1 |
/* Nonlinear Optimization using the algorithm of Hooke and Jeeves */ |
/* Nonlinear Optimization using the algorithm of Hooke and Jeeves */ |
2 |
/* 12 February 1994 author: Mark G. Johnson */ |
/* 12 February 1994 author: Mark G. Johnson */ |
3 |
|
// |
4 |
/* Find a point X where the nonlinear function f(X) has a local */ |
/* Find a point X where the nonlinear function f(X) has a local */ |
5 |
/* minimum. X is an n-vector and f(X) is a scalar. In mathe- */ |
/* minimum. X is an n-vector and f(X) is a scalar. In mathe- */ |
6 |
/* matical notation f: R^n -> R^1. The objective function f() */ |
/* matical notation f: R^n -> R^1. The objective function f() */ |
7 |
/* is not required to be continuous. Nor does f() need to be */ |
/* is not required to be continuous. Nor does f() need to be */ |
8 |
/* differentiable. The program does not use or require */ |
/* differentiable. The program does not use or require */ |
9 |
/* derivatives of f(). */ |
/* derivatives of f(). */ |
10 |
|
// |
11 |
/* The software user supplies three things: a subroutine that */ |
/* The software user supplies three things: a subroutine that */ |
12 |
/* computes f(X), an initial "starting guess" of the minimum point */ |
/* computes f(X), an initial "starting guess" of the minimum point */ |
13 |
/* X, and values for the algorithm convergence parameters. Then */ |
/* X, and values for the algorithm convergence parameters. Then */ |
14 |
/* the program searches for a local minimum, beginning from the */ |
/* the program searches for a local minimum, beginning from the */ |
15 |
/* starting guess, using the Direct Search algorithm of Hooke and */ |
/* starting guess, using the Direct Search algorithm of Hooke and */ |
16 |
/* Jeeves. */ |
/* Jeeves. */ |
17 |
|
// |
18 |
/* This C program is adapted from the Algol pseudocode found in */ |
/* This C program is adapted from the Algol pseudocode found in */ |
19 |
/* "Algorithm 178: Direct Search" by Arthur F. Kaupe Jr., Commun- */ |
/* "Algorithm 178: Direct Search" by Arthur F. Kaupe Jr., Commun- */ |
20 |
/* ications of the ACM, Vol 6. p.313 (June 1963). It includes the */ |
/* ications of the ACM, Vol 6. p.313 (June 1963). It includes the */ |
24 |
/* highly as the one by A. Kaupe, is: R. Hooke and T. A. Jeeves, */ |
/* highly as the one by A. Kaupe, is: R. Hooke and T. A. Jeeves, */ |
25 |
/* "Direct Search Solution of Numerical and Statistical Problems", */ |
/* "Direct Search Solution of Numerical and Statistical Problems", */ |
26 |
/* Journal of the ACM, Vol. 8, April 1961, pp. 212-229. */ |
/* Journal of the ACM, Vol. 8, April 1961, pp. 212-229. */ |
27 |
|
// |
28 |
/* Calling sequence: */ |
/* Calling sequence: */ |
29 |
/* int hooke(nvars, startpt, endpt, rho, epsilon, itermax) */ |
/* int hooke(nvars, startpt, endpt, rho, epsilon, itermax) */ |
30 |
/* */ |
/* */ |
59 |
/* itermax {an integer} A second, rarely used, halting */ |
/* itermax {an integer} A second, rarely used, halting */ |
60 |
/* criterion. If the algorithm uses >= itermax */ |
/* criterion. If the algorithm uses >= itermax */ |
61 |
/* iterations, halt. */ |
/* iterations, halt. */ |
62 |
|
// |
63 |
/* The user-supplied objective function f(x,n) should return a C */ |
/* The user-supplied objective function f(x,n) should return a C */ |
64 |
/* "double". Its arguments are x -- an array of doubles, and */ |
/* "double". Its arguments are x -- an array of doubles, and */ |
65 |
/* n -- an integer. x is the point at which f(x) should be */ |
/* n -- an integer. x is the point at which f(x) should be */ |
66 |
/* evaluated, and n is the number of coordinates of x. That is, */ |
/* evaluated, and n is the number of coordinates of x. That is, */ |
67 |
/* n is the number of coefficients being fitted. */ |
/* n is the number of coefficients being fitted. */ |
68 |
|
// |
69 |
/* rho, the algorithm convergence control */ |
/* rho, the algorithm convergence control */ |
70 |
|
// |
71 |
/* The algorithm works by taking "steps" from one estimate of */ |
/* The algorithm works by taking "steps" from one estimate of */ |
72 |
/* a minimum, to another (hopefully better) estimate. Taking */ |
/* a minimum, to another (hopefully better) estimate. Taking */ |
73 |
/* big steps gets to the minimum more quickly, at the risk of */ |
/* big steps gets to the minimum more quickly, at the risk of */ |
