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| date | Tue, 04 Jan 2011 10:02:07 +0100 |
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<HTML> <BODY BGCOLOR="white"> <PRE> <FONT color="green">001</FONT> /*<a name="line.1"></a> <FONT color="green">002</FONT> * Licensed to the Apache Software Foundation (ASF) under one or more<a name="line.2"></a> <FONT color="green">003</FONT> * contributor license agreements. See the NOTICE file distributed with<a name="line.3"></a> <FONT color="green">004</FONT> * this work for additional information regarding copyright ownership.<a name="line.4"></a> <FONT color="green">005</FONT> * The ASF licenses this file to You under the Apache License, Version 2.0<a name="line.5"></a> <FONT color="green">006</FONT> * (the "License"); you may not use this file except in compliance with<a name="line.6"></a> <FONT color="green">007</FONT> * the License. You may obtain a copy of the License at<a name="line.7"></a> <FONT color="green">008</FONT> *<a name="line.8"></a> <FONT color="green">009</FONT> * http://www.apache.org/licenses/LICENSE-2.0<a name="line.9"></a> <FONT color="green">010</FONT> *<a name="line.10"></a> <FONT color="green">011</FONT> * Unless required by applicable law or agreed to in writing, software<a name="line.11"></a> <FONT color="green">012</FONT> * distributed under the License is distributed on an "AS IS" BASIS,<a name="line.12"></a> <FONT color="green">013</FONT> * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.<a name="line.13"></a> <FONT color="green">014</FONT> * See the License for the specific language governing permissions and<a name="line.14"></a> <FONT color="green">015</FONT> * limitations under the License.<a name="line.15"></a> <FONT color="green">016</FONT> */<a name="line.16"></a> <FONT color="green">017</FONT> <a name="line.17"></a> <FONT color="green">018</FONT> package org.apache.commons.math.optimization;<a name="line.18"></a> <FONT color="green">019</FONT> <a name="line.19"></a> <FONT color="green">020</FONT> import java.util.Arrays;<a name="line.20"></a> <FONT color="green">021</FONT> import java.util.Comparator;<a name="line.21"></a> <FONT color="green">022</FONT> <a name="line.22"></a> <FONT color="green">023</FONT> import org.apache.commons.math.FunctionEvaluationException;<a name="line.23"></a> <FONT color="green">024</FONT> import org.apache.commons.math.MathRuntimeException;<a name="line.24"></a> <FONT color="green">025</FONT> import org.apache.commons.math.analysis.DifferentiableMultivariateVectorialFunction;<a name="line.25"></a> <FONT color="green">026</FONT> import org.apache.commons.math.random.RandomVectorGenerator;<a name="line.26"></a> <FONT color="green">027</FONT> <a name="line.27"></a> <FONT color="green">028</FONT> /**<a name="line.28"></a> <FONT color="green">029</FONT> * Special implementation of the {@link DifferentiableMultivariateVectorialOptimizer} interface adding<a name="line.29"></a> <FONT color="green">030</FONT> * multi-start features to an existing optimizer.<a name="line.30"></a> <FONT color="green">031</FONT> * <p><a name="line.31"></a> <FONT color="green">032</FONT> * This class wraps a classical optimizer to use it several times in<a name="line.32"></a> <FONT color="green">033</FONT> * turn with different starting points in order to avoid being trapped<a name="line.33"></a> <FONT color="green">034</FONT> * into a local extremum when looking for a global one.<a name="line.34"></a> <FONT color="green">035</FONT> * </p><a name="line.35"></a> <FONT color="green">036</FONT> * @version $Revision: 811685 $ $Date: 2009-09-05 13:36:48 -0400 (Sat, 05 Sep 2009) $<a name="line.36"></a> <FONT color="green">037</FONT> * @since 2.0<a name="line.37"></a> <FONT color="green">038</FONT> */<a name="line.38"></a> <FONT color="green">039</FONT> public class MultiStartDifferentiableMultivariateVectorialOptimizer<a name="line.39"></a> <FONT color="green">040</FONT> implements DifferentiableMultivariateVectorialOptimizer {<a name="line.40"></a> <FONT color="green">041</FONT> <a name="line.41"></a> <FONT color="green">042</FONT> /** Serializable version identifier. */<a