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<div class="title">GlobalOptimizer.cpp</div> </div>
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<p>This example shows the use of several different optimizers: firefly algorithm, hybrid simulated annealing, particle swarm optimization, simulated annealing, and differential evolution.</p>
<div class="fragment"><div class="line"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <ql/qldefines.hpp></span></div>
<div class="line"><span class="preprocessor">#ifdef BOOST_MSVC</span></div>
<div class="line"><span class="preprocessor"># include <ql/auto_link.hpp></span></div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"><span class="preprocessor">#include <ql/math/optimization/differentialevolution.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/math/optimization/simulatedannealing.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/math/fireflyalgorithm.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/math/hybridsimulatedannealing.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/math/particleswarmoptimization.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/functional.hpp></span></div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <ql/tuple.hpp></span></div>
<div class="line"><span class="preprocessor">#include <iostream></span></div>
<div class="line"><span class="preprocessor">#include <iomanip></span></div>
<div class="line"> </div>
<div class="line"><span class="keyword">using namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a>;</div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span></div>
<div class="line"><span class="keyword">namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a> {</div>
<div class="line"> </div>
<div class="line"> ThreadKey sessionId() { <span class="keywordflow">return</span> 0; }</div>
<div class="line"> </div>
<div class="line">}</div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">unsigned</span> <span class="keywordtype">long</span> seed = 127;</div>
<div class="line"> </div>
<div class="line"><span class="comment">/*</span></div>
<div class="line"><span class="comment"> Some benchmark functions taken from</span></div>
<div class="line"><span class="comment"> https://en.wikipedia.org/wiki/Test_functions_for_optimization</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> Global optimizers have generally a lot of hyper-parameters, and one</span></div>
<div class="line"><span class="comment"> * usually requires some hyper-parameter optimization to find appropriate values</span></div>
<div class="line"><span class="comment">*/</span></div>
<div class="line"> </div>
<div class="line"><a name="a0"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> ackley(<span class="keyword">const</span> <a name="_a1"></a><a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x) {</div>
<div class="line"> <span class="comment">//Minimum is found at 0</span></div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> p1 = 0.0, p2 = 0.0;</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < x.<a name="a2"></a><a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>(); i++) {</div>
<div class="line"> p1 += x[i] * x[i];</div>
<div class="line"> p2 += std::cos(M_TWOPI*x[i]);</div>
<div class="line"> }</div>
<div class="line"> p1 = -0.2*std::sqrt(0.5*p1);</div>
<div class="line"> p2 *= 0.5;</div>
<div class="line"> <span class="keywordflow">return</span> M_E + 20.0 - 20.0*std::exp(p1)-std::exp(p2);</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><a name="_a3"></a><a class="code" href="class_quant_lib_1_1_disposable.html" title="generic disposable object with move semantics">Disposable<Array></a> ackleyValues(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> y(x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>());</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>(); i++) {</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> p1 = x[i] * x[i];</div>
<div class="line"> p1 = -0.2*std::sqrt(0.5*p1);</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> p2 = 0.5*std::cos(M_TWOPI*x[i]);</div>
<div class="line"> y[i] = M_E + 20.0 - 20.0*std::exp(p1)-std::exp(p2);</div>
<div class="line"> }</div>
<div class="line"> <span class="keywordflow">return</span> y;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> sphere(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x) {</div>
<div class="line"> <span class="comment">//Minimum is found at 0</span></div>
<div class="line"> <span class="keywordflow">return</span> DotProduct(x, x);</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><a class="code" href="class_quant_lib_1_1_disposable.html" title="generic disposable object with move semantics">Disposable<Array></a> sphereValues(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> y(x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>());</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>(); i++) {</div>
<div class="line"> y[i] = x[i]*x[i];</div>
<div class="line"> }</div>
<div class="line"> <span class="keywordflow">return</span> y;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> rosenbrock(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x) {</div>
<div class="line"> <span class="comment">//Minimum is found at f(1, 1, ...)</span></div>