95 |
/* again with a larger value of rho such as 0.85, using the */ |
/* again with a larger value of rho such as 0.85, using the */ |
96 |
/* result of the first minimization as the starting guess to */ |
/* result of the first minimization as the starting guess to */ |
97 |
/* begin the second minimization. */ |
/* begin the second minimization. */ |
98 |
|
// |
99 |
/* Normal use: */ |
/* Normal use: */ |
100 |
/* (1) Code your function f() in the C language */ |
/* (1) Code your function f() in the C language */ |
101 |
/* (2) Install your starting guess {or read it in} */ |
/* (2) Install your starting guess {or read it in} */ |
102 |
/* (3) Run the program */ |
/* (3) Run the program */ |
103 |
/* (4) {for the skeptical}: Use the computed minimum */ |
/* (4) {for the skeptical}: Use the computed minimum */ |
104 |
/* as the starting point for another run */ |
/* as the starting point for another run */ |
105 |
|
// |
106 |
/* Data Fitting: */ |
/* Data Fitting: */ |
107 |
/* Code your function f() to be the sum of the squares of the */ |
/* Code your function f() to be the sum of the squares of the */ |
108 |
/* errors (differences) between the computed values and the */ |
/* errors (differences) between the computed values and the */ |
113 |
/* f(x) = SUM (measured_y[i] - ((A*t[i]*t[i]) + (B*exp(t[i])) */ |
/* f(x) = SUM (measured_y[i] - ((A*t[i]*t[i]) + (B*exp(t[i])) */ |
114 |
/* + (C*tan(t[i]))))^2 */ |
/* + (C*tan(t[i]))))^2 */ |
115 |
/* where x[] is a 3-vector consisting of {A, B, C}. */ |
/* where x[] is a 3-vector consisting of {A, B, C}. */ |
116 |
|
// |
117 |
/* The author of this software is M.G. Johnson. */ |
/* The author of this software is M.G. Johnson. */ |
118 |
/* Permission to use, copy, modify, and distribute this software */ |
/* Permission to use, copy, modify, and distribute this software */ |
119 |
/* for any purpose without fee is hereby granted, provided that */ |
/* for any purpose without fee is hereby granted, provided that */ |
125 |
/* AUTHOR NOR AT&T MAKE ANY REPRESENTATION OR WARRANTY OF ANY */ |
/* AUTHOR NOR AT&T MAKE ANY REPRESENTATION OR WARRANTY OF ANY */ |
126 |
/* KIND CONCERNING THE MERCHANTABILITY OF THIS SOFTWARE OR ITS */ |
/* KIND CONCERNING THE MERCHANTABILITY OF THIS SOFTWARE OR ITS */ |
127 |
/* FITNESS FOR ANY PARTICULAR PURPOSE. */ |
/* FITNESS FOR ANY PARTICULAR PURPOSE. */ |
128 |
|
// |
129 |
/* JMB this has been modified to work with the gadget object structure */ |
/* JMB this has been modified to work with the gadget object structure */ |
130 |
/* This means that the function has been replaced by a call to ecosystem */ |
/* This means that the function has been replaced by a call to ecosystem */ |
131 |
/* object, and we can use the vector objects that have been defined */ |
/* object, and we can use the vector objects that have been defined */ |
139 |
#include "ecosystem.h" |
#include "ecosystem.h" |
140 |
#include "global.h" |
#include "global.h" |
141 |
|
|
142 |
extern Ecosystem* EcoSystem; |
#ifdef _OPENMP |
143 |
|
#include "omp.h" |
144 |
|
#endif |
145 |
|
|
146 |
|
extern Ecosystem* EcoSystem; |
147 |
|
#ifdef _OPENMP |
148 |
|
extern Ecosystem** EcoSystems; |
149 |
|
#endif |
150 |
|
|
151 |
/* given a point, look for a better one nearby, one coord at a time */ |
/* given a point, look for a better one nearby, one coord at a time */ |
152 |
double OptInfoHooke::bestNearby(DoubleVector& delta, DoubleVector& point, double prevbest, IntVector& param) { |
double OptInfoHooke::bestNearby(DoubleVector& delta, DoubleVector& point, double prevbest, IntVector& param) { |
177 |
return minf; |
return minf; |
178 |
} |
} |
179 |
|
|
180 |
|
/* given a point, look for a better one nearby, one coord at a time */ |
181 |
|
#ifdef _OPENMP |
182 |
|
/* |
183 |
|
* function bestBeraby parallelized with OpenMP |
184 |
|
* · 2 threads per coord to parallelize the calculation of +delta/-delta |
185 |
|
* · parallelize the calculation of the best nearby of the coord |
186 |
|
*/ |
187 |
|
double OptInfoHooke::bestNearbyRepro(DoubleVector& delta, DoubleVector& point, double prevbest, IntVector& param) { |
188 |
|
double minf;//, ftmp; |
189 |
|
int i, j, k; |
190 |
|
DoubleVector z(point); |
191 |
|
|
192 |
|
struct Storage { |
193 |
|
DoubleVector z; |
194 |
|
DoubleVector delta; |
195 |
|
double ftmp; |
196 |
|
int iters; |
