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from __future__ import annotations
import functools
import numpy as np
from typing import cast
from typing import Optional
from cmaes import CMA
from cmaes._cma import _is_valid_bounds
try:
from scipy import stats
chi2_ppf = functools.partial(stats.chi2.ppf, df=1)
norm_cdf = stats.norm.cdf
except ImportError:
from cmaes._stats import chi2_ppf # type: ignore
from cmaes._stats import norm_cdf
class CMAwM:
"""CMA-ES with Margin class with ask-and-tell interface.
The code is adapted from https://github.com/EvoConJP/CMA-ES_with_Margin.
Example:
.. code::
import numpy as np
from cmaes import CMAwM
def ellipsoid_onemax(x, n_zdim):
n = len(x)
n_rdim = n - n_zdim
ellipsoid = sum([(1000 ** (i / (n_rdim - 1)) * x[i]) ** 2 for i in range(n_rdim)])
onemax = n_zdim - (0. < x[(n - n_zdim):]).sum()
return ellipsoid + 10 * onemax
binary_dim, continuous_dim = 10, 10
dim = binary_dim + continuous_dim
bounds = np.concatenate(
[
np.tile([0, 1], (binary_dim, 1)),
np.tile([-np.inf, np.inf], (continuous_dim, 1)),
]
)
steps = np.concatenate([np.ones(binary_dim), np.zeros(continuous_dim)])
optimizer = CMAwM(mean=np.zeros(dim), sigma=2.0, bounds=bounds, steps=steps)
evals = 0
while True:
solutions = []
for _ in range(optimizer.population_size):
x_for_eval, x_for_tell = optimizer.ask()
value = ellipsoid_onemax(x_for_eval, binary_dim)
evals += 1
solutions.append((x_for_tell, value))
optimizer.tell(solutions)
if optimizer.should_stop():
break
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.
steps:
Each value represents a step of discretization for each dimension.
Zero (or negative value) means a continuous space.
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).
margin:
A margin parameter (optional).
"""
# Paper: https://arxiv.org/abs/2205.13482
def __init__(
self,
mean: np.ndarray,
sigma: float,
bounds: np.ndarray,
steps: np.ndarray,
n_max_resampling: int = 100,
seed: Optional[int] = None,
population_size: Optional[int] = None,
cov: Optional[np.ndarray] = None,
margin: Optional[float] = None,
):
# initialize `CMA`
self._cma = CMA(
mean, sigma, bounds, n_max_resampling, seed, population_size, cov
)
n_dim = self._cma.dim
population_size = self._cma.population_size
self._n_max_resampling = n_max_resampling
# split discrete space and continuous space
assert len(bounds) == len(steps), "bounds and steps must be the same length"
assert not np.isnan(steps).any(), "steps should not include NaN"
self._discrete_idx = np.where(steps > 0)[0]
discrete_list = [
np.arange(bounds[i][0], bounds[i][1] + steps[i] / 2, steps[i])
for i in self._discrete_idx
]
max_discrete = max([len(discrete) for discrete in discrete_list], default=0)
discrete_space = np.full((len(self._discrete_idx), max_discrete), np.nan)
for i, discrete in enumerate(discrete_list):
discrete_space[i, : len(discrete)] = discrete
# continuous_space contains low and high of each parameter.
self._continuous_idx = np.where(steps <= 0)[0]
self._continuous_space = bounds[self._continuous_idx]
assert _is_valid_bounds(
self._continuous_space, mean[self._continuous_idx]
), "invalid bounds"
# discrete_space
self._n_zdim = len(discrete_space)
if self._n_zdim == 0:
return
self.margin = margin if margin is not None else 1 / (n_dim * population_size)
assert self.margin > 0, "margin must be non-zero positive value."