<div class="line"> QL_REQUIRE(x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>() > 1, <span class="stringliteral">"Input size needs to be higher than 1"</span>);</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> result = 0.0;</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>() - 1; i++) {</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> temp = (x[i + 1] - x[i] * x[i]);</div>
<div class="line"> result += (x[i] - 1.0)*(x[i] - 1.0) + 100.0*temp*temp;</div>
<div class="line"> }</div>
<div class="line"> <span class="keywordflow">return</span> result;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> easom(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x) {</div>
<div class="line"> <span class="comment">//Minimum is found at f(\pi, \pi, ...)</span></div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> p1 = 1.0, p2 = 0.0;</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>(); i++) {</div>
<div class="line"> p1 *= std::cos(x[i]);</div>
<div class="line"> p2 += (x[i] - M_PI)*(x[i] - M_PI);</div>
<div class="line"> }</div>
<div class="line"> <span class="keywordflow">return</span> -p1*std::exp(-p2);</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><a class="code" href="class_quant_lib_1_1_disposable.html" title="generic disposable object with move semantics">Disposable<Array></a> easomValues(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> y(x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>());</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>(); i++) {</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> p1 = std::cos(x[i]);</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> p2 = (x[i] - M_PI)*(x[i] - M_PI);</div>
<div class="line"> y[i] = -p1*std::exp(-p2);</div>
<div class="line"> }</div>
<div class="line"> <span class="keywordflow">return</span> y;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> eggholder(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x) {</div>
<div class="line"> <span class="comment">//Minimum is found at f(512, 404.2319)</span></div>
<div class="line"> QL_REQUIRE(x.<a class="code" href="class_quant_lib_1_1_array.html#acce0ab2cacc475b2434f24c65c91685a" title="dimension of the array">size</a>() == 2, <span class="stringliteral">"Input size needs to be equal to 2"</span>);</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> p = (x[1] + 47.0);</div>
<div class="line"> <span class="keywordflow">return</span> -p*std::sin(std::sqrt(std::abs(0.5*x[0] + p))) -</div>
<div class="line"> x[0] * std::sin(std::sqrt(std::abs(x[0] - p)));</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> printFunction(<a name="_a4"></a><a class="code" href="class_quant_lib_1_1_problem.html" title="Constrained optimization problem.">Problem</a>& p, <span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x) {</div>
<div class="line"> std::cout << <span class="stringliteral">" f("</span> << x[0];</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 1; i < x.size(); i++) {</div>
<div class="line"> std::cout << <span class="stringliteral">", "</span> << x[i];</div>
<div class="line"> }</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> val = p.<a name="a5"></a><a class="code" href="class_quant_lib_1_1_problem.html#ab5a7fc79ae2c7a09f08d7ab169a52dc7" title="call cost function computation and increment evaluation counter">value</a>(x);</div>
<div class="line"> std::cout << <span class="stringliteral">") = "</span> << val << std::endl;</div>
<div class="line"> <span class="keywordflow">return</span> val;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><span class="keyword">class </span>TestFunction : <span class="keyword">public</span> <a name="_a6"></a><a class="code" href="class_quant_lib_1_1_cost_function.html" title="Cost function abstract class for optimization problem.">CostFunction</a> {</div>
<div class="line"><span class="keyword">public</span>:</div>
<div class="line"> <span class="keyword">typedef</span> ext::function<<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a>(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>&)> RealFunc;</div>
<div class="line"> <span class="keyword">typedef</span> ext::function<Disposable<Array>(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>&)> ArrayFunc;</div>
<div class="line"> <span class="keyword">explicit</span> TestFunction(<span class="keyword">const</span> RealFunc & f, <span class="keyword">const</span> ArrayFunc & fs = ArrayFunc()) : f_(f), fs_(fs) {}</div>
<div class="line"> <span class="keyword">explicit</span> TestFunction(<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a>(*f)(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>&), <a class="code" href="class_quant_lib_1_1_disposable.html" title="generic disposable object with move semantics">Disposable<Array></a>(*fs)(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>&) = NULL) : f_(f), fs_(fs) {}</div>
<div class="line"> <span class="keyword">virtual</span> ~TestFunction(){}</div>
<div class="line"> <span class="keyword">virtual</span> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> value(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x)<span class="keyword"> const </span>{</div>
<div class="line"> <span class="keywordflow">return</span> f_(x);</div>
<div class="line"> }</div>
<div class="line"> <span class="keyword">virtual</span> <a class="code" href="class_quant_lib_1_1_disposable.html" title="generic disposable object with move semantics">Disposable<Array></a> values(<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& x)<span class="keyword"> const </span>{</div>
<div class="line"> <span class="keywordflow">if</span>(!fs_)</div>