197 |
|
}; |
198 |
|
|
199 |
|
minf = prevbest; |
200 |
|
i = 0; |
201 |
|
|
202 |
|
int paral_tokens, numThr, nvars = point.Size(); |
203 |
|
numThr = omp_get_max_threads ( ); |
204 |
|
|
205 |
|
Storage* storage = new Storage[numThr]; |
206 |
|
if ((numThr % 2) == 0) |
207 |
|
paral_tokens = numThr / 2; |
208 |
|
else { |
209 |
|
return -1; |
210 |
|
} |
211 |
|
|
212 |
|
// omp_set_dynamic(0); |
213 |
|
// omp_set_nested(1); //permit the nested parallelization |
214 |
|
while ( i < nvars) { |
215 |
|
if ((i + paral_tokens -1) >= nvars) |
216 |
|
paral_tokens = nvars - i; |
217 |
|
#pragma omp parallel for num_threads(paral_tokens*2) private(k) //parallelize the parameters (numThr) |
218 |
|
for (j = 0; j < (paral_tokens*2); ++j) { |
219 |
|
storage[j].z = z; |
220 |
|
storage[j].delta = delta; |
221 |
|
DoubleVector v(z); |
222 |
|
|
223 |
|
if (j<paral_tokens) { |
224 |
|
k = param[i+j]; |
225 |
|
v[k] += delta[k]; |
226 |
|
} |
227 |
|
else { |
228 |
|
k = param[i+j-paral_tokens]; |
229 |
|
v[k] -= delta[k]; |
230 |
|
} |
231 |
|
|
232 |
|
storage[j].ftmp = EcoSystems[j]->SimulateAndUpdate(v); |
233 |
|
storage[j].z[k] = v[k]; |
234 |
|
} |
235 |
|
for (j = 0; j < paral_tokens; ++j) { |
236 |
|
k = param[i+j]; |
237 |
|
if (storage[j].ftmp < minf) { |
238 |
|
storage[j].iters = 1; |
239 |
|
// storage[j].z[k] = v1[k]; |
240 |
|
} else { |
241 |
|
storage[j].iters = 2; |
242 |
|
storage[j].delta[k] = 0.0 - delta[k]; |
243 |
|
if (storage[j+paral_tokens].ftmp < minf) { |
244 |
|
storage[j].ftmp = storage[j+paral_tokens].ftmp; |
245 |
|
storage[j].z[k] = storage[j+paral_tokens].z[k];; |
246 |
|
} |
247 |
|
} |
248 |
|
} |
249 |
|
|
250 |
|
for (j = 0; j < paral_tokens; ++j) { |
251 |
|
i++; |
252 |
|
iters += storage[j].iters; |
253 |
|
if (storage[j].ftmp < minf) { |
254 |
|
minf = storage[j].ftmp; |
255 |
|
z = storage[j].z; |
256 |
|
delta = storage[j].delta; |
257 |
|
break; |
258 |
|
} |
259 |
|
} |
260 |
|
} |
261 |
|
delete[] storage; |
262 |
|
for (i = 0; i < nvars; ++i) |
263 |
|
point[i] = z[i]; |
264 |
|
return minf; |
265 |
|
} |
266 |
|
void OptInfoHooke::OptimiseLikelihoodREP() { |
267 |
|
|
268 |
|
double oldf, newf, bestf, steplength, tmp; |
269 |
|
int i, offset; |
270 |
|
int rchange, rcheck, rnumber; //Used to randomise the order of the parameters |
271 |
|
|
272 |
|
handle.logMessage(LOGINFO, "\nStarting Hooke & Jeeves optimisation algorithm\n"); |
273 |
|
int nvars = EcoSystem->numOptVariables(); |
274 |
|
DoubleVector x(nvars); |
275 |
|
DoubleVector trialx(nvars); |
276 |
|
DoubleVector bestx(nvars); |
277 |
|
DoubleVector lowerb(nvars); |
278 |
|
DoubleVector upperb(nvars); |
279 |
|
DoubleVector init(nvars); |
280 |
|
DoubleVector initialstep(nvars, rho); |
281 |
|
DoubleVector delta(nvars); |
282 |
|
IntVector param(nvars, 0); |
283 |
|
IntVector lbound(nvars, 0); |
284 |
|
IntVector rbounds(nvars, 0); |
285 |
|
IntVector trapped(nvars, 0); |
286 |
|
|
287 |
|
EcoSystem->scaleVariables(); |
288 |
|
int numThr = omp_get_max_threads ( ); |
289 |
|
for (i = 0; i < numThr; i++) // scale the variables for the ecosystem of every thread |
290 |
|
EcoSystems[i]->scaleVariables(); |
291 |
|
EcoSystem->getOptScaledValues(x); |
292 |
|
EcoSystem->getOptLowerBounds(lowerb); |
293 |
|
EcoSystem->getOptUpperBounds(upperb); |
294 |
|
EcoSystem->getOptInitialValues(init); |
295 |
|
|
296 |
|
for (i = 0; i < nvars; i++) { |
297 |
|
// Scaling the bounds, because the parameters are scaled |
298 |
|
lowerb[i] = lowerb[i] / init[i]; |
299 |
|
upperb[i] = upperb[i] / init[i]; |
300 |
|
if (lowerb[i] > upperb[i]) { |
301 |
|
tmp = lowerb[i]; |
302 |
|
lowerb[i] = upperb[i]; |
303 |
|
upperb[i] = tmp; |
304 |
|
} |
305 |
|
|
306 |
|
bestx[i] = x[i]; |
307 |
|
trialx[i] = x[i]; |
308 |
|
param[i] = i; |
309 |
|
delta[i] = ((2 * (rand() % 2)) - 1) * rho; //JMB - randomise the sign |
310 |
|
} |
311 |
|
|
312 |
|
bestf = EcoSystem->SimulateAndUpdate(trialx); |
313 |
|
if (bestf != bestf) { //check for NaN |
314 |
|
handle.logMessage(LOGINFO, "Error starting Hooke & Jeeves optimisation with f(x) = infinity"); |
315 |
|
converge = -1; |
316 |
|
iters = 1; |
317 |
|
return; |
318 |
|
} |
319 |
|
|
320 |
|
offset = EcoSystem->getFuncEval(); //number of function evaluations done before loop |
321 |
|
newf = bestf; |
322 |
|
oldf = bestf; |
323 |
|
steplength = lambda; |
324 |
|
