diff --git a/src/changes/changes.xml b/src/changes/changes.xml index ca334a2e4..45e409db5 100644 --- a/src/changes/changes.xml +++ b/src/changes/changes.xml @@ -55,6 +55,9 @@ This is a minor release: It combines bug fixes and new features. Changes to existing features were made in a backwards-compatible way such as to allow drop-in replacement of the v3.1[.1] JAR file. "> + + Check bounds in multi-start vector optimizers. + Added discrete distributions. diff --git a/src/main/java/org/apache/commons/math3/optim/BaseMultiStartMultivariateOptimizer.java b/src/main/java/org/apache/commons/math3/optim/BaseMultiStartMultivariateOptimizer.java index a07bc32f8..329dc7506 100644 --- a/src/main/java/org/apache/commons/math3/optim/BaseMultiStartMultivariateOptimizer.java +++ b/src/main/java/org/apache/commons/math3/optim/BaseMultiStartMultivariateOptimizer.java @@ -18,6 +18,7 @@ package org.apache.commons.math3.optim; import org.apache.commons.math3.exception.MathIllegalStateException; import org.apache.commons.math3.exception.NotStrictlyPositiveException; +import org.apache.commons.math3.exception.TooManyEvaluationsException; import org.apache.commons.math3.random.RandomVectorGenerator; /** @@ -59,7 +60,15 @@ public abstract class BaseMultiStartMultivariateOptimizer /** * Create a multi-start optimizer from a single-start optimizer. - * + *

+ * Note that if there are bounds constraints (see {@link #getLowerBound()} + * and {@link #getUpperBound()}), then a simple rejection algorithm is used + * at each restart. This implies that the random vector generator should have + * a good probability to generate vectors in the bounded domain, otherwise the + * rejection algorithm will hit the {@link #getMaxEvaluations()} count without + * generating a proper restart point. Users must be take great care of the curse of dimensionality. + *

* @param optimizer Single-start optimizer to wrap. * @param starts Number of starts to perform. If {@code starts == 1}, * the {@link #optimize(OptimizationData[]) optimize} will return the @@ -157,8 +166,8 @@ public abstract class BaseMultiStartMultivariateOptimizer clear(); final int maxEval = getMaxEvaluations(); - final double[] min = getLowerBound(); // XXX Should be used to enforce bounds (see below). - final double[] max = getUpperBound(); // XXX Should be used to enforce bounds (see below). + final double[] min = getLowerBound(); + final double[] max = getUpperBound(); final double[] startPoint = getStartPoint(); // Multi-start loop. @@ -168,9 +177,24 @@ public abstract class BaseMultiStartMultivariateOptimizer // Decrease number of allowed evaluations. optimData[maxEvalIndex] = new MaxEval(maxEval - totalEvaluations); // New start value. - final double[] s = (i == 0) ? - startPoint : - generator.nextVector(); // XXX This does not enforce bounds! + double[] s = null; + if (i == 0) { + s = startPoint; + } else { + int attempts = 0; + while (s == null) { + if (attempts++ >= getMaxEvaluations()) { + throw new TooManyEvaluationsException(getMaxEvaluations()); + } + s = generator.nextVector(); + for (int k = 0; s != null && k < s.length; ++k) { + if ((min != null && s[k] < min[k]) || (max != null && s[k] > max[k])) { + // reject the vector + s = null; + } + } + } + } optimData[initialGuessIndex] = new InitialGuess(s); // Optimize. final PAIR result = optimizer.optimize(optimData); diff --git a/src/test/java/org/apache/commons/math3/optim/nonlinear/vector/MultiStartMultivariateVectorOptimizerTest.java b/src/test/java/org/apache/commons/math3/optim/nonlinear/vector/MultiStartMultivariateVectorOptimizerTest.java index e92091f27..df8b6329a 100644 --- a/src/test/java/org/apache/commons/math3/optim/nonlinear/vector/MultiStartMultivariateVectorOptimizerTest.java +++ b/src/test/java/org/apache/commons/math3/optim/nonlinear/vector/MultiStartMultivariateVectorOptimizerTest.java @@ -16,14 +16,16 @@ */ package org.apache.commons.math3.optim.nonlinear.vector; -import org.apache.commons.math3.analysis.MultivariateVectorFunction; import org.apache.commons.math3.analysis.MultivariateMatrixFunction; -import org.apache.commons.math3.exception.MathIllegalStateException; +import org.apache.commons.math3.analysis.MultivariateVectorFunction; +import org.apache.commons.math3.exception.TooManyEvaluationsException; import org.apache.commons.math3.linear.BlockRealMatrix; import org.apache.commons.math3.linear.RealMatrix; -import org.apache.commons.math3.optim.MaxEval; import org.apache.commons.math3.optim.InitialGuess; +import org.apache.commons.math3.optim.MaxEval; +import org.apache.commons.math3.optim.OptimizationData; import org.apache.commons.math3.optim.PointVectorValuePair; +import org.apache.commons.math3.optim.SimpleBounds; import org.apache.commons.math3.optim.SimpleVectorValueChecker; import org.apache.commons.math3.optim.nonlinear.vector.jacobian.GaussNewtonOptimizer; import org.apache.commons.math3.random.GaussianRandomGenerator; @@ -96,10 +98,10 @@ import org.junit.Test; * @author Luc Maisonobe (non-minpack tests and minpack tests Java translation) */ public class MultiStartMultivariateVectorOptimizerTest { + @Test(expected=NullPointerException.class) public void testGetOptimaBeforeOptimize() { - LinearProblem problem - = new LinearProblem(new double[][] { { 2 } }, new double[] { 3 }); + JacobianMultivariateVectorOptimizer underlyingOptimizer = new GaussNewtonOptimizer(true, new SimpleVectorValueChecker(1e-6, 1e-6)); JDKRandomGenerator g = new JDKRandomGenerator(); @@ -145,8 +147,45 @@ public class MultiStartMultivariateVectorOptimizerTest { Assert.assertEquals(100, optimizer.getMaxEvaluations()); } + @Test + public void testIssue914() { + LinearProblem problem = new LinearProblem(new double[][] { { 2 } }, new double[] { 3 }); + JacobianMultivariateVectorOptimizer underlyingOptimizer = + new GaussNewtonOptimizer(true, new SimpleVectorValueChecker(1e-6, 1e-6)) { + public PointVectorValuePair optimize(OptimizationData... optData) { + // filter out simple bounds, as they are not supported + // by the underlying optimizer, and we don't really care for this test + OptimizationData[] filtered = optData.clone(); + for (int i = 0; i < filtered.length; ++i) { + if (filtered[i] instanceof SimpleBounds) { + filtered[i] = null; + } + } + return super.optimize(filtered); + } + }; + JDKRandomGenerator g = new JDKRandomGenerator(); + g.setSeed(16069223052l); + RandomVectorGenerator generator = + new UncorrelatedRandomVectorGenerator(1, new GaussianRandomGenerator(g)); + MultiStartMultivariateVectorOptimizer optimizer = + new MultiStartMultivariateVectorOptimizer(underlyingOptimizer, 10, generator); + + optimizer.optimize(new MaxEval(100), + problem.getModelFunction(), + problem.getModelFunctionJacobian(), + problem.getTarget(), + new Weight(new double[] { 1 }), + new InitialGuess(new double[] { 0 }), + new SimpleBounds(new double[] { -1.0e-10 }, new double[] { 1.0e-10 })); + PointVectorValuePair[] optima = optimizer.getOptima(); + // only the first start should have succeeded + Assert.assertEquals(1, optima.length); + + } + /** - * Test demonstrating that the user exception is fnally thrown if none + * Test demonstrating that the user exception is finally thrown if none * of the runs succeed. */ @Test(expected=TestException.class) @@ -170,7 +209,9 @@ public class MultiStartMultivariateVectorOptimizerTest { })); } - private static class TestException extends RuntimeException {} + private static class TestException extends RuntimeException { + + private static final long serialVersionUID = 1L;} private static class LinearProblem { private final RealMatrix factors;