1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 433 434 435 436 437 438 439 440 441 442 443 444 445 446 447 448 449 450 451 452 453 454 455 456 457 458 459 460 461 462 463 464 465 466 467 468 469 470 471 472 473 474 475 476 477 478 479 480 481 482 483 484 485 486 487 488 489 490 491 492 493 494 495 496 497 498 499 500 501 502 503 504 505 506 507 508 509 510 511 512 513 514 515 516 517 518 519 520 521 522 523 524 525 526 527 528 529 530 531 532 533 534 535 536 537 538 539 540 541 542 543 544 545 546 547 548 549 550 551 552 553 554 555 556 557 558 559 560 561 562 563 564 565 566 567 568 569 570 571 572 573 574 575 576 577 578 579 580 581 582 583 584 585 586 587 588 589 590 591 592 593 594 595 596 597 598 599 600 601 602 603 604 605 606 607 608 609 610 611 612 613 614 615 616 617 618 619 620 621 622 623 624 625 626 627 628 629 630 631 632 633 634 635 636 637 638 639 640 641 642 643 644 645 646 647 648 649 650 651 652 653 654 655 656 657 658 659 660 661 662 663 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679 680 681 682 683 684 685 686 687 688 689 690 691 692 693 694 695 696 697 698 699 700 701 702 703 704 705 706 707 708 709 710 711 712 713 714 715 716 717 718 719 720 721 722 723 724 725 726 727 728 729 730 731 732 733 734 735 736 737 738 739 740 741 742 743 744 745 746 747 748 749 750 751 752 753 754 755 756 757 758 759 760 761 762 763 764 765 766 767 768 769 770 771 772 773 774 775 776 777 778 779 780 781 782 783 784 785 786 787 788 789 790 791 792 793 794 795 796 797 798 799 800 801 802 803 804 805 806 807 808 809 810 811 812 813 814 815 816 817 818 819 820 821 822 823 824 825 826 827 828 829 830 831 832 833 834 835 836 837 838 839 840 841 842 843 844 845 846 847 848 849 850 851 852 853 854 855 856 857 858 859 860 861 862 863 864 865 866 867 868 869 870 871 872 873 874 875 876 877 878 879 880 881 882 883 884 885 886 887 888 889 890 891 892 893 894 895 896 897 898 899 900 901 902 903 904 905 906 907 908 909 910 911 912 913 914 915 916 917 918 919 920 921 922 923 924 925 926 927 928 929 930 931 932 933 934 935 936 937 938 939 940 941 942 943 944 945 946 947 948 949 950 951 952 953 954 955 956 957 958 959 960 961 962 963 964 965 966 967 968 969 970 971 972 973 974 975 976 977 978 979 980 981 982 983 984 985 986 987 988 989 990 991 992 993 994 995
|
from __future__ import annotations
import functools
import numpy as np
import math
from dataclasses import dataclass, field
from typing import cast
from typing import List, Sequence, Union, Tuple, Optional
import warnings
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
_EPS = 1e-8
_MEAN_MAX = 1e32
_SIGMA_MAX = 1e32
class CatCMAwM:
"""CatCMA with Margin stochastic optimizer class with ask-and-tell interface.
Example:
.. code::
import numpy as np
from cmaes import CatCMAwM
def SphereIntCOM(x, z, c):
return sum(x*x) + sum(z*z) + len(c) - sum(c[:,0])
X = [[-3.0, 3.0], [-4.0, 4.0]]
Z = [[-1, 0, 1], [-2, -1, 0, 1, 2]]
C = [5, 6]
optimizer = CatCMAwM(x_space=X, z_space=Z, c_space=C)
for generation in range(50):
solutions = []
for _ in range(optimizer.population_size):
# Ask a parameter
sol = optimizer.ask()
value = SphereIntCOM(sol.x, sol.z, sol.c)
print(f"#{generation} {value}")
solutions.append((sol, value))
# Tell evaluation values
optimizer.tell(solutions)
Args:
x_space:
The search space for continuous variables.
Provide as a 2-dimensional sequence (e.g., a list of lists),
where each row is [lower_bound, upper_bound] for a continuous variable.
If there are no continuous variables, this parameter can be omitted.