if (isZero(steplength)) |
325 |
|
steplength = rho; |
326 |
|
|
327 |
|
iters = 0; |
328 |
|
|
329 |
|
while (1) { |
330 |
|
if (isZero(bestf)) { |
331 |
|
// iters = EcoSystem->getFuncEval() - offset; |
332 |
|
handle.logMessage(LOGINFO, "Error in Hooke & Jeeves optimisation after", iters, "function evaluations, f(x) = 0"); |
333 |
|
converge = -1; |
334 |
|
return; |
335 |
|
} |
336 |
|
|
337 |
|
/* randomize the order of the parameters once in a while */ |
338 |
|
rchange = 0; |
339 |
|
while (rchange < nvars) { |
340 |
|
rnumber = rand() % nvars; |
341 |
|
rcheck = 1; |
342 |
|
for (i = 0; i < rchange; i++) |
343 |
|
if (param[i] == rnumber) |
344 |
|
rcheck = 0; |
345 |
|
if (rcheck) { |
346 |
|
param[rchange] = rnumber; |
347 |
|
rchange++; |
348 |
|
} |
349 |
|
} |
350 |
|
|
351 |
|
/* find best new point, one coord at a time */ |
352 |
|
for (i = 0; i < nvars; i++) |
353 |
|
trialx[i] = x[i]; |
354 |
|
newf = this->bestNearbyRepro(delta, trialx, bestf, param); |
355 |
|
if (newf == -1) { |
356 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
357 |
|
handle.logMessage(LOGINFO, "\nThe number of threads must be a multiple of 2\n"); |
358 |
|
return; |
359 |
|
} |
360 |
|
/* if too many function evaluations occur, terminate the algorithm */ |
361 |
|
|
362 |
|
// iters = EcoSystem->getFuncEval() - offset; |
363 |
|
if (iters > hookeiter) { |
364 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
365 |
|
handle.logMessage(LOGINFO, "The optimisation stopped after", iters, "function evaluations"); |
366 |
|
handle.logMessage(LOGINFO, "The steplength was reduced to", steplength); |
367 |
|
handle.logMessage(LOGINFO, "The optimisation stopped because the maximum number of function evaluations"); |
368 |
|
handle.logMessage(LOGINFO, "was reached and NOT because an optimum was found for this run"); |
369 |
|
|
370 |
|
score = EcoSystem->SimulateAndUpdate(trialx); |
371 |
|
handle.logMessage(LOGINFO, "\nHooke & Jeeves finished with a likelihood score of", score); |
372 |
|
for (i = 0; i < nvars; i++) |
373 |
|
bestx[i] = trialx[i] * init[i]; |
374 |
|
EcoSystem->storeVariables(score, bestx); |
375 |
|
return; |
376 |
|
} |
377 |
|
|
378 |
|
/* if we made some improvements, pursue that direction */ |
379 |
|
while (newf < bestf) { |
380 |
|
for (i = 0; i < nvars; i++) { |
381 |
|
/* if it has been trapped but f has now gotten better (bndcheck) */ |
382 |
|
/* we assume that we are out of the trap, reset the counters */ |
383 |
|
/* and go back to the stepsize we had when we got trapped */ |
384 |
|
if ((trapped[i]) && (newf < oldf * bndcheck)) { |
385 |
|
trapped[i] = 0; |
386 |
|
lbound[i] = 0; |
387 |
|
rbounds[i] = 0; |
388 |
|
delta[i] = initialstep[i]; |
389 |
|
|
390 |
|
} else if (trialx[i] < (lowerb[i] + verysmall)) { |
391 |
|
lbound[i]++; |
392 |
|
trialx[i] = lowerb[i]; |
393 |
|
if (!trapped[i]) { |
394 |
|
initialstep[i] = delta[i]; |
395 |
|
trapped[i] = 1; |
396 |
|
} |
397 |
|
/* if it has hit the bounds 2 times then increase the stepsize */ |
398 |
|
if (lbound[i] >= 2) |
399 |
|
delta[i] /= rho; |
400 |
|
|
401 |
|
} else if (trialx[i] > (upperb[i] - verysmall)) { |
402 |
|
rbounds[i]++; |
403 |
|
trialx[i] = upperb[i]; |
404 |
|
if (!trapped[i]) { |
405 |
|
initialstep[i] = delta[i]; |
406 |
|
trapped[i] = 1; |
407 |
|
} |
408 |
|
/* if it has hit the bounds 2 times then increase the stepsize */ |
409 |
|
if (rbounds[i] >= 2) |
410 |
|
delta[i] /= rho; |
411 |
|
} |
412 |
|
} |
413 |
|
|
414 |
|
for (i = 0; i < nvars; i++) { |
415 |
|
/* firstly, arrange the sign of delta[] */ |
416 |
|
if (trialx[i] < x[i]) |
417 |
|
delta[i] = 0.0 - fabs(delta[i]); |
418 |
|
else |
419 |
|
delta[i] = fabs(delta[i]); |
420 |
|
|
421 |
|
/* now, move further in this direction */ |
422 |
|
tmp = x[i]; |
423 |
|
x[i] = trialx[i]; |
424 |
|
trialx[i] = trialx[i] + trialx[i] - tmp; |
425 |
|
} |
426 |
|
|
427 |
|
/* only move forward if this is really an improvement */ |
428 |
|
oldf = newf; |
429 |
|
newf = EcoSystem->SimulateAndUpdate(trialx); |
430 |
|
iters++; |
431 |
|
if ((isEqual(newf, oldf)) || (newf > oldf)) { |
432 |
|
newf = oldf; //JMB no improvement, so reset the value of newf |
433 |
|
break; |
434 |
|
} |
435 |
|
|
436 |
|
/* OK, it's better, so update variables and look around */ |
437 |
|
bestf = newf; |
438 |
|
for (i = 0; i < nvars; i++) |
439 |
|
x[i] = trialx[i]; |
440 |