name="line.42"></a> <FONT color="green">043</FONT> private static final long serialVersionUID = 9206382258980561530L;<a name="line.43"></a> <FONT color="green">044</FONT> <a name="line.44"></a> <FONT color="green">045</FONT> /** Underlying classical optimizer. */<a name="line.45"></a> <FONT color="green">046</FONT> private final DifferentiableMultivariateVectorialOptimizer optimizer;<a name="line.46"></a> <FONT color="green">047</FONT> <a name="line.47"></a> <FONT color="green">048</FONT> /** Maximal number of iterations allowed. */<a name="line.48"></a> <FONT color="green">049</FONT> private int maxIterations;<a name="line.49"></a> <FONT color="green">050</FONT> <a name="line.50"></a> <FONT color="green">051</FONT> /** Number of iterations already performed for all starts. */<a name="line.51"></a> <FONT color="green">052</FONT> private int totalIterations;<a name="line.52"></a> <FONT color="green">053</FONT> <a name="line.53"></a> <FONT color="green">054</FONT> /** Maximal number of evaluations allowed. */<a name="line.54"></a> <FONT color="green">055</FONT> private int maxEvaluations;<a name="line.55"></a> <FONT color="green">056</FONT> <a name="line.56"></a> <FONT color="green">057</FONT> /** Number of evaluations already performed for all starts. */<a name="line.57"></a> <FONT color="green">058</FONT> private int totalEvaluations;<a name="line.58"></a> <FONT color="green">059</FONT> <a name="line.59"></a> <FONT color="green">060</FONT> /** Number of jacobian evaluations already performed for all starts. */<a name="line.60"></a> <FONT color="green">061</FONT> private int totalJacobianEvaluations;<a name="line.61"></a> <FONT color="green">062</FONT> <a name="line.62"></a> <FONT color="green">063</FONT> /** Number of starts to go. */<a name="line.63"></a> <FONT color="green">064</FONT> private int starts;<a name="line.64"></a> <FONT color="green">065</FONT> <a name="line.65"></a> <FONT color="green">066</FONT> /** Random generator for multi-start. */<a name="line.66"></a> <FONT color="green">067</FONT> private RandomVectorGenerator generator;<a name="line.67"></a> <FONT color="green">068</FONT> <a name="line.68"></a> <FONT color="green">069</FONT> /** Found optima. */<a name="line.69"></a> <FONT color="green">070</FONT> private VectorialPointValuePair[] optima;<a name="line.70"></a> <FONT color="green">071</FONT> <a name="line.71"></a> <FONT color="green">072</FONT> /**<a name="line.72"></a> <FONT color="green">073</FONT> * Create a multi-start optimizer from a single-start optimizer<a name="line.73"></a> <FONT color="green">074</FONT> * @param optimizer single-start optimizer to wrap<a name="line.74"></a> <FONT color="green">075</FONT> * @param starts number of starts to perform (including the<a name="line.75"></a> <FONT color="green">076</FONT> * first one), multi-start is disabled if value is less than or<a name="line.76"></a> <FONT color="green">077</FONT> * equal to 1<a name="line.77"></a> <FONT color="green">078</FONT> * @param generator random vector generator to use for restarts<a name="line.78"></a> <FONT color="green">079</FONT> */<a name="line.79"></a> <FONT color="green">080</FONT> public MultiStartDifferentiableMultivariateVectorialOptimizer(<a name="line.80"></a> <FONT color="green">081</FONT> final DifferentiableMultivariateVectorialOptimizer optimizer,<a name="line.81"></a> <FONT color="green">082</FONT> final int starts,<a name="line.82"></a> <FONT color="green">083</FONT> final RandomVectorGenerator generator) {<a name="line.83"></a> <FONT color="green">084</FONT> this.optimizer = optimizer;<a name="line.84"></a> <FONT color="green">085</FONT> this.totalIterations = 0;<a name="line.85"></a> <FONT color="green">086</FONT> this.totalEvaluations = 0;<a name="line.86"></a> <FONT color="green">087</FONT> this.totalJacobianEvaluations = 0;<a name="line.87"></a> <FONT color="green">088</FONT> this.starts = starts;<a name="line.88"></a> <FONT color="green">089</FONT> this.generator = generator;<a name="line.89"></a> <FONT color="green">090</FONT> this.optima = null;<a name="line.90"></a> <FONT color="green">091</FONT> setMaxIterations(Integer.MAX_VALUE);<a name="line.91"></a> <FONT color="green">092</FONT> setMaxEvaluations(Integer.MAX_VALUE);<a name="line.92"></a> <FONT color="green">093</FONT> }<a name="line.93"></a> <FONT color="green">094</FONT> <a name="line.94"></a> <FONT color="green">095</FONT> /** Get all the optima found during the last call to {@link<a name="line.95"></a> <FONT color="green">096</FONT> * #optimize(DifferentiableMultivariateVectorialFunction,<a name="line.96"></a> <FONT color="green">097</FONT> * double[], double[], double[]) optimize}.