Example: [[-3.0, 3.0], [0.0, 5.0], [-np.inf, np.inf]]
z_space:
The set of possible values for each integer variable.
Provide as a list of lists, where each inner list contains the valid
(sorted) integer or discretized values for that variable.
If there are no integer variables, this parameter can be omitted.
Example: [[-2, -1, 0, 1, 2], [0.01, 0.1, 1]]
Note: For binary variables (i.e., variables that can only take two distinct values),
it is generally recommended to use the categorical variable representation via
`c_space` rather than treating them as integer variables.
c_space:
The shape of the categorical variables' domain.
Provide as a 1-dimensional sequence (e.g., a list)
where each element specifies the number of categories (integer > 1)
for each categorical variable.
If there are no categorical variables, this parameter can be omitted.
Example: [3, 3, 2, 10]
Note: Binary variables (with only two possible values) should be represented as
categorical variables here, rather than as integer variables in `z_space`.
population_size:
A population size (optional).
mean:
Initial mean vector of multivariate gaussian distribution (optional).
sigma:
Initial step-size of multivariate gaussian distribution (optional).
cov:
Initial covariance matrix of multivariate gaussian distribution (optional).
cat_param:
Initial parameter of categorical distribution (optional).
seed:
A seed number (optional).
"""
# Paper: https://arxiv.org/abs/2504.07884
@dataclass(frozen=True)
class Solution:
x: Optional[np.ndarray] = None # continuous variable
z: Optional[np.ndarray] = None # integer variable
c: Optional[np.ndarray] = None # categorical variable
_v_raw: Optional[np.ndarray] = field(default=None, repr=False) # internal use
def __init__(
self,
x_space: Optional[Sequence[Sequence[float]]] = None,
z_space: Optional[Sequence[Sequence[Union[int, float]]]] = None,
c_space: Optional[Sequence[int]] = None,
population_size: Optional[int] = None,
mean: Optional[np.ndarray] = None,
sigma: Optional[float] = None,
cov: Optional[np.ndarray] = None,
cat_param: Optional[np.ndarray] = None,
seed: Optional[int] = None,
):
# Determine space sizes
self._Nco = len(x_space) if x_space is not None else 0
self._Nin = len(z_space) if z_space is not None else 0
self._Nca = len(c_space) if c_space is not None else 0
self._Nmi = self._Nco + self._Nin
if self._Nmi + self._Nca <= 0:
raise ValueError("The total number of dimensions must be positive.")
self._use_continuous = self._Nco > 0
self._use_integer = self._Nin > 0
self._use_gaussian = self._Nmi > 0
self._use_categorical = self._Nca > 0
self._continuous_idx = np.arange(self._Nco)
self._discrete_idx = np.arange(self._Nco, self._Nmi)
if population_size is None:
population_size = 4 + math.floor(3 * math.log(self._Nmi + self._Nca))
if population_size <= 0:
raise ValueError("population_size must be non-zero positive value.")
self._popsize = population_size
# --- CMA-ES weight (active covariance matrix adaptation) ---
self._mu = self._popsize // 2
weights_prime = np.array(
[
math.log((self._popsize + 1) / 2) - math.log(i + 1)
for i in range(self._popsize)
]
)
self._mu_eff = (np.sum(weights_prime[: self._mu]) ** 2) / np.sum(
weights_prime[: self._mu] ** 2
)
mu_eff_minus = (np.sum(weights_prime[self._mu :]) ** 2) / np.sum(
weights_prime[self._mu :] ** 2
)
# learning rate for the rank-one update
alpha_cov = 2
self._c1 = alpha_cov / ((self._Nmi + 1.3) ** 2 + self._mu_eff)
# learning rate for the rank-μ update
self._cmu = min(
1 - self._c1 - _EPS, # _EPS is for large popsize.
alpha_cov
* (self._mu_eff - 2 + 1 / self._mu_eff)
/ ((self._Nmi + 2) ** 2 + alpha_cov * self._mu_eff / 2),
)
assert (
self._c1 <= 1 - self._cmu
), "Invalid learning rate for the rank-one update."
assert self._cmu <= 1 - self._c1, "Invalid learning rate for the rank-μ update."
