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"""
Surjanovic, S. & Bingham, D. (2013).
Virtual Library of Simulation Experiments: Test Functions and Datasets.
Retrieved April 18, 2016, from http://www.sfu.ca/~ssurjano.
"""
import inspect
from functools import reduce, wraps
from numpy import cos, e, exp, linspace, log, log1p, meshgrid, pi, sin, sqrt
from scipy.special import gammaln
from bumps.names import *
class ModelFunction(object):
_registered = {} # class mutable containing list of registered functions
def __init__(self, f, xmin, fmin, bounds, dim):
self.name = f.__name__
self.xmin = xmin
self.fmin = fmin
self.bounds = bounds
self.dim = dim
self.f = f
# register the function in the list of available functions
ModelFunction._registered[self.name] = self
def __call__(self, x):
return self.f(x)
def fk(self, k, **kw):
"""
Return a function with *k* arguments f(x, y, z1, z2, ..., zk-2)
"""
wrapper = wraps(self.f)
if k == 1:
calculator = wrapper(lambda x: self.f((x,), **kw))
elif k == 2:
calculator = wrapper(lambda x, y: self.f((x, y), **kw))
else:
args = ",".join("x%d" % j for j in range(1, k + 1))
context = {"self": self, "kw": kw}
calculator = wrapper(eval("lambda %s: self.f((%s), **kw)" % (args, args), context))
return calculator
def fv(self, k, **kw):
"""
Return a function with arguments f(v) for vector v.
"""
wrapper = wraps(self.f)
calculator = wrapper(lambda x: self.f(x, **kw))
return calculator
@staticmethod
def lookup(name):
return ModelFunction._registered.get(name, None)
@staticmethod
def available():
return list(sorted(ModelFunction._registered.keys()))
def select_function(argv, vector=True):
if len(sys.argv) == 0:
raise ValueError("no function provided")
model = ModelFunction.lookup(argv[0])
if model is None:
raise ValueError("unknown model %s" % model)
dim = int(argv[1]) if len(argv) > 1 else 2
return model.fv(dim) if vector else model.fk(dim)
def fit_function(xmin=None, fmin=None, bounds=(-inf, inf), dim=None):
return lambda f: ModelFunction(f, xmin, fmin, bounds, dim)
# ================ Model functions ====================
def prod(L):
return reduce(lambda x, y: x * y, L, 1)
@fit_function(fmin=0.0, xmin=0.0)
def gauss(x):
"""
Multivariate gaussian distribution
"""
# mu, sigma = 100.0, 0.001
mu, sigma = 3.0, 2.0
# note: sqrt(det(Sigma)) = p log(sigma) since Sigma = sigma^2 eye(p)
# log_norm = 0.5*len(x)*log(2*pi*sigma**2)
log_norm = 0
return 0.5 * sum(((xi - mu) / sigma) ** 2 for xi in x) - log_norm
@fit_function(fmin=0.0, xmin=0.0)
def t(x):
"""
Multivariate t distribution
"""
mu, sigma, nu = 3.0, 1.0, 2
p = len(x)
S = sum(((xi - mu) / sigma) ** 2 for xi in x) / nu
# note: sqrt(det(Sigma)) = p log(sigma) since Sigma = sigma^2 eye(p)
log_norm = gammaln(0.5 * (nu + p)) - gammaln(0.5 * nu) - 0.5 * p * log(nu + pi) - p * log(sigma)
return (nu + p) / 2 * log1p(S) - log_norm
@fit_function(fmin=0.0, xmin=3.0)
def laplace(x):
"""
Product of Laplace distributions, mu=3, b=0.1.
"""
return sum(abs(xi - 3.0) / 0.1 for xi in x)
@fit_function(fmin=0.0, xmin=3.0)
def sin_plus_quadratic(x, c=3.0, d=2.0, m=5.0, h=2.0):
"""
Sin + quadratic. Multimodal with global minimum.
*c* is the center point where the function is minimized.
*d* is the distance between modes, one per dimension.
*h* is the sine wave amplitude, on per dimension, which controls
the height of the barrier between modes.
*m* is the curvature of the quadratic, one per dimension.
"""
n = len(x)
if np.isscalar(c):
c = [c] * n
if np.isscalar(d):
d = [d] * n
if np.isscalar(h):
h = [h] * n
if np.isscalar(m):
m = [m] * n
return sum(hi * (sin((2 * pi / di) * xi - ci) + 1.0) for xi, ci, di, hi in zip(x, c, d, h)) + sum(
((xi - ci) / float(mi)) ** 2 for xi, ci, mi in zip(x, c, m)
)
@fit_function(fmin=0.0, xmin=0.0)
def stepped_well(x):
return sum(np.floor(abs(xi)) for xi in x)
@fit_function(xmin=0.0, fmin=0.0, bounds=(-32.768, 32.768))
def ackley(x, a=20.0, b=0.2, c=2 * pi):
"""
Multimodal with deep global minimum.
