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<div class="titlepage"><div><div><h2 class="title" style="clear: both">
<a name="math_toolkit.cma_es"></a><a class="link" href="cma_es.html" title="Evolution Strategy with Covariance Matrix Adaptation">Evolution Strategy with Covariance
Matrix Adaptation</a>
</h2></div></div></div>
<h4>
<a name="math_toolkit.cma_es.h0"></a>
<span class="phrase"><a name="math_toolkit.cma_es.synopsis"></a></span><a class="link" href="cma_es.html#math_toolkit.cma_es.synopsis">Synopsis</a>
</h4>
<pre class="programlisting"><span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">optimization</span><span class="special">/</span><span class="identifier">cma_es</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">></span>
<span class="keyword">namespace</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">optimization</span> <span class="special">{</span>
<span class="keyword">template</span> <span class="special"><</span><span class="keyword">typename</span> <span class="identifier">ArgumentContainer</span><span class="special">></span> <span class="keyword">struct</span> <span class="identifier">cma_es_parameters</span> <span class="special">{</span>
<span class="keyword">using</span> <span class="identifier">Real</span> <span class="special">=</span> <span class="keyword">typename</span> <span class="identifier">ArgumentContainer</span><span class="special">::</span><span class="identifier">value_type</span><span class="special">;</span>
<span class="identifier">ArgumentContainer</span> <span class="identifier">lower_bounds</span><span class="special">;</span>
<span class="identifier">ArgumentContainer</span> <span class="identifier">upper_bounds</span><span class="special">;</span>
<span class="identifier">size_t</span> <span class="identifier">max_generations</span> <span class="special">=</span> <span class="number">1000</span><span class="special">;</span>
<span class="identifier">ArgumentContainer</span> <span class="keyword">const</span> <span class="special">*</span> <span class="identifier">initial_guess</span> <span class="special">=</span> <span class="keyword">nullptr</span><span class="special">;</span>
<span class="comment">// If zero, choose the default from the reference.</span>
<span class="identifier">size_t</span> <span class="identifier">population_size</span> <span class="special">=</span> <span class="number">0</span><span class="special">;</span>
<span class="identifier">Real</span> <span class="identifier">learning_rate</span> <span class="special">=</span> <span class="number">1</span><span class="special">;</span>
<span class="special">};</span>
<span class="keyword">template</span> <span class="special"><</span><span class="keyword">typename</span> <span class="identifier">ArgumentContainer</span><span class="special">,</span> <span class="keyword">class</span> <span class="identifier">Func</span><span class="special">,</span> <span class="keyword">class</span> <span class="identifier">URBG</span><span class="special">></span>
<span class="identifier">ArgumentContainer</span> <span class="identifier">cma_es</span><span class="special">(</span><span class="keyword">const</span> <span class="identifier">Func</span> <span class="identifier">cost_function</span><span class="special">,</span>
<span class="identifier">cma_es_parameters</span><span class="special"><</span><span class="identifier">ArgumentContainer</span><span class="special">></span> <span class="keyword">const</span> <span class="special">&</span><span class="identifier">params</span><span class="special">,</span>
<span class="identifier">URBG</span> <span class="special">&</span><span class="identifier">gen</span><span class="special">,</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">invoke_result_t</span><span class="special"><</span><span class="identifier">Func</span><span class="special">,</span> <span class="identifier">ArgumentContainer</span><span class="special">></span> <span class="identifier">value_to_reach</span>
<span class="special">=</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">numeric_limits</span><span class="special"><</span><span class="identifier">std</span><span class="special">::</span><span class="identifier">invoke_result_t</span><span class="special"><</span><span class="identifier">Func</span><span class="special">,</span> <span class="identifier">ArgumentContainer</span><span class="special">>>::</span><span class="identifier">quiet_NaN</span><span class="special">(),</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">atomic</span><span class="special"><</span><span class="keyword">bool</span><span class="special">></span> <span class="special">*</span><span class="identifier">cancellation</span> <span class="special">=</span> <span class="keyword">nullptr</span><span class="special">,</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">atomic</span><span class="special"><</span><span class="identifier">std</span><span class="special">::</span><span class="identifier">invoke_result_t</span><span class="special"><</span><span class="identifier">Func</span><span class="special">,</span> <span class="identifier">ArgumentContainer</span><span class="special">>></span> <span class="special">*</span><span class="identifier">current_minimum_cost</span> <span class="special">=</span> <span class="keyword">nullptr</span><span class="special">,</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">vector</span><span class="special"><</span><span class="identifier">std</span><span class="special">::</span><span class="identifier">pair</span><span class="special"><</span><span class="identifier">ArgumentContainer</span><span class="special">,</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">invoke_result_t</span><span class="special"><</span><span class="identifier">Func</span><span class="special">,</span> <span class="identifier">ArgumentContainer</span><span class="special">>>></span> <span class="special">*</span><span class="identifier">queries</span> <span class="special">=</span> <span class="keyword">nullptr</span><span class="special">);</span>
<span class="special">}</span> <span class="comment">// namespaces</span>
</pre>
<p>
The <code class="computeroutput"><span class="identifier">cma_es</span></code> optimizer searches
for a global minimum of a function. Our implementation attempts to follow "The
CMA evolution strategy: A tutorial" exactly.
