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function [xopt, fopt,exitflag, n_accepted_draws, n_total_draws, n_out_of_bounds_draws, t, vm] = ...
simulated_annealing(fcn,x,optim,lb,ub,varargin)
% function [xopt, fopt,exitflag, n_accepted_draws, n_total_draws, n_out_of_bounds_draws, t, vm] = ...
% simulated_annealing(fcn,x,optim,lb,ub,varargin)
%
% Implements the continuous simulated annealing global optimization
% algorithm described in Corana et al. (1987)
%
% A very quick (perhaps too quick) overview of SA:
% SA tries to find the global optimum of an N dimensional function.
% It moves both up and downhill and as the optimization process
% proceeds, it focuses on the most promising area.
% To start, it randomly chooses a trial point within the step length
% VM (a vector of length N) of the user selected starting point. The
% function is evaluated at this trial point and its value is compared
% to its value at the initial point.
% In a maximization problem, all uphill moves are accepted and the
% algorithm continues from that trial point. Downhill moves may be
% accepted the decision is made by the Metropolis criteria. It uses T
% (temperature) and the size of the downhill move in a probabilistic
% manner. The smaller T and the size of the downhill move are, the more
% likely that move will be accepted. If the trial is accepted, the
% algorithm moves on from that point. If it is rejected, another point
% is chosen instead for a trial evaluation.
% Each element of VM periodically adjusted so that half of all
% function evaluations in that direction are accepted.
% A fall in T is imposed upon the system with the RT option by
% T(i+1) = RT*T(i) where i is the ith iteration. Thus, as T declines,
% downhill moves are less likely to be accepted and the percentage of
% rejections rise. Given the scheme for the selection for VM, VM falls.
% Thus, as T declines, VM falls and SA focuses upon the most promising
% area for optimization.
%
% The importance of the parameter T (initial_temperature):
% The parameter T is crucial in using SA successfully. It influences
% VM, the step length over which the algorithm searches for optima. For
% a small intial T, the step length may be too small thus not enough
% of the function might be evaluated to find the global optima. The user
% should carefully examine VM in the intermediate output (set verbosity =
% 1) to make sure that VM is appropriate. The relationship between the
% initial temperature and the resulting step length is function
% dependent.
% To determine the starting temperature that is consistent with
% optimizing a function, it is worthwhile to run a trial run first. Set
% RT = 1.5 and T = 1.0. With RT > 1.0, the temperature increases and VM
% rises as well. Then select the T that produces a large enough VM.
%
% Input Parameters:
% Note: The suggested values generally come from Corana et al. To
% drastically reduce runtime, see Goffe et al., pp. 90-1 for
% suggestions on choosing the appropriate RT and NT.
%
% fcn - function to be optimized.
% x - The starting values for the variables of the function to be
% optimized. (N)
% optim: Options structure with fields
%
% optim.maximizer_indicator - Denotes whether the function should be maximized or
% minimized. A value =1 denotes maximization while a
% value =0 denotes minimization. Intermediate output (see verbosity)
% takes this into account.
% optim.RT - The temperature reduction factor
% optim.TolFun - Error tolerance for termination. If the final function
% values from the last neps temperatures differ from the
% corresponding value at the current temperature by less than
% optim.TolFun and the final function value at the current temperature
% differs from the current optimal function value by less than
% optim.TolFun, execution terminates and exitflag = 0 is returned.
% optim.ns - Number of cycles. After NS*N function evaluations, each
% element of VM is adjusted so that approximately half of
% all function evaluations are accepted. The suggested value
% is 20.
% optim.nt - Number of iterations before temperature reduction. After
% NT*NS*N function evaluations, temperature (T) is changed
% by the factor optim.RT. Value suggested by Corana et al. is
% max(100, 5*n). See Goffe et al. for further advice.
% optim.neps - Number of final function values used to decide upon termi-
% nation. See optim.TolFun. Suggested value is 4.
% optim.MaxIter - Maximum number of function evaluations. If it is
% exceeded, exitflag = 1.
% optim.step_length_c - Vector that controls the step length adjustment. The suggested
% value for all elements is 2.0.
% optim.verbosity - controls printing inside SA.
% Values: 0 - Nothing printed.
