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from __future__ import annotations
import math
import numpy as np
from typing import Any
from typing import cast
from typing import Optional
_EPS = 1e-8
_MEAN_MAX = 1e32
_SIGMA_MAX = 1e32
class CMA:
"""CMA-ES stochastic optimizer class with ask-and-tell interface.
Example:
.. code::
import numpy as np
from cmaes import CMA
def quadratic(x1, x2):
return (x1 - 3) ** 2 + (10 * (x2 + 2)) ** 2
optimizer = CMA(mean=np.zeros(2), sigma=1.3)
for generation in range(50):
solutions = []
for _ in range(optimizer.population_size):
# Ask a parameter
x = optimizer.ask()
value = quadratic(x[0], x[1])
solutions.append((x, value))
print(f"#{generation} {value} (x1={x[0]}, x2 = {x[1]})")
# Tell evaluation values.
optimizer.tell(solutions)
Args:
mean:
Initial mean vector of multi-variate gaussian distributions.
sigma:
Initial standard deviation of covariance matrix.
bounds:
Lower and upper domain boundaries for each parameter (optional).
n_max_resampling:
A maximum number of resampling parameters (default: 100).
If all sampled parameters are infeasible, the last sampled one
will be clipped with lower and upper bounds.
seed:
A seed number (optional).
population_size:
A population size (optional).
cov:
A covariance matrix (optional).
lr_adapt:
Flag for learning rate adaptation (optional; default=False)
"""
def __init__(
self,
mean: np.ndarray,
sigma: float,
bounds: Optional[np.ndarray] = None,
n_max_resampling: int = 100,
seed: Optional[int] = None,
population_size: Optional[int] = None,
cov: Optional[np.ndarray] = None,
lr_adapt: bool = False,
):
assert sigma > 0, "sigma must be non-zero positive value"
assert np.all(
np.abs(mean) < _MEAN_MAX
), f"Abs of all elements of mean vector must be less than {_MEAN_MAX}"
n_dim = len(mean)
assert n_dim > 1, "The dimension of mean must be larger than 1"
if population_size is None:
population_size = 4 + math.floor(3 * math.log(n_dim)) # (eq. 48)
assert population_size > 0, "popsize must be non-zero positive value."
mu = population_size // 2
# (eq.49)
weights_prime = np.array(
[
math.log((population_size + 1) / 2) - math.log(i + 1)
for i in range(population_size)
]
)
mu_eff = (np.sum(weights_prime[:mu]) ** 2) / np.sum(weights_prime[:mu] ** 2)
mu_eff_minus = (np.sum(weights_prime[mu:]) ** 2) / np.sum(
weights_prime[mu:] ** 2
)
# learning rate for the rank-one update
alpha_cov = 2
c1 = alpha_cov / ((n_dim + 1.3) ** 2 + mu_eff)
# learning rate for the rank-μ update
cmu = min(
1 - c1 - 1e-8, # 1e-8 is for large popsize.
alpha_cov
* (mu_eff - 2 + 1 / mu_eff)
/ ((n_dim + 2) ** 2 + alpha_cov * mu_eff / 2),
)
assert c1 <= 1 - cmu, "invalid learning rate for the rank-one update"
assert cmu <= 1 - c1, "invalid learning rate for the rank-μ update"
min_alpha = min(
1 + c1 / cmu, # eq.50
1 + (2 * mu_eff_minus) / (mu_eff + 2), # eq.51
(1 - c1 - cmu) / (n_dim * cmu), # eq.52
)
# (eq.53)
positive_sum = np.sum(weights_prime[weights_prime > 0])
negative_sum = np.sum(np.abs(weights_prime[weights_prime < 0]))
weights = np.where(
weights_prime >= 0,
1 / positive_sum * weights_prime,
min_alpha / negative_sum * weights_prime,
)
cm = 1 # (eq. 54)
# learning rate for the cumulation for the step-size control (eq.55)
c_sigma = (mu_eff + 2) / (n_dim + mu_eff + 5)
d_sigma = 1 + 2 * max(0, math.sqrt((mu_eff - 1) / (n_dim + 1)) - 1) + c_sigma
assert (
c_sigma < 1
), "invalid learning rate for cumulation for the step-size control"
# learning rate for cumulation for the rank-one update (eq.56)
cc = (4 + mu_eff / n_dim) / (n_dim + 4 + 2 * mu_eff / n_dim)
assert cc <= 1, "invalid learning rate for cumulation for the rank-one update"
self._n_dim = n_dim
self._popsize = population_size
self._mu = mu
self._mu_eff = mu_eff
self._cc = cc
self._c1 = c1
self._cmu = cmu
self._c_sigma = c_sigma
self._d_sigma = d_sigma
self._cm = cm
# E||N(0, I)|| (p.28)
self._chi_n = math.sqrt(self._n_dim) * (
1.0 - (1.0 / (4.0 * self._n_dim)) + 1.0 / (21.0 * (self._n_dim**2))
)
self._weights = weights
# evolution path
self._p_sigma = np.zeros(n_dim)
self._pc = np.zeros(n_dim)
self._mean = mean.copy()
if cov is None:
self._C = np.eye(n_dim)
else:
assert cov.shape == (n_dim, n_dim), "Invalid shape of covariance matrix"
