Changeset 110

Timestamp:

03/11/09 00:40:03 (7 years ago)

Author:

mmckerns

Message:

added maxfun & scipy's callback to DE;
maxiter, maxfun are now kwds, with default=None (i.e. a large value);
move unroll from DE to tools.unpair

Files:

• DEV_NOTES (modified) (1 diff)
• DEV_TODO (modified) (1 diff)
• mystic/examples/test_ffitB.py (modified) (1 diff)
• mystic/mystic/differential_evolution.py (modified) (14 diffs)
• mystic/mystic/tools.py (modified) (2 diffs)

DEV_NOTES

@@ -7 +7 @@
  - use wrap_bounds instead of existing method (?)
  - fix bug: DESolver throws error when given numpy.inf as a bound (!)
- - add maxfun, disp, and scipy's callback to DESolver
  - enable signal_handler & sigint_callback (?) for all 'one-liner' interfaces
  - DESolver needs documentation

DEV_TODO

@@ -7 +7 @@
 * Allow sigint_callback to take a list (i.e. provide call[i])
 * Add "constraints" to models (design similar to pyre.inventory and validators)
+* Extend parallel launcher and communication to distributed services (gsl & idd)
 
 INDIRECT:

mystic/examples/test_ffitB.py

@@ -28 +28 @@
     solver.Solve(ChebyshevCost, strategy, termination = VTR(0.01) , \
                  maxiter= MAX_GENERATIONS, CrossProbability=1.0, ScalingFactor=0.9 , \
-                 sigint_callback = plot_solution \
+                 StepMonitor=VerboseSow(30), sigint_callback = plot_solution \
                  )
 

mystic/mystic/differential_evolution.py

@@ -45 +45 @@
            'diffev']
 
-from mystic.tools import Null, wrap_function
+from mystic.tools import Null, wrap_function, unpair
 
 from abstract_solver import AbstractSolver
@@ -90 +90 @@
 
     def Solve(self, costfunction, strategy, termination,
-              maxiter, CrossProbability = 0.5, ScalingFactor = 0.7,
-              sigint_callback = None,
-              EvaluationMonitor=Null, StepMonitor=Null, ExtraArgs=()):
+              maxiter=None, maxfun=None, sigint_callback=None,
+              CrossProbability = 0.5, ScalingFactor = 0.7,
+              EvaluationMonitor=Null, StepMonitor=Null, ExtraArgs=(), **kwds):
         """Minimize a function using differential evolution.
 
@@ -113 +113 @@
         """
         #FIXME: Solve() interface does not conform to AbstractSolver interface
+        callback=None  #user-supplied function, called after each step
+        if kwds.has_key('callback'): callback = kwds['callback']
+        #-------------------------------------------------------------
+
         import signal
         import mystic.termination as detools
@@ -159 +163 @@
         self.bestEnergy = 1.0E20
          
+        if maxiter is None:
+            maxiter = self.nDim * self.nPop * 10  #XXX: set better defaults?
+        if maxfun is None:
+            maxfun = self.nDim * self.nPop * 1000 #XXX: set better defaults?
+        self._maxiter = maxiter
+        self._maxfun = maxfun
+
         generation = 0
         for generation in range(maxiter):
             StepMonitor(self.bestSolution[:], self.bestEnergy)
+            if fcalls[0] >= maxfun: break
             for candidate in range(self.nPop):
                 # generate trialSolution (within valid range)
@@ -181 +193 @@
             #print "Generation %d has best cost function : %f" % (generation, self.bestEnergy)
             self.energy_history.append(self.bestEnergy)
+
+            if callback is not None:
+                callback(self.bestSolution)
             
             if detools.EARLYEXIT or termination(self):
@@ -207 +222 @@
     """
     def Solve(self, costfunction, strategy, termination,
-              maxiter, CrossProbability = 0.5, ScalingFactor = 0.7,
-              sigint_callback = None,
-              EvaluationMonitor=Null, StepMonitor=Null, ExtraArgs=()):
+              maxiter=None, maxfun=None, sigint_callback=None,
+              CrossProbability = 0.5, ScalingFactor = 0.7,
+              EvaluationMonitor=Null, StepMonitor=Null, ExtraArgs=(), **kwds):
         """Minimize a function using differential evolution.
 
