Commons Math example source code file (MultiStartDifferentiableMultivariateVectorialOptimizer.java)

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Java - Commons Math tags/keywords

comparator, differentiablemultivariatevectorialfunction, differentiablemultivariatevectorialoptimizer, differentiablemultivariatevectorialoptimizer, functionevaluationexception, functionevaluationexception, illegalstateexception, multistartdifferentiablemultivariatevectorialoptimizer, optimizationexception, optimizationexception, randomvectorgenerator, util, vectorialconvergencechecker, vectorialpointvaluepair, vectorialpointvaluepair

The Commons Math MultiStartDifferentiableMultivariateVectorialOptimizer.java source code

/*
 * 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.FunctionEvaluationException;
import org.apache.commons.math.MathRuntimeException;
import org.apache.commons.math.analysis.DifferentiableMultivariateVectorialFunction;
import org.apache.commons.math.random.RandomVectorGenerator;

/**
 * Special implementation of the {@link DifferentiableMultivariateVectorialOptimizer} 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: 811685 $ $Date: 2009-09-05 13:36:48 -0400 (Sat, 05 Sep 2009) $
 * @since 2.0
 */
public class MultiStartDifferentiableMultivariateVectorialOptimizer
    implements DifferentiableMultivariateVectorialOptimizer {

    /** Serializable version identifier. */
    private static final long serialVersionUID = 9206382258980561530L;

    /** Underlying classical optimizer. */
    private final DifferentiableMultivariateVectorialOptimizer optimizer;

    /** Maximal number of iterations allowed. */
    private int maxIterations;

    /** Number of iterations already performed for all starts. */
    private int totalIterations;

    /** Maximal number of evaluations allowed. */
    private int maxEvaluations;

    /** Number of evaluations already performed for all starts. */
    private int totalEvaluations;

    /** Number of jacobian evaluations already performed for all starts. */
    private int totalJacobianEvaluations;

    /** 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 MultiStartDifferentiableMultivariateVectorialOptimizer(
                final DifferentiableMultivariateVectorialOptimizer optimizer,
                final int starts,
                final RandomVectorGenerator generator) {
        this.optimizer                = optimizer;
        this.totalIterations          = 0;
        this.totalEvaluations         = 0;
        this.totalJacobianEvaluations = 0;
        this.starts                   = starts;
        this.generator                = generator;
        this.optima                   = null;
        setMaxIterations(Integer.MAX_VALUE);
        setMaxEvaluations(Integer.MAX_VALUE);
    }

    /** Get all the optima found during the last call to {@link
     * #optimize(DifferentiableMultivariateVectorialFunction,
     * double[], double[], double[]) optimize}.
     * <p>The optimizer stores all the optima found during a set of
     * restarts. The {@link #optimize(DifferentiableMultivariateVectorialFunction,
     * double[], double[], 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(DifferentiableMultivariateVectorialFunction, double[],
     * double[], 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(DifferentiableMultivariateVectorialFunction,
     * double[], double[], double[]) optimize} method did throw a {@link
     * org.apache.commons.math.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(DifferentiableMultivariateVectorialFunction,
     * double[], double[], double[]) optimize} has not been called
     */
    public VectorialPointValuePair[] getOptima() throws IllegalStateException {
        if (optima == null) {
            throw MathRuntimeException.createIllegalStateException("no optimum computed yet");
        }
        return optima.clone();
    }

    /** {@inheritDoc} */
    public void setMaxIterations(int maxIterations) {
        this.maxIterations = maxIterations;
    }

    /** {@inheritDoc} */
    public int getMaxIterations() {
        return maxIterations;
    }

    /** {@inheritDoc} */
    public int getIterations() {
        return totalIterations;
    }

    /** {@inheritDoc} */
    public void setMaxEvaluations(int maxEvaluations) {
        this.maxEvaluations = maxEvaluations;
    }

    /** {@inheritDoc} */
    public int getMaxEvaluations() {
        return maxEvaluations;
    }

    /** {@inheritDoc} */
    public int getEvaluations() {
        return totalEvaluations;
    }

    /** {@inheritDoc} */
    public int getJacobianEvaluations() {
        return totalJacobianEvaluations;
    }

    /** {@inheritDoc} */
    public void setConvergenceChecker(VectorialConvergenceChecker checker) {
        optimizer.setConvergenceChecker(checker);
    }

    /** {@inheritDoc} */
    public VectorialConvergenceChecker getConvergenceChecker() {
        return optimizer.getConvergenceChecker();
    }

    /** {@inheritDoc} */
    public VectorialPointValuePair optimize(final DifferentiableMultivariateVectorialFunction f,
                                            final double[] target, final double[] weights,
                                            final double[] startPoint)
        throws FunctionEvaluationException, OptimizationException, IllegalArgumentException {

        optima                   = new VectorialPointValuePair[starts];
        totalIterations          = 0;
        totalEvaluations         = 0;
        totalJacobianEvaluations = 0;

        // multi-start loop
        for (int i = 0; i < starts; ++i) {

            try {
                optimizer.setMaxIterations(maxIterations - totalIterations);
                optimizer.setMaxEvaluations(maxEvaluations - totalEvaluations);
                optima[i] = optimizer.optimize(f, target, weights,
                                               (i == 0) ? startPoint : generator.nextVector());
            } catch (FunctionEvaluationException fee) {
                optima[i] = null;
            } catch (OptimizationException oe) {
                optima[i] = null;
            }

            totalIterations          += optimizer.getIterations();
            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];

    }

}