self._C = cov
self._sigma = sigma
self._D: Optional[np.ndarray] = None
self._B: Optional[np.ndarray] = None
# bounds contains low and high of each parameter.
assert bounds is None or _is_valid_bounds(bounds, mean), "invalid bounds"
self._bounds = bounds
self._n_max_resampling = n_max_resampling
self._g = 0
self._rng = np.random.RandomState(seed)
# for learning rate adaptation
self._lr_adapt = lr_adapt
self._alpha = 1.4
self._beta_mean = 0.1
self._beta_Sigma = 0.03
self._gamma = 0.1
self._Emean = np.zeros([self._n_dim, 1])
self._ESigma = np.zeros([self._n_dim * self._n_dim, 1])
self._Vmean = 0.0
self._VSigma = 0.0
self._eta_mean = 1.0
self._eta_Sigma = 1.0
# Termination criteria
self._tolx = 1e-12 * sigma
self._tolxup = 1e4
self._tolfun = 1e-12
self._tolconditioncov = 1e14
self._funhist_term = 10 + math.ceil(30 * n_dim / population_size)
self._funhist_values = np.empty(self._funhist_term * 2)
def __getstate__(self) -> dict[str, Any]:
attrs = {}
for name in self.__dict__:
# Remove _rng in pickle serialized object.
if name == "_rng":
continue
if name == "_C":
sym1d = _compress_symmetric(self._C)
attrs["_c_1d"] = sym1d
continue
attrs[name] = getattr(self, name)
return attrs
def __setstate__(self, state: dict[str, Any]) -> None:
state["_C"] = _decompress_symmetric(state["_c_1d"])
del state["_c_1d"]
self.__dict__.update(state)
# Set _rng for unpickled object.
setattr(self, "_rng", np.random.RandomState())
@property
def dim(self) -> int:
"""A number of dimensions"""
return self._n_dim
@property
def population_size(self) -> int:
"""A population size"""
return self._popsize
@property
def generation(self) -> int:
"""Generation number which is monotonically incremented
when multi-variate gaussian distribution is updated."""
return self._g
@property
def mean(self) -> np.ndarray:
"""Mean Vector"""
return self._mean
def reseed_rng(self, seed: int) -> None:
self._rng.seed(seed)
def set_bounds(self, bounds: Optional[np.ndarray]) -> None:
"""Update boundary constraints"""
assert bounds is None or _is_valid_bounds(bounds, self._mean), "invalid bounds"
self._bounds = bounds
def ask(self) -> np.ndarray:
"""Sample a parameter"""
for i in range(self._n_max_resampling):
x = self._sample_solution()
if self._is_feasible(x):
return x
x = self._sample_solution()
x = self._repair_infeasible_params(x)
return x
def _eigen_decomposition(self) -> tuple[np.ndarray, np.ndarray]:
if self._B is not None and self._D is not None:
return self._B, self._D
self._C = (self._C + self._C.T) / 2
D2, B = np.linalg.eigh(self._C)
D = np.sqrt(np.where(D2 < 0, _EPS, D2))
self._C = np.dot(np.dot(B, np.diag(D**2)), B.T)
self._B, self._D = B, D
return B, D
def _sample_solution(self) -> np.ndarray:
B, D = self._eigen_decomposition()
z = self._rng.randn(self._n_dim) # ~ N(0, I)
y = cast(np.ndarray, B.dot(np.diag(D))).dot(z) # ~ N(0, C)
x = self._mean + self._sigma * y # ~ N(m, σ^2 C)
return x
def _is_feasible(self, param: np.ndarray) -> bool:
if self._bounds is None:
return True
return cast(
bool,
np.all(param >= self._bounds[:, 0]) and np.all(param <= self._bounds[:, 1]),
) # Cast bool_ to bool.
def _repair_infeasible_params(self, param: np.ndarray) -> np.ndarray:
if self._bounds is None:
return param
# clip with lower and upper bound.
param = np.where(param < self._bounds[:, 0], self._bounds[:, 0], param)
param = np.where(param > self._bounds[:, 1], self._bounds[:, 1], param)
return param
def tell(self, solutions: list[tuple[np.ndarray, float]]) -> None:
"""Tell evaluation values"""
assert len(solutions) == self._popsize, "Must tell popsize-length solutions."
