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"""
Random Lines Algorithm finds the optimal minimum of a function.
Sahin, I. (2013). Minimization over randomly selected lines. An
International Journal Of Optimization And Control: Theories &
Applications (IJOCTA), 3(2), 111-119.
http://dx.doi.org/10.11121/ijocta.01.2013.00167
"""
# Author : Ismet Sahin
__all__ = ["random_lines", "particle_swarm"]
from itertools import count
from numpy import zeros, ones, asarray, sqrt, arange, isfinite
from numpy.random import rand, random_integers
def print_every_five(step, x, fx, k):
if step % 5 == 0:
print(step, ":", fx[k], x[k])
def random_lines(cfo, NP, CR=0.9, epsilon=1e-10, abort_test=None, maxiter=1000):
"""
Random lines is a population based optimizer which using quadratic
fits along randomly oriented directions.
*cfo* is the cost function object. This is a dictionary which contains
the following keys:
*cost* is the function to be optimized. If *parallel_cost* exists,
it should accept a list of points, not just a single point on each
evaluation.
*n* is the problem dimension
*x0* is the initial point
*x1* and *x2* are lower and upper bounds for each parameter
*monitor* is a callable which is called each iteration using
*callback(step, x, fx, k)*, where *step* is the iteration number,
*x* is the population, *fx* is value of the cost function for each
member of the population and *k* is the index of the best point in
the population.
*f_opt* is the target value of the optimization
*NP* is the number of fit parameters
*CR* is the cross-over ratio, which is the proportion of dimensions
that participate in any random orientation vector.
*epsilon* is the convergence criterion.
*abort_test* is a callable which indicates whether an external processes
requests the fit to stop.
*maxiter* is the maximum number of generations
Returns success, num_evals, f(x_best), x_best.
"""
if "parallel_cost" in cfo:
mapper = lambda v: asarray(cfo["parallel_cost"](v.T), "d")
else:
mapper = lambda v: asarray(list(map(cfo["cost"], v.T)), "d")
monitor = cfo.get("monitor", print_every_five)
n = cfo["n"]
X = rand(n, NP) # will hold original vectors
# CREATE FIRST GENERATION WITH LEGAL PARAMETER VALUES AND EVALUATE COSTS
# m th member of the population
for m in range(0, NP):
X[:, m] = cfo["x1"] + (cfo["x2"] - cfo["x1"]) * X[:, m]
if "x0" in cfo:
X[:, 0] = cfo["x0"]
f = mapper(X)
n_feval = NP
f_best, i_best = min(zip(f, count()))
# CHECK INITIAL STOPPING CRITERIA
if abs(cfo["f_opt"] - f_best) < epsilon:
satisfied_sc = 1
x_best = X[:, i_best]
return satisfied_sc, n_feval, f_best, x_best
for L in range(1, maxiter + 1):
# finding destination vector
i_Xj = random_integers(0, NP - 2, NP)
i_ge = i_Xj >= arange(0, NP)
i_Xj[i_ge] += 1
# choosing muk
muk = 0.01 + 0.49 * rand(NP)
inx = rand(NP) < 0.5
muk[inx] = -muk[inx]
# find xk and fk s
Xi = X
Xj = X[:, i_Xj]
P = Xj - Xi
Xk = Xi + (ones((n, 1)) * muk) * P
fk = mapper(Xk)
n_feval = n_feval + NP
# find quadratic models
if any(muk == 0) or any(muk == 1):
satisfied_sc = 0
x_best = X[:, i_best]
print("muk cannot be zero or one !!!")
return satisfied_sc, n_feval, f_best, x_best
fi = f
fj = f[i_Xj]
b = (muk / (muk - 1)) * fj - ((muk + 1) / muk) * fi - (1 / (muk * (muk - 1))) * fk
a = fj - fi - b
crossovers = []
for k in range(0, NP):
if abs(a[k]) < 1e-30 or (a[k] < 0 and fk[k] > fi[k] and fk[k] > fj[k]) or not isfinite(a[k]):
# xi survives
continue
else:
# xi may not survive
mustar = -b[k] / (2 * a[k])
xstar = Xi[:, k] + mustar * P[:, k]
# choosing random numbers for crossover
rn = rand(n)
indi = rn < 0.5 * (1 - CR)
indj = rn > 0.5 * (1 + CR)
xstar[indi] = Xi[indi, k]
xstar[indj] = Xj[indj, k]
# map into feasible set
inx = xstar < cfo["x1"]
xstar[inx] = cfo["x1"][inx]
inx = xstar > cfo["x2"]
xstar[inx] = cfo["x2"][inx]
crossovers.append((k, xstar))
if len(crossovers) > 0:
idx, xstar = [asarray(v) for v in zip(*crossovers)]
fstar = mapper(xstar.T)
n_feval += len(crossovers)
# xi does not survive, xstar replaces it
update = fstar < fi[idx]
f[idx[update]] = fstar[update]
X[:, idx[update]] = xstar[update, :].T
# CHECKING STOPPING CRITERIA
f_best, i_best = min(zip(f, count()))
if abs(cfo["f_opt"] - f_best) < epsilon:
satisfied_sc = 1
x_best = X[:, i_best]
return satisfied_sc, n_feval, f_best, x_best
if abort_test():
break
monitor(L, X, f, i_best)
return 1, n_feval, f_best, X[:, i_best]
def particle_swarm(cfo, NP, epsilon=1e-10, maxiter=1000):
"""
Particle swarm is a population based optimizer which uses force and
momentum to select candidate points.