@@ -230 +245 @@
         """
         #FIXME: Solve() interface does not conform to AbstractSolver interface
+        callback=None  #user-supplied function, called after each step
+        if kwds.has_key('callback'): callback = kwds['callback']
+        #-------------------------------------------------------------
+
         import signal
         import mystic.termination as detools
@@ -274 +293 @@
         self.bestEnergy = 1.0E20
          
+        if maxiter is None:
+            maxiter = self.nDim * self.nPop * 10  #XXX: set better defaults?
+        if maxfun is None:
+            maxfun = self.nDim * self.nPop * 1000 #XXX: set better defaults?
+        self._maxiter = maxiter
+        self._maxfun = maxfun
+
         trialPop = [[0.0 for i in range(self.nDim)] for j in range(self.nPop)]
 
@@ -279 +305 @@
         for generation in range(maxiter):
             StepMonitor(self.bestSolution[:], self.bestEnergy)
+            if fcalls[0] >= maxfun: break
             for candidate in range(self.nPop):
                 # generate trialSolution (within valid range)
@@ -301 +328 @@
             #print "Generation %d has best cost function : %f" % (generation, self.bestEnergy)
             self.energy_history.append(self.bestEnergy)
+
+            if callback is not None:
+                callback(self.bestSolution)
             
             if detools.EARLYEXIT or termination(self):
@@ -313 +343 @@
 
 def diffev(func,x0,npop,args=(),bounds=None,ftol=5e-3,gtol=None,
-           maxiter=None,cross=1.0,scale=0.9, #maxfun=None,
-           full_output=0,disp=1,retall=0):   #,callback=None):
+           maxiter=None,maxfun=None,cross=1.0,scale=0.9,
+           full_output=0,disp=1,retall=0,callback=None):
     """interface for differential evolution that mimics scipy.optimize.fmin"""
 
@@ -322 +352 @@
     from mystic.strategy import Best1Exp #, Best1Bin, Rand1Exp
     strategy = Best1Exp
-    if gtol:
+    if gtol: #if number of generations provided, use ChangeOverGeneration 
         from mystic.termination import ChangeOverGeneration
         termination = ChangeOverGeneration(ftol,gtol)
@@ -329 +359 @@
         termination = VTR(ftol)
 
-    def unroll(bounds): #TODO: move to tools?
-        from numpy import asarray
-        boundsT = asarray(bounds).transpose()
-        return [i.tolist() for i in boundsT]
-
     ND = len(x0)
     solver = DifferentialEvolutionSolver2(ND,npop)
     if bounds:
-        minb,maxb = unroll(bounds)
+        minb,maxb = unpair(bounds)
         solver.SetStrictRanges(minb,maxb)
-    try:
-        minb,maxb = unroll(x0)
+
+    try: #x0 passed as 1D array of (min,max) pairs
+        minb,maxb = unpair(x0)
         solver.SetRandomInitialPoints(minb,maxb)
-    except:
+    except: #x0 passed as 1D array of initial parameter values
         solver.SetInitialPoints(x0)
 
    #solver.enable_signal_handler()
-    #TODO: add maxfun & disp to DESolve
-    #TODO: add scipy's (end-of-iteration) callback to DESolve
+    #XXX: move maxiter & maxfun kwds from Solve() to solver.SetLimits() ?
     #TODO: enable signal handlers & sigint_callbacks? for all minimal interfaces
     #FIXME: DESolve can't handle bounds of numpy.inf
     solver.Solve(func,strategy=strategy,termination=termination,\
-                 maxiter=maxiter,\
-                #maxfun=maxfun,\
+                 maxiter=maxiter,maxfun=maxfun,\
                  CrossProbability=cross,ScalingFactor=scale,\
                  EvaluationMonitor=evalmon,StepMonitor=stepmon,\
-                #sigint_callback=callback,\
-                 ExtraArgs=args)
+                #sigint_callback=other_callback,\
+                 ExtraArgs=args,callback=callback)
     solution = solver.Solution()
 
@@ -368 +392 @@
     allvecs = stepmon.x
 
-    from numpy import inf
-    maxfun=inf #XXX: maxfun not implemented for DESolvers
-    if fcalls >= maxfun:
+    if fcalls >= solver._maxfun:
         warnflag = 1
         if disp:
             print "Warning: Maximum number of function evaluations has "\
                   "been exceeded."
-    elif iterations >= maxiter:
+    elif iterations >= solver._maxiter:
         warnflag = 2
         if disp:

mystic/mystic/tools.py

@@ -33 +33 @@
 
  -- wrap_bounds : impose bounds on a funciton object
+
+ -- unpair : convert a 1D array of N pairs to two 1D arrays of N values
 
 """
@@ -242 +244 @@
     return _
 
+
+def unpair(pairs):
+    '''convert a 1D array of N pairs to two 1D arrays of N values
+For example:
+    [a0,a1,a2],[b0,b1,b2] = unpair([(a0,b0),(a1,b1),(a2,b2)])'''
+    from numpy import asarray
+    pairsT = asarray(pairs).transpose()
+    return [i.tolist() for i in pairsT]
+
+
 if __name__=='__main__':
     import doctest