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Diffstat (limited to 'src/main/java/org/apache/commons/math3/optimization/univariate/UnivariateMultiStartOptimizer.java')
| -rw-r--r-- | src/main/java/org/apache/commons/math3/optimization/univariate/UnivariateMultiStartOptimizer.java | 203 |
1 files changed, 203 insertions, 0 deletions
diff --git a/src/main/java/org/apache/commons/math3/optimization/univariate/UnivariateMultiStartOptimizer.java b/src/main/java/org/apache/commons/math3/optimization/univariate/UnivariateMultiStartOptimizer.java new file mode 100644 index 0000000..f63beb2 --- /dev/null +++ b/src/main/java/org/apache/commons/math3/optimization/univariate/UnivariateMultiStartOptimizer.java @@ -0,0 +1,203 @@ +/* + * 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.math3.optimization.univariate; + +import java.util.Arrays; +import java.util.Comparator; + +import org.apache.commons.math3.analysis.UnivariateFunction; +import org.apache.commons.math3.exception.MathIllegalStateException; +import org.apache.commons.math3.exception.NotStrictlyPositiveException; +import org.apache.commons.math3.exception.NullArgumentException; +import org.apache.commons.math3.exception.util.LocalizedFormats; +import org.apache.commons.math3.random.RandomGenerator; +import org.apache.commons.math3.optimization.GoalType; +import org.apache.commons.math3.optimization.ConvergenceChecker; + +/** + * Special implementation of the {@link UnivariateOptimizer} interface + * adding multi-start features to an existing optimizer. + * + * 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. + * + * @param <FUNC> Type of the objective function to be optimized. + * + * @deprecated As of 3.1 (to be removed in 4.0). + * @since 3.0 + */ +@Deprecated +public class UnivariateMultiStartOptimizer<FUNC extends UnivariateFunction> + implements BaseUnivariateOptimizer<FUNC> { + /** Underlying classical optimizer. */ + private final BaseUnivariateOptimizer<FUNC> optimizer; + /** Maximal number of evaluations allowed. */ + private int maxEvaluations; + /** Number of evaluations already performed for all starts. */ + private int totalEvaluations; + /** Number of starts to go. */ + private int starts; + /** Random generator for multi-start. */ + private RandomGenerator generator; + /** Found optima. */ + private UnivariatePointValuePair[] 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. If {@code starts == 1}, + * the {@code optimize} methods will return the same solution as + * {@code optimizer} would. + * @param generator Random generator to use for restarts. + * @throws NullArgumentException if {@code optimizer} or {@code generator} + * is {@code null}. + * @throws NotStrictlyPositiveException if {@code starts < 1}. + */ + public UnivariateMultiStartOptimizer(final BaseUnivariateOptimizer<FUNC> optimizer, + final int starts, + final RandomGenerator generator) { + if (optimizer == null || + generator == null) { + throw new NullArgumentException(); + } + if (starts < 1) { + throw new NotStrictlyPositiveException(starts); + } + + this.optimizer = optimizer; + this.starts = starts; + this.generator = generator; + } + + /** + * {@inheritDoc} + */ + public ConvergenceChecker<UnivariatePointValuePair> getConvergenceChecker() { + return optimizer.getConvergenceChecker(); + } + + /** {@inheritDoc} */ + public int getMaxEvaluations() { + return maxEvaluations; + } + + /** {@inheritDoc} */ + public int getEvaluations() { + return totalEvaluations; + } + + /** + * Get all the optima found during the last call to {@link + * #optimize(int,UnivariateFunction,GoalType,double,double) optimize}. + * The optimizer stores all the optima found during a set of + * restarts. The {@link #optimize(int,UnivariateFunction,GoalType,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(int,UnivariateFunction,GoalType,double,double) optimize} + * method. + * <br/> + * 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 {@code null} elements + * corresponding to the runs that did not converge. This means all + * elements will be {@code null} if the {@link + * #optimize(int,UnivariateFunction,GoalType,double,double) optimize} + * method did throw an exception. + * This also means that if the first element is not {@code null}, it is + * the best point found across all starts. + * + * @return an array containing the optima. + * @throws MathIllegalStateException if {@link + * #optimize(int,UnivariateFunction,GoalType,double,double) optimize} + * has not been called. + */ + public UnivariatePointValuePair[] getOptima() { + if (optima == null) { + throw new MathIllegalStateException(LocalizedFormats.NO_OPTIMUM_COMPUTED_YET); + } + return optima.clone(); + } + + /** {@inheritDoc} */ + public UnivariatePointValuePair optimize(int maxEval, final FUNC f, + final GoalType goal, + final double min, final double max) { + return optimize(maxEval, f, goal, min, max, min + 0.5 * (max - min)); + } + + /** {@inheritDoc} */ + public UnivariatePointValuePair optimize(int maxEval, final FUNC f, + final GoalType goal, + final double min, final double max, + final double startValue) { + RuntimeException lastException = null; + optima = new UnivariatePointValuePair[starts]; + totalEvaluations = 0; + + // Multi-start loop. + for (int i = 0; i < starts; ++i) { + // CHECKSTYLE: stop IllegalCatch + try { + final double s = (i == 0) ? startValue : min + generator.nextDouble() * (max - min); + optima[i] = optimizer.optimize(maxEval - totalEvaluations, f, goal, min, max, s); + } catch (RuntimeException mue) { + lastException = mue; + optima[i] = null; + } + // CHECKSTYLE: resume IllegalCatch + + totalEvaluations += optimizer.getEvaluations(); + } + + sortPairs(goal); + + if (optima[0] == null) { + throw lastException; // cannot be null if starts >=1 + } + + // Return the point with the best objective function value. + return optima[0]; + } + + /** + * Sort the optima from best to worst, followed by {@code null} elements. + * + * @param goal Goal type. + */ + private void sortPairs(final GoalType goal) { + Arrays.sort(optima, new Comparator<UnivariatePointValuePair>() { + /** {@inheritDoc} */ + public int compare(final UnivariatePointValuePair o1, + final UnivariatePointValuePair 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 (goal == GoalType.MINIMIZE) ? + Double.compare(v1, v2) : Double.compare(v2, v1); + } + }); + } +} |