min_alpha = (
0
if self._Nmi == 0
else min(
1 + self._c1 / self._cmu,
1 + (2 * mu_eff_minus) / (self._mu_eff + 2),
(1 - self._c1 - self._cmu) / (self._Nmi * self._cmu),
)
)
# TODO: Handle ranking ties when computing weights.
positive_sum = np.sum(weights_prime[weights_prime > 0])
negative_sum = np.sum(np.abs(weights_prime[weights_prime < 0]))
self._weights = np.where(
weights_prime >= 0,
1 / positive_sum * weights_prime,
min_alpha / negative_sum * weights_prime,
)
# generation number
self._g = 0
self._rng = np.random.RandomState(seed)
# --- initialization for each domain ---
if self._use_integer:
self._init_discretization(z_space)
if self._use_gaussian:
self._init_gaussian(x_space, mean, sigma, cov)
if self._use_categorical:
self._init_categorical(c_space, cat_param)
def _init_discretization(
self,
z_space: Optional[Sequence[Sequence[Union[int, float]]]],
) -> None:
assert z_space is not None, "z_space must not be None for integer variables."
for i, row in enumerate(z_space):
if len(row) < 2:
raise ValueError(
f"z_space must be a sequence of arrays with length >= 2. "
f"Found length {len(row)} at index {i}: {row}"
)
if len(set(row)) < len(row):
raise ValueError(
f"Elements in each array of z_space must be unique. "
f"Found duplicate at index {i}: {row}"
)
# Pad the row with its maximum value to reach the maximum row length
max_length = max(len(row) for row in z_space)
self._z_space = np.array(
[
np.pad(
np.array(sr),
pad_width=(0, max_length - len(sr)),
mode="constant",
constant_values=(sr[-1]),
)
for row in z_space
for sr in [sorted(row)]
]
)
# discretization thresholds
self._z_lim = (self._z_space[:, 1:] + self._z_space[:, :-1]) / 2
# margin value for integer variables
self._alpha = 1 - 0.73 ** (1 / (self._Nin + self._Nca))
# mutation rates for integer variables
self._pmut = (0.5 - _EPS) * np.ones(self._Nin)
# successful integer mutation
self._int_succ = np.zeros(self._Nin, dtype=bool)
def _init_gaussian(
self,
x_space: Optional[Sequence[Sequence[float]]],
mean: Optional[np.ndarray],
sigma: Optional[float],
cov: Optional[np.ndarray],
) -> None:
if x_space is not None:
self._x_space = np.asarray(x_space, dtype=float)
if self._x_space.ndim != 2 or self._x_space.shape[1] != 2:
raise ValueError(
f"x_space must be a two-dimensional array with shape (n, 2), "
f"but got shape {self._x_space.shape}."
)
invalid = np.where(self._x_space[:, 0] >= self._x_space[:, 1])[0]
if invalid.size > 0:
i = invalid[0]
lb, ub = self._x_space[i, 0], self._x_space[i, 1]
raise ValueError(
f"Lower bound must be less than upper bound at index {i}: {lb} >= {ub}"
)
# bounds for the mixed continuous and integer space
if self._use_continuous and self._use_integer:
lower_x = self._x_space[:, 0]
upper_x = self._x_space[:, 1]
lower_z = np.min(self._z_space, axis=1)
upper_z = np.max(self._z_space, axis=1)
lower_g = np.concatenate([lower_x, lower_z])
upper_g = np.concatenate([upper_x, upper_z])
# bounds for the integer space
if not self._use_continuous and self._use_integer:
lower_g = np.min(self._z_space, axis=1)
upper_g = np.max(self._z_space, axis=1)
# bounds for the continuous space
if self._use_continuous and not self._use_integer:
lower_g = self._x_space[:, 0]
upper_g = self._x_space[:, 1]
if mean is None:
# Set initial mean to the center of the search space
self._mean = np.zeros(self._Nmi)
self._mean[(lower_g != -np.inf) & (upper_g != np.inf)] = (
lower_g[(lower_g != -np.inf) & (upper_g != np.inf)]
+ upper_g[(lower_g != -np.inf) & (upper_g != np.inf)]
) / 2
self._mean[(lower_g == -np.inf) & (upper_g != np.inf)] = (
upper_g[(lower_g == -np.inf) & (upper_g != np.inf)] - 1
)
self._mean[(lower_g != -np.inf) & (upper_g == np.inf)] = (
lower_g[(lower_g != -np.inf) & (upper_g == np.inf)] + 1
)
else:
if len(mean) != self._Nmi:
raise ValueError(
f"Invalid shape of mean: expected length {self._Nmi}, "
f"but got {len(mean)}."