<a name="line.97"></a> <FONT color="green">098</FONT> * <p>The optimizer stores all the optima found during a set of<a name="line.98"></a> <FONT color="green">099</FONT> * restarts. The {@link #optimize(DifferentiableMultivariateVectorialFunction,<a name="line.99"></a> <FONT color="green">100</FONT> * double[], double[], double[]) optimize} method returns the<a name="line.100"></a> <FONT color="green">101</FONT> * best point only. This method returns all the points found at the<a name="line.101"></a> <FONT color="green">102</FONT> * end of each starts, including the best one already returned by the {@link<a name="line.102"></a> <FONT color="green">103</FONT> * #optimize(DifferentiableMultivariateVectorialFunction, double[],<a name="line.103"></a> <FONT color="green">104</FONT> * double[], double[]) optimize} method.<a name="line.104"></a> <FONT color="green">105</FONT> * </p><a name="line.105"></a> <FONT color="green">106</FONT> * <p><a name="line.106"></a> <FONT color="green">107</FONT> * The returned array as one element for each start as specified<a name="line.107"></a> <FONT color="green">108</FONT> * in the constructor. It is ordered with the results from the<a name="line.108"></a> <FONT color="green">109</FONT> * runs that did converge first, sorted from best to worst<a name="line.109"></a> <FONT color="green">110</FONT> * objective value (i.e in ascending order if minimizing and in<a name="line.110"></a> <FONT color="green">111</FONT> * descending order if maximizing), followed by and null elements<a name="line.111"></a> <FONT color="green">112</FONT> * corresponding to the runs that did not converge. This means all<a name="line.112"></a> <FONT color="green">113</FONT> * elements will be null if the {@link #optimize(DifferentiableMultivariateVectorialFunction,<a name="line.113"></a> <FONT color="green">114</FONT> * double[], double[], double[]) optimize} method did throw a {@link<a name="line.114"></a> <FONT color="green">115</FONT> * org.apache.commons.math.ConvergenceException ConvergenceException}).<a name="line.115"></a> <FONT color="green">116</FONT> * This also means that if the first element is non null, it is the best<a name="line.116"></a> <FONT color="green">117</FONT> * point found across all starts.</p><a name="line.117"></a> <FONT color="green">118</FONT> * @return array containing the optima<a name="line.118"></a> <FONT color="green">119</FONT> * @exception IllegalStateException if {@link #optimize(DifferentiableMultivariateVectorialFunction,<a name="line.119"></a> <FONT color="green">120</FONT> * double[], double[], double[]) optimize} has not been called<a name="line.120"></a> <FONT color="green">121</FONT> */<a name="line.121"></a> <FONT color="green">122</FONT> public VectorialPointValuePair[] getOptima() throws IllegalStateException {<a name="line.122"></a> <FONT color="green">123</FONT> if (optima == null) {<a name="line.123"></a> <FONT color="green">124</FONT> throw MathRuntimeException.createIllegalStateException("no optimum computed yet");<a name="line.124"></a> <FONT color="green">125</FONT> }<a name="line.125"></a> <FONT color="green">126</FONT> return optima.clone();<a name="line.126"></a> <FONT color="green">127</FONT> }<a name="line.127"></a> <FONT color="green">128</FONT> <a name="line.128"></a> <FONT color="green">129</FONT> /** {@inheritDoc} */<a name="line.129"></a> <FONT color="green">130</FONT> public void setMaxIterations(int maxIterations) {<a name="line.130"></a> <FONT color="green">131</FONT> this.maxIterations = maxIterations;<a name="line.131"></a> <FONT color="green">132</FONT> }<a name="line.132"></a> <FONT