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# This program is in the public domain
# Author: Paul Kienzle
"""
Termination conditions for solvers.
In order to decide when to stop fitting, the user needs to specify
stop conditions based on the optimizer history. The test can use
the most recent value, the last n values or the entire computation.
See :mod:`monitor` for details.
Conditions can be composed, creating complicated criterion for
termination. We may want to stop when we have found a minimum
and know its location. We may be content just knowing the
minimum, and not worrying about the uncertainty in its location.
For some searches we want to be sure we that we are examining a
broad range of search space. Here are some examples::
import mystic.termination as stop
# Stop when we know the location of the minimum; fail if run too long
success = stop.Dx(0.001) & stop.Df(5)
failure = stop.Steps(100)
# Stop when we know the value of the minimum; fail if run too long
success = stop.Dx(0.001) | stop.Df(5)
failure = stop.Steps(100)
# GA may want to run for a while, but only with a diverse population
success = stop.Df(0.001,n=5) & stop.Steps(15)
failure = stop.Steps(100) | stop.Dx(0.001)
When testing a conditional expression, a list of all conditions which
match is returned, or [] if no conditions match.
Predefined Conditions
---------------------
Dx: difference in x for step size test
|| (x_k - x_{k-1})/scale || < tolerance
Df: difference in f for improvement rate test
| (f_k - f_{k-1})/scale | < tolerance
Rx: range in x for population distribution test
max || (y - <y>)/ scale || < tolerance
for y in population
Rf: range in f for value distribution test
(max f(y) - min f(y))/scale < tolerance
for y in population
Cx: constant x for target point
||(x_k - Z)/scale|| < tolerance
Cf: constant f for target value
|f_k - A|/scale < tolerance
Steps: specific number of iterations
k >= steps
Calls: specific number of function calls
n >= calls
Time: wall clock time
t_k >= time
CPU: CPU time
t(CPU)_k >= time
Worse: fit is diverging
(f_k - f_{k-1})/scale < -tolerance
Grad: fit is flat
|| del f_k || < tolerance
Feasible: value is in the feasible region ** Not implemented **
f_k satisfies soft constraints
Invalid: values are not well defined ** Not implemented **
isinf(y) or isinf(f(y)) or isnan(y) or isnan(f(y))
for y in population
Distances and scaling
=====================
The following distance functions are predefined:
norm_p(p): (sum |x_i|^p )^(1/p) (generalized p-norm)
norm_1: sum |x_i| (Manahattan distance)
norm_2: sqrt sum |x_i|^2 (Euclidian distance)
norm_inf: max |x_i| (Chebychev distance)
norm_min: min |x_i| (not a true norm)
The predefined scale factors in essence test for
percentage changes rather than absolute changes.
"""
import math
import numpy as np
from numpy import inf, isinf
from .condition import Condition
# ==== Norms ====
def norm_1(x):
"""1-norm: sum(|x_i|)"""
return np.sum(abs(x))
def norm_2(x):
"""2-norm: sqrt(sum(|x_i|^2))"""
return math.sqrt(np.sum(abs(x)**2))
def norm_inf(x):
"""inf-norm: max(|x_i|)"""
return max(abs(x))
def norm_min(x):
"""min-norm: min(|x_i|); this is not a true norm"""
return min(abs(x))
def norm_p(p):
"""p-norm: sum(|x_i|^p)^(1/p)"""
if isinf(p):
if p < 0:
return norm_min
else:
return norm_inf
elif p == 1:
return norm_1
elif p == 2:
return norm_2
else:
return lambda x: np.sum(abs(x)**p)**(1/p)
# ==== Conditions ====
class Dx(Condition):
"""
Improvement in x.
This condition measures the improvement over the last n iterations
in terms of how much the value of x has changed::
norm((x[k]- x[k-n])/scale) < tol
where x[k] is the best parameter set for iteration step k.
The scale factor to use if scaled is upper bound - lower bound
if the parameter is bounded, or 1/2 (|x[k]| + |x[k-n]|)
if the parameter is unbounded, with protection against a scale
factor of zero.