</p>
<h4>
<a name="math_toolkit.cma_es.h1"></a>
<span class="phrase"><a name="math_toolkit.cma_es.parameters"></a></span><a class="link" href="cma_es.html#math_toolkit.cma_es.parameters">Parameters</a>
</h4>
<div class="itemizedlist"><ul class="itemizedlist" style="list-style-type: disc; ">
<li class="listitem">
<code class="computeroutput"><span class="identifier">lower_bounds</span></code>: A container
representing the lower bounds of the optimization space along each dimension.
The <code class="computeroutput"><span class="special">.</span><span class="identifier">size</span><span class="special">()</span></code> of the bounds should return the dimension
of the problem.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">upper_bounds</span></code>: A container
representing the upper bounds of the optimization space along each dimension.
It should have the same size of <code class="computeroutput"><span class="identifier">lower_bounds</span></code>,
and each element should be >= the corresponding element of <code class="computeroutput"><span class="identifier">lower_bounds</span></code>.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">initial_guess</span></code>: An optional
guess for where we should start looking for solutions.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">max_generations</span></code>: The maximum
number of generations before giving up.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">population_size</span></code>: The number
of function calls per generation. Defaults to <code class="computeroutput"><span class="number">4</span>
<span class="special">+</span> <span class="number">3l</span><span class="identifier">og</span><span class="special">(</span><span class="identifier">D</span><span class="special">)</span></code>, where <code class="computeroutput"><span class="identifier">D</span></code>
is the dimension.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">learning_rate</span></code>: Unlikely
to be necessary-refer to the reference for when this should be changed.
</li>
</ul></div>
<h4>
<a name="math_toolkit.cma_es.h2"></a>
<span class="phrase"><a name="math_toolkit.cma_es.the_function"></a></span><a class="link" href="cma_es.html#math_toolkit.cma_es.the_function">The
function</a>
</h4>
<pre class="programlisting"><span class="keyword">template</span> <span class="special"><</span><span class="keyword">typename</span> <span class="identifier">ArgumentContainer</span><span class="special">,</span> <span class="keyword">class</span> <span class="identifier">Func</span><span class="special">,</span> <span class="keyword">class</span> <span class="identifier">URBG</span><span class="special">></span>
<span class="identifier">ArgumentContainer</span> <span class="identifier">cma_es</span><span class="special">(</span><span class="keyword">const</span> <span class="identifier">Func</span> <span class="identifier">cost_function</span><span class="special">,</span>
<span class="identifier">cma_es_parameters</span><span class="special"><</span><span class="identifier">ArgumentContainer</span><span class="special">></span> <span class="keyword">const</span> <span class="special">&</span><span class="identifier">params</span><span class="special">,</span>
<span class="identifier">URBG</span> <span class="special">&</span><span class="identifier">gen</span><span class="special">,</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">invoke_result_t</span><span class="special"><</span><span class="identifier">Func</span><span class="special">,</span> <span class="identifier">ArgumentContainer</span><span class="special">></span> <span class="identifier">value_to_reach</span>
<span class="special">=</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">numeric_limits</span><span class="special"><</span><span class="identifier">std</span><span class="special">::</span><span class="identifier">invoke_result_t</span><span class="special"><</span><span class="identifier">Func</span><span class="special">,</span> <span class="identifier">ArgumentContainer</span><span class="special">>>::</span><span class="identifier">quiet_NaN</span><span class="special">(),</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">atomic</span><span class="special"><</span><span class="keyword">bool</span><span class="special">></span> <span class="special">*</span><span class="identifier">cancellation</span> <span class="special">=</span> <span class="keyword">nullptr</span><span class="special">,</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">atomic</span><span class="special"><</span><span class="identifier">std</span><span class="special">::</span><span class="identifier">invoke_result_t</span><span class="special"><</span><span class="identifier">Func</span><span class="special">,</span> <span class="identifier">ArgumentContainer</span><span class="special">>></span> <span class="special">*</span><span class="identifier">current_minimum_cost</span> <span class="special">=</span> <span class="keyword">nullptr</span><span class="special">,</span>