color="green">133</FONT> <a name="line.133"></a> <FONT color="green">134</FONT> /** {@inheritDoc} */<a name="line.134"></a> <FONT color="green">135</FONT> public int getMaxIterations() {<a name="line.135"></a> <FONT color="green">136</FONT> return maxIterations;<a name="line.136"></a> <FONT color="green">137</FONT> }<a name="line.137"></a> <FONT color="green">138</FONT> <a name="line.138"></a> <FONT color="green">139</FONT> /** {@inheritDoc} */<a name="line.139"></a> <FONT color="green">140</FONT> public int getIterations() {<a name="line.140"></a> <FONT color="green">141</FONT> return totalIterations;<a name="line.141"></a> <FONT color="green">142</FONT> }<a name="line.142"></a> <FONT color="green">143</FONT> <a name="line.143"></a> <FONT color="green">144</FONT> /** {@inheritDoc} */<a name="line.144"></a> <FONT color="green">145</FONT> public void setMaxEvaluations(int maxEvaluations) {<a name="line.145"></a> <FONT color="green">146</FONT> this.maxEvaluations = maxEvaluations;<a name="line.146"></a> <FONT color="green">147</FONT> }<a name="line.147"></a> <FONT color="green">148</FONT> <a name="line.148"></a> <FONT color="green">149</FONT> /** {@inheritDoc} */<a name="line.149"></a> <FONT color="green">150</FONT> public int getMaxEvaluations() {<a name="line.150"></a> <FONT color="green">151</FONT> return maxEvaluations;<a name="line.151"></a> <FONT color="green">152</FONT> }<a name="line.152"></a> <FONT color="green">153</FONT> <a name="line.153"></a> <FONT color="green">154</FONT> /** {@inheritDoc} */<a name="line.154"></a> <FONT color="green">155</FONT> public int getEvaluations() {<a name="line.155"></a> <FONT color="green">156</FONT> return totalEvaluations;<a name="line.156"></a> <FONT color="green">157</FONT> }<a name="line.157"></a> <FONT color="green">158</FONT> <a name="line.158"></a> <FONT color="green">159</FONT> /** {@inheritDoc} */<a name="line.159"></a> <FONT color="green">160</FONT> public int getJacobianEvaluations() {<a name="line.160"></a> <FONT color="green">161</FONT> return totalJacobianEvaluations;<a name="line.161"></a> <FONT color="green">162</FONT> }<a name="line.162"></a> <FONT color="green">163</FONT> <a name="line.163"></a> <FONT color="green">164</FONT> /** {@inheritDoc} */<a name="line.164"></a> <FONT color="green">165</FONT> public void setConvergenceChecker(VectorialConvergenceChecker checker) {<a name="line.165"></a> <FONT color="green">166</FONT> optimizer.setConvergenceChecker(checker);<a name="line.166"></a> <FONT color="green">167</FONT> }<a name="line.167"></a> <FONT color="green">168</FONT> <a name="line.168"></a> <FONT color="green">169</FONT> /** {@inheritDoc} */<a name="line.169"></a> <FONT color="green">170</FONT> public VectorialConvergenceChecker getConvergenceChecker() {<a name="line.170"></a> <FONT color="green">171</FONT> return optimizer.getConvergenceChecker();<a name="line.171"></a> <FONT color="green">172</FONT> }<a name="line.172"></a> <FONT color="green">173</FONT> <a name="line.173"></a> <FONT color="green">174</FONT> /** {@inheritDoc} */<a name="line.174"></a> <FONT color="green">175</FONT> public VectorialPointValuePair optimize(final DifferentiableMultivariateVectorialFunction f,<a name="line.175"></a> <FONT color="green">176</FONT> final double[] target, final double[] weights,<a name="line.176"></a> <FONT color="green">177</FONT> final double[] startPoint)<a name="line.177"></a> <FONT color="green">178</FONT> throws FunctionEvaluationException, OptimizationException, IllegalArgumentException {<a name="line.178"></a> <FONT color="green">179</FONT> <a name="line.179"></a> <FONT color="green">180</FONT> optima = new VectorialPointValuePair[starts];<a name="line.180"></a> <FONT color="green">181</FONT> totalIterations = 0;<a name="line.181"></a> <FONT color="green">182</FONT> totalEvaluations = 0;<a name="line.182"></a> <FONT color="green">183</FONT> totalJacobianEvaluations = 0;<a name="line.183"></a> <FONT color="green">184</FONT> <a name="line.184"></a> <FONT color="green">185</FONT> // multi-start loop<a name="line.185"></a> <FONT color="green">186</FONT> for (int i = 0; i < starts; ++i) {<a