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MATH-698 

Bounds passed as arguments in "optimize" method.


git-svn-id: https://svn.apache.org/repos/asf/commons/proper/math/trunk@1194989 13f79535-47bb-0310-9956-ffa450edef68
This commit is contained in:
Gilles Sadowski 2011-10-29 19:35:36 +00:00
parent 3ea635a01c
commit 5771d38200
2 changed files with 44 additions and 86 deletions
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121
src/main/java/org/apache/commons/math/optimization/direct/BOBYQAOptimizer.java
View File

@ -54,6 +54,13 @@ import org.apache.commons.math.util.MathArrays;
public class BOBYQAOptimizer
extends BaseAbstractScalarOptimizer<MultivariateRealFunction>
implements MultivariateRealOptimizer {
/** Minimum dimension of the problem: {@value} */
public static final int MINIMUM_PROBLEM_DIMENSION = 2;
/** Default value for {@link #initialTrustRegionRadius}: {@value} . */
public static final double DEFAULT_INITIAL_RADIUS = 10.0;
/** Default value for {@link #stoppingTrustRegionRadius}: {@value} . */
public static final double DEFAULT_STOPPING_RADIUS = 1E-8;
private static final double ZERO = 0d;
private static final double ONE = 1d;
private static final double TWO = 2d;
@ -67,13 +74,6 @@ public class BOBYQAOptimizer
private static final double ONE_OVER_TEN = ONE / 10;
private static final double ONE_OVER_A_THOUSAND = ONE / 1000;
/** Minimum dimension of the problem: {@value} */
public static final int MINIMUM_PROBLEM_DIMENSION = 2;
/** Default value for {@link #initialTrustRegionRadius}: {@value} . */
public static final double DEFAULT_INITIAL_RADIUS = 10.0;
/** Default value for {@link #stoppingTrustRegionRadius}: {@value} . */
public static final double DEFAULT_STOPPING_RADIUS = 1E-8;
/**
* numberOfInterpolationPoints XXX
*/
@ -86,19 +86,6 @@ public class BOBYQAOptimizer
* stoppingTrustRegionRadius XXX
*/
private final double stoppingTrustRegionRadius;
/**
* Lower bounds of the objective variables.
* {@code null} means no bounds.
* XXX Should probably be passed to the "optimize" method (overload not existing yet).
*/
private double[] lowerBound;
/**
* Upper bounds of the objective variables.
* {@code null} means no bounds.
* XXX Should probably be passed to the "optimize" method (overload not existing yet).
*/
private double[] upperBound;
/** Goal type (minimize or maximize). */
private boolean isMinimize;
/**
@ -154,10 +141,10 @@ public class BOBYQAOptimizer
*/
private ArrayRealVector gradientAtTrustRegionCenter;
/**
* Differences {@link #lowerBound} - {@link #originShift}.
* Differences {@link #getLowerBound()} - {@link #originShift}.
* All the components of every {@link #trustRegionCenterOffset} are going
* to satisfy the bounds<br/>
* {@link #lowerBound}<sub>i</sub> &le;
* {@link #getLowerBound() lowerBound}<sub>i</sub> &le;
* {@link #trustRegionCenterOffset}<sub>i</sub>,<br/>
* with appropriate equalities when {@link #trustRegionCenterOffset} is
* on a constraint boundary.
@ -165,11 +152,11 @@ public class BOBYQAOptimizer
*/
private ArrayRealVector lowerDifference;
/**
* Differences {@link #upperBound} - {@link #originShift}
* Differences {@link #getUpperBound()} - {@link #originShift}
* All the components of every {@link #trustRegionCenterOffset} are going
* to satisfy the bounds<br/>
* {@link #trustRegionCenterOffset}<sub>i</sub> &le;
* {@link #upperBound}<sub>i</sub>,<br/>
* {@link #getUpperBound() upperBound}<sub>i</sub>,<br/>
* with appropriate equalities when {@link #trustRegionCenterOffset} is
* on a constraint boundary.
* XXX "su" in the original code.
@ -223,23 +210,7 @@ public class BOBYQAOptimizer
* Choices that exceed {@code 2n+1} are not recommended.
*/
public BOBYQAOptimizer(int numberOfInterpolationPoints) {
this(numberOfInterpolationPoints, null, null);
}
/**
* @param numberOfInterpolationPoints Number of interpolation conditions.
* For a problem of dimension {@code n}, its value must be in the interval
* {@code [n+2, (n+1)(n+2)/2]}.
* Choices that exceed {@code 2n+1} are not recommended.
* @param lowerBound Lower bounds (constraints) of the objective variables.
* @param upperBound Upperer bounds (constraints) of the objective variables.
*/
public BOBYQAOptimizer(int numberOfInterpolationPoints,
double[] lowerBound,
double[] upperBound) {
this(numberOfInterpolationPoints,
lowerBound,
upperBound,
DEFAULT_INITIAL_RADIUS,
DEFAULT_STOPPING_RADIUS);
}
@ -249,18 +220,12 @@ public class BOBYQAOptimizer
* For a problem of dimension {@code n}, its value must be in the interval
* {@code [n+2, (n+1)(n+2)/2]}.
* Choices that exceed {@code 2n+1} are not recommended.
* @param lowerBound Lower bounds (constraints) of the objective variables.
* @param upperBound Upperer bounds (constraints) of the objective variables.
