Author: erans
Date: Fri Sep 21 14:17:37 2012
New Revision: 1388517
URL: http://svn.apache.org/viewvc?rev=1388517&view=rev
Log:
MATH-864
Fixed missing "repair" of a point that lies outside the boundaries. Thanks
to Frank Hessen for the report and for pinpointing the cause of the problem.
Modified:
commons/proper/math/trunk/src/changes/changes.xml
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/CMAESOptimizer.java
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/CMAESOptimizerTest.java
Modified: commons/proper/math/trunk/src/changes/changes.xml
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/changes/changes.xml?rev=1388517&r1=1388516&r2=1388517&view=diff
==============================================================================
--- commons/proper/math/trunk/src/changes/changes.xml (original)
+++ commons/proper/math/trunk/src/changes/changes.xml Fri Sep 21 14:17:37 2012
@@ -52,6 +52,10 @@ If the output is not quite correct, chec
<body>
<release version="3.1" date="TBD" description="
">
+ <action dev="erans" type="fix" issue="MATH-864" due-to="Frank Hess">
+ "CMAESOptimizer": Solution was not constrained to lie within the
+ provided boundaries.
+ </action>
<action dev="erans" type="add" issue="MATH-863" due-to="Julien
Anxionnat">
New "Quaternion" class (package "o.a.c.m.complex").
</action>
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/CMAESOptimizer.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/CMAESOptimizer.java?rev=1388517&r1=1388516&r2=1388517&view=diff
==============================================================================
---
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/CMAESOptimizer.java
(original)
+++
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optimization/direct/CMAESOptimizer.java
Fri Sep 21 14:17:37 2012
@@ -24,9 +24,11 @@ import java.util.List;
import org.apache.commons.math3.analysis.MultivariateFunction;
import org.apache.commons.math3.exception.DimensionMismatchException;
import org.apache.commons.math3.exception.MathUnsupportedOperationException;
+import org.apache.commons.math3.exception.MathIllegalStateException;
import org.apache.commons.math3.exception.NotPositiveException;
import org.apache.commons.math3.exception.OutOfRangeException;
import org.apache.commons.math3.exception.TooManyEvaluationsException;
+import org.apache.commons.math3.exception.util.LocalizedFormats;
import org.apache.commons.math3.linear.Array2DRowRealMatrix;
import org.apache.commons.math3.linear.EigenDecomposition;
import org.apache.commons.math3.linear.MatrixUtils;
@@ -414,7 +416,7 @@ public class CMAESOptimizer
bestValue = bestFitness;
lastResult = optimum;
optimum = new PointValuePair(
- fitfun.decode(bestArx.getColumn(0)),
+ fitfun.repairAndDecode(bestArx.getColumn(0)),
isMinimize ? bestFitness : -bestFitness);
if (getConvergenceChecker() != null && lastResult != null)
{
if (getConvergenceChecker().converged(iterations,
optimum, lastResult)) {
@@ -913,6 +915,16 @@ public class CMAESOptimizer
/**
* @param x Normalized objective variables.
+ * @return the original objective variables, possibly repaired.
+ */
+ public double[] repairAndDecode(final double[] x) {
+ return boundaries != null && isRepairMode ?
+ decode(repair(x)) :
+ decode(x);
+ }
+
+ /**
+ * @param x Normalized objective variables.
* @return the original objective variables.
*/
public double[] decode(final double[] x) {
Modified:
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/CMAESOptimizerTest.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/CMAESOptimizerTest.java?rev=1388517&r1=1388516&r2=1388517&view=diff
==============================================================================
---
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/CMAESOptimizerTest.java
(original)
+++
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optimization/direct/CMAESOptimizerTest.java
Fri Sep 21 14:17:37 2012
@@ -372,6 +372,27 @@ public class CMAESOptimizerTest {
1e-10, 1e-4, 1000000, expected);
}
+ @Test
+ public void testMath864() {
+ final CMAESOptimizer optimizer = new CMAESOptimizer();
+ final MultivariateFunction fitnessFunction = new
MultivariateFunction() {
+ @Override
+ public double value(double[] parameters) {
+ final double target = 1;
+ final double error = target - parameters[0];
+ return error * error;
+ }
+ };
+
+ final double[] start = { 0 };
+ final double[] lower = { -1e6 };
+ final double[] upper = { 0.5 };
+ final double[] result = optimizer.optimize(10000, fitnessFunction,
GoalType.MINIMIZE,
+ start, lower,
upper).getPoint();
+ Assert.assertTrue("Out of bounds (" + result[0] + " > " + upper[0] +
")",
+ result[0] <= upper[0]);
+ }
+
/**
* @param func Function to optimize.
* @param startPoint Starting point.