name="line.186"></a> <FONT color="green">187</FONT> <a name="line.187"></a> <FONT color="green">188</FONT> try {<a name="line.188"></a> <FONT color="green">189</FONT> optimizer.setMaxIterations(maxIterations - totalIterations);<a name="line.189"></a> <FONT color="green">190</FONT> optimizer.setMaxEvaluations(maxEvaluations - totalEvaluations);<a name="line.190"></a> <FONT color="green">191</FONT> optima[i] = optimizer.optimize(f, target, weights,<a name="line.191"></a> <FONT color="green">192</FONT> (i == 0) ? startPoint : generator.nextVector());<a name="line.192"></a> <FONT color="green">193</FONT> } catch (FunctionEvaluationException fee) {<a name="line.193"></a> <FONT color="green">194</FONT> optima[i] = null;<a name="line.194"></a> <FONT color="green">195</FONT> } catch (OptimizationException oe) {<a name="line.195"></a> <FONT color="green">196</FONT> optima[i] = null;<a name="line.196"></a> <FONT color="green">197</FONT> }<a name="line.197"></a> <FONT color="green">198</FONT> <a name="line.198"></a> <FONT color="green">199</FONT> totalIterations += optimizer.getIterations();<a name="line.199"></a> <FONT color="green">200</FONT> totalEvaluations += optimizer.getEvaluations();<a name="line.200"></a> <FONT color="green">201</FONT> totalJacobianEvaluations += optimizer.getJacobianEvaluations();<a name="line.201"></a> <FONT color="green">202</FONT> <a name="line.202"></a> <FONT color="green">203</FONT> }<a name="line.203"></a> <FONT color="green">204</FONT> <a name="line.204"></a> <FONT color="green">205</FONT> // sort the optima from best to worst, followed by null elements<a name="line.205"></a> <FONT color="green">206</FONT> Arrays.sort(optima, new Comparator<VectorialPointValuePair>() {<a name="line.206"></a> <FONT color="green">207</FONT> public int compare(final VectorialPointValuePair o1, final VectorialPointValuePair o2) {<a name="line.207"></a> <FONT color="green">208</FONT> if (o1 == null) {<a name="line.208"></a> <FONT color="green">209</FONT> return (o2 == null) ? 0 : +1;<a name="line.209"></a> <FONT color="green">210</FONT> } else if (o2 == null) {<a name="line.210"></a> <FONT color="green">211</FONT> return -1;<a name="line.211"></a> <FONT color="green">212</FONT> }<a name="line.212"></a> <FONT color="green">213</FONT> return Double.compare(weightedResidual(o1), weightedResidual(o2));<a name="line.213"></a> <FONT color="green">214</FONT> }<a name="line.214"></a> <FONT color="green">215</FONT> private double weightedResidual(final VectorialPointValuePair pv) {<a name="line.215"></a> <FONT color="green">216</FONT> final double[] value = pv.getValueRef();<a name="line.216"></a> <FONT color="green">217</FONT> double sum = 0;<a name="line.217"></a> <FONT color="green">218</FONT> for (int i = 0; i < value.length; ++i) {<a name="line.218"></a> <FONT color="green">219</FONT> final double ri = value[i] - target[i];<a name="line.219"></a> <FONT color="green">220</FONT> sum += weights[i] * ri * ri;<a name="line.220"></a> <FONT color="green">221</FONT> }<a name="line.221"></a> <FONT color="green">222</FONT> return sum;<a name="line.222"></a> <FONT color="green">223</FONT> }<a name="line.223"></a> <FONT color="green">224</FONT> });<a name="line.224"></a> <FONT color="green">225</FONT> <a name="line.225"></a> <FONT color="green">226</FONT> if (optima[0] == null) {<a name="line.226"></a> <FONT color="green">227</FONT> throw new OptimizationException(<a name="line.227"></a> <FONT color="green">228</FONT> "none of the {0} start points lead to convergence",<a name="line.228"></a> <FONT color="green">229</FONT> starts);<a name="line.229"></a> <FONT color="green">230</FONT> }<a name="line.230"></a> <FONT color="green">231</FONT> <a name="line.231"></a> <FONT color="green">232</FONT> // return the found point given the best objective function value<a name="line.232"></a> <FONT color="green">233</FONT> return optima[0];<a name="line.233"></a> <FONT color="green">234</FONT> <a name="line.234"></a> <FONT color="green">235</FONT> }<a name="line.235"></a> <FONT color="green">236</FONT> <a name="line.236"></a> <FONT color="green">237</FONT> }<a name="line.237"></a> </PRE> </BODY> </HTML>