * </p>
+ * @version $Revision$ $Date$
+ * @since 2.0
+ */
+public class MultiStartScalarDifferentiableOptimizer implements
ScalarDifferentiableOptimizer {
+
+ /** Serializable version identifier. */
+ private static final long serialVersionUID = 9008747186334431824L;
+
+ /** Underlying classical optimizer. */
+ private final ScalarDifferentiableOptimizer optimizer;
+
+ /** Number of evaluations already performed for all starts. */
+ private int totalEvaluations;
+
+ /** Maximal number of evaluations allowed. */
+ private int maxEvaluations;
+
+ /** Number of starts to go. */
+ private int starts;
+
+ /** Random generator for multi-start. */
+ private RandomVectorGenerator generator;
+
+ /** Found optima. */
+ private ScalarPointValuePair[] optima;
+
+ /**
+ * Create a multi-start optimizer from a single-start optimizer
+ * @param optimizer single-start optimizer to wrap
+ * @param starts number of starts to perform (including the
+ * first one), multi-start is disabled if value is less than or
+ * equal to 1
+ * @param generator random vector generator to use for restarts
+ */
+ public MultiStartScalarDifferentiableOptimizer(final
ScalarDifferentiableOptimizer optimizer,
+ final int starts,
+ final RandomVectorGenerator
generator) {
+ this.optimizer = optimizer;
+ this.totalEvaluations = 0;
+ this.maxEvaluations = Integer.MAX_VALUE;
+ this.starts = starts;
+ this.generator = generator;
+ this.optima = null;
+ }
+
+ /** Get all the optima found during the last call to {...@link
+ * #optimize(ScalarObjectiveFunction, GoalType, double[]) optimize}.
+ * <p>The optimizer stores all the optima found during a set of
+ * restarts. The {...@link #optimize(ScalarObjectiveFunction, GoalType,
+ * double[]) optimize} method returns the best point only. This
+ * method returns all the points found at the end of each starts,
+ * including the best one already returned by the {...@link
+ * #optimize(ScalarObjectiveFunction, GoalType, double[]) optimize}
+ * method.
+ * </p>
+ * <p>
+ * The returned array as one element for each start as specified
+ * in the constructor. It is ordered with the results from the
+ * runs that did converge first, sorted from best to worst
+ * objective value (i.e in ascending order if minimizing and in
+ * descending order if maximizing), followed by and null elements
+ * corresponding to the runs that did not converge. This means all
+ * elements will be null if the {...@link
#optimize(ScalarObjectiveFunction,
+ * GoalType, double[]) optimize} method did throw a {...@link
+ * ConvergenceException ConvergenceException}). This also means that
+ * if the first element is non null, it is the best point found across
+ * all starts.</p>
+ * @return array containing the optima
+ * @exception IllegalStateException if {...@link
#optimize(ScalarObjectiveFunction,
+ * GoalType, double[]) optimize} has not been called
+ */
+ public ScalarPointValuePair[] getOptima() throws IllegalStateException {
+ if (optima == null) {
+ throw MathRuntimeException.createIllegalStateException("no optimum
computed yet");
+ }
+ return (ScalarPointValuePair[]) optima.clone();
+ }
+
+ /** {...@inheritdoc} */
+ public int getEvaluations() {
+ return totalEvaluations;
+ }
+
+ /** {...@inheritdoc} */
+ public void setMaxEvaluations(int maxEvaluations) {
+ this.maxEvaluations = maxEvaluations;
+ }
+
+ /** {...@inheritdoc} */
+ public int getMaxEvaluations() {
+ return maxEvaluations;
+ }
+
+ /** {...@inheritdoc} */
+ public void setConvergenceChecker(ScalarConvergenceChecker checker) {
+ optimizer.setConvergenceChecker(checker);
+ }
+
+ /** {...@inheritdoc} */
+ public ScalarConvergenceChecker getConvergenceChecker() {
+ return optimizer.getConvergenceChecker();
+ }
+
+ /** {...@inheritdoc} */
+ public ScalarPointValuePair optimize(final
ScalarDifferentiableObjectiveFunction f,
+ final GoalType goalType,
+ double[] startPoint)
+ throws ObjectiveException, OptimizationException {
+
+ optima = new ScalarPointValuePair[starts];
+ totalEvaluations = 0;
+
+ // multi-start loop
+ for (int i = 0; i < starts; ++i) {
+
+ try {
+ optimizer.setMaxEvaluations(maxEvaluations - totalEvaluations);
+ optima[i] = optimizer.optimize(f, goalType,
+ (i == 0) ? startPoint :
generator.nextVector());
+ } catch (ObjectiveException obe) {
+ optima[i] = null;
+ } catch (OptimizationException ope) {
+ optima[i] = null;
+ }
+
+ totalEvaluations += optimizer.getEvaluations();
+
+ }
+