)
self._mean = mean
assert np.all(
np.abs(self._mean) < _MEAN_MAX
), f"Abs of all elements of mean vector must be less than {_MEAN_MAX}."
if sigma is None:
self._sigma = 1.0
else:
if sigma <= 0:
raise ValueError("sigma must be non-zero positive value.")
self._sigma = sigma
if cov is None:
# Set initial standard deviation to
# width / 6 (continuous)
# width / 5 (integer)
width = np.minimum(self._mean - lower_g, upper_g - self._mean)
width /= np.where(np.arange(self._Nmi) < self._Nco, 6, 5)
self._C = np.diag(np.where(np.isfinite(width), width**2, 1.0))
else:
if cov.shape != (self._Nmi, self._Nmi):
raise ValueError(
f"Invalid shape of covariance matrix: expected "
f"({self._Nmi}, {self._Nmi}), but got {cov.shape}."
)
self._C = cov
self._D: Optional[np.ndarray] = None
self._B: Optional[np.ndarray] = None
# --- Other CMA-ES parameters ---
# learning rate for the mean
self._cm = 1.0
# learning rate for the cumulation for the step-size control
self._c_sigma = (self._mu_eff + 2) / (self._Nmi + self._mu_eff + 5)
self._d_sigma = (
1
+ 2 * max(0, math.sqrt((self._mu_eff - 1) / (self._Nmi + 1)) - 1)
+ self._c_sigma
)
assert (
self._c_sigma < 1
), "Invalid learning rate for cumulation for the step-size control."
# learning rate for cumulation for the rank-one update
self._cc = (4 + self._mu_eff / self._Nmi) / (
self._Nmi + 4 + 2 * self._mu_eff / self._Nmi
)
assert (
self._cc <= 1
), "Invalid learning rate for cumulation for the rank-one update."
# E||N(0, I_Nmi)||
self._chi_n = math.sqrt(self._Nmi) * (
1.0 - (1.0 / (4.0 * self._Nmi)) + 1.0 / (21.0 * (self._Nmi**2))
)
# evolution paths
self._p_sigma = np.zeros(self._Nmi)
self._pc = np.zeros(self._Nmi)
# matrix for margin correction
self._A = np.full(self._Nmi, 1.0)
# minimum eigenvalue of covariance matrix
self._min_eigenvalue = 1e-30
# history of interquartile range of the unpenalized objective function values
self._iqhist_term = 20 + math.ceil(3 * self._Nmi / self._popsize)
self._iqhist_values: List[float] = []
# termination criteria based on CMA-ES
self._tolx = 1e-12 * self._sigma
self._tolxup = 1e4
self._tolfun = 1e-12
self._tolconditioncov = 1e14
self._funhist_term = 10 + math.ceil(30 * self._Nmi / self._popsize)
self._funhist_values = np.empty(self._funhist_term * 2)
def _init_categorical(
self,
c_space: Optional[Sequence[int]],
cat_param: Optional[np.ndarray],
) -> None:
assert (
c_space is not None
), "c_space must not be None for categorical variables."
self._K = np.asarray(c_space, dtype=int)
if not np.all(self._K >= 2):
invalid = np.where(self._K < 2)[0][0]
raise ValueError(
f"All elements of c_space must be >= 2. "
f"Found {self._K[invalid]} at index {invalid}."
)
self._Kmax = np.max(self._K)
if cat_param is None:
self._q = np.zeros((self._Nca, self._Kmax))
for i in range(self._Nca):
self._q[i, : self._K[i]] = 1 / self._K[i]
else:
if cat_param.shape != (self._Nca, self._Kmax):
raise ValueError(
f"Invalid shape of categorical distribution parameter: "
f"expected ({self._Nca}, {self._Kmax}), got {cat_param.shape}."
