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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 CatCMA:
"""CatCMA stochastic optimizer class with ask-and-tell interface.
Example:
.. code::
import numpy as np
from cmaes import CatCMA
def sphere_com(x, c):
return sum(x*x) + len(c) - sum(c[:,0])
optimizer = CatCMA(mean=3 * np.ones(3), sigma=2.0, cat_num=np.array([3, 3, 3]))
for generation in range(50):
solutions = []
for _ in range(optimizer.population_size):
# Ask a parameter
x, c = optimizer.ask()
value = sphere_com(x, c)
solutions.append(((x, c), value))
print(f"#{generation} {value}")
# Tell evaluation values.
optimizer.tell(solutions)
Args:
mean:
Initial mean vector of multivariate gaussian distribution.
sigma:
Initial standard deviation of covariance matrix.
cat_num:
Numbers of categories.
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).
cat_param:
A parameter of categorical distribution (optional).
margin:
A margin (lower bound) of categorical distribution (optional).
min_eigenvalue:
Lower bound of eigenvalue of multivariate Gaussian distribution (optional).
"""
# Paper: https://arxiv.org/abs/2405.09962
def __init__(
self,
mean: np.ndarray,
sigma: float,
cat_num: np.ndarray,
bounds: Optional[np.ndarray] = None,
n_max_resampling: int = 100,
seed: Optional[int] = None,
population_size: Optional[int] = None,
cov: Optional[np.ndarray] = None,
cat_param: Optional[np.ndarray] = None,
margin: Optional[np.ndarray] = None,
min_eigenvalue: Optional[float] = None,
):
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}"
self._n_co = len(mean)
self._n_ca = len(cat_num)
self._n = self._n_co + self._n_ca
assert self._n_co > 1, "The dimension of mean must be larger than 1"
assert self._n_ca > 0, "The dimension of categorical variable must be positive"
assert np.all(cat_num > 1), "The number of categories must be larger than 1"
if population_size is None:
population_size = 4 + math.floor(3 * math.log(self._n))
assert population_size > 0, "popsize must be non-zero positive value."
mu = population_size // 2
# CatCMA assumes that the weights of the lower half are zero.
# (CMA uses negative weights while CatCMA uses positive weights.)
weights_prime = np.array(
[
math.log((population_size + 1) / 2) - math.log(i + 1) if i < mu else 0
for i in range(population_size)
]
)
weights = weights_prime / weights_prime.sum()
mu_eff = 1 / ((weights**2).sum())
# learning rate for the rank-one update
alpha_cov = 2
c1 = alpha_cov / ((self._n_co + 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)
/ ((self._n_co + 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"
cm = 1
# learning rate for the cumulation for the step-size control
c_sigma = (mu_eff + 2) / (self._n_co + mu_eff + 5)
d_sigma = (
1 + 2 * max(0, math.sqrt((mu_eff - 1) / (self._n_co + 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
cc = (4 + mu_eff / self._n_co) / (self._n_co + 4 + 2 * mu_eff / self._n_co)
assert cc <= 1, "invalid learning rate for cumulation for the rank-one update"
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)||
self._chi_n = math.sqrt(self._n_co) * (
1.0 - (1.0 / (4.0 * self._n_co)) + 1.0 / (21.0 * (self._n_co**2))
)
self._weights = weights
# evolution path
self._p_sigma = np.zeros(self._n_co)
self._pc = np.zeros(self._n_co)
self._mean = mean.copy()
if cov is None:
self._C = np.eye(self._n_co)
else:
assert cov.shape == (
self._n_co,
self._n_co,
), "Invalid shape of covariance matrix"