<div class="line"> <span class="keywordflow">throw</span> std::runtime_error(<span class="stringliteral">"Invalid function"</span>);</div>
<div class="line"> <span class="keywordflow">return</span> fs_(x);</div>
<div class="line"> }</div>
<div class="line"><span class="keyword">private</span>:</div>
<div class="line"> RealFunc f_;</div>
<div class="line"> ArrayFunc fs_;</div>
<div class="line">};</div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">int</span> test(<a name="_a7"></a><a class="code" href="class_quant_lib_1_1_optimization_method.html" title="Abstract class for constrained optimization method.">OptimizationMethod</a>& method, <a class="code" href="class_quant_lib_1_1_cost_function.html" title="Cost function abstract class for optimization problem.">CostFunction</a>& f, <span class="keyword">const</span> <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_end_criteria.html" title="Criteria to end optimization process:">EndCriteria</a>& endCriteria,</div>
<div class="line"> <span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& start, <span class="keyword">const</span> <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_constraint.html" title="Base constraint class.">Constraint</a>& constraint = <a class="code" href="class_quant_lib_1_1_constraint.html" title="Base constraint class.">Constraint</a>(),</div>
<div class="line"> <span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>& optimum = <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>()) {</div>
<div class="line"> QL_REQUIRE(!start.<a name="a10"></a><a class="code" href="class_quant_lib_1_1_array.html#a644718bb2fb240de962dc3c9a1fdf0dc" title="whether the array is empty">empty</a>(), <span class="stringliteral">"Input size needs to be at least 1"</span>);</div>
<div class="line"> std::cout << <span class="stringliteral">"Starting point: "</span>;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_constraint.html" title="Base constraint class.">Constraint</a> c;</div>
<div class="line"> <span class="keywordflow">if</span> (!constraint.empty())</div>
<div class="line"> c = constraint;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_problem.html" title="Constrained optimization problem.">Problem</a> p(f, c, start);</div>
<div class="line"> printFunction(p, start);</div>
<div class="line"> method.<a name="a11"></a><a class="code" href="class_quant_lib_1_1_optimization_method.html#a6bf9f0581475e7a28bdf478f941f116e" title="minimize the optimization problem P">minimize</a>(p, endCriteria);</div>
<div class="line"> std::cout << <span class="stringliteral">"End point: "</span>;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> val = printFunction(p, p.<a name="a12"></a><a class="code" href="class_quant_lib_1_1_problem.html#a2640a08249de104b1944e52e352400a9" title="current value of the local minimum">currentValue</a>());</div>
<div class="line"> <span class="keywordflow">if</span>(!optimum.empty())</div>
<div class="line"> {</div>
<div class="line"> std::cout << <span class="stringliteral">"Global optimum: "</span>;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> optimVal = printFunction(p, optimum);</div>
<div class="line"> <span class="keywordflow">if</span>(std::abs(optimVal) < 1e-13)</div>
<div class="line"> <span class="keywordflow">return</span> <span class="keyword">static_cast<</span><span class="keywordtype">int</span><span class="keyword">></span>(std::abs(val - optimVal) < 1e-6);</div>
<div class="line"> <span class="keywordflow">else</span></div>
<div class="line"> <span class="keywordflow">return</span> <span class="keyword">static_cast<</span><span class="keywordtype">int</span><span class="keyword">></span>(std::abs((val - optimVal) / optimVal) < 1e-6);</div>
<div class="line"> }</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">void</span> testFirefly() {</div>
<div class="line"> <span class="comment">/*</span></div>
<div class="line"><span class="comment"> The Eggholder function is only in 2 dimensions, it has a multitude</span></div>
<div class="line"><span class="comment"> * of local minima, and they are not symmetric necessarily</span></div>
<div class="line"><span class="comment"> */</span></div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> n = 2;</div>
<div class="line"> <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_nonhomogeneous_boundary_constraint.html" title="Constraint imposing i-th argument to be in [low_i,high_i] for all i">NonhomogeneousBoundaryConstraint</a> constraint(<a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>(n, -512.0), <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>(n, 512.0));</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> x(n, 0.0);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> optimum(n);</div>
<div class="line"> optimum[0] = 512.0;</div>
<div class="line"> optimum[1] = 404.2319;</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> agents = 150;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> vola = 1.5;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> intense = 1.0;</div>
<div class="line"> ext::shared_ptr<FireflyAlgorithm::Intensity> intensity =</div>
<div class="line"> ext::make_shared<ExponentialIntensity>(10.0, 1e-8, intense);</div>
<div class="line"> ext::shared_ptr<FireflyAlgorithm::RandomWalk> randomWalk =</div>
<div class="line"> ext::make_shared<LevyFlightWalk>(vola, 0.5, 1.0, seed);</div>