)
for i in range(self._Nca):
if not np.all(cat_param[i, self._K[i] :] == 0):
raise ValueError(
f"Parameters in categorical distribution with fewer categories "
f"must be zero-padded at the end. "
f"Non-zero padding found at row {i}: {cat_param[i]}"
)
if not np.all((cat_param >= 0) & (cat_param <= 1)):
raise ValueError(
"All elements in categorical distribution parameter "
"must be between 0 and 1."
)
if not np.allclose(np.sum(cat_param, axis=1), 1):
raise ValueError(
"Each row in categorical distribution parameter must sum to 1."
)
self._q = cat_param
# margin value for categorical variables
self._qmin = (1 - 0.73 ** (1 / (self._Nin + self._Nca))) / (self._K - 1)
# --- ASNG parameters ---
# Adaptive Stochastic Natural Gradient method:
# https://proceedings.mlr.press/v97/akimoto19a.html
self._param_sum = np.sum(self._K - 1)
self._alpha_snr = 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
@property
def n_continuous(self) -> int:
"""Number of continuous variables"""
return self._Nco
@property
def n_integer(self) -> int:
"""Number of integer variables"""
return self._Nin
@property
def n_categorical(self) -> int:
"""Number of categorical variables"""
return self._Nca
@property
def population_size(self) -> int:
"""A population size"""
return self._popsize
@property
def generation(self) -> int:
"""Generation number which is monotonically incremented
when the distribution is updated."""
return self._g
def reseed_rng(self, seed: int) -> None:
"""Reseeds the internal random number generator."""
self._rng.seed(seed)
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_from_gaussian(self) -> np.ndarray:
B, D = self._eigen_decomposition()
xi = self._rng.randn(self._Nmi) # ~ N(0, I)
y = cast(np.ndarray, B.dot(np.diag(D))).dot(xi) # ~ N(0, C)
v = self._mean + self._sigma * self._A * y # ~ N(m, σ^2 A C A)
return v
def _sample_from_categorical(self) -> np.ndarray:
# Categorical variables are one-hot encoded.
# Variables with fewer categories are zero-padded at the end.
rand_q = self._rng.rand(self._Nca, 1)
cum_q = self._q.cumsum(axis=1)
c = (cum_q - self._q <= rand_q) & (rand_q < cum_q)
return c
def _repair_continuous_params(self, continuous_param: np.ndarray) -> np.ndarray:
if self._x_space is None:
return continuous_param
# clip with lower and upper bound.
param = np.where(
continuous_param < self._x_space[:, 0],
self._x_space[:, 0],
continuous_param,
)
param = np.where(param > self._x_space[:, 1], self._x_space[:, 1], param)
return param
def _discretization(self, v_discrete: np.ndarray) -> np.ndarray:
z_pos = np.array(
[
np.searchsorted(self._z_lim[i], v_discrete[i])
for i in range(len(v_discrete))
]
)
z = self._z_space[np.arange(len(self._z_space)), z_pos]
return z
def _calc_continuous_penalty(
self, v_raw: np.ndarray, sorted_fvals: np.ndarray
) -> np.ndarray:
# penalty values for box constraint handling:
# https://ieeexplore.ieee.org/document/4634579
iq_range = (
sorted_fvals[3 * self._popsize // 4] - sorted_fvals[self._popsize // 4]
)
# insert iq_range in history
if np.isfinite(iq_range) and iq_range > 0:
self._iqhist_values.insert(0, iq_range)
elif iq_range == np.inf and len(self._iqhist_values) > 1:
self._iqhist_values.insert(0, max(self._iqhist_values))
else:
pass # ignore 0 or nan values
if len(self._iqhist_values) > self._iqhist_term:
self._iqhist_values.pop()
bound_low = np.concatenate((self._x_space[:, 0], np.full(self._Nin, -np.inf)))
bound_up = np.concatenate((self._x_space[:, 1], np.full(self._Nin, np.inf)))
diag_CA = np.diag(self._C) * self._A
delta_fit = np.median(self._iqhist_values)
gamma = np.ones(self._Nmi) * 2 * delta_fit / (self._sigma**2 * np.sum(diag_CA))