Parameters::
*tol* (float = 0.001)
tolerance to test against
*norm* ( f(vector): float = norm_2)
norm to use to measure the size of x. Predefined norms
include norm_1, norm_2, norm_info, norm_min and norm_p(p)
*n* (int = 1)
number of steps back in history to compare
*scaled* (boolean = True)
whether to use raw or scaled differences in the norm
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, tol=0.001, norm=norm_2, n=1, scaled=True):
self.tol = tol
self.norm = norm
self.n = n
self.scaled = scaled
def _scaled_condition(self, history):
x1,x2 = history.point[0], history.point[self.n]
scale = history.upper_bound - history.lower_bound
scale[isinf(scale)] = ((abs(x1)+abs(x2))/2)[isinf(scale)]
scale[scale == 0] = 1
return self.norm((x2-x1)/scale)
def _raw_condition(self, history):
x1,x2 = history.point[0], history.point[self.n]
return self.norm(x2-x1)
def config_history(self, history):
"""
Needs the previous n points from history.
"""
if self.tol > 0:
history.requires(point=self.n+1)
def _subcall(self, history):
"""
Returns True if the tolerance is met.
"""
if self.tol == 0 or len(history.point) < self.n+1:
return False # Cannot succeed until at least n generations
elif self.scaled:
return self._scaled_condition(history)
else:
return self._raw_condition(history)
def __call__(self, history):
return self._subcall(history) < self.tol
def completeness(self, history):
return self._subcall(history)/self.tol
def __str__(self):
if self.scaled:
return "||(x[k] - x[k-%d])/range|| < %g"%(self.n,self.tol)
else:
return "||x[k] - x[k-%d]|| < %g"%(self.n,self.tol)
class Df(Condition):
"""
Improvement in F(x)
This condition measures the improvement over the last n iterations
in terms of how much the value of the function has changed::
| (F[k] - F[k-1])/scale | < tol
where F[k] is the value for the best parameter set for iteration step k.
The scale factor to use is 1/2 (|F(k)| + |F(k-n)|) with protection
against zero.
Parameters::
*tol* (float = 0.001)
tolerance to test against
*n* (int = 1)
number of steps back in history to compare
*scaled* (boolean = True)
whether to use raw or scaled differences in the norm
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, tol=0.001, n=1, scaled=True):
self.tol = tol
self.n = n
self.scaled = scaled
def _scaled_condition(self, history):
f1,f2 = history.value[0], history.value[self.n]
scale = (abs(f1)+abs(f2))/2
if scale == 0: scale = 1
#print "Df",f1,f2,abs(float(f2-f1)/scale),self.tol
return abs(float(f2-f1)/scale)
def _raw_condition(self, history):
f1,f2 = history.value[0], history.value[self.n]
return abs(f2-f1)
def config_history(self, history):
"""
Needs the previous n points from history.
"""
if self.tol > 0:
history.requires(value=self.n+1)
def __call__(self, history):
"""
Returns True if the tolerance is met.
"""
if self.tol == 0 or len(history.value) < self.n+1:
return False # Cannot succeed until at least n generations
elif self.scaled:
return self._scaled_condition(history) < self.tol
else:
return self._raw_condition(history) < self.tol
def __str__(self):
if self.scaled:
return "|F[k]-F[k-%d]| / (|F[k]|+|F[k-%d]|)/2 < %g" % (
self.n,self.n,self.tol)
else:
return "|F[k]-F[k-%d]| < %g" % (self.n,self.tol)
class Worse(Condition):
"""
Worsening of F(x)
This condition measures whether the fit is diverging. You may want
to use this for non-greedy optimizers which can get worse over time::
(F[k] - F[k-1])/scale < -tol
where F[k] is the value for the best parameter set for iteration step k.
The scale factor to use is 1/2 (|F(k)| + |F(k-n)|) with protection
against zero.
Parameters::
*tol* (float = 0)
tolerance to test against
*n* (int = 1)
number of steps back in history to compare
*scaled* (boolean = True)
whether to use raw or scaled differences in the norm
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, tol=0, n=1, scaled=True):
self.tol = tol
self.n = n
self.scaled = scaled
def _scaled_condition(self, history):
f1,f2 = history.value[0], history.value[self.n]
scale = (abs(f1)+abs(f2))/2
if scale == 0: scale = 1
return float(f2-f1)/scale
def _raw_condition(self, history):
f1,f2 = history.value[0], history.value[self.n]
return f2-f1
def config_history(self, history):
"""
Needs the previous n points from history.