* @param initialTrustRegionRadius Initial trust region radius.
* @param stoppingTrustRegionRadius Stopping trust region radius.
*/
public BOBYQAOptimizer(int numberOfInterpolationPoints,
double[] lowerBound,
double[] upperBound,
double initialTrustRegionRadius,
double stoppingTrustRegionRadius) {
this.lowerBound = lowerBound == null ? null : MathArrays.copyOf(lowerBound);
this.upperBound = upperBound == null ? null : MathArrays.copyOf(upperBound);
this.numberOfInterpolationPoints = numberOfInterpolationPoints;
this.initialTrustRegionRadius = initialTrustRegionRadius;
this.stoppingTrustRegionRadius = stoppingTrustRegionRadius;
@ -269,13 +234,16 @@ public class BOBYQAOptimizer
/** {@inheritDoc} */
@Override
protected RealPointValuePair doOptimize() {
final double[] lowerBound = getLowerBound();
final double[] upperBound = getUpperBound();
// Validity checks.
setup();
setup(lowerBound, upperBound);
isMinimize = (getGoalType() == GoalType.MINIMIZE);
currentBest = new ArrayRealVector(getStartPoint());
final double value = bobyqa();
final double value = bobyqa(lowerBound, upperBound);
return new RealPointValuePair(currentBest.getDataRef(),
isMinimize ? value : -value);
@ -311,9 +279,13 @@ public class BOBYQAOptimizer
* MAXFUN must be set to an upper bound on the number of calls of CALFUN.
* The array W will be used for working space. Its length must be at least
* (NPT+5)*(NPT+N)+3*N*(N+5)/2.
* @return
*
* @param lowerBound Lower bounds.
* @param upperBound Upper bounds.
* @return the value of the objective at the optimum.
*/
private double bobyqa() {
private double bobyqa(double[] lowerBound,
double[] upperBound) {
printMethod(); // XXX
final int n = currentBest.getDimension();
@ -359,7 +331,7 @@ public class BOBYQAOptimizer
// Make the call of BOBYQB.
return bobyqb();
return bobyqb(lowerBound, upperBound);
} // bobyqa
// ----------------------------------------------------------------------------------------
@ -397,9 +369,12 @@ public class BOBYQAOptimizer
* W is a one-dimensional array that is used for working space. Its length
* must be at least 3*NDIM = 3*(NPT+N).
*
* @return
* @param lowerBound Lower bounds.
* @param upperBound Upper bounds.
* @return the value of the objective at the optimum.
*/
private double bobyqb() {
private double bobyqb(double[] lowerBound,
double[] upperBound) {
printMethod(); // XXX
final int n = currentBest.getDimension();
@ -431,7 +406,7 @@ public class BOBYQAOptimizer
trustRegionCenterInterpolationPointIndex = 0;
prelim();
prelim(lowerBound, upperBound);
double xoptsq = ZERO;
for (int i = 0; i < n; i++) {
trustRegionCenterOffset.setEntry(i, interpolationPoints.getEntry(trustRegionCenterInterpolationPointIndex, i));
@ -1604,8 +1579,11 @@ public class BOBYQAOptimizer
* KOPT will be such that the least calculated value of F so far is at
* the point XPT(KOPT,.)+XBASE in the space of the variables.
*
* @param lowerBound Lower bounds.
* @param upperBound Upper bounds.
*/
private void prelim() {
private void prelim(double[] lowerBound,
double[] upperBound) {
printMethod(); // XXX
final int n = currentBest.getDimension();
@ -2397,10 +2375,13 @@ public class BOBYQAOptimizer
} // update
/**
* Performs validity checks and adapt the {@link #lowerBound} and
* {@link #upperBound} array if no constraints were provided.
* Performs validity checks.
*
* @param lowerBound Lower bounds (constraints) of the objective variables.
* @param upperBound Upperer bounds (constraints) of the objective variables.
*/
private void setup() {
private void setup(double[] lowerBound,
double[] upperBound) {
printMethod(); // XXX
double[] init = getStartPoint();
@ -2420,34 +2401,12 @@ public class BOBYQAOptimizer
nPointsInterval[1]);
}
// Check (and possibly adapt) bounds.
if (lowerBound == null) {
lowerBound = fillNewArray(dimension, Double.NEGATIVE_INFINITY);
} else if (lowerBound.length != init.length) {
throw new DimensionMismatchException(lowerBound.length, dimension);
}
if (upperBound == null) {
upperBound = fillNewArray(dimension, Double.POSITIVE_INFINITY);
} else if (upperBound.length != init.length) {
throw new DimensionMismatchException(upperBound.length, dimension);
}
for (int i = 0; i < dimension; i++) {
final double v = init[i];
final double lo = lowerBound[i];
final double hi = upperBound[i];
if (v < lo || v > hi) {
throw new OutOfRangeException(v, lo, hi);
}
}
// Initialize bound differences.
boundDifference = new double[dimension];
double requiredMinDiff = 2 * initialTrustRegionRadius;
double minDiff = Double.POSITIVE_INFINITY;
for (int i = 0; i < dimension; i++) {
for (int i = 0; i < dimension; i++) {
boundDifference[i] = upperBound[i] - lowerBound[i];
minDiff = Math.min(minDiff, boundDifference[i]);
}

