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# This code is public domain
# Author: Paul Kienzle
## Differential Evolution Solver Class
## Based on algorithms developed by Dr. Rainer Storn & Kenneth Price
## Influenced by
## Lester E. Godwin (godwin@pushcopr.com) 1998: C++ version
## James R. Phillips (zunzun@zunzun.com) 2002: Python conversion
## Patrick Hung 2006: cleanup
## Mike McKerns (mmckerns@caltech.edu) 2008: parallel version, bounds
## Paul Kienzle 2009: rewrite
"""
Differential evolution optimizer.
This module contains a collection of optimization routines based on
Storn and Price's differential evolution algorithm.
Minimal function interface to optimization routines::
x = diffev(f,xo)
Stepping interface::
DifferentialEvolution
References
==========
[1] Storn, R. and Price, K. Differential Evolution - A Simple and Efficient
Heuristic for Global Optimization over Continuous Spaces. Journal of Global
Optimization 11: 341-359, 1997.
[2] Price, K., Storn, R., and Lampinen, J. - Differential Evolution,
A Practical Approach to Global Optimization. Springer, 1st Edition, 2005
"""
# Symbols required for simple interface
__all__ = ['de','stop']
import numpy as np
from .. import stop
from .. import solver
CROSSOVER = 'c_exp','c_bin'
MUTATE = 'best1','best1u','best2','randtobest1','rand1','rand2'
#############################################################################
# Code below are the different crossovers/mutation strategies
#############################################################################
def c_exp(ndim, CR):
"""
Select a sequence of dimensions.
The length of the sequence follows the geometric distribution for 1-CR.
This is equivalent to flipping the first heads after n flips with
a weighted coin.
The sequence starts at a random position and wraps if necessary.
"""
# Note: this is different from Patrick Hung's version in that it forces
# at least one success.
L = min(abs(np.random.geometric(1-CR)),ndim)
idx = np.zeros(ndim,'bool')
n = np.random.randint(ndim)
idx[np.arange(n,n+L)%ndim] = True
return idx
def c_bin(ndim, CR):
"""
Select random dimensions.
The probability of selecting any dimension is CR. At least one dimension
will be selected.
"""
n = np.random.randint(ndim)
idx = np.random.rand(ndim) < CR
idx[n] = True
return idx
def best1(F, best, pop, idx, dims):
"""
Differential evolution mutation T = best + F*(r1-r2)
"""
r1,r2 = _candidates(pop, 2, exclude=idx)
return best[dims] + F*(r1[dims]-r2[dims])
def best1u(F, best, pop, idx, dims):
"""
Differential evolution mutation T = best + U*(r1-r2), U ~ Uniform[0,F]
"""
r1,r2 = _candidates(pop,2,exclude=idx)
return best[dims] + F*np.random.rand()*(r1[dims]-r2[dims])
def best2(F, best, pop, idx, dims):
"""
Differential evolution mutation T = best + F*(r1+r2-r3-r4)
"""
r1,r2,r3,r4 = _candidates(pop, 4, exclude=idx)
return best[dims] + F*(r1[dims]+r2[dims]-r3[dims]-r4[dims])
def randtobest1(F, best, pop, idx, dims):
"""
Differential evolution mutation T = F*(best-old + r1-r2)
"""
r1,r2 = _candidates(pop,2,exclude=idx)
return F*(best[dims]-pop[idx][dims] + r1[dims]-r2[dims])
def rand1(F, best, pop, idx, dims):
"""
Differential evolution mutation T = r0 + F*(r1-r2)
"""
r0,r1,r2 = _candidates(pop, 3, exclude=idx)
return r0[dims] + F*(r1[dims]-r2[dims])
def rand1u(F, best, pop, idx, dims):
"""
Differential evolution mutation T = r0 + U*(r1-r2), U ~ Uniform[0,F]
"""
r0,r1,r2 = _candidates(pop, 3, exclude=idx)
return r0[dims] + F*np.random.rand()*(r1[dims]-r2[dims])
def rand2(F, best, pop, idx, dims):
"""
Differential evolution mutation T = r0 + F*(r1+r2-r3-r4)
"""
r0,r1,r2,r3,r4 = _candidates(pop, 5, exclude=idx)
return r0[dims] + F*(r1[dims]+r2[dims]-r3[dims]-r4[dims])
############################################################
def _candidates(pop, k, exclude=None):
"""
Select *n* random candidates from *pop*, not including the
candidate at index *exclude*.