gamma_inc_low = (self._mean < bound_low) * (
np.abs(self._mean - bound_low)
> 3
* self._sigma
* np.sqrt(diag_CA)
* max(1, np.sqrt(self._Nmi) / self._mu_eff)
)
gamma_inc_up = (bound_up < self._mean) * (
np.abs(bound_up - self._mean)
> 3
* self._sigma
* np.sqrt(diag_CA)
* max(1, np.sqrt(self._Nmi) / self._mu_eff)
)
gamma_inc = np.logical_or(gamma_inc_low, gamma_inc_up)
gamma[gamma_inc] *= 1.1 ** (max(1, self._mu_eff / (10 * self._Nmi)))
xis = np.exp(0.9 * (np.log(diag_CA) - np.sum(np.log(diag_CA)) / self._Nmi))
v_feas = np.where(
v_raw < bound_low, bound_low, np.where(v_raw > bound_up, bound_up, v_raw)
)
penalties = np.sum(gamma * ((v_feas - v_raw) ** 2) / xis, axis=1)
return penalties
def _integer_centering(self, v_raw: np.ndarray) -> np.ndarray:
# integer centering and
# calculation of whether a successful integer mutation occurred
v_old = np.copy(v_raw)
int_m = self._discretization(self._mean[self._discrete_idx])
mpos = np.zeros(self._Nin)
mneg = np.zeros(self._Nin)
self._int_succ = np.zeros(self._Nin, dtype=bool)
for i in range(self._mu):
vin_i = v_raw[i, self._discrete_idx]
int_vin_i = self._discretization(vin_i)
mutated = int_vin_i != int_m
self._int_succ = np.logical_or(self._int_succ, mutated)
mpos += (~mutated) * ((int_vin_i - vin_i) > 0) * (int_vin_i - vin_i)
mneg += (~mutated) * ((int_vin_i - vin_i) < 0) * (int_vin_i - vin_i)
v_raw[i, self._discrete_idx[mutated]] = int_vin_i[mutated]
bias = np.sum((v_raw - v_old)[: self._mu, self._discrete_idx], axis=0)
alphas = np.zeros(self._Nin)
for moves in [mpos, mneg]:
idx = bias * moves < 0
alphas[idx] = np.minimum(1, -bias[idx] / moves[idx])
for i in range(self._mu):
int_voldin_i = self._discretization(v_old[i, self._discrete_idx])
int_vin_i = self._discretization(v_raw[i, self._discrete_idx])
Delta = int_voldin_i - v_old[i, self._discrete_idx]
non_mutated = int_vin_i == int_m
bias_Delta_cond = bias * Delta < 0
indic = np.logical_and(bias_Delta_cond, non_mutated)
v_raw[i, self._discrete_idx] += indic * alphas * Delta
return v_raw
def _update_gaussian(self, sv: np.ndarray) -> None:
x_k = (sv - self._mean) / self._A + self._mean # ~ N(m, σ^2 C)
y_k = (x_k - self._mean) / self._sigma # ~ N(0, C)
B, D = self._eigen_decomposition()
# 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._Nmi + 1)) * self._chi_n
h_sigma = 1.0 if h_sigma_cond_left < h_sigma_cond_right else 0.0 # (p.28)
self._pc = (1 - self._cc) * self._pc + h_sigma * math.sqrt(
self._cc * (2 - self._cc) * self._mu_eff
) * y_w
w_io = self._weights * np.where(
self._weights >= 0,
1,
self._Nmi / (np.linalg.norm(C_2.dot(y_k.T), axis=0) ** 2 + _EPS),
)
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(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
)
# post-processing to prevent the minimum eigenvalue from becoming too small
self._B, self._D = None, None
B_updated, D_updated = self._eigen_decomposition()
sigma_min = np.sqrt(self._min_eigenvalue / np.min(D_updated))
self._sigma = max(self._sigma, sigma_min)
def _margin_correction(self) -> None:
updated_m_integer = self._mean[self._discrete_idx]
# nearest discretization thresholds
m_pos = np.array(
[
np.searchsorted(self._z_lim[i], updated_m_integer[i])
for i in range(len(updated_m_integer))
]
)
z_lim_low_index = np.clip(m_pos - 1, 0, self._z_lim.shape[1] - 1)
z_lim_up_index = np.clip(m_pos, 0, self._z_lim.shape[1] - 1)
m_z_lim_low = self._z_lim[np.arange(len(self._z_lim)), z_lim_low_index]
m_z_lim_up = self._z_lim[np.arange(len(self._z_lim)), z_lim_up_index]
# low_cdf := Pr(X <= m_z_lim_low)
# up_cdf := Pr(m_z_lim_up < X)
z_scale = (
self._sigma