<div class="line"> std::cout << <span class="stringliteral">"Function eggholder, Agents: "</span> << agents</div>
<div class="line"> << <span class="stringliteral">", Vola: "</span> << vola << <span class="stringliteral">", Intensity: "</span> << intense << std::endl;</div>
<div class="line"> TestFunction f(eggholder);</div>
<div class="line"> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_firefly_algorithm.html">FireflyAlgorithm</a> fa(agents, intensity, randomWalk, 40);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_end_criteria.html" title="Criteria to end optimization process:">EndCriteria</a> ec(5000, 1000, 1.0e-8, 1.0e-8, 1.0e-8);</div>
<div class="line"> test(fa, f, ec, x, constraint, optimum);</div>
<div class="line"> std::cout << <span class="stringliteral">"================================================================"</span> << std::endl;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">void</span> testSimulatedAnnealing(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> dimension, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> maxSteps, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> staticSteps){</div>
<div class="line"> </div>
<div class="line"> <span class="comment">/*The ackley function has a large amount of local minima, but the</span></div>
<div class="line"><span class="comment"> structure is symmetric, so if one could simply just ignore the</span></div>
<div class="line"><span class="comment"> walls separating the local minima, it would look like almost</span></div>
<div class="line"><span class="comment"> like a parabola</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> Andres Hernandez: I could not find a configuration that was able</span></div>
<div class="line"><span class="comment"> to fix the problem</span></div>
<div class="line"><span class="comment"> */</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">//global minimum is at 0.0</span></div>
<div class="line"> TestFunction f(ackley, ackleyValues);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">//Starting point</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> x(dimension, 1.5);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> optimum(dimension, 0.0);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">//Constraint for local optimizer</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> lower(dimension, -5.0);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> upper(dimension, 5.0);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_nonhomogeneous_boundary_constraint.html" title="Constraint imposing i-th argument to be in [low_i,high_i] for all i">NonhomogeneousBoundaryConstraint</a> constraint(lower, upper);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> lambda = 0.1;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> temperature = 350;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> epsilon = 0.99;</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> ms = 1000;</div>
<div class="line"> std::cout << <span class="stringliteral">"Function ackley, Lambda: "</span> << lambda</div>
<div class="line"> << <span class="stringliteral">", Temperature: "</span> << temperature</div>
<div class="line"> << <span class="stringliteral">", Epsilon: "</span> << epsilon</div>
<div class="line"> << <span class="stringliteral">", Iterations: "</span> << ms</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_mersenne_twister_uniform_rng.html" title="Uniform random number generator.">MersenneTwisterUniformRng</a> rng(seed);</div>
<div class="line"> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_simulated_annealing.html" title="Simulated Annealing.">SimulatedAnnealing<MersenneTwisterUniformRng></a> sa(lambda, temperature, epsilon, ms, rng);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_end_criteria.html" title="Criteria to end optimization process:">EndCriteria</a> ec(maxSteps, staticSteps, 1.0e-8, 1.0e-8, 1.0e-8);</div>
<div class="line"> test(sa, f, ec, x, constraint, optimum);</div>
<div class="line"> std::cout << <span class="stringliteral">"================================================================"</span> << std::endl;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">void</span> testGaussianSA(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> dimension,</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> maxSteps,</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> staticSteps,</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> initialTemp,</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> finalTemp,</div>
<div class="line"> GaussianSimulatedAnnealing::ResetScheme resetScheme =</div>
<div class="line"> GaussianSimulatedAnnealing::ResetToBestPoint,</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> resetSteps = 150,</div>
<div class="line"> GaussianSimulatedAnnealing::LocalOptimizeScheme optimizeScheme =</div>
<div class="line"> GaussianSimulatedAnnealing::EveryBestPoint,</div>
<div class="line"> <span class="keyword">const</span> ext::shared_ptr<OptimizationMethod>& localOptimizer =</div>
<div class="line"> ext::make_shared<LevenbergMarquardt>()) {</div>
<div class="line"> </div>
<div class="line"> <span class="comment">/*The ackley function has a large amount of local minima, but the</span></div>
<div class="line"><span class="comment"> * structure is symmetric, so if one could simply just ignore the</span></div>
<div class="line"><span class="comment"> * walls separating the local minima, it would look like almost like</span></div>