for s in solutions:
assert np.all(
np.abs(s[0]) < _MEAN_MAX
), f"Abs of all param values must be less than {_MEAN_MAX} to avoid overflow errors"
self._g += 1
solutions.sort(key=lambda s: s[1])
# Stores 'best' and 'worst' values of the
# last 'self._funhist_term' generations.
funhist_idx = 2 * (self.generation % self._funhist_term)
self._funhist_values[funhist_idx] = solutions[0][1]
self._funhist_values[funhist_idx + 1] = solutions[-1][1]
# Sample new population of search_points, for k=1, ..., popsize
B, D = self._eigen_decomposition()
self._B, self._D = None, None
# keep old values for learning rate adaptation
if self._lr_adapt:
old_mean = np.copy(self._mean)
old_sigma = self._sigma
old_Sigma = self._sigma**2 * self._C
old_invsqrtC = B @ np.diag(1 / D) @ B.T
else:
old_mean, old_sigma, old_Sigma, old_invsqrtC = None, None, None, None
x_k = np.array([s[0] for s in solutions]) # ~ N(m, σ^2 C)
y_k = (x_k - self._mean) / self._sigma # ~ N(0, C)
# Selection and recombination
y_w = np.sum(y_k[: self._mu].T * self._weights[: self._mu], axis=1) # eq.41
self._mean += self._cm * self._sigma * y_w
# Step-size control
C_2 = cast(
np.ndarray, cast(np.ndarray, B.dot(np.diag(1 / D))).dot(B.T)
) # C^(-1/2) = B D^(-1) B^T
self._p_sigma = (1 - self._c_sigma) * self._p_sigma + math.sqrt(
self._c_sigma * (2 - self._c_sigma) * self._mu_eff
) * C_2.dot(y_w)
norm_p_sigma = np.linalg.norm(self._p_sigma)
self._sigma *= np.exp(
(self._c_sigma / self._d_sigma) * (norm_p_sigma / self._chi_n - 1)
)
self._sigma = min(self._sigma, _SIGMA_MAX)
# Covariance matrix adaption
h_sigma_cond_left = norm_p_sigma / math.sqrt(
1 - (1 - self._c_sigma) ** (2 * (self._g + 1))
)
h_sigma_cond_right = (1.4 + 2 / (self._n_dim + 1)) * self._chi_n
h_sigma = 1.0 if h_sigma_cond_left < h_sigma_cond_right else 0.0 # (p.28)
# (eq.45)
self._pc = (1 - self._cc) * self._pc + h_sigma * math.sqrt(
self._cc * (2 - self._cc) * self._mu_eff
) * y_w
# (eq.46)
w_io = self._weights * np.where(
self._weights >= 0,
1,
self._n_dim / (np.linalg.norm(C_2.dot(y_k.T), axis=0) ** 2 + _EPS),
)
delta_h_sigma = (1 - h_sigma) * self._cc * (2 - self._cc) # (p.28)
assert delta_h_sigma <= 1
# (eq.47)
rank_one = np.outer(self._pc, self._pc)
rank_mu = np.sum(
np.array([w * np.outer(y, y) for w, y in zip(w_io, y_k)]), axis=0
)
self._C = (
(
1
+ self._c1 * delta_h_sigma
- self._c1
- self._cmu * np.sum(self._weights)
)
* self._C
+ self._c1 * rank_one
+ self._cmu * rank_mu
)
# Learning rate adaptation: https://arxiv.org/abs/2304.03473
if self._lr_adapt:
assert isinstance(old_mean, np.ndarray)
assert isinstance(old_sigma, (int, float))
assert isinstance(old_Sigma, np.ndarray)
assert isinstance(old_invsqrtC, np.ndarray)
self._lr_adaptation(old_mean, old_sigma, old_Sigma, old_invsqrtC)
def _lr_adaptation(
self,
old_mean: np.ndarray,
old_sigma: float,
old_Sigma: np.ndarray,
old_invsqrtC: np.ndarray,
) -> None:
# calculate one-step difference of the parameters
Deltamean = (self._mean - old_mean).reshape([self._n_dim, 1])
Sigma = (self._sigma**2) * self._C
# note that we use here matrix representation instead of vec one
DeltaSigma = Sigma - old_Sigma
# local coordinate
old_inv_sqrtSigma = old_invsqrtC / old_sigma
locDeltamean = old_inv_sqrtSigma.dot(Deltamean)
locDeltaSigma = (
old_inv_sqrtSigma.dot(DeltaSigma.dot(old_inv_sqrtSigma))
).reshape(self.dim * self.dim, 1) / np.sqrt(2)
# moving average E and V
self._Emean = (
1 - self._beta_mean
) * self._Emean + self._beta_mean * locDeltamean
self._ESigma = (
1 - self._beta_Sigma
) * self._ESigma + self._beta_Sigma * locDeltaSigma
self._Vmean = (1 - self._beta_mean) * self._Vmean + self._beta_mean * (
float(np.linalg.norm(locDeltamean)) ** 2