+ // sort the optima from best to worst, followed by null elements
+ Arrays.sort(optima, new Comparator<ScalarPointValuePair>() {
+ public int compare(final ScalarPointValuePair o1, final
ScalarPointValuePair o2) {
+ if (o1 == null) {
+ return (o2 == null) ? 0 : +1;
+ } else if (o2 == null) {
+ return -1;
+ }
+ final double v1 = o1.getValue();
+ final double v2 = o2.getValue();
+ return (goalType == GoalType.MINIMIZE) ?
+ Double.compare(v1, v2) : Double.compare(v2, v1);
+ }
+ });
+
+ if (optima[0] == null) {
+ throw new OptimizationException(
+ "none of the {0} start points lead to convergence",
+ starts);
+ }
+
+ // return the found point given the best objective function value
+ return optima[0];
+
+ }
+
+}
Propchange:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarDifferentiableOptimizer.java
------------------------------------------------------------------------------
svn:eol-style = native
Propchange:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarDifferentiableOptimizer.java
------------------------------------------------------------------------------
svn:keywords = Author Date Id Revision
Copied:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarOptimizer.java
(from r754499,
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartOptimizer.java)
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarOptimizer.java?p2=commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarOptimizer.java&p1=commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartOptimizer.java&r1=754499&r2=754763&rev=754763&view=diff
==============================================================================
---
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartOptimizer.java
(original)
+++
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarOptimizer.java
Sun Mar 15 21:33:31 2009
@@ -35,7 +35,7 @@
* @version $Revision$ $Date$
* @since 2.0
*/
-public class MultiStartOptimizer implements ScalarOptimizer {
+public class MultiStartScalarOptimizer implements ScalarOptimizer {
/** Serializable version identifier. */
private static final long serialVersionUID = 6648351778723282863L;
@@ -66,8 +66,8 @@
* equal to 1
* @param generator random vector generator to use for restarts
*/
- public MultiStartOptimizer(final ScalarOptimizer optimizer, final int
starts,
- final RandomVectorGenerator generator) {
+ public MultiStartScalarOptimizer(final ScalarOptimizer optimizer, final
int starts,
+ final RandomVectorGenerator generator) {
this.optimizer = optimizer;
this.totalEvaluations = 0;
this.maxEvaluations = Integer.MAX_VALUE;
@@ -136,8 +136,8 @@
/** {...@inheritdoc} */
public ScalarPointValuePair optimize(final ScalarObjectiveFunction f,
- final GoalType goalType,
- double[] startPoint)
+ final GoalType goalType,
+ double[] startPoint)
throws ObjectiveException, OptimizationException {
optima = new ScalarPointValuePair[starts];
Propchange:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarOptimizer.java
------------------------------------------------------------------------------
svn:eol-style = native
Propchange:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarOptimizer.java
------------------------------------------------------------------------------
svn:keywords = Author Date Id Revision
Propchange:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartScalarOptimizer.java
------------------------------------------------------------------------------
svn:mergeinfo =
Added:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartVectorialDifferentiableOptimizer.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartVectorialDifferentiableOptimizer.java?rev=754763&view=auto
==============================================================================
---
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartVectorialDifferentiableOptimizer.java
(added)
+++
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartVectorialDifferentiableOptimizer.java
Sun Mar 15 21:33:31 2009
@@ -0,0 +1,207 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.commons.math.optimization;
+
+import java.util.Arrays;
+import java.util.Comparator;
+
+import org.apache.commons.math.ConvergenceException;
+import org.apache.commons.math.MathRuntimeException;
+import org.apache.commons.math.random.RandomVectorGenerator;
+
+/**
+ * Special implementation of the {...@link VectorialDifferentiableOptimizer}
interface adding
+ * multi-start features to an existing optimizer.