% 1 - Function value for the starting value and summary results before each temperature
% reduction. This includes the optimal function value found so far, the total
% number of moves (broken up into uphill, downhill, accepted and rejected), the
% number of out of bounds trials, the number of new optima found at this
% temperature, the current optimal X and the step length VM. Note that there are
% N*NS*NT function evalutations before each temperature reduction. Finally, notice is
% is also given upon achieveing the termination criteria.
% 2 - Each new step length (VM), the current optimal X (XOPT) and the current trial X (X). This
% gives the user some idea about how far X strays from XOPT as well as how VM is adapting
% to the function.
% 3 - Each function evaluation, its acceptance or rejection and new optima. For many problems,
% this option will likely require a small tree if hard copy is used. This option is best
% used to learn about the algorithm. A small value for optim.MaxIter is thus recommended when
% using optim.verbosity = 3.
% optim.initial_temperature initial temperature. See Goffe et al. for advice.
% optim.initial_step_length (VM) step length vector. On input it should encompass the
% region of interest given the starting value X. For point
% X(I), the next trial point is selected is from X(I) - VM(I)
% to X(I) + VM(I). Since VM is adjusted so that about half
% of all points are accepted, the input value is not very
% important (i.e. is the value is off, SA adjusts VM to the
% correct value)
%
% lb - The lower bound for the allowable solution variables.
% ub - The upper bound for the allowable solution variables.
% If the algorithm chooses X(I) < LB(I) or X(I) > UB(I),
% I = 1, N, a point is from inside is randomly selected.
% This focuses the algorithm on the region inside UB and LB.
% Unless the user wishes to concentrate the search to a par-
% ticular region, UB and LB should be set to very large positive
% and negative values, respectively. Note that the starting
% vector X should be inside this region. Also note that LB and
% UB are fixed in position, while VM is centered on the last
% accepted trial set of variables that optimizes the function.
%
%
% Input/Output Parameters:
%
% Output Parameters:
% xopt - The variables that optimize the function. (N)
% fopt - The optimal value of the function.
% exitflag - The error return number.
% Values: 0 - Normal return termination criteria achieved.
% 1 - Number of function evaluations (NFCNEV) is
% greater than the maximum number (optim.MaxIter).
% 2 - The starting value (X) is not inside the
% bounds (LB and UB).
% 3 - The initial temperature is not positive.
% 99 - Should not be seen only used internally.
% n_accepted_draws - The number of accepted function evaluations.
% n_total_draws - The total number of function evaluations. In a minor
% point, note that the first evaluation is not used in the
% core of the algorithm it simply initializes the
% algorithm.
% n_out_of_bounds_draws - The total number of trial function evaluations that
% would have been out of bounds of LB and UB. Note that
% a trial point is randomly selected between LB and UB.
% t: On output, the final temperature.
% vm: Final step length vector
%
% Algorithm:
% This routine implements the continuous simulated annealing global
% optimization algorithm described in Corana et al.'s article
% "Minimizing Multimodal Functions of Continuous Variables with the
% "Simulated Annealing" Algorithm" in the September 1987 (vol. 13,
% no. 3, pp. 262-280) issue of the ACM Transactions on Mathematical
% Software.
%
% For modifications to the algorithm and many details on its use,
% (particularly for econometric applications) see Goffe, Ferrier
% and Rogers, "Global Optimization of Statistical Functions with
% Simulated Annealing," Journal of Econometrics, vol. 60, no. 1/2,
% Jan./Feb. 1994, pp. 65-100.
%
% Based on the Matlab code written by Thomas Werner (Bundesbank December
% 2002), which in turn is based on the GAUSS version of Bill Goffe's simulated annealing
% program for global optimization, written by E.G.Tsionas (9/4/95).