|
|
441 |
|
newf = this->bestNearbyRepro(delta, trialx, bestf, param); |
442 |
|
if (newf == -1) { |
443 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
444 |
|
handle.logMessage(LOGINFO, "\nThe number of threads must be a multiple of 2\n"); |
445 |
|
return; |
446 |
|
} |
447 |
|
if (isEqual(newf, bestf)) |
448 |
|
break; |
449 |
|
|
450 |
|
/* if too many function evaluations occur, terminate the algorithm */ |
451 |
|
// iters = EcoSystem->getFuncEval() - offset; |
452 |
|
if (iters > hookeiter) { |
453 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
454 |
|
handle.logMessage(LOGINFO, "The optimisation stopped after", iters, "function evaluations"); |
455 |
|
handle.logMessage(LOGINFO, "The steplength was reduced to", steplength); |
456 |
|
handle.logMessage(LOGINFO, "The optimisation stopped because the maximum number of function evaluations"); |
457 |
|
handle.logMessage(LOGINFO, "was reached and NOT because an optimum was found for this run"); |
458 |
|
|
459 |
|
score = EcoSystem->SimulateAndUpdate(trialx); |
460 |
|
handle.logMessage(LOGINFO, "\nHooke & Jeeves finished with a likelihood score of", score); |
461 |
|
for (i = 0; i < nvars; i++) |
462 |
|
bestx[i] = trialx[i] * init[i]; |
463 |
|
EcoSystem->storeVariables(score, bestx); |
464 |
|
return; |
465 |
|
} |
466 |
|
} // while (newf < bestf) |
467 |
|
|
468 |
|
// iters = EcoSystem->getFuncEval() - offset; |
469 |
|
if (newf < bestf) { |
470 |
|
for (i = 0; i < nvars; i++) |
471 |
|
bestx[i] = x[i] * init[i]; |
472 |
|
bestf = newf; |
473 |
|
handle.logMessage(LOGINFO, "\nNew optimum found after", iters, "function evaluations"); |
474 |
|
handle.logMessage(LOGINFO, "The likelihood score is", bestf, "at the point"); |
475 |
|
EcoSystem->storeVariables(bestf, bestx); |
476 |
|
EcoSystem->writeBestValues(); |
477 |
|
|
478 |
|
} else |
479 |
|
handle.logMessage(LOGINFO, "Checking convergence criteria after", iters, "function evaluations ..."); |
480 |
|
|
481 |
|
/* if the step length is less than hookeeps, terminate the algorithm */ |
482 |
|
if (steplength < hookeeps) { |
483 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
484 |
|
handle.logMessage(LOGINFO, "The optimisation stopped after", iters, "function evaluations"); |
485 |
|
handle.logMessage(LOGINFO, "The steplength was reduced to", steplength); |
486 |
|
handle.logMessage(LOGINFO, "The optimisation stopped because an optimum was found for this run"); |
487 |
|
|
488 |
|
converge = 1; |
489 |
|
score = bestf; |
490 |
|
handle.logMessage(LOGINFO, "\nHooke & Jeeves finished with a likelihood score of", score); |
491 |
|
EcoSystem->storeVariables(bestf, bestx); |
492 |
|
return; |
493 |
|
} |
494 |
|
|
495 |
|
steplength *= rho; |
496 |
|
handle.logMessage(LOGINFO, "Reducing the steplength to", steplength); |
497 |
|
for (i = 0; i < nvars; i++) |
498 |
|
delta[i] *= rho; |
499 |
|
} |
500 |
|
} |
501 |
|
#endif |
502 |
|
|
503 |
void OptInfoHooke::OptimiseLikelihood() { |
void OptInfoHooke::OptimiseLikelihood() { |
504 |
|
|
505 |
double oldf, newf, bestf, steplength, tmp; |
double oldf, newf, bestf, steplength, tmp; |
558 |
if (isZero(steplength)) |
if (isZero(steplength)) |
559 |
steplength = rho; |
steplength = rho; |
560 |
|
|
561 |
|
iters = 0; |
562 |
|
|
563 |
while (1) { |
while (1) { |
564 |
if (isZero(bestf)) { |
if (isZero(bestf)) { |
565 |
iters = EcoSystem->getFuncEval() - offset; |
iters = EcoSystem->getFuncEval() - offset; |
586 |
for (i = 0; i < nvars; i++) |
for (i = 0; i < nvars; i++) |
587 |
trialx[i] = x[i]; |
trialx[i] = x[i]; |
588 |
newf = this->bestNearby(delta, trialx, bestf, param); |
newf = this->bestNearby(delta, trialx, bestf, param); |
|
|
|
589 |
/* if too many function evaluations occur, terminate the algorithm */ |
/* if too many function evaluations occur, terminate the algorithm */ |
590 |
|
|
591 |
iters = EcoSystem->getFuncEval() - offset; |
iters = EcoSystem->getFuncEval() - offset; |
592 |
if (iters > hookeiter) { |
if (iters > hookeiter) { |
593 |
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
685 |
EcoSystem->storeVariables(score, bestx); |
EcoSystem->storeVariables(score, bestx); |
686 |
return; |
return; |
687 |
} |
} |
688 |
} |
} // while (newf < bestf) |
689 |
|
|
690 |
iters = EcoSystem->getFuncEval() - offset; |
iters = EcoSystem->getFuncEval() - offset; |
691 |
if (newf < bestf) { |