"""
n = len(pop)
if exclude is not None:
selection = np.arange(n-1, dtype='i')
if exclude < n-1:
selection[exclude] = n-1
else:
selection = np.arange(n, dtype='i')
np.random.shuffle(selection)
return pop[selection[:k]]
##########################################################################
class DifferentialEvolution(solver.Strategy):
"""
Differential evolution optimization.
*CR* float in [0-1]
Crossover rate.
*F* float in (0,inf)
Crossover step size.
*npop* float
The size of the population is npop times the number of dimensions
in the problem.
*crossover* func(ndim, CR) -> index vector
Crossover selection. Returns the index vector of dimensions which
should be mutated.
*mutate* fn(F, best, pop, idx, dims) -> new[dims]
Mutation strategy. Selects the crossover population members and
returns the mutated portion of the trial point in the new population.
*F* is the scale factor, *best* is the best point seen so far, *pop*
is the current population, *idx* is the vector being updated and
*dims* is the set of dimensions to update.
Available crossover functions (block is default)::
c_exp: start at dimension n and continue until U[0,1] >= CR
c_bin: select dimension i if U[0,1] >= CR
Available mutation functions (best1u is default)::
best1u: T = best + U(F)*(r1-r2), U(F) ~ Uniform in [0,F]
best1: T = best + F*(r1-r2)
best2: T = best + F*(r1+r2-r3-r4)
randtobest1: T = F*(best-old) + F*(r1-r2)
rand1: T = r0 + F*(r1-r2)
rand2: T = r0 + F*(r1+r2-r3-r4)
"""
requires = [('mystic','0.9')]
def __init__(self, CR=0.5, F=2.0, npop=3,
crossover=c_exp, mutate=best1u):
self.crossover = crossover
self.mutate = mutate
self.CR, self.F = CR, F
self.npop = npop
def default_termination_conditions(self, problem):
success = stop.Cf(tol=1e-7,scaled=False)
#maxiter = 100
maxiter = len(problem.getp())*200
#maxfun = self.npop*maxiter
failure = stop.Steps(maxiter)
return success,failure
def config_history(self, history):
"""
Indicates how much history is required.
"""
history.requires(value=1, population_points=2, population_values=2)
def start(self, problem):
"""
Generate the initial population.
Returns a matrix *P* of points to be evaluated.
"""
# Generate a random population
current = problem.getp()
ndim = len(current)
population = problem.randomize(int(self.npop * ndim))
population[0] = current
# Return the population
return population
def step(self, history):
"""
Generate the next population.
Returns a matrix *P* of points to be evaluated.
*history* contains the previous history of the computation,
including any fields placed by :meth:`update`.
"""
best = history.point[0]
pop = history.population_points[0]
pop_size,ndim = pop.shape
trial = pop.copy()
for idx,vec in enumerate(trial):
dims = self.crossover(ndim, self.CR)
vec[dims] = self.mutate(self.F, best, pop, idx, dims)
return trial
def update(self, history):
"""
Update population, keeping old points that are better than
the trial points.
"""
#print "result",history.step[0]
#for i,v in enumerate(history.population_values[0]):
# print history.population_points[0][i],'=',v
if len(history.population_points) > 1:
oldpop = history.population_points[1]
oldval = history.population_values[1]
newpop = history.population_points[0]
newval = history.population_values[0]
worse = newval > oldval
newpop[worse] = oldpop[worse]
newval[worse] = oldval[worse]
#minimizer_function(strategy=DifferentialEvolution,
# success=stop.Df(1e-5,n=10),
# failure=stop.Steps(100))
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