%
% Copyright (C) 1995 E.G.Tsionas
% Copyright (C) 1995-2002 Thomas Werner
% Copyright (C) 2002-2015 Giovanni Lombardo
% Copyright (C) 2015-2017 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
c=optim.step_length_c;
t=optim.initial_temperature;
vm=optim.initial_step_length;
n=size(x,1);
xp=zeros(n,1);
%* Set initial values.*
n_accepted_draws=0;
n_out_of_bounds_draws=0;
n_total_draws=0;
exitflag=99;
xopt=x;
nacp=zeros(n,1);
fstar=1e20*ones(optim.neps,1);
%* If the initial temperature is not positive, notify the user and abort. *
if(t<=0.0)
fprintf('\nThe initial temperature is not positive. Reset the variable t\n');
exitflag=3;
return
end
%* If the initial value is out of bounds, notify the user and abort. *
if(sum(x>ub)+sum(x<lb)>0)
fprintf('\nInitial condition out of bounds\n');
exitflag=2;
return
end
%* Evaluate the function with input x and return value as f. *
f=feval(fcn,x,varargin{:});
%*
% If the function is to be minimized, switch the sign of the function.
% Note that all intermediate and final output switches the sign back
% to eliminate any possible confusion for the user.
%*
if(optim.maximizer_indicator==0)
f=-f;
end
n_total_draws=n_total_draws+1;
fopt=f;
fstar(1)=f;
if(optim.verbosity >1)
disp ' ';
disp(['initial x ' num2str(x(:)')]);
if(optim.maximizer_indicator)
disp(['initial f ' num2str(f)]);
else
disp(['initial f ' num2str(-f)]);
end
end
% Start the main loop. Note that it terminates if (i) the algorithm
% succesfully optimizes the function or (ii) there are too many
% function evaluations (more than optim.MaxIter).
while (1>0)
nup=0;
nrej=0;
nnew=0;
ndown=0;
lnobds=0;
m=1;
while m<=optim.nt
j=1;
while j<=optim.ns
h=1;
while h<=n
%* Generate xp, the trial value of x. Note use of vm to choose xp. *
i=1;
while i<=n
if(i==h)
xp(i)=x(i)+(rand(1,1)*2.0-1.0)*vm(i);
else
xp(i)=x(i);
end
%* If xp is out of bounds, select a point in bounds for the trial. *
if((xp(i)<lb(i) || xp(i)>ub(i)))
xp(i)=lb(i)+(ub(i)-lb(i))*rand(1,1);
lnobds=lnobds+1;
n_out_of_bounds_draws=n_out_of_bounds_draws+1;
if(optim.verbosity >=3)
if exist('fp','var')
print_current_invalid_try(optim.maximizer_indicator,xp,x,fp,f);
end
end
end
i=i+1;
end
%* Evaluate the function with the trial point xp and return as fp. *
% fp=feval(fcn,xp,listarg);
fp=feval(fcn,xp,varargin{:});
if(optim.maximizer_indicator==0)
fp=-fp;
end
n_total_draws=n_total_draws+1;
if(optim.verbosity >=3)
print_current_valid_try(optim.maximizer_indicator,xp,x,fp,f);
end
%* If too many function evaluations occur, terminate the algorithm. *
if(n_total_draws>=optim.MaxIter)
fprintf('Too many function evaluations; consider\n');
fprintf('increasing optim.MaxIter or optim.TolFun or decreasing\n');
fprintf('optim.nt or optim.rt. These results are likely to be poor\n');
if(optim.maximizer_indicator==0)
fopt=-fopt;
end
exitflag=1;
return
end
%* Accept the new point if the function value increases. *
if(fp>=f)
if(optim.verbosity >=3)
fprintf('point accepted\n');
end
x=xp;
f=fp;
n_accepted_draws=n_accepted_draws+1;
nacp(h)=nacp(h)+1;
nup=nup+1;
%* If greater than any other point, record as new optimum. *
if(fp>fopt)
if(optim.verbosity >=3)
fprintf('new optimum\n');
end
xopt=xp;
fopt=fp;
nnew=nnew+1;
end
%*
% If the point is lower, use the Metropolis criteria to decide on
% acceptance or rejection.