self.z_space = discrete_space
self.z_lim = (self.z_space[:, 1:] + self.z_space[:, :-1]) / 2
for i in range(self._n_zdim):
self.z_space[i][np.isnan(self.z_space[i])] = np.nanmax(self.z_space[i])
self.z_lim[i][np.isnan(self.z_lim[i])] = np.nanmax(self.z_lim[i])
self.z_lim_low = np.concatenate(
[self.z_lim.min(axis=1).reshape([self._n_zdim, 1]), self.z_lim], 1
)
self.z_lim_up = np.concatenate(
[self.z_lim, self.z_lim.max(axis=1).reshape([self._n_zdim, 1])], 1
)
m_z = self._cma._mean[self._discrete_idx].reshape(([self._n_zdim, 1]))
# m_z_lim_low ->| mean vector |<- m_z_lim_up
self.m_z_lim_low = (
self.z_lim_low
* np.where(np.sort(np.concatenate([self.z_lim, m_z], 1)) == m_z, 1, 0)
).sum(axis=1)
self.m_z_lim_up = (
self.z_lim_up
* np.where(np.sort(np.concatenate([self.z_lim, m_z], 1)) == m_z, 1, 0)
).sum(axis=1)
self._A = np.full(n_dim, 1.0)
@property
def dim(self) -> int:
"""A number of dimensions"""
return self._cma.dim
@property
def population_size(self) -> int:
"""A population size"""
return self._cma.population_size
@property
def generation(self) -> int:
"""Generation number which is monotonically incremented
when multi-variate gaussian distribution is updated."""
return self._cma.generation
@property
def mean(self) -> np.ndarray:
"""Mean Vector"""
return self._cma.mean
@property
def _rng(self) -> np.random.RandomState:
return self._cma._rng
def reseed_rng(self, seed: int) -> None:
self._cma.reseed_rng(seed)
def ask(self) -> tuple[np.ndarray, np.ndarray]:
"""Sample a parameter and return (i) encoded x and (ii) raw x.
The encoded x is used for the evaluation.
The raw x is used for updating the distribution."""
for i in range(self._n_max_resampling):
x = self._cma._sample_solution()
if self._is_continuous_feasible(x[self._continuous_idx]):
x_encoded = x.copy()
if self._n_zdim > 0:
x_encoded[self._discrete_idx] = self._encode_discrete_params(
x[self._discrete_idx]
)
return x_encoded, x
x = self._cma._sample_solution()
x[self._continuous_idx] = self._repair_continuous_params(
x[self._continuous_idx]
)
x_encoded = x.copy()
if self._n_zdim > 0:
x_encoded[self._discrete_idx] = self._encode_discrete_params(
x[self._discrete_idx]
)
return x_encoded, x
def _is_continuous_feasible(self, continuous_param: np.ndarray) -> bool:
if self._continuous_space is None:
return True
return cast(
bool,
np.all(continuous_param >= self._continuous_space[:, 0])
and np.all(continuous_param <= self._continuous_space[:, 1]),
) # Cast bool_ to bool.
def _repair_continuous_params(self, continuous_param: np.ndarray) -> np.ndarray:
if self._continuous_space is None:
return continuous_param
# clip with lower and upper bound.
param = np.where(
continuous_param < self._continuous_space[:, 0],
self._continuous_space[:, 0],
continuous_param,
)
param = np.where(
param > self._continuous_space[:, 1], self._continuous_space[:, 1], param
)
return param
def _encode_discrete_params(self, discrete_param: np.ndarray) -> np.ndarray:
"""Encode the values into discrete domain."""