"""
history.requires(value=self.n+1)
def __call__(self, history):
"""
Returns True if the tolerance is met.
"""
if self.tol == 0 or len(history.value) < self.n+1:
return False # Cannot succeed until at least n generations
elif self.scaled:
return self._scaled_condition(history) < -self.tol
else:
return self._raw_condition(history) < -self.tol
def __str__(self):
if self.scaled:
return "F[k]-F[k-%d] / (|F[k]|+|F[k-%d]|)/2 < -%g" % (
self.n,self.n,self.tol)
else:
return "F[k]-F[k-%d] < -%g" % (self.n,self.tol)
class Grad:
"""
Flat function value
This condition measures whether the fit surface is flat near the best
value. This only works for fits which compute the gradient.
|| del F[k]/scale || < tol
where F[k] is the value for the best parameter set for iteration step k.
The scale factor to use is |F(k)| with protection against zero.
Parameters::
*tol* (float = 0.001)
tolerance to test against
*norm* ( f(vector): float = norm_2)
norm to use to measure the size of x. Predefined norms
include norm_1, norm_2, norm_info, norm_min and norm_p(p)
*scaled* (boolean = True)
whether to use raw or scaled differences in the norm
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, tol=0.001, norm=norm_2, scaled=True):
self.tol = tol
self.norm = norm
self.scaled = scaled
def _scaled_condition(self, history):
df = history.gradient[0]
f = history.value[0]
scale = abs(f)
if scale == 0: scale = 1
return self.norm(df/float(scale))
def _raw_condition(self, history):
df = history.gradient[0]
return self.norm(df)
def config_history(self, history):
"""
Needs the previous n points from history.
"""
if self.tol > 0:
history.requires(gradient=1, value=1)
def __call__(self, history):
"""
Returns True if the tolerance is met.
"""
if self.tol == 0 or len(history.gradient) < 1:
return False # Cannot succeed until at least n generations
elif self.scaled:
return self._scaled_condition(history) < self.tol
else:
return self._raw_condition(history) < self.tol
def __str__(self):
if self.scaled:
return "|| del F[k]/F[k] || < %g" % (self.tol)
else:
return "|| del F[k] || < %g" % (self.tol)
class r_best:
"""
Measure of population radius based on distance from the best.
max ||(y - x[k])/scale|| for y in population
scipy.optimize.fmin uses r_best(norm_inf) as its measure of radius.
"""
def __init__(self, norm):
self.norm = norm
def __call__(self, population, best, scale):
P = np.asarray(population)
r = max(self.norm(p - best)/scale for p in P)
return r
class r_centroid:
"""
Measure of population radius based on distance from the centroid.
max ||(y - <y>)/scale|| for y in population
"""
def __init__(self, norm):
self.norm = norm
def __call__(self, population, best, scale):
P = np.asarray(population)
c_i = np.mean(P,axis=0)
r = max(self.norm(p - c_i)/scale for p in P)
return r
def r_boundingbox(population, best, scale):
"""
Measure of population radius based on the volume of the bounding box.
(product (max(y_i) - min(y_i))/scale)**1/k for i in dimensions-k
"""
P = np.asarray(population)
lo = max(P,index=0)
hi = max(P,index=0)
r = np.prod((hi-lo)/scale)**(1/len(hi))
return r
class r_hull:
"""
Measure of population radius based on maximum diameter in convex hull.
1/2 max || (y1 - y2)/scale || for y1,y2 in population
"""
def __init__(self, norm):
self.norm = norm
def __call__(self, population, best, scale):
r = 0
for i,y1 in enumerate(population):
for y2 in population[i+1:]:
d = self.norm(y2-y1)/scale
if d > r: r = d
return r/2
class Rx(Condition):
"""
Domain size
This condition measures the size of the population domain. Some
algorithms are done when the domain size shrinks while others have
failed if the domain size shrinks.