)
self._VSigma = (1 - self._beta_Sigma) * self._VSigma + self._beta_Sigma * (
float(np.linalg.norm(locDeltaSigma)) ** 2
)
# estimate SNR
sqnormEmean = np.linalg.norm(self._Emean) ** 2
hatSNRmean = (
sqnormEmean - (self._beta_mean / (2 - self._beta_mean)) * self._Vmean
) / (self._Vmean - sqnormEmean)
sqnormESigma = np.linalg.norm(self._ESigma) ** 2
hatSNRSigma = (
sqnormESigma - (self._beta_Sigma / (2 - self._beta_Sigma)) * self._VSigma
) / (self._VSigma - sqnormESigma)
# update learning rate
before_eta_mean = self._eta_mean
relativeSNRmean = np.clip(
(hatSNRmean / self._alpha / self._eta_mean) - 1, -1, 1
)
self._eta_mean = self._eta_mean * np.exp(
min(self._gamma * self._eta_mean, self._beta_mean) * relativeSNRmean
)
relativeSNRSigma = np.clip(
(hatSNRSigma / self._alpha / self._eta_Sigma) - 1, -1, 1
)
self._eta_Sigma = self._eta_Sigma * np.exp(
min(self._gamma * self._eta_Sigma, self._beta_Sigma) * relativeSNRSigma
)
# cap
self._eta_mean = min(self._eta_mean, 1.0)
self._eta_Sigma = min(self._eta_Sigma, 1.0)
# update parameters
self._mean = old_mean + self._eta_mean * Deltamean.reshape(self._n_dim)
Sigma = old_Sigma + self._eta_Sigma * DeltaSigma
# decompose Sigma to sigma and C
eigs, _ = np.linalg.eigh(Sigma)
logeigsum = sum([np.log(e) for e in eigs])
self._sigma = np.exp(logeigsum / 2.0 / self._n_dim)
self._sigma = min(self._sigma, _SIGMA_MAX)
self._C = Sigma / (self._sigma**2)
# step-size correction
self._sigma *= before_eta_mean / self._eta_mean
def should_stop(self) -> bool:
B, D = self._eigen_decomposition()
dC = np.diag(self._C)
# Stop if the range of function values of the recent generation is below tolfun.
if (
self.generation > self._funhist_term
and np.max(self._funhist_values) - np.min(self._funhist_values)
< self._tolfun
):
return True
# Stop if the std of the normal distribution is smaller than tolx
# in all coordinates and pc is smaller than tolx in all components.
if np.all(self._sigma * dC < self._tolx) and np.all(
self._sigma * self._pc < self._tolx
):
return True
# Stop if detecting divergent behavior.
if self._sigma * np.max(D) > self._tolxup:
return True
# No effect coordinates: stop if adding 0.2-standard deviations
# in any single coordinate does not change m.
if np.any(self._mean == self._mean + (0.2 * self._sigma * np.sqrt(dC))):
return True
# No effect axis: stop if adding 0.1-standard deviation vector in
# any principal axis direction of C does not change m. "pycma" check
# axis one by one at each generation.
i = self.generation % self.dim
if np.all(self._mean == self._mean + (0.1 * self._sigma * D[i] * B[:, i])):
return True
# Stop if the condition number of the covariance matrix exceeds 1e14.
condition_cov = np.max(D) / np.min(D)
if condition_cov > self._tolconditioncov:
return True
return False
def _is_valid_bounds(bounds: Optional[np.ndarray], mean: np.ndarray) -> bool:
if bounds is None:
return True
if (mean.size, 2) != bounds.shape:
return False
if not np.all(bounds[:, 0] <= mean):
return False
if not np.all(mean <= bounds[:, 1]):
return False
return True
def _compress_symmetric(sym2d: np.ndarray) -> np.ndarray:
assert len(sym2d.shape) == 2 and sym2d.shape[0] == sym2d.shape[1]
n = sym2d.shape[0]
dim = (n * (n + 1)) // 2
sym1d = np.zeros(dim)
start = 0
for i in range(n):
sym1d[start : start + n - i] = sym2d[i][i:] # noqa: E203
start += n - i
return sym1d
def _decompress_symmetric(sym1d: np.ndarray) -> np.ndarray:
n = int(np.sqrt(sym1d.size * 2))
assert (n * (n + 1)) // 2 == sym1d.size
R, C = np.triu_indices(n)
out = np.zeros((n, n), dtype=sym1d.dtype)
out[R, C] = sym1d
out[C, R] = sym1d
return out
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