"""
n = len(x)
return -a * exp(-b * sqrt(sum(xi**2 for xi in x) / n)) - exp(sum(cos(c * xi) for xi in x) / n) + a + e
@fit_function(dim=2, xmin=(3, 0.5), fmin=0.0, bounds=(-4.5, 4.5))
def beale(xy):
x, y = xy
return (1.5 - x * y) ** 2 + (2.25 - x + x * y**2) ** 2 + (2.625 - x + x * y**3) ** 2
_TRAY = 1.34941
@fit_function(
dim=2, fmin=-2.06261, bounds=(-10, 10), xmin=((_TRAY, _TRAY), (_TRAY, -_TRAY), (-_TRAY, _TRAY), (-_TRAY, -_TRAY))
)
def cross_in_tray(xy):
x, y = xy
return -0.0001 * (abs(sin(x) * sin(y) * exp(abs(100 - sqrt(x**2 + y**2) / pi))) + 1) ** 0.1
@fit_function(bounds=(-600, 600), xmin=0.0, fmin=0.0)
def griewank(x):
return 1 + sum(xi**2 for xi in x) ** 2 / 4000 - prod(cos(xi / sqrt(i + 1)) for i, xi in enumerate(x))
@fit_function(bounds=(-5.12, 5.12), xmin=0.0, fmin=0.0)
def rastrigin(x, A=10.0):
"""
Multimodal with global minimum near local minima.
"""
n = len(x)
return A * n + sum(xi**2 - A * cos(2 * pi * xi) for xi in x)
# could also use bounds=(-2.048, 2.048)
@fit_function(bounds=(-5, 10), xmin=1.0, fmin=0.0)
def rosenbrock(x):
"""
Unimodal with narrow parabolic valley.
"""
return sum(100 * (xn - xp**2) ** 2 + (xp - 1) ** 2 for xp, xn in zip(x[:-1], x[1:]))
# ========================== wrapper ==================
def plot2d(fn, args=None, range=(-10, 10)):
"""
Return a mesh plotter for the given function.
*args* are the function arguments that are to be meshed (usually the
first two arguments to the function). *range* is the bounding box
for the 2D mesh.
All arguments except the meshed arguments are held fixed.
"""
fnargs = inspect.getfullargspec(fn).args
if len(fnargs) < 2:
args = fnargs[:1]
def plot1d(view=None, **kw):
import pylab
x = kw[args[0]]
r = linspace(range[0], range[1], 500)
kw[args[0]] = x + r
pylab.plot(x + r, fn(**kw))
pylab.xlabel(args[0])
pylab.ylabel("-log P(%s)" % args[0])
return plot1d
if args is None:
args = fnargs[:2]
if not all(k in fnargs for k in args):
raise ValueError("args %s not part of function" % str(args))
def plotter(view=None, **kw):
import pylab
x, y = kw[args[0]], kw[args[1]]
r = linspace(range[0], range[1], 200)
X, Y = meshgrid(x + r, y + r)
kw[args[0]], kw[args[1]] = X, Y
pylab.pcolormesh(x + r, y + r, fn(**kw))
pylab.plot(
x, y, "o", markersize=6, markerfacecolor="red", markeredgecolor="black", markeredgewidth=1, alpha=0.7
)
pylab.xlabel(args[0])
pylab.ylabel(args[1])
return plotter
def columnize(L, indent="", width=79):
# type: (List[str], str, int) -> str
"""
Format a list of strings into columns.
Returns a string with carriage returns ready for printing.
"""
column_width = max(len(w) for w in L) + 1
num_columns = (width - len(indent)) // column_width
num_rows = len(L) // num_columns
L = L + [""] * (num_rows * num_columns - len(L))
columns = [L[k * num_rows : (k + 1) * num_rows] for k in range(num_columns)]
lines = [" ".join("%-*s" % (column_width, entry) for entry in row) for row in zip(*columns)]
output = indent + ("\n" + indent).join(lines)
return output
USAGE = """\
Given the name of the test function followed by dimension. Dimension
defaults to 2. Available models are:
""" + columnize(ModelFunction.available(), indent=" ")
try:
nllf = select_function(sys.argv[1:], vector=False)
except Exception:
print(USAGE, file=sys.stderr)
sys.exit(1)
plot = plot2d(nllf, range=(-10, 10))
M = PDF(nllf, plot=plot)
for p in M.parameters().values():
# TODO: really should pull value and range out of the bounds for the
# function, if any are provided.
p.value = 400 * (np.random.rand() - 0.5)
# p.range(-1,1)
p.range(-200, 200)
# p.range(-inf,inf)
problem = FitProblem(M)
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