* self._A[self._discrete_idx]
* np.sqrt(np.diag(self._C)[self._discrete_idx])
)
low_cdf = norm_cdf(m_z_lim_low, loc=updated_m_integer, scale=z_scale)
up_cdf = 1.0 - norm_cdf(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
# indices of successful integer mutations
suc_idx = np.where(self._int_succ)
nsuc_idx = np.where(~self._int_succ)
if np.any(edge_mask):
# modify sign
modify_sign = np.sign(self._mean[self._discrete_idx] - m_z_lim_up)
# clip mutation rates
p_mut = np.minimum(low_cdf, up_cdf)
p_mut = np.maximum(p_mut, self._alpha)
p_mut[nsuc_idx] = np.minimum(p_mut[nsuc_idx], self._pmut[nsuc_idx])
indices_to_update = self._discrete_idx[edge_mask]
# avoid numerical errors
p_mut = np.clip(p_mut, _EPS, 0.5 - _EPS)
# modify A
m_int = self._discretization(updated_m_integer)
A_lower = np.abs(m_int - m_z_lim_up) / (
self._sigma
* np.sqrt(
chi2_ppf(q=1.0 - 2.0 * self._alpha)
* np.diag(self._C)[self._discrete_idx]
)
)
self._A[indices_to_update] = np.maximum(
self._A[indices_to_update], A_lower[edge_mask]
)
# distance from m_z_lim_up
dist = (
self._sigma
* self._A[self._discrete_idx]
* np.sqrt(
chi2_ppf(q=1.0 - 2.0 * p_mut) * np.diag(self._C)[self._discrete_idx]
)
)
# modify mean vector
self._mean[self._discrete_idx] = self._mean[
self._discrete_idx
] + edge_mask * (
m_z_lim_up + modify_sign * dist - self._mean[self._discrete_idx]
)
# save mutation rates for the next generation
self._pmut[edge_mask] = p_mut[edge_mask]
if np.any(side_mask):
low_cdf = np.maximum(low_cdf, self._alpha / 2)
up_cdf = np.maximum(up_cdf, self._alpha / 2)
mid_cdf[nsuc_idx] = np.maximum(mid_cdf[nsuc_idx], 1 - self._pmut[nsuc_idx])
Delta_cdf = 1 - low_cdf - up_cdf - mid_cdf
Delta_cdf[suc_idx] /= (
low_cdf[suc_idx]
+ up_cdf[suc_idx]
+ mid_cdf[suc_idx]
- 3 * self._alpha / 2
)
Delta_cdf[nsuc_idx] /= (
low_cdf[nsuc_idx]
+ up_cdf[nsuc_idx]
+ mid_cdf[nsuc_idx]
- self._alpha
- (1 - self._pmut[nsuc_idx])
)
low_cdf += Delta_cdf * (low_cdf - self._alpha / 2)
up_cdf += Delta_cdf * (up_cdf - self._alpha / 2)
# avoid numerical errors
low_cdf = np.clip(low_cdf, _EPS, 0.5 - _EPS)
up_cdf = np.clip(up_cdf, _EPS, 0.5 - _EPS)
# modify mean vector and A (with sigma and C fixed)
chi_low_sq = np.sqrt(chi2_ppf(q=1.0 - 2 * low_cdf))
chi_up_sq = np.sqrt(chi2_ppf(q=1.0 - 2 * up_cdf))
C_diag_sq = np.sqrt(np.diag(self._C))[self._discrete_idx]
self._A[self._discrete_idx] = self._A[self._discrete_idx] + side_mask * (
(m_z_lim_up - m_z_lim_low)
/ ((chi_low_sq + chi_up_sq) * self._sigma * C_diag_sq)
- self._A[self._discrete_idx]
)
self._mean[self._discrete_idx] = self._mean[
self._discrete_idx
] + side_mask * (
(m_z_lim_low * chi_up_sq + m_z_lim_up * chi_low_sq)
/ (chi_low_sq + chi_up_sq)
- self._mean[self._discrete_idx]
)
# save mutation rates for the next generation
self._pmut[side_mask] = low_cdf[side_mask] + up_cdf[side_mask]
def _update_categorical(self, sc: np.ndarray) -> None:
# natural gradient
ngrad = (
self._weights[: self._mu, np.newaxis, np.newaxis]
* (sc[: self._mu, :, :] - 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))
self._eps = self._delta / (pnorm + _EPS)
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_snr)
)
self._Delta = min(self._Delta, self._Delta_max)
# margin correction for categorical distribution
for i in range(self._Nca):
Ki = self._K[i]
self._q[i, :Ki] = np.maximum(self._q[i, :Ki], self._qmin[i])
q_sum = self._q[i, :Ki].sum()
tmp = q_sum - self._qmin[i] * Ki
self._q[i, :Ki] -= (q_sum - 1) * (self._q[i, :Ki] - self._qmin[i]) / tmp
self._q[i, :Ki] /= self._q[i, :Ki].sum()
def ask(self) -> CatCMAwM.Solution:
"""Sample a solution from the current search distribution.