<div class="line"><span class="comment"> * a parabola*/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">//global minimum is at 0.0</span></div>
<div class="line"> TestFunction f(ackley, ackleyValues);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Function: ackley, Dimensions: "</span> << dimension</div>
<div class="line"> << <span class="stringliteral">", Initial temp:"</span> << initialTemp</div>
<div class="line"> << <span class="stringliteral">", Final temp:"</span> << finalTemp</div>
<div class="line"> << <span class="stringliteral">", Reset scheme:"</span> << resetScheme</div>
<div class="line"> << <span class="stringliteral">", Reset steps:"</span> << resetSteps</div>
<div class="line"> << std::endl;</div>
<div class="line"> <span class="comment">//Starting point</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> x(dimension, 1.5);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> optimum(dimension, 0.0);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">//Constraint for local optimizer</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> lower(dimension, -5.0);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> upper(dimension, 5.0);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_nonhomogeneous_boundary_constraint.html" title="Constraint imposing i-th argument to be in [low_i,high_i] for all i">NonhomogeneousBoundaryConstraint</a> constraint(lower, upper);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">//Simulated annealing setup</span></div>
<div class="line"> <a name="_a17"></a><a class="code" href="class_quant_lib_1_1_sampler_gaussian.html" title="Gaussian Sampler.">SamplerGaussian</a> sampler(seed);</div>
<div class="line"> <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_probability_boltzmann_downhill.html" title="Boltzmann Downhill Probability.">ProbabilityBoltzmannDownhill</a> probability(seed);</div>
<div class="line"> TemperatureExponential temperature(initialTemp, dimension);</div>
<div class="line"> <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_hybrid_simulated_annealing.html">GaussianSimulatedAnnealing</a> sa(sampler, probability, temperature, <a name="_a20"></a><a class="code" href="struct_quant_lib_1_1_reannealing_trivial.html" title="Reannealing Trivial.">ReannealingTrivial</a>(),</div>
<div class="line"> initialTemp, finalTemp, 50, resetScheme,</div>
<div class="line"> resetSteps, localOptimizer,</div>
<div class="line"> optimizeScheme);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_end_criteria.html" title="Criteria to end optimization process:">EndCriteria</a> ec(maxSteps, staticSteps, 1.0e-8, 1.0e-8, 1.0e-8);</div>
<div class="line"> test(sa, f, ec, x, constraint, optimum);</div>
<div class="line"> std::cout << <span class="stringliteral">"================================================================"</span> << std::endl;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">void</span> testPSO(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> n){</div>
<div class="line"> <span class="comment">/*The Rosenbrock function has a global minima at (1.0, ...) and a local minima at (-1.0, 1.0, ...)</span></div>
<div class="line"><span class="comment"> The difficulty lies in the weird shape of the function*/</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_nonhomogeneous_boundary_constraint.html" title="Constraint imposing i-th argument to be in [low_i,high_i] for all i">NonhomogeneousBoundaryConstraint</a> constraint(<a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>(n, -1.0), <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>(n, 4.0));</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> x(n, 0.0);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> optimum(n, 1.0);</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> agents = 100;</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> kneighbor = 25;</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> threshold = 500;</div>
<div class="line"> std::cout << <span class="stringliteral">"Function: rosenbrock, Dimensions: "</span> << n</div>
<div class="line"> << <span class="stringliteral">", Agents: "</span> << agents << <span class="stringliteral">", K-neighbors: "</span> << kneighbor</div>
<div class="line"> << <span class="stringliteral">", Threshold: "</span> << threshold << std::endl;</div>
<div class="line"> ext::shared_ptr<ParticleSwarmOptimization::Topology> topology =</div>
<div class="line"> ext::make_shared<KNeighbors>(kneighbor);</div>
<div class="line"> ext::shared_ptr<ParticleSwarmOptimization::Inertia> inertia =</div>
<div class="line"> ext::make_shared<LevyFlightInertia>(1.5, threshold, seed);</div>
<div class="line"> TestFunction f(rosenbrock);</div>
<div class="line"> <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_particle_swarm_optimization.html">ParticleSwarmOptimization</a> pso(agents, topology, inertia, 2.05, 2.05, seed);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_end_criteria.html" title="Criteria to end optimization process:">EndCriteria</a> ec(10000, 1000, 1.0e-8, 1.0e-8, 1.0e-8);</div>
<div class="line"> test(pso, f, ec, x, constraint, optimum);</div>
<div class="line"> std::cout << <span class="stringliteral">"================================================================"</span> << std::endl;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">void</span> testDifferentialEvolution(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> n, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> agents){</div>