There are a number of ways of measuring the domain size::
r_best(norm) : radius from best point
max ||(y - x[k])/scale|| for y in population
r_centroid(norm) : radius from centroid
max ||(y - <y>)/scale|| for y in population
r_boundingbox : radius from bounding box
(product (max(y_i) - min(y_i))/scale)**1/k for i in dimensions-k
r_hull(norm) : radius from convex hull
1/2 max || (y1 - y2)/scale || for y1,y2 in population
scale is determined from the fit bounds (max-min) or the
values sum(|y_i|)/n, with protection against zero values.
Parameters::
*tol* (float = 0.001)
tolerance to test against
*radius* (function(history,best,scale): float = r_centroid(norm_2))
measure of domain size
*scaled* (boolean = True)
whether to use raw or scaled differences in the norm
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, tol=0, radius=r_centroid(norm_2), scaled=False):
self.tol = tol
self.radius = radius
self.scaled = scaled
def _scaled_condition(self, history):
P = np.asarray(history.population_points[0])
scale = history.upper_bound - history.lower_bound
idx = isinf(scale)
if any(idx):
range = np.sum(abs(P),axis=0)/P.shape[0]
scale[idx] = range[idx]
scale[scale == 0] = 1
r = self.radius(P, history.point[0], scale)
#print "Rx=%g, scale=%g"%(r,scale)
return r
def _raw_condition(self, history):
P = np.asarray(history.population_points[0])
r = self.radius(P, history.point[0], scale=1.)
#print "Rx=%g"%r
return r
def config_history(self, history):
"""
Needs the previous n points from history.
"""
if self.tol > 0:
history.requires(population_points=1,point=1)
def __call__(self, history):
"""
Returns True if the tolerance is met.
"""
if self.tol == 0 or len(history.population_points) < 1:
return False
elif self.scaled:
return self._scaled_condition(history) < self.tol
else:
return self._raw_condition(history) < self.tol
def __str__(self):
if self.scaled:
return "radius(population/scale) < %g" % (self.tol)
else:
return "radius(population) < %g" % (self.tol)
class Rf(Condition):
"""
Range size
This condition measures the size of the population range::
(max f(y) - min f(y))/scale < tol
for y in the current population
scale is mean(|f(y)|)
Parameters::
*tol* (float = 0.001)
tolerance to test against
*scaled* (boolean = True)
whether to use raw or scaled differences in the norm
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, tol=0, scaled=True):
self.tol = tol
self.scaled = scaled
def _scaled_condition(self, history):
Pf = np.asarray(history.population_values)
scale = np.mean(abs(Pf))
if scale == 0: scale = 1
r = float(np.max(Pf) - np.min(Pf))/scale
#print "Rf = %g, scale=%g"%(r,scale)
return r
def _raw_condition(self, history):
P = np.asarray(history.population_values)
r = np.max(P) - np.min(P)
#print "Rf = %g"%r
return r
def config_history(self, history):
"""
Needs the previous n points from history.
"""
if self.tol > 0:
history.requires(population_values=1)
def __call__(self, history):
"""
Returns True if the tolerance is met.
"""
if self.tol == 0 or len(history.population_values) < 1:
return False
elif self.scaled:
return self._scaled_condition(history) < self.tol
else:
return self._raw_condition(history) < self.tol
def __str__(self):
if self.scaled:
return "(max(F(p)) - min(F(p))/mean(|F(p)|) < %g" % (self.tol)
else:
return "max(F(p)) - min(F(p)) < %g" % (self.tol)
class Cx(Condition):
"""
Target point
This condition measures the distance from the best point
to some target point::
||(x_k - Z)/scale|| < tol
scale is fit range if given, |Z_i|, or 1 if Z_i=0
Paramaters::
*tol* (float = 0.001)
tolerance to test against
*point* (array = 0)
target point
*norm* ( f(vector): float = norm_2)
norm to use to measure the size of x. Predefined norms
include norm_1, norm_2, norm_info, norm_min and norm_p(p)
*scaled* (boolean = True)
whether to use raw or scaled differences in the norm
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, tol=0.001, point=0, norm=norm_2, scaled=True):
self.tol = tol
self.point = point
self.norm = norm_2
self.scaled = scaled
def _scaled_condition(self, history):
x = history.point[0]
scale = history.upper_bound - history.lower_bound
scale[isinf(scale)] = abs(self.point)[isinf(scale)]
scale[scale == 0] = 1
return self.norm((x - self.point)/scale)
def _raw_condition(self, history):
x = history.point[0]
return self.norm(x - self.point)
def config_history(self, history):
"""
Needs the previous point from history.
