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MATH-1622: Simulated annealing variant of "MultiDirectionalTransform".

This commit is contained in:
Gilles Sadowski 2021-08-24 01:18:16 +02:00
parent 47904caeb8
commit 97462b1a1b
1 changed files with 15 additions and 5 deletions
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20
commons-math-legacy/src/main/java/org/apache/commons/math4/legacy/optim/nonlinear/scalar/noderiv/MultiDirectionalTransform.java
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@ -26,7 +26,7 @@ import org.apache.commons.math4.legacy.analysis.MultivariateFunction;
import org.apache.commons.math4.legacy.optim.PointValuePair; import org.apache.commons.math4.legacy.optim.PointValuePair;
/** /**
* Multi-directional search method. * <a href="https://scholarship.rice.edu/handle/1911/16304">Multi-directional</a> search method.
*/ */
public class MultiDirectionalTransform public class MultiDirectionalTransform
implements Simplex.TransformFactory { implements Simplex.TransformFactory {
@ -71,7 +71,7 @@ public class MultiDirectionalTransform
@Override @Override
public UnaryOperator<Simplex> create(final MultivariateFunction evaluationFunction, public UnaryOperator<Simplex> create(final MultivariateFunction evaluationFunction,
final Comparator<PointValuePair> comparator, final Comparator<PointValuePair> comparator,
final DoublePredicate unused) { final DoublePredicate sa) {
return original -> { return original -> {
final PointValuePair best = original.get(0); final PointValuePair best = original.get(0);
@ -90,9 +90,19 @@ public class MultiDirectionalTransform
evaluationFunction); evaluationFunction);
final PointValuePair expandedBest = expandedSimplex.get(0); final PointValuePair expandedBest = expandedSimplex.get(0);
return comparator.compare(reflectedBest, expandedBest) < 0 ? if (comparator.compare(expandedBest, reflectedBest) < 0) {
reflectedSimplex : return expandedSimplex;
expandedSimplex; } else if (sa != null &&
sa.test(expandedBest.getValue() - reflectedBest.getValue())) {
// SA hybridation branch (not part of Torczon's algorithm):
// Create a simplex that contains
// * the reflected simplex's best point (since it is the
// best point overall), and
// * the expanded simplex's points (except its best point).
return reflectedSimplex.replaceLast(expandedSimplex.asList(1, expandedSimplex.getSize()));
} else {
return reflectedSimplex;
}
} else { } else {
// Compute the contracted simplex. // Compute the contracted simplex.
return original.shrink(sigma, evaluationFunction); return original.shrink(sigma, evaluationFunction);