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gps.py
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import numpy as np
from pypop7.optimizers.ds.ds import DS
class GPS(DS):
"""Generalized Pattern Search (GPS).
.. note:: `"To converge to a local minimum, certain conditions must be met. The set of directions must
be a positive spanning set, which means that we can construct any point using a nonnegative
linear combination of the directions. A positive spanning set ensures that at least one of the
directions is a descent direction from a location with a nonzero gradient."---[Kochenderfer&Wheeler, 2019]
<https://algorithmsbook.com/optimization/files/chapter-7.pdf>`_
Parameters
----------
problem : dict
problem arguments with the following common settings (`keys`):
* 'fitness_function' - objective function to be **minimized** (`func`),
* 'ndim_problem' - number of dimensionality (`int`),
* 'upper_boundary' - upper boundary of search range (`array_like`),
* 'lower_boundary' - lower boundary of search range (`array_like`).
options : dict
optimizer options with the following common settings (`keys`):
* 'max_function_evaluations' - maximum of function evaluations (`int`, default: `np.inf`),
* 'max_runtime' - maximal runtime to be allowed (`float`, default: `np.inf`),
* 'seed_rng' - seed for random number generation needed to be *explicitly* set (`int`);
and with the following particular settings (`keys`):
* 'sigma' - initial global step-size (`float`, default: `1.0`),
* 'x' - initial (starting) point (`array_like`),
* if not given, it will draw a random sample from the uniform distribution whose search range is
bounded by `problem['lower_boundary']` and `problem['upper_boundary']`.
* 'gamma' - decreasing factor of step-size (`float`, default: `0.5`).
Examples
--------
Use the optimizer to minimize the well-known test function
`Rosenbrock <http://en.wikipedia.org/wiki/Rosenbrock_function>`_:
.. code-block:: python
:linenos:
>>> import numpy
>>> from pypop7.benchmarks.base_functions import rosenbrock # function to be minimized
>>> from pypop7.optimizers.ds.gps import GPS
>>> problem = {'fitness_function': rosenbrock, # define problem arguments
... 'ndim_problem': 2,
... 'lower_boundary': -5*numpy.ones((2,)),
... 'upper_boundary': 5*numpy.ones((2,))}
>>> options = {'max_function_evaluations': 5000, # set optimizer options
... 'seed_rng': 2022,
... 'x': 3*numpy.ones((2,)),
... 'sigma': 0.1,
... 'verbose_frequency': 500}
>>> gps = GPS(problem, options) # initialize the optimizer class
>>> results = gps.optimize() # run the optimization process
>>> # return the number of function evaluations and best-so-far fitness
>>> print(f"GPS: {results['n_function_evaluations']}, {results['best_so_far_y']}")
GPS: 5000, 0.6182686369768672
Attributes
----------
gamma : `float`
decreasing factor of step-size.
sigma : `float`
final global step-size (changed during optimization).
x : `array_like`
initial (starting) point.
References
----------
Kochenderfer, M.J. and Wheeler, T.A., 2019.
Algorithms for optimization.
MIT Press.
https://algorithmsbook.com/optimization/files/chapter-7.pdf
(See Algorithm 7.6 (Page 106) for details.)
Regis, R.G., 2016.
On the properties of positive spanning sets and positive bases.
Optimization and Engineering, 17(1), pp.229-262.
https://link.springer.com/article/10.1007/s11081-015-9286-x
Torczon, V., 1997.
On the convergence of pattern search algorithms.
SIAM Journal on Optimization, 7(1), pp.1-25.
https://epubs.siam.org/doi/abs/10.1137/S1052623493250780
"""
def __init__(self, problem, options):
DS.__init__(self, problem, options)
self.gamma = options.get('gamma', 0.5) # decreasing factor of step-size (γ)
def initialize(self, args=None, is_restart=False):
x = self._initialize_x(is_restart) # initial point
y = self._evaluate_fitness(x, args) # fitness
# set random directions
d = self.rng_initialization.standard_normal(size=(self.ndim_problem + 1, self.ndim_problem))
i_d = [i for i in range(d.shape[0])] # index of used directions
return x, y, d, i_d
def iterate(self, x=None, d=None, i_d=None, args=None):
improved, best_so_far_y, fitness = False, self.best_so_far_y, []
for i in range(d.shape[0]):
if self._check_terminations():
return i_d, fitness
x = self.best_so_far_x + self.sigma*d[i_d[i]] # opportunistic
y = self._evaluate_fitness(x, args)
fitness.append(y)
if y < best_so_far_y:
improved = True
i_d = [i_d[i]] + i_d[:i] + i_d[(i + 1):] # dynamic ordering
break
if not improved:
self.sigma *= self.gamma # alpha
return i_d, fitness
def restart_reinitialize(self, args=None, x=None, y=None, d=None, i_d=None, fitness=None):
self._fitness_list.append(self.best_so_far_y)
is_restart_1, is_restart_2 = self.sigma < self.sigma_threshold, False
if len(self._fitness_list) >= self.stagnation:
is_restart_2 = (self._fitness_list[-self.stagnation] - self._fitness_list[-1]) < self.fitness_diff
is_restart = bool(is_restart_1) or bool(is_restart_2)
if is_restart:
self._print_verbose_info(fitness, y)
self.sigma = np.copy(self._sigma_bak)
x, y, d, i_d = self.initialize(args, is_restart)
self._fitness_list = [self.best_so_far_y]
self._n_generations = 0
self._n_restart += 1
if self.verbose:
print(' ....... *** restart *** .......')
return x, y, d, i_d
def optimize(self, fitness_function=None, args=None):
fitness = DS.optimize(self, fitness_function)
x, y, d, i_d = self.initialize(args)
while True:
self._print_verbose_info(fitness, y)
i_d, y = self.iterate(x, d, i_d, args)
if self._check_terminations():
break
self._n_generations += 1
if self.is_restart:
x, y, d, i_d = self.restart_reinitialize(args, x, y, d, i_d, fitness)
return self._collect(fitness, y)