Returns:
Solution: A sampled Solution object containing continuous (x),
integer (z), and/or categorical (c) variables.
"""
x = None
z = None
c = None
v_raw = None
if self._use_gaussian:
v_raw = self._sample_from_gaussian()
if self._use_continuous:
x_raw = v_raw[self._continuous_idx]
x = self._repair_continuous_params(x_raw)
if self._use_integer:
z = self._discretization(v_raw[self._discrete_idx])
if self._use_categorical:
c = self._sample_from_categorical()
return CatCMAwM.Solution(x, z, c, v_raw)
def tell(self, solutions: List[Tuple[CatCMAwM.Solution, float]]) -> None:
"""Tell evaluation values"""
if len(solutions) != self._popsize:
raise ValueError(
f"Must tell population_size-length solutions: "
f"expected {self._popsize}, but got {len(solutions)}."
)
solutions.sort(key=lambda s: s[1])
fvals = np.stack([sol[1] for sol in solutions])
# calculate penalty values for infeasible continuous solutions
penalties = np.zeros(self._popsize)
if self._use_continuous:
v_raw = np.stack([cast(np.ndarray, sol[0]._v_raw) for sol in solutions])
penalties = self._calc_continuous_penalty(v_raw, fvals)
for i in range(self._popsize):
solutions[i] = (solutions[i][0], solutions[i][1] + penalties[i])
solutions.sort(key=lambda s: s[1])
sv = None
sc = None
if self._use_gaussian:
sv = np.stack([cast(np.ndarray, sol[0]._v_raw) for sol in solutions])
assert np.all(
np.abs(sv) < _MEAN_MAX
), f"Abs of all param values must be less than {_MEAN_MAX} to avoid overflow errors."
if self._use_categorical:
sc = np.stack([cast(np.ndarray, sol[0].c) for sol in solutions])
self._g += 1
# Stores 'best' and 'worst' values of the
# last 'self._funhist_term' generations.
if self._use_gaussian:
funhist_idx = 2 * (self.generation % self._funhist_term)
self._funhist_values[funhist_idx] = fvals[0]
self._funhist_values[funhist_idx + 1] = fvals[-1]
# integer centering
if self._use_integer:
assert sv is not None, "sv (sample from gaussian) must not be None."
sv = self._integer_centering(sv)
# --- update distribution parameters ---
if self._use_gaussian:
assert sv is not None, "sv (sample from gaussian) must not be None."
self._update_gaussian(sv)
if self._use_integer:
self._margin_correction()
if self._use_categorical:
assert sc is not None, "sc (sample from categorical) must not be None."
self._update_categorical(sc)
def should_stop(self) -> bool:
"""Termination conditions specifically tailored for mixed-variable
cases are not yet implemented. Currently, only standard CMA-ES conditions for
Gaussian distributions are used."""
if not self._use_gaussian:
warnings.warn(
"Termination conditions are only applicable for Gaussian distribution."
)
return False
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._Nmi
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
|