*cfo* is the cost function object. This is a dictionary which contains
the following keys:
*cost* is the function to be optimized. If *parallel_cost* exists,
it should accept a list of points, not just a single point on each
evaluation.
*n* is the problem dimension
*x0* is the initial point
*x1* and *x2* are lower and upper bounds for each parameter
*monitor* is a callable which is called each iteration using
*callback(step, x, fx, k)*, where *step* is the iteration number,
*x* is the population, *fx* is value of the cost function for each
member of the population and *k* is the index of the best point in
the population.
*f_opt* is the target value of the optimization
*NP* is the number of fit parameters
*epsilon* is the convergence criterion.
*abort_test* is a callable which indicates whether an external processes
requests the fit to stop.
*maxiter* is the maximum number of generations
Returns success, num_evals, f(x_best), x_best.
"""
if "parallel_cost" in cfo:
mapper = lambda v: asarray(cfo["parallel_cost"](v.T), "d")
else:
mapper = lambda v: asarray(list(map(cfo["cost"], v.T)), "d")
monitor = cfo.get("monitor", print_every_five)
n = cfo["n"]
c1 = 2.8
c2 = 1.3
phi = c1 + c2
K = 2 / abs(2 - phi - sqrt(phi * phi - 4 * phi))
X = rand(n, NP) # will hold original vectors
V = zeros((n, NP))
# CREATE FIRST GENERATION WITH LEGAL PARAMETER VALUES AND EVALUATE COSTS
rn1 = rand(n, NP)
# m th member of the population
for m in range(0, NP):
extend = cfo["x2"] - cfo["x1"]
X[:, m] = cfo["x1"] + extend * X[:, m]
V[:, m] = 2 * rn1[:, m] * extend - extend
if "x0" in cfo:
X[:, 0] = cfo["x0"]
f = mapper(X)
n_feval = NP
P = X[:]
f_best, i_best = min(zip(f, count()))
for L in range(2, maxiter + 1):
rn2 = rand(n, NP)
for i in range(0, NP):
# r = rand(2)
r = rn2[:, i]
V[:, i] = V[:, i] + r[0] * c1 * (P[:, i] - X[:, i]) + r[1] * c2 * (P[:, i_best] - X[:, i])
V[:, i] = K * V[:, i]
X[:, i] = X[:, i] + V[:, i]
f_temp = mapper(X)
idx = f_temp < f
f[idx] = f_temp[idx]
P[:, idx] = X[:, idx]
n_feval = n_feval + NP
# CHECKING STOPPING CRITERIA
f_best, i_best = min(zip(f, count()))
if abs(cfo["f_opt"] - f_best) < epsilon:
satisfied_sc = 1
return satisfied_sc, n_feval, f_best, X[:, i_best]
monitor(L, X, f, i_best)
satisfied_sc = 0
return satisfied_sc, n_feval, f_best, X[:, i_best]
def example_call(optimizer=random_lines):
from numpy.random import seed
seed(1)
cost = lambda x: x[0] ** 2 + x[1] ** 2
n = 2
x1 = -5 * ones(n)
x2 = 5 * ones(n)
f_opt = 0
cfo = {"cost": cost, "n": n, "x1": x1, "x2": x2, "f_opt": f_opt}
NP = 10 * n
satisfied_sc, n_feval, f_best, x_best = optimizer(cfo, NP)
print(satisfied_sc, "n:%d" % n_feval, f_best, x_best)
def main():
print("=== Random Lines")
example_call(random_lines)
print("=== Particle Swarm")
example_call(particle_swarm)
if __name__ == "__main__":
main()
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