self._C = cov
self._sigma = sigma
self._D: Optional[np.ndarray] = None
self._B: Optional[np.ndarray] = None
# categorical distribution
# Parameters in categorical distribution with fewer categories
# must be zero-padded at the end.
self._K = cat_num
self._Kmax = np.max(self._K)
if cat_param is None:
self._q = np.zeros((self._n_ca, self._Kmax))
for i in range(self._n_ca):
self._q[i, : self._K[i]] = 1 / self._K[i]
else:
assert cat_param.shape == (
self._n_ca,
self._Kmax,
), "Invalid shape of categorical distribution parameter"
for i in range(self._n_ca):
assert np.all(cat_param[i, self._K[i] :] == 0), (
"Parameters in categorical distribution with fewer categories "
"must be zero-padded at the end"
)
assert np.all(
(cat_param >= 0) & (cat_param <= 1)
), "All elements in categorical distribution parameter must be between 0 and 1"
assert np.allclose(
np.sum(cat_param, axis=1), 1
), "Each row in categorical distribution parameter must sum to 1"
self._q = cat_param
self._q_min = (
margin
if margin is not None
else (1 - 0.73 ** (1 / self._n_ca)) / (self._K - 1)
)
self._min_eigenvalue = min_eigenvalue if min_eigenvalue is not None else 1e-30
# ASNG
self._param_sum = np.sum(cat_num - 1)
self._alpha = 1.5
self._delta_init = 1.0
self._Delta = 1.0
self._Delta_max = np.inf
self._gamma = 0.0
self._s = np.zeros(self._param_sum)
self._delta = self._delta_init / self._Delta
self._eps = self._delta
# 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)
# Termination criteria
self._tolxup = 1e4
self._tolfun = 1e-12
self._tolconditioncov = 1e14
self._funhist_term = 10 + math.ceil(30 * self._n_co / population_size)
self._funhist_values = np.empty(self._funhist_term)
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 cont_dim(self) -> int:
"""A number of dimensions of continuous variable"""
return self._n_co
@property
def cat_dim(self) -> int:
"""A number of dimensions of categorical variable"""
return self._n_ca
@property
def dim(self) -> int:
"""A number of dimensions"""
return self._n
@property
def cat_num(self) -> np.ndarray:
"""Numbers of categories"""
return self._K
@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) -> tuple[np.ndarray, np.ndarray]:
"""Sample a parameter"""
for i in range(self._n_max_resampling):
x, c = self._sample_solution()
if self._is_feasible(x):
return x, c
x, c = self._sample_solution()
x = self._repair_infeasible_params(x)
return x, c
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) -> tuple[np.ndarray, np.ndarray]:
# x : continuous variable
B, D = self._eigen_decomposition()
z = self._rng.randn(self._n_co) # ~ 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)
# c : categorical variable
# Categorical variables are one-hot encoded.
# Variables with fewer categories are zero-padded at the end.
rand_q = self._rng.rand(self._n_ca, 1)
cum_q = self._q.cumsum(axis=1)
c = (cum_q - self._q <= rand_q) & (rand_q < cum_q)
return x, c
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[tuple[np.ndarray, 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][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 evaluation values of the
# last 'self._funhist_term' generations.
funhist_idx = self.generation % self._funhist_term
self._funhist_values[funhist_idx] = solutions[0][1]
# Sample new population of search_points, for k=1, ..., popsize
B, D = self._eigen_decomposition()
self._B, self._D = None, None
x_k = np.array([s[0][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)
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_co + 1)) * self._chi_n
h_sigma = 1.0 if h_sigma_cond_left < h_sigma_cond_right else 0.0
self._pc = (1 - self._cc) * self._pc + h_sigma * math.sqrt(
self._cc * (2 - self._cc) * self._mu_eff
) * y_w
delta_h_sigma = (1 - h_sigma) * self._cc * (2 - self._cc)
assert delta_h_sigma <= 1
rank_one = np.outer(self._pc, self._pc)
rank_mu = np.sum(
np.array([w * np.outer(y, y) for w, y in zip(self._weights, 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
)
# Post-processing to prevent the minimum eigenvalue from becoming too small
B, D = self._eigen_decomposition()
sigma_min = np.sqrt(self._min_eigenvalue / np.min(D))
self._sigma = max(self._sigma, sigma_min)
# Update of categorical distribution
c = np.array([s[0][1] for s in solutions])
ngrad = (self._weights[:, np.newaxis, np.newaxis] * (c - self._q)).sum(axis=0)
# Approximation of the square root of the fisher information matrix :
# Appendix B in https://proceedings.mlr.press/v97/akimoto19a.html
sl = []
for i, K in enumerate(self._K):
q_i = self._q[i, : K - 1]
q_i_K = self._q[i, K - 1]
s_i = 1.0 / np.sqrt(q_i) * ngrad[i, : K - 1]
s_i += np.sqrt(q_i) * ngrad[i, : K - 1].sum() / (q_i_K + np.sqrt(q_i_K))
sl += list(s_i)
ngrad_sqF = np.array(sl)
pnorm = np.sqrt(np.dot(ngrad_sqF, ngrad_sqF)) + 1e-30
self._eps = self._delta / pnorm
self._q += self._eps * ngrad
# Update of ASNG
self._delta = self._delta_init / self._Delta
beta = self._delta / (self._param_sum**0.5)
self._s = (1 - beta) * self._s + np.sqrt(beta * (2 - beta)) * ngrad_sqF / pnorm
self._gamma = (1 - beta) ** 2 * self._gamma + beta * (2 - beta)
self._Delta *= np.exp(
beta * (self._gamma - np.dot(self._s, self._s) / self._alpha)
)
self._Delta = min(self._Delta, self._Delta_max)
# Margin Correction
for i in range(self._n_ca):
Ki = self._K[i]
self._q[i, :Ki] = np.maximum(self._q[i, :Ki], self._q_min[i])
q_sum = self._q[i, :Ki].sum()
tmp = q_sum - self._q_min[i] * Ki
self._q[i, :Ki] -= (q_sum - 1) * (self._q[i, :Ki] - self._q_min[i]) / tmp
self._q[i, :Ki] /= self._q[i, :Ki].sum()
def should_stop(self) -> bool:
B, D = self._eigen_decomposition()
# 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 detecting divergent behavior.
if self._sigma * np.max(D) > self._tolxup:
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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