<div class="line"> <span class="comment">/*The Rosenbrock function has a global minima at (1.0, ...) and a local minima at (-1.0, 1.0, ...)</span></div>
<div class="line"><span class="comment"> The difficulty lies in the weird shape of the function*/</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_nonhomogeneous_boundary_constraint.html" title="Constraint imposing i-th argument to be in [low_i,high_i] for all i">NonhomogeneousBoundaryConstraint</a> constraint(<a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>(n, -4.0), <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a>(n, 4.0));</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> x(n, 0.0);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_array.html" title="1-D array used in linear algebra.">Array</a> optimum(n, 1.0);</div>
<div class="line"> </div>
<div class="line"> TestFunction f(rosenbrock);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> probability = 0.3;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> stepsizeWeight = 0.6;</div>
<div class="line"> DifferentialEvolution::Strategy strategy = DifferentialEvolution::BestMemberWithJitter;</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Function: rosenbrock, Dimensions: "</span> << n << <span class="stringliteral">", Agents: "</span> << agents</div>
<div class="line"> << <span class="stringliteral">", Probability: "</span> << probability</div>
<div class="line"> << <span class="stringliteral">", StepsizeWeight: "</span> << stepsizeWeight</div>
<div class="line"> << <span class="stringliteral">", Strategy: BestMemberWithJitter"</span> << std::endl;</div>
<div class="line"> DifferentialEvolution::Configuration config;</div>
<div class="line"> config.withBounds(<span class="keyword">true</span>)</div>
<div class="line"> .withCrossoverProbability(probability)</div>
<div class="line"> .withPopulationMembers(agents)</div>
<div class="line"> .withStepsizeWeight(stepsizeWeight)</div>
<div class="line"> .withStrategy(strategy)</div>
<div class="line"> .withSeed(seed);</div>
<div class="line"> </div>
<div class="line"> <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_differential_evolution.html" title="Differential Evolution configuration object.">DifferentialEvolution</a> de(config);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_end_criteria.html" title="Criteria to end optimization process:">EndCriteria</a> ec(5000, 1000, 1.0e-8, 1.0e-8, 1.0e-8);</div>
<div class="line"> test(de, f, ec, x, constraint, optimum);</div>
<div class="line"> std::cout << <span class="stringliteral">"================================================================"</span> << std::endl;</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">try</span> {</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Firefly Algorithm Test"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"----------------------------------------------------------------"</span> << std::endl;</div>
<div class="line"> testFirefly();</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Hybrid Simulated Annealing Test"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"----------------------------------------------------------------"</span> << std::endl;</div>
<div class="line"> testGaussianSA(3, 500, 200, 100.0, 0.1, GaussianSimulatedAnnealing::ResetToBestPoint, 150, GaussianSimulatedAnnealing::EveryNewPoint);</div>
<div class="line"> testGaussianSA(10, 500, 200, 100.0, 0.1, GaussianSimulatedAnnealing::ResetToBestPoint, 150, GaussianSimulatedAnnealing::EveryNewPoint);</div>
<div class="line"> testGaussianSA(30, 500, 200, 100.0, 0.1, GaussianSimulatedAnnealing::ResetToBestPoint, 150, GaussianSimulatedAnnealing::EveryNewPoint);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Particle Swarm Optimization Test"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"----------------------------------------------------------------"</span> << std::endl;</div>
<div class="line"> testPSO(3);</div>
<div class="line"> testPSO(10);</div>
<div class="line"> testPSO(30);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Simulated Annealing Test"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"----------------------------------------------------------------"</span> << std::endl;</div>
<div class="line"> testSimulatedAnnealing(3, 10000, 4000);</div>
<div class="line"> testSimulatedAnnealing(10, 10000, 4000);</div>
<div class="line"> testSimulatedAnnealing(30, 10000, 4000);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Differential Evolution Test"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"----------------------------------------------------------------"</span> << std::endl;</div>
<div class="line"> testDifferentialEvolution(3, 50);</div>
<div class="line"> testDifferentialEvolution(10, 150);</div>
<div class="line"> testDifferentialEvolution(30, 450);</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">return</span> 0;</div>
<div class="line"> } <span class="keywordflow">catch</span> (std::exception& e) {</div>
<div class="line"> std::cerr << e.what() << std::endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> } <span class="keywordflow">catch</span> (...) {</div>
<div class="line"> std::cerr << <span class="stringliteral">"unknown error"</span> << std::endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> }</div>
<div class="line">}</div>
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