%*
else
p=exp((fp-f)/t);
pp=rand(1,1);
if(pp<p)
if(optim.verbosity >=3)
if(optim.maximizer_indicator)
fprintf('though lower, point accepted\n');
else
fprintf('though higher, point accepted\n');
end
end
x=xp;
f=fp;
n_accepted_draws=n_accepted_draws+1;
nacp(h)=nacp(h)+1;
ndown=ndown+1;
else
nrej=nrej+1;
if(optim.verbosity >=3)
if(optim.maximizer_indicator)
fprintf('lower point rejected\n');
else
fprintf('higher point rejected\n');
end
end
end
end
h=h+1;
end
j=j+1;
end
%* Adjust vm so that approximately half of all evaluations are accepted. *
i=1;
while i<=n
ratio=nacp(i)/optim.ns;
if(ratio>.6)
vm(i)=vm(i)*(1.+c(i)*(ratio-.6)/.4);
elseif(ratio<.4)
vm(i)=vm(i)/(1.+c(i)*((.4-ratio)/.4));
end
if(vm(i)>(ub(i)-lb(i)))
vm(i)=ub(i)-lb(i);
end
i=i+1;
end
if(optim.verbosity >=2)
fprintf('intermediate results after step length adjustment\n');
fprintf('new step length(vm) %4.3f', vm(:)');
fprintf('current optimal x %4.3f', xopt(:)');
fprintf('current x %4.3f', x(:)');
end
nacp=zeros(n,1);
m=m+1;
end
if(optim.verbosity >=1)
print_intermediate_statistics(optim.maximizer_indicator,t,xopt,vm,fopt,nup,ndown,nrej,lnobds,nnew);
end
%* Check termination criteria. *
quit=0;
fstar(1)=f;
if((fopt-fstar(1))<=optim.TolFun)
quit=1;
end
if(sum(abs(f-fstar)>optim.TolFun)>0)
quit=0;
end
%* Terminate SA if appropriate. *
if(quit)
exitflag=0;
if(optim.maximizer_indicator==0)
fopt=-fopt;
end
if(optim.verbosity >=1)
fprintf('SA achieved termination criteria.exitflag=0\n');
end
return
end
%* If termination criteria are not met, prepare for another loop. *
t=optim.rt*t;
i=optim.neps;
while i>=2
fstar(i)=fstar(i-1);
i=i-1;
end
f=fopt;
x=xopt;
%* Loop again. *
end
end
function print_current_invalid_try(max,xp,x,fp,f)
fprintf('\n');
disp(['Current x ' num2str(x(:)')]);
if(max)
disp(['Current f ' num2str(f)]);
else
disp(['Current f ' num2str(-f)]);
end
disp(['Trial x ' num2str(xp(:)')]);
disp 'Point rejected since out of bounds';
end
function print_current_valid_try(max,xp,x,fp,f)
disp(['Current x ' num2str(x(:)')]);
if(max)
disp(['Current f ' num2str(f)]);
disp(['Trial x ' num2str(xp(:)')]);
disp(['Resulting f ' num2str(fp)]);
else
disp(['Current f ' num2str(-f)]);
disp(['Trial x ' num2str(xp(:)')]);
disp(['Resulting f ' num2str(-fp)]);
end
end
function print_intermediate_statistics(max,t,xopt,vm,fopt,nup,ndown,nrej,lnobds,nnew)
totmov=nup+ndown+nrej;
fprintf('\nIntermediate results before next temperature reduction\n');
disp(['current temperature ' num2str(t)]);
if(max)
disp(['Max function value so far ' num2str(fopt)]);
disp(['Total moves ' num2str(totmov)]);
disp(['Uphill ' num2str(nup)]);
disp(['Accepted downhill ' num2str(ndown)]);
disp(['Rejected downhill ' num2str(nrej)]);
disp(['Out of bounds trials ' num2str(lnobds)]);
disp(['New maxima this temperature ' num2str(nnew)]);
else
disp(['Min function value so far ' num2str(-fopt)]);
disp(['Total moves ' num2str(totmov)]);
disp(['Downhill ' num2str(nup)]);
disp(['Accepted uphill ' num2str(ndown)]);
disp(['Rejected uphill ' num2str(nrej)]);
disp(['Trials out of bounds ' num2str(lnobds)]);
disp(['New minima this temperature ' num2str(nnew)]);
end
xopt1=xopt(1:round(length(xopt)/2));
xopt2=xopt(round(length(xopt)/2)+1:end);
disp(['Current optimal x1 ' num2str(xopt1')]);
disp(['Current optimal x2 ' num2str(xopt2')]);
disp(['Strength(vm) ' num2str(vm')]);
fprintf('\n');
end
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