mean = self._cma._mean
x = (discrete_param - mean[self._discrete_idx]) * self._A[
self._discrete_idx
] + mean[self._discrete_idx]
x = x.reshape([self._n_zdim, 1])
x_enc = (
self.z_space
* np.where(np.sort(np.concatenate((self.z_lim, x), axis=1)) == x, 1, 0)
).sum(axis=1)
return x_enc.reshape(self._n_zdim)
def tell(self, solutions: list[tuple[np.ndarray, float]]) -> None:
"""Tell evaluation values"""
self._cma.tell(solutions)
mean = self._cma._mean
sigma = self._cma._sigma
C = self._cma._C
if self._n_zdim == 0:
return
# margin correction
updated_m_integer = mean[self._discrete_idx, np.newaxis]
self.z_lim_low = np.concatenate(
[self.z_lim.min(axis=1).reshape([self._n_zdim, 1]), self.z_lim], 1
)
self.z_lim_up = np.concatenate(
[self.z_lim, self.z_lim.max(axis=1).reshape([self._n_zdim, 1])], 1
)
self.m_z_lim_low = (
self.z_lim_low
* np.where(
np.sort(np.concatenate([self.z_lim, updated_m_integer], 1))
== updated_m_integer,
1,
0,
)
).sum(axis=1)
self.m_z_lim_up = (
self.z_lim_up
* np.where(
np.sort(np.concatenate([self.z_lim, updated_m_integer], 1))
== updated_m_integer,
1,
0,
)
).sum(axis=1)
# calculate probability low_cdf := Pr(X <= m_z_lim_low) and up_cdf := Pr(m_z_lim_up < X)
# sig_z_sq_Cdiag = self.model.sigma * self.model.A * np.sqrt(np.diag(self.model.C))
z_scale = (
sigma
* self._A[self._discrete_idx]
* np.sqrt(np.diag(C)[self._discrete_idx])
)
updated_m_integer = updated_m_integer.flatten()
low_cdf = norm_cdf(self.m_z_lim_low, loc=updated_m_integer, scale=z_scale)
up_cdf = 1.0 - norm_cdf(self.m_z_lim_up, loc=updated_m_integer, scale=z_scale)
mid_cdf = 1.0 - (low_cdf + up_cdf)
# edge case
edge_mask = np.maximum(low_cdf, up_cdf) > 0.5
# otherwise
side_mask = np.maximum(low_cdf, up_cdf) <= 0.5
if np.any(edge_mask):
# modify mask (modify or not)
modify_mask = np.minimum(low_cdf, up_cdf) < self.margin
# modify sign
modify_sign = np.sign(mean[self._discrete_idx] - self.m_z_lim_up)
# distance from m_z_lim_up
dist = (
sigma
* self._A[self._discrete_idx]
* np.sqrt(
chi2_ppf(q=1.0 - 2.0 * self.margin) * np.diag(C)[self._discrete_idx]
)
)
# modify mean vector
mean[self._discrete_idx] = mean[
self._discrete_idx
] + modify_mask * edge_mask * (
self.m_z_lim_up + modify_sign * dist - mean[self._discrete_idx]
)
# correct probability
low_cdf = np.maximum(low_cdf, self.margin / 2.0)
up_cdf = np.maximum(up_cdf, self.margin / 2.0)
modified_low_cdf = low_cdf + (1.0 - low_cdf - up_cdf - mid_cdf) * (
low_cdf - self.margin / 2
) / (low_cdf + mid_cdf + up_cdf - 3.0 * self.margin / 2)
modified_up_cdf = up_cdf + (1.0 - low_cdf - up_cdf - mid_cdf) * (
up_cdf - self.margin / 2
) / (low_cdf + mid_cdf + up_cdf - 3.0 * self.margin / 2)
modified_low_cdf = np.clip(modified_low_cdf, 1e-10, 0.5 - 1e-10)
modified_up_cdf = np.clip(modified_up_cdf, 1e-10, 0.5 - 1e-10)
# modify mean vector and A (with sigma and C fixed)
chi_low_sq = np.sqrt(chi2_ppf(q=1.0 - 2 * modified_low_cdf))
chi_up_sq = np.sqrt(chi2_ppf(q=1.0 - 2 * modified_up_cdf))
C_diag_sq = np.sqrt(np.diag(C))[self._discrete_idx]
# simultaneous equations
self._A[self._discrete_idx] = self._A[self._discrete_idx] + side_mask * (
(self.m_z_lim_up - self.m_z_lim_low)
/ ((chi_low_sq + chi_up_sq) * sigma * C_diag_sq)
- self._A[self._discrete_idx]
)
mean[self._discrete_idx] = mean[self._discrete_idx] + side_mask * (
(self.m_z_lim_low * chi_up_sq + self.m_z_lim_up * chi_low_sq)
/ (chi_low_sq + chi_up_sq)
- mean[self._discrete_idx]
)
def should_stop(self) -> bool:
return self._cma.should_stop()
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