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"PowellOptimizer": Added a constructor for setting of the absolute tolerance, 

removed one redundant function evaluation.
Line search relative tolerance explicitly set in the optimizer instance
created in "PowellOptimizerTest".


git-svn-id: https://svn.apache.org/repos/asf/commons/proper/math/trunk@982639 13f79535-47bb-0310-9956-ffa450edef68
This commit is contained in:
Gilles Sadowski 2010-08-05 14:26:13 +00:00
parent 173735d2df
commit d402f6b5e1
2 changed files with 64 additions and 29 deletions
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65
src/main/java/org/apache/commons/math/optimization/general/PowellOptimizer.java
View File

@ -17,6 +17,8 @@
package org.apache.commons.math.optimization.general;
import java.util.Arrays;
import org.apache.commons.math.FunctionEvaluationException;
import org.apache.commons.math.MaxIterationsExceededException;
import org.apache.commons.math.analysis.UnivariateRealFunction;
@ -39,28 +41,49 @@ import org.apache.commons.math.optimization.univariate.BrentOptimizer;
public class PowellOptimizer
extends AbstractScalarOptimizer {
/**
* Defautl line search tolerance ({@value}).
* Default relative tolerance for line search ({@value}).
*/
public static final double DEFAULT_LINE_SEARCH_TOLERANCE = 1e-7;
public static final double DEFAULT_LS_RELATIVE_TOLERANCE = 1e-7;
/**
* Default absolute tolerance for line search ({@value}).
*/
public static final double DEFAULT_LS_ABSOLUTE_TOLERANCE = 1e-11;
/**
* Line search.
*/
private final LineSearch line;
/**
* Constructor using the default line search tolerance (see the
* {@link #PowellOptimizer(double) other constructor}).
* Constructor with default line search tolerances (see the
* {@link #PowellOptimizer(double,double) other constructor}).
*/
public PowellOptimizer() {
this(DEFAULT_LINE_SEARCH_TOLERANCE);
this(DEFAULT_LS_RELATIVE_TOLERANCE,
DEFAULT_LS_ABSOLUTE_TOLERANCE);
}
/**
* @param lineSearchTolerance Relative error tolerance for the line search
* algorithm ({@link BrentOptimizer}).
* Constructor with default absolute line search tolerances (see
* the {@link #PowellOptimizer(double,double) other constructor}).
*
* @param lsRelativeTolerance Relative error tolerance for
* the line search algorithm ({@link BrentOptimizer}).
*/
public PowellOptimizer(double lineSearchTolerance) {
line = new LineSearch(lineSearchTolerance);
public PowellOptimizer(double lsRelativeTolerance) {
this(lsRelativeTolerance,
DEFAULT_LS_ABSOLUTE_TOLERANCE);
}
/**
* @param lsRelativeTolerance Relative error tolerance for
* the line search algorithm ({@link BrentOptimizer}).
* @param lsAbsoluteTolerance Relative error tolerance for
* the line search algorithm ({@link BrentOptimizer}).
*/
public PowellOptimizer(double lsRelativeTolerance,
double lsAbsoluteTolerance) {
line = new LineSearch(lsRelativeTolerance,
lsAbsoluteTolerance);
}
/** {@inheritDoc} */
@ -89,9 +112,9 @@ public class PowellOptimizer
int bigInd = 0;
double alphaMin = 0;
double[] direc1 = new double[n];
double[] direc1 = null;
for (int i = 0; i < n; i++) {
direc1 = direc[i];
direc1 = Arrays.copyOf(direc[i], n);
fX2 = fVal;
@ -188,11 +211,13 @@ public class PowellOptimizer
private double valueAtOptimum = Double.NaN;
/**
* @param tolerance Relative tolerance.
* @param relativeTolerance Relative tolerance.
* @param absoluteTolerance Absolute tolerance.
*/
public LineSearch(double tolerance) {
optim.setRelativeAccuracy(tolerance);
optim.setAbsoluteAccuracy(Math.ulp(1d));
public LineSearch(double relativeTolerance,
double absoluteTolerance) {
optim.setRelativeAccuracy(relativeTolerance);
optim.setAbsoluteAccuracy(absoluteTolerance);
}
/**
@ -206,6 +231,11 @@ public class PowellOptimizer
public void search(final double[] p,
final double[] d)
throws OptimizationException {
// Reset.
optimum = Double.NaN;
valueAtOptimum = Double.NaN;
try {
final int n = p.length;
final UnivariateRealFunction f = new UnivariateRealFunction() {
@ -216,7 +246,8 @@ public class PowellOptimizer
for (int i = 0; i < n; i++) {
x[i] = p[i] + alpha * d[i];
}
return computeObjectiveValue(x);
final double obj = computeObjectiveValue(x);
return obj;
}
};
@ -226,7 +257,7 @@ public class PowellOptimizer
bracket.getLo(),
bracket.getHi(),
bracket.getMid());
valueAtOptimum = f.value(optimum);
valueAtOptimum = optim.getFunctionValue();
} catch (FunctionEvaluationException e) {
throw new OptimizationException(e);
} catch (MaxIterationsExceededException e) {