<span class="identifier">std</span><span class="special">::</span><span class="identifier">vector</span><span class="special"><</span><span class="identifier">std</span><span class="special">::</span><span class="identifier">pair</span><span class="special"><</span><span class="identifier">ArgumentContainer</span><span class="special">,</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">invoke_result_t</span><span class="special"><</span><span class="identifier">Func</span><span class="special">,</span> <span class="identifier">ArgumentContainer</span><span class="special">>>></span> <span class="special">*</span><span class="identifier">queries</span> <span class="special">=</span> <span class="keyword">nullptr</span><span class="special">)</span>
</pre>
<p>
Parameters:
</p>
<div class="itemizedlist"><ul class="itemizedlist" style="list-style-type: disc; ">
<li class="listitem">
<code class="computeroutput"><span class="identifier">cost_function</span></code>: The cost
function to be minimized.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">params</span></code>: The parameters
to the algorithm as described above.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">gen</span></code>: A uniform random bit
generator, like <code class="computeroutput"><span class="identifier">std</span><span class="special">::</span><span class="identifier">mt19937_64</span></code>.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">value_to_reach</span></code>: An optional
value that, if reached, stops the optimization. This is the most robust
way to terminate the calculation, but in most cases the optimal value of
the cost function is unknown. If it is, use it! Physical considerations
can often be used to find optimal values for cost functions.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">cancellation</span></code>: An optional
atomic boolean to allow the user to stop the computation and gracefully
return the best result found up to that point. N.B.: Cancellation is not
immediate; the in-progress generation finishes.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">current_minimum_cost</span></code>: An
optional atomic variable to store the current minimum cost during optimization.
This allows developers to (e.g.) plot the progress of the minimization
over time and in conjunction with the <code class="computeroutput"><span class="identifier">cancellation</span></code>
argument allow halting the computation when the progress stagnates.
</li>
<li class="listitem">
<code class="computeroutput"><span class="identifier">queries</span></code>: An optional vector
to store intermediate results during optimization. This is useful for debugging
and perhaps volume rendering of the objective function after the calculation
is complete.
</li>
</ul></div>
<p>
Returns:
</p>
<p>
The <code class="computeroutput"><span class="identifier">ArgumentContainer</span></code> corresponding
to the minimum cost found by the optimization.
</p>
<h5>
<a name="math_toolkit.cma_es.h3"></a>
<span class="phrase"><a name="math_toolkit.cma_es.examples"></a></span><a class="link" href="cma_es.html#math_toolkit.cma_es.examples">Examples</a>
</h5>
<p>
An example exhibiting graceful cancellation and progress observability can
be studied in <a href="../../../example/cma_es_example.cpp" target="_top">cma_es_example.cpp</a>.
</p>
<h5>
<a name="math_toolkit.cma_es.h4"></a>
<span class="phrase"><a name="math_toolkit.cma_es.references"></a></span><a class="link" href="cma_es.html#math_toolkit.cma_es.references">References</a>
</h5>
<p>
Hansen, N. (2016). The CMA evolution strategy: A tutorial. arXiv preprint arXiv:1604.00772.
</p>
</div>
<div class="copyright-footer">Copyright © 2006-2021 Nikhar Agrawal, Anton Bikineev, Matthew Borland,
Paul A. Bristow, Marco Guazzone, Christopher Kormanyos, Hubert Holin, Bruno
Lalande, John Maddock, Evan Miller, Jeremy Murphy, Matthew Pulver, Johan Råde,
Gautam Sewani, Benjamin Sobotta, Nicholas Thompson, Thijs van den Berg, Daryle
Walker and Xiaogang Zhang<p>
Distributed under the Boost Software License, Version 1.0. (See accompanying
file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>)
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