+ * <p>
+ * This class wraps a classical optimizer to use it several times in
+ * turn with different starting points in order to avoid being trapped
+ * into a local extremum when looking for a global one.
+ * </p>
+ * @version $Revision$ $Date$
+ * @since 2.0
+ */
+public class MultiStartVectorialDifferentiableOptimizer implements
VectorialDifferentiableOptimizer {
+
+ /** Serializable version identifier. */
+ private static final long serialVersionUID = -6671992853686531955L;
+
+ /** Underlying classical optimizer. */
+ private final VectorialDifferentiableOptimizer optimizer;
+
+ /** Number of evaluations already performed for all starts. */
+ private int totalEvaluations;
+
+ /** Number of jacobian evaluations already performed for all starts. */
+ private int totalJacobianEvaluations;
+
+ /** Maximal number of evaluations allowed. */
+ private int maxEvaluations;
+
+ /** Number of starts to go. */
+ private int starts;
+
+ /** Random generator for multi-start. */
+ private RandomVectorGenerator generator;
+
+ /** Found optima. */
+ private VectorialPointValuePair[] optima;
+
+ /**
+ * Create a multi-start optimizer from a single-start optimizer
+ * @param optimizer single-start optimizer to wrap
+ * @param starts number of starts to perform (including the
+ * first one), multi-start is disabled if value is less than or
+ * equal to 1
+ * @param generator random vector generator to use for restarts
+ */
+ public MultiStartVectorialDifferentiableOptimizer(final
VectorialDifferentiableOptimizer optimizer,
+ final int starts,
+ final
RandomVectorGenerator generator) {
+ this.optimizer = optimizer;
+ this.totalEvaluations = 0;
+ this.totalJacobianEvaluations = 0;
+ this.maxEvaluations = Integer.MAX_VALUE;
+ this.starts = starts;
+ this.generator = generator;
+ this.optima = null;
+ }
+
+ /** Get all the optima found during the last call to {...@link
+ * #optimize(ScalarObjectiveFunction, GoalType, double[]) optimize}.
+ * <p>The optimizer stores all the optima found during a set of
+ * restarts. The {...@link #optimize(ScalarObjectiveFunction, GoalType,
+ * double[]) optimize} method returns the best point only. This
+ * method returns all the points found at the end of each starts,
+ * including the best one already returned by the {...@link
+ * #optimize(ScalarObjectiveFunction, GoalType, double[]) optimize}
+ * method.