if (newf < bestf) { |
720 |
delta[i] *= rho; |
delta[i] *= rho; |
721 |
} |
} |
722 |
} |
} |
723 |
|
|
724 |
|
/* Functions to perform the parallelization of the algorithm of HJ with OpenMP*/ |
725 |
|
#ifdef _OPENMP |
726 |
|
//#ifdef SPECULATIVE |
727 |
|
double OptInfoHooke::bestNearbySpec(DoubleVector& delta, DoubleVector& point, double prevbest, IntVector& param) { |
728 |
|
double minf; |
729 |
|
int i, j, k, ii; |
730 |
|
DoubleVector z(point); |
731 |
|
int bestId = 0; |
732 |
|
struct Storage { |
733 |
|
DoubleVector z; |
734 |
|
DoubleVector delta; |
735 |
|
double ftmp; |
736 |
|
int iters; |
737 |
|
}; |
738 |
|
|
739 |
|
minf = prevbest; |
740 |
|
|
741 |
|
int paral_tokens, numThr, nvars = point.Size(); |
742 |
|
numThr = omp_get_max_threads ( ); |
743 |
|
|
744 |
|
Storage* storage = new Storage[numThr]; |
745 |
|
if ((numThr % 2) == 0) |
746 |
|
paral_tokens = numThr / 2; |
747 |
|
else { |
748 |
|
return -1; |
749 |
|
} |
750 |
|
|
751 |
|
// omp_set_dynamic(0); |
752 |
|
// omp_set_nested(1); //permit the nested parallelization |
753 |
|
for (ii=0; ii< paral_tokens; ii++) { |
754 |
|
i = 0; |
755 |
|
while ( i < nvars) { |
756 |
|
if ((i + paral_tokens -1) >= nvars) |
757 |
|
paral_tokens = nvars - i; |
758 |
|
#pragma omp parallel for num_threads(paral_tokens*2) private(k) |
759 |
|
for (j = 0; j < (paral_tokens*2); ++j) { |
760 |
|
storage[j].z = z; |
761 |
|
storage[j].delta = delta; |
762 |
|
DoubleVector v(z); |
763 |
|
|
764 |
|
if (j<paral_tokens) { |
765 |
|
k = param[i+j]; |
766 |
|
v[k] += delta[k]; |
767 |
|
} |
768 |
|
else { |
769 |
|
k = param[i+j-paral_tokens]; |
770 |
|
v[k] -= delta[k]; |
771 |
|
} |
772 |
|
|
773 |
|
storage[j].ftmp = EcoSystems[j]->SimulateAndUpdate(v); |
774 |
|
storage[j].z[k] = v[k]; |
775 |
|
} |
776 |
|
|
777 |
|
for (j = 0; j < paral_tokens; ++j) { |
778 |
|
k = param[i+j]; |
779 |
|
if (storage[j].ftmp < minf) { |
780 |
|
storage[j].iters = 1; |
781 |
|
// storage[j].z[k] = v1[k]; |
782 |
|
} else { |
783 |
|
storage[j].iters = 2; |
784 |
|
storage[j].delta[k] = 0.0 - delta[k]; |
785 |
|
if (storage[j+paral_tokens].ftmp < minf) { |
786 |
|
storage[j].ftmp = storage[j+paral_tokens].ftmp; |
787 |
|
storage[j].z[k] = storage[j+paral_tokens].z[k]; |
788 |
|
} |
789 |
|
else iters += 2; |
790 |
|
} |
791 |
|
} |
792 |
|
|
793 |
|
bestId = 0; |
794 |
|
for (j = 1; j < paral_tokens; ++j) { |
795 |
|
if (storage[j].ftmp < storage[bestId].ftmp) |
796 |
|
bestId = j; |
797 |
|
} |
798 |
|
if (storage[bestId].ftmp < minf) { |
799 |
|
iters += storage[bestId].iters; |
800 |
|
minf = storage[bestId].ftmp; |
801 |
|
z = storage[bestId].z; |
802 |
|
delta = storage[bestId].delta; |
803 |
|
} |
804 |
|
|
805 |
|
i += paral_tokens; |
806 |
|
} |
807 |
|
paral_tokens = numThr / 2; |
808 |
|
} |
809 |
|
|
810 |
|
delete[] storage; |
811 |
|
for (i = 0; i < nvars; ++i) |
812 |
|
point[i] = z[i]; |
813 |
|
|
814 |
|
return minf; |
815 |
|
} |
816 |
|
|
817 |
|
void OptInfoHooke::OptimiseLikelihoodOMP() { |
818 |
|
double oldf, newf, bestf, steplength, tmp; |
819 |
|
int i, offset; |
820 |
|
int rchange, rcheck, rnumber; //Used to randomise the order of the parameters |
821 |
|
|
822 |
|
handle.logMessage(LOGINFO, "\nStarting Hooke & Jeeves optimisation algorithm\n"); |
823 |
|
int nvars = EcoSystem->numOptVariables(); |
824 |
|
DoubleVector x(nvars); |
825 |
|
DoubleVector trialx(nvars); |
826 |
|
DoubleVector bestx(nvars); |
827 |
|
DoubleVector lowerb(nvars); |
828 |
|
DoubleVector upperb(nvars); |
829 |
|
DoubleVector init(nvars); |
830 |
|
DoubleVector initialstep(nvars, rho); |
831 |
|
DoubleVector delta(nvars); |
832 |
|
IntVector param(nvars, 0); |
833 |
|
IntVector lbound(nvars, 0); |
834 |
|
IntVector rbounds(nvars, 0); |
835 |
|
IntVector trapped(nvars, 0); |
836 |
|
|
837 |
|
EcoSystem->scaleVariables(); |
838 |
|
int numThr = omp_get_max_threads ( ); |
839 |
|
for (i = 0; i < numThr; i++) // scale the variables for the ecosystem of every thread |
840 |
|
EcoSystems[i]->scaleVariables(); |
841 |
|
EcoSystem->getOptScaledValues(x); |
842 |
|
EcoSystem->getOptLowerBounds(lowerb); |
843 |
|
EcoSystem->getOptUpperBounds(upperb); |
844 |
|
EcoSystem->getOptInitialValues(init); |
845 |
|
|
846 |
|
for (i = 0; i < nvars; i++) { |
847 |
|
// Scaling the bounds, because the parameters are scaled |
848 |
|
lowerb[i] = lowerb[i] / init[i]; |
849 |