9
src/test/java/org/apache/commons/math/optimization/direct/BOBYQAOptimizerTest.java
View File

@ -23,7 +23,7 @@ import org.apache.commons.math.analysis.MultivariateRealFunction;
import org.apache.commons.math.exception.DimensionMismatchException;
import org.apache.commons.math.exception.TooManyEvaluationsException;
import org.apache.commons.math.exception.NoDataException;
import org.apache.commons.math.exception.OutOfRangeException;
import org.apache.commons.math.exception.NumberIsTooLargeException;
import org.apache.commons.math.exception.NumberIsTooSmallException;
import org.apache.commons.math.optimization.GoalType;
import org.apache.commons.math.optimization.MultivariateRealOptimizer;
@ -39,7 +39,7 @@ public class BOBYQAOptimizerTest {
static final int DIM = 13;
@Test(expected=OutOfRangeException.class)
@Test(expected=NumberIsTooLargeException.class)
public void testInitOutOfBounds() {
double[] startPoint = point(DIM, 3);
double[][] boundaries = boundaries(DIM, -1, 2);
@ -262,9 +262,8 @@ public class BOBYQAOptimizerTest {
// RealPointValuePair result = optim.optimize(100000, func, goal, startPoint);
final double[] lB = boundaries == null ? null : boundaries[0];
final double[] uB = boundaries == null ? null : boundaries[1];
MultivariateRealOptimizer optim =
new BOBYQAOptimizer(2 * dim + 1, lB, uB);
RealPointValuePair result = optim.optimize(maxEvaluations, func, goal, startPoint);
MultivariateRealOptimizer optim = new BOBYQAOptimizer(2 * dim + 1);
RealPointValuePair result = optim.optimize(maxEvaluations, func, goal, startPoint, lB, uB);
// System.out.println(func.getClass().getName() + " = "
// + optim.getEvaluations() + " f(");
// for (double x: result.getPoint()) System.out.print(x + " ");