+ * </p>
+ * <p>
+ * The returned array as one element for each start as specified
+ * in the constructor. It is ordered with the results from the
+ * runs that did converge first, sorted from best to worst
+ * objective value (i.e in ascending order if minimizing and in
+ * descending order if maximizing), followed by and null elements
+ * corresponding to the runs that did not converge. This means all
+ * elements will be null if the {...@link
#optimize(ScalarObjectiveFunction,
+ * GoalType, double[]) optimize} method did throw a {...@link
+ * ConvergenceException ConvergenceException}). This also means that
+ * if the first element is non null, it is the best point found across
+ * all starts.</p>
+ * @return array containing the optima
+ * @exception IllegalStateException if {...@link
#optimize(ScalarObjectiveFunction,
+ * GoalType, double[]) optimize} has not been called
+ */
+ public VectorialPointValuePair[] getOptima() throws IllegalStateException {
+ if (optima == null) {
+ throw MathRuntimeException.createIllegalStateException("no optimum
computed yet");
+ }
+ return (VectorialPointValuePair[]) optima.clone();
+ }
+
+ /** {...@inheritdoc} */
+ public int getEvaluations() {
+ return totalEvaluations;
+ }
+
+ /** {...@inheritdoc} */
+ public int getJacobianEvaluations() {
+ return totalJacobianEvaluations;
+ }
+
+ /** {...@inheritdoc} */
+ public void setMaxEvaluations(int maxEvaluations) {
+ this.maxEvaluations = maxEvaluations;
+ }
+
+ /** {...@inheritdoc} */
+ public int getMaxEvaluations() {
+ return maxEvaluations;
+ }
+
+ /** {...@inheritdoc} */
+ public void setConvergenceChecker(VectorialConvergenceChecker checker) {
+ optimizer.setConvergenceChecker(checker);
+ }
+
+ /** {...@inheritdoc} */
+ public VectorialConvergenceChecker getConvergenceChecker() {
+ return optimizer.getConvergenceChecker();
+ }
+
+ /** {...@inheritdoc} */
+ public VectorialPointValuePair optimize(final
VectorialDifferentiableObjectiveFunction f,
+ final double[] target, final
double[] weights,
+ final double[] startPoint)
+ throws ObjectiveException, OptimizationException,
IllegalArgumentException {
+
+ optima = new VectorialPointValuePair[starts];
+ totalEvaluations = 0;
+ totalJacobianEvaluations = 0;
+
+ // multi-start loop
+ for (int i = 0; i < starts; ++i) {
+
+ try {
+ optimizer.setMaxEvaluations(maxEvaluations - totalEvaluations);
+ optima[i] = optimizer.optimize(f, target, weights,
+ (i == 0) ? startPoint :
generator.nextVector());
+ } catch (ObjectiveException obe) {
+ optima[i] = null;
+ } catch (OptimizationException ope) {
+ optima[i] = null;
+ }
+
+ totalEvaluations += optimizer.getEvaluations();
+ totalJacobianEvaluations += optimizer.getJacobianEvaluations();
+
+ }
+
+ // sort the optima from best to worst, followed by null elements
+ Arrays.sort(optima, new Comparator<VectorialPointValuePair>() {
+ public int compare(final VectorialPointValuePair o1, final
VectorialPointValuePair o2) {
+ if (o1 == null) {
+ return (o2 == null) ? 0 : +1;
+ } else if (o2 == null) {
+ return -1;
+ }
+ return Double.compare(weightedResidual(o1),
weightedResidual(o2));
+ }
+ private double weightedResidual(final VectorialPointValuePair pv) {
+ final double[] value = pv.getValueRef();
+ double sum = 0;
+ for (int i = 0; i < value.length; ++i) {
+ final double ri = value[i] - target[i];
+ sum += weights[i] * ri * ri;
+ }
+ return sum;
+ }
+ });
+
+ if (optima[0] == null) {
+ throw new OptimizationException(
+ "none of the {0} start points lead to convergence",
+ starts);
+ }
+
+ // return the found point given the best objective function value
+ return optima[0];
+
+ }
+
+}
Propchange:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartVectorialDifferentiableOptimizer.java
------------------------------------------------------------------------------
svn:eol-style = native
Propchange:
commons/proper/math/trunk/src/java/org/apache/commons/math/optimization/MultiStartVectorialDifferentiableOptimizer.java
------------------------------------------------------------------------------
svn:keywords = Author Date Id Revision