|
upperb[i] = upperb[i] / init[i]; |
850 |
|
if (lowerb[i] > upperb[i]) { |
851 |
|
tmp = lowerb[i]; |
852 |
|
lowerb[i] = upperb[i]; |
853 |
|
upperb[i] = tmp; |
854 |
|
} |
855 |
|
|
856 |
|
bestx[i] = x[i]; |
857 |
|
trialx[i] = x[i]; |
858 |
|
param[i] = i; |
859 |
|
delta[i] = ((2 * (rand() % 2)) - 1) * rho; //JMB - randomise the sign |
860 |
|
} |
861 |
|
|
862 |
|
bestf = EcoSystem->SimulateAndUpdate(trialx); |
863 |
|
if (bestf != bestf) { //check for NaN |
864 |
|
handle.logMessage(LOGINFO, "Error starting Hooke & Jeeves optimisation with f(x) = infinity"); |
865 |
|
converge = -1; |
866 |
|
iters = 1; |
867 |
|
return; |
868 |
|
} |
869 |
|
|
870 |
|
offset = EcoSystem->getFuncEval(); //number of function evaluations done before loop |
871 |
|
newf = bestf; |
872 |
|
oldf = bestf; |
873 |
|
steplength = lambda; |
874 |
|
if (isZero(steplength)) |
875 |
|
steplength = rho; |
876 |
|
|
877 |
|
iters = 0; |
878 |
|
|
879 |
|
while (1) { |
880 |
|
if (isZero(bestf)) { |
881 |
|
// #ifndef _OPENMP |
882 |
|
// iters = EcoSystem->getFuncEval() - offset; |
883 |
|
// #endif |
884 |
|
handle.logMessage(LOGINFO, "Error in Hooke & Jeeves optimisation after", iters, "function evaluations, f(x) = 0"); |
885 |
|
converge = -1; |
886 |
|
return; |
887 |
|
} |
888 |
|
|
889 |
|
/* randomize the order of the parameters once in a while */ |
890 |
|
rchange = 0; |
891 |
|
while (rchange < nvars) { |
892 |
|
rnumber = rand() % nvars; |
893 |
|
rcheck = 1; |
894 |
|
for (i = 0; i < rchange; i++) |
895 |
|
if (param[i] == rnumber) |
896 |
|
rcheck = 0; |
897 |
|
if (rcheck) { |
898 |
|
param[rchange] = rnumber; |
899 |
|
rchange++; |
900 |
|
} |
901 |
|
} |
902 |
|
|
903 |
|
/* find best new point, one coord at a time */ |
904 |
|
for (i = 0; i < nvars; i++) |
905 |
|
trialx[i] = x[i]; |
906 |
|
// #ifdef _OPENMP |
907 |
|
newf = this->bestNearbySpec(delta, trialx, bestf, param); |
908 |
|
if (newf == -1) { |
909 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
910 |
|
handle.logMessage(LOGINFO, "\nThe number of threads must be a multiple of 2\n"); |
911 |
|
return; |
912 |
|
} |
913 |
|
// #else |
914 |
|
// newf = this->bestNearby(delta, trialx, bestf, param); |
915 |
|
// #endif |
916 |
|
/* if too many function evaluations occur, terminate the algorithm */ |
917 |
|
|
918 |
|
// #ifndef _OPENMP |
919 |
|
// iters = EcoSystem->getFuncEval() - offset; |
920 |
|
// #endif |
921 |
|
if (iters > hookeiter) { |
922 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
923 |
|
handle.logMessage(LOGINFO, "The optimisation stopped after", iters, "function evaluations"); |
924 |
|
handle.logMessage(LOGINFO, "The steplength was reduced to", steplength); |
925 |
|
handle.logMessage(LOGINFO, "The optimisation stopped because the maximum number of function evaluations"); |
926 |
|
handle.logMessage(LOGINFO, "was reached and NOT because an optimum was found for this run"); |
927 |
|
|
928 |
|
score = EcoSystem->SimulateAndUpdate(trialx); |
929 |
|
handle.logMessage(LOGINFO, "\nHooke & Jeeves finished with a likelihood score of", score); |
930 |
|
for (i = 0; i < nvars; i++) |
931 |
|
bestx[i] = trialx[i] * init[i]; |
932 |
|
EcoSystem->storeVariables(score, bestx); |
933 |
|
return; |
934 |
|
} |
935 |
|
|
936 |
|
/* if we made some improvements, pursue that direction */ |
937 |
|
while (newf < bestf) { |
938 |
|
for (i = 0; i < nvars; i++) { |
939 |
|
/* if it has been trapped but f has now gotten better (bndcheck) */ |
940 |
|
/* we assume that we are out of the trap, reset the counters */ |
941 |
|
/* and go back to the stepsize we had when we got trapped */ |
942 |
|
if ((trapped[i]) && (newf < oldf * bndcheck)) { |
943 |
|
trapped[i] = 0; |
944 |
|
lbound[i] = 0; |
945 |
|
rbounds[i] = 0; |
946 |
|
delta[i] = initialstep[i]; |
947 |
|
|
948 |
|
} else if (trialx[i] < (lowerb[i] + verysmall)) { |
949 |
|
lbound[i]++; |
950 |
|
trialx[i] = lowerb[i]; |
951 |
|
if (!trapped[i]) { |
952 |
|
initialstep[i] = delta[i]; |
953 |
|
trapped[i] = 1; |
954 |
|
} |
955 |
|
/* if it has hit the bounds 2 times then increase the stepsize */ |
956 |
|
if (lbound[i] >= 2) |
957 |
|
delta[i] /= rho; |
958 |
|
|
959 |
|
} else if (trialx[i] > (upperb[i] - verysmall)) { |
960 |
|
rbounds[i]++; |
961 |
|
trialx[i] = upperb[i]; |
962 |
|
if (!trapped[i]) { |
963 |
|
initialstep[i] = delta[i]; |
964 |
|
trapped[i] = 1; |