28
src/test/java/org/apache/commons/math/optimization/general/PowellOptimizerTest.java
View File

@ -36,7 +36,7 @@ public class PowellOptimizerTest {
public void testSumSinc() throws MathException {
final MultivariateRealFunction func = new SumSincFunction(-1);
int dim = 10;
int dim = 2;
final double[] minPoint = new double[dim];
for (int i = 0; i < dim; i++) {
minPoint[i] = 0;
@ -48,13 +48,13 @@ public class PowellOptimizerTest {
for (int i = 0; i < dim; i++) {
init[i] = minPoint[i];
}
doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-9, 1e-7);
// doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-5, 1e-9, 1e-7);
// Initial is far from minimum.
for (int i = 0; i < dim; i++) {
init[i] = minPoint[i] + 3;
}
doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-9, 1e-7);
doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-5, 1e-9, 1e-7);
}
@Test
@ -80,13 +80,13 @@ public class PowellOptimizerTest {
for (int i = 0; i < dim; i++) {
init[i] = minPoint[i];
}
doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-9, 1e-8);
doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-5, 1e-9, 1e-8);
// Initial is far from minimum.
for (int i = 0; i < dim; i++) {
init[i] = minPoint[i] - 20;
}
doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-9, 1e-8);
doTest(func, minPoint, init, GoalType.MINIMIZE, 1e-5, 1e-9, 1e-8);
}
@Test
@ -112,13 +112,13 @@ public class PowellOptimizerTest {
for (int i = 0; i < dim; i++) {
init[i] = maxPoint[i];
}
doTest(func, maxPoint, init, GoalType.MAXIMIZE, 1e-9, 1e-8);
doTest(func, maxPoint, init, GoalType.MAXIMIZE, 1e-5, 1e-9, 1e-8);
// Initial is far from minimum.
for (int i = 0; i < dim; i++) {
init[i] = maxPoint[i] - 20;
}
doTest(func, maxPoint, init, GoalType.MAXIMIZE, 1e-9, 1e-8);
doTest(func, maxPoint, init, GoalType.MAXIMIZE, 1e-5, 1e-9, 1e-8);
}
/**
@ -126,18 +126,22 @@ public class PowellOptimizerTest {
* @param optimum Expected optimum.
* @param init Starting point.
* @param goal Minimization or maximization.
* @param objTol Tolerance (relative error on the objective function).
* @param pointTol Tolerance on the position of the optimum.
* @param xTol Tolerance (relative error on the objective function) for
* "Brent" line search algorithm used by "Powell".
* @param fTol Tolerance (relative error on the objective function) for
* "Powell" algorithm.
* @param pointTol Tolerance for checking that the optimum is correct.
*/
private void doTest(MultivariateRealFunction func,
double[] optimum,
double[] init,
GoalType goal,
double objTol,
double xTol,
double fTol,
double pointTol)
throws MathException {
final MultivariateRealOptimizer optim = new PowellOptimizer();
optim.setConvergenceChecker(new SimpleScalarValueChecker(objTol, -1));
final MultivariateRealOptimizer optim = new PowellOptimizer(xTol);
optim.setConvergenceChecker(new SimpleScalarValueChecker(fTol, -1));
final RealPointValuePair result = optim.optimize(func, goal, init);
final double[] found = result.getPoint();