"""
if self.tol > 0:
history.requires(point=1)
def __call__(self, history):
"""
Returns True if the tolerance is met.
"""
if self.tol == 0 or len(history.point) < 1:
return False
elif self.scaled:
return self._scaled_condition(history) < self.tol
else:
return self._raw_condition(history) < self.tol
def __str__(self):
if self.scaled:
return "||(x[k] - Z)/range|| < %g"%(self.tol)
else:
return "||x[k] - Z|| < %g"%(self.tol)
class Cf(Condition):
"""
Target value
This condition measures the distance from the best value
to some target value::
|(f_k - A)/scale| < tol
scale is |A| or 1 if A=0
Paramaters::
*tol* (float = 0.001)
tolerance to test against
*value* (float = 0)
target value
*scaled* (boolean = True)
whether to use raw or scaled differences in the norm
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, tol=0.001, value=0, scaled=True):
self.tol = tol
self.value = value
if value == 0: scaled = False
self.scaled = scaled
def _scaled_condition(self, history):
value = history.value[0]
return abs(float(value - self.value)/self.value)
def _raw_condition(self, history):
value = history.value[0]
return abs(value - self.value)
def config_history(self, history):
"""
Needs the previous point from history.
"""
if self.tol > 0:
history.requires(value=1)
def __call__(self, history):
"""
Returns True if the tolerance is met.
"""
if self.tol == 0 or len(history.value) < 1:
return False
elif self.scaled:
return self._scaled_condition(history) < self.tol
else:
return self._raw_condition(history) < self.tol
def __str__(self):
if self.scaled:
return "|(F[k] - A)/A| < %g"%(self.tol)
else:
return "|F[k] - A| < %g"%(self.tol)
class Steps(Condition):
"""
Specific number of iterations
This condition test the number of iterations of a fit::
k >= steps
Parameters::
*steps* int (1000)
total number of steps
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, steps=np.inf):
self.steps = steps
def __call__(self, history):
if len(history.step) < 1: return False
return history.step[0] >= self.steps
def config_history(self, history):
history.requires(step=1)
def __str__(self):
return "steps >= %d"%self.steps
class Calls(Condition):
"""
Specific number of function calls
This condition tests the number of function evaluations::
n_k >= calls
Parameters::
*calls* int (inf)
total number of function calls
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, calls=np.inf):
self.calls = calls
def __call__(self, history):
if len(history.calls) < 1: return False
return history.calls[0] >= self.calls
def config_history(self, history):
history.requires(calls=1)
def __str__(self):
return "calls >= %d"%self.calls
class Time(Condition):
"""
Wall clock time.
This condition tests wall clock time::
t_k >= time
Parameters::
*time* float (inf)
Time since start of job in seconds
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, time=inf):
self.time = time
def __call__(self, history):
if len(history.time) < 1: return False
return history.time[0] >= self.time
def config_history(self, history):
history.requires(time=1)
def __str__(self):
return "time >= %g"%self.time
class CPU(Condition):
"""
CPU time.
This condition tests CPU time::
t(CPU)_k >= time
Parameters::
*time* float (inf)
time since start of job in seconds
Returns::
*condition* (f(history) : boolean)
a callable returning true if the condition is met
"""
def __init__(self, time=np.inf):
self.time = time
def __call__(self, history):
if len(history.cpu_time) < 1: return False
return history.cpu_time[0] >= self.time
def config_history(self, history):
history.requires(cpu_time=1)
def __str__(self):
return "cpu_time >= %g"%self.time
"""
class Feasible: value can be used ** Not implemented **
f_k satisfies soft constraints
class Invalid: values are well defined
isinf(y) or isinf(f(y)) or isnan(y) or isnan(f(y))
for y in population
"""
def parse_condition(cond):
import math
from . import stop
return eval(cond, stop.__dict__.copy().update(math.__dict__))
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