965 |
|
} |
966 |
|
/* if it has hit the bounds 2 times then increase the stepsize */ |
967 |
|
if (rbounds[i] >= 2) |
968 |
|
delta[i] /= rho; |
969 |
|
} |
970 |
|
} |
971 |
|
|
972 |
|
for (i = 0; i < nvars; i++) { |
973 |
|
/* firstly, arrange the sign of delta[] */ |
974 |
|
if (trialx[i] < x[i]) |
975 |
|
delta[i] = 0.0 - fabs(delta[i]); |
976 |
|
else |
977 |
|
delta[i] = fabs(delta[i]); |
978 |
|
|
979 |
|
/* now, move further in this direction */ |
980 |
|
tmp = x[i]; |
981 |
|
x[i] = trialx[i]; |
982 |
|
trialx[i] = trialx[i] + trialx[i] - tmp; |
983 |
|
} |
984 |
|
|
985 |
|
/* only move forward if this is really an improvement */ |
986 |
|
oldf = newf; |
987 |
|
newf = EcoSystem->SimulateAndUpdate(trialx); |
988 |
|
// #ifdef _OPENMP |
989 |
|
iters++; |
990 |
|
// #endif |
991 |
|
if ((isEqual(newf, oldf)) || (newf > oldf)) { |
992 |
|
newf = oldf; //JMB no improvement, so reset the value of newf |
993 |
|
break; |
994 |
|
} |
995 |
|
|
996 |
|
/* OK, it's better, so update variables and look around */ |
997 |
|
bestf = newf; |
998 |
|
for (i = 0; i < nvars; i++) |
999 |
|
x[i] = trialx[i]; |
1000 |
|
|
1001 |
|
// #ifdef _OPENMP |
1002 |
|
newf = this->bestNearbySpec(delta, trialx, bestf, param); |
1003 |
|
if (newf == -1) { |
1004 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
1005 |
|
handle.logMessage(LOGINFO, "\nThe number of threads must be a multiple of 2\n"); |
1006 |
|
return; |
1007 |
|
} |
1008 |
|
// #else |
1009 |
|
// newf = this->bestNearby(delta, trialx, bestf, param); |
1010 |
|
// #endif |
1011 |
|
if (isEqual(newf, bestf)) |
1012 |
|
break; |
1013 |
|
|
1014 |
|
/* if too many function evaluations occur, terminate the algorithm */ |
1015 |
|
// #ifndef _OPENMP |
1016 |
|
// iters = EcoSystem->getFuncEval() - offset; |
1017 |
|
// #endif |
1018 |
|
if (iters > hookeiter) { |
1019 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
1020 |
|
handle.logMessage(LOGINFO, "The optimisation stopped after", iters, "function evaluations"); |
1021 |
|
handle.logMessage(LOGINFO, "The steplength was reduced to", steplength); |
1022 |
|
handle.logMessage(LOGINFO, "The optimisation stopped because the maximum number of function evaluations"); |
1023 |
|
handle.logMessage(LOGINFO, "was reached and NOT because an optimum was found for this run"); |
1024 |
|
|
1025 |
|
score = EcoSystem->SimulateAndUpdate(trialx); |
1026 |
|
handle.logMessage(LOGINFO, "\nHooke & Jeeves finished with a likelihood score of", score); |
1027 |
|
for (i = 0; i < nvars; i++) |
1028 |
|
bestx[i] = trialx[i] * init[i]; |
1029 |
|
EcoSystem->storeVariables(score, bestx); |
1030 |
|
return; |
1031 |
|
} |
1032 |
|
} |
1033 |
|
|
1034 |
|
// #ifndef _OPENMP |
1035 |
|
// iters = EcoSystem->getFuncEval() - offset; |
1036 |
|
// #endif |
1037 |
|
if (newf < bestf) { |
1038 |
|
for (i = 0; i < nvars; i++) |
1039 |
|
bestx[i] = x[i] * init[i]; |
1040 |
|
bestf = newf; |
1041 |
|
handle.logMessage(LOGINFO, "\nNew optimum found after", iters, "function evaluations"); |
1042 |
|
handle.logMessage(LOGINFO, "The likelihood score is", bestf, "at the point"); |
1043 |
|
EcoSystem->storeVariables(bestf, bestx); |
1044 |
|
EcoSystem->writeBestValues(); |
1045 |
|
|
1046 |
|
} else |
1047 |
|
handle.logMessage(LOGINFO, "Checking convergence criteria after", iters, "function evaluations ..."); |
1048 |
|
|
1049 |
|
/* if the step length is less than hookeeps, terminate the algorithm */ |
1050 |
|
if (steplength < hookeeps) { |
1051 |
|
handle.logMessage(LOGINFO, "\nStopping Hooke & Jeeves optimisation algorithm\n"); |
1052 |
|
handle.logMessage(LOGINFO, "The optimisation stopped after", iters, "function evaluations"); |
1053 |
|
handle.logMessage(LOGINFO, "The steplength was reduced to", steplength); |
1054 |
|
handle.logMessage(LOGINFO, "The optimisation stopped because an optimum was found for this run"); |
1055 |
|
|
1056 |
|
converge = 1; |
1057 |
|
score = bestf; |
1058 |
|
handle.logMessage(LOGINFO, "\nHooke & Jeeves finished with a likelihood score of", score); |
1059 |
|
EcoSystem->storeVariables(bestf, bestx); |
1060 |
|
return; |
1061 |
|
} |
1062 |
|
|
1063 |
|
steplength *= rho; |
1064 |
|
handle.logMessage(LOGINFO, "Reducing the steplength to", steplength); |
1065 |
|
for (i = 0; i < nvars; i++) |
1066 |
|
delta[i] *= rho; |
1067 |
|
} |
1068 |
|
} |
1069 |
|
//#endif |
1070 |
|
#endif |