Raymond | dee0849 | 2015-04-02 10:43:13 -0700 | [diff] [blame] | 1 | /* |
| 2 | * Licensed to the Apache Software Foundation (ASF) under one or more |
| 3 | * contributor license agreements. See the NOTICE file distributed with |
| 4 | * this work for additional information regarding copyright ownership. |
| 5 | * The ASF licenses this file to You under the Apache License, Version 2.0 |
| 6 | * (the "License"); you may not use this file except in compliance with |
| 7 | * the License. You may obtain a copy of the License at |
| 8 | * |
| 9 | * http://www.apache.org/licenses/LICENSE-2.0 |
| 10 | * |
| 11 | * Unless required by applicable law or agreed to in writing, software |
| 12 | * distributed under the License is distributed on an "AS IS" BASIS, |
| 13 | * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. |
| 14 | * See the License for the specific language governing permissions and |
| 15 | * limitations under the License. |
| 16 | */ |
| 17 | |
| 18 | package org.apache.commons.math.optimization.direct; |
| 19 | |
| 20 | import java.util.Comparator; |
| 21 | |
| 22 | import org.apache.commons.math.FunctionEvaluationException; |
| 23 | import org.apache.commons.math.optimization.OptimizationException; |
| 24 | import org.apache.commons.math.optimization.RealConvergenceChecker; |
| 25 | import org.apache.commons.math.optimization.RealPointValuePair; |
| 26 | |
| 27 | /** |
| 28 | * This class implements the multi-directional direct search method. |
| 29 | * |
| 30 | * @version $Revision: 1070725 $ $Date: 2011-02-15 02:31:12 +0100 (mar. 15 févr. 2011) $ |
| 31 | * @see NelderMead |
| 32 | * @since 1.2 |
| 33 | */ |
| 34 | public class MultiDirectional extends DirectSearchOptimizer { |
| 35 | |
| 36 | /** Expansion coefficient. */ |
| 37 | private final double khi; |
| 38 | |
| 39 | /** Contraction coefficient. */ |
| 40 | private final double gamma; |
| 41 | |
| 42 | /** Build a multi-directional optimizer with default coefficients. |
| 43 | * <p>The default values are 2.0 for khi and 0.5 for gamma.</p> |
| 44 | */ |
| 45 | public MultiDirectional() { |
| 46 | this.khi = 2.0; |
| 47 | this.gamma = 0.5; |
| 48 | } |
| 49 | |
| 50 | /** Build a multi-directional optimizer with specified coefficients. |
| 51 | * @param khi expansion coefficient |
| 52 | * @param gamma contraction coefficient |
| 53 | */ |
| 54 | public MultiDirectional(final double khi, final double gamma) { |
| 55 | this.khi = khi; |
| 56 | this.gamma = gamma; |
| 57 | } |
| 58 | |
| 59 | /** {@inheritDoc} */ |
| 60 | @Override |
| 61 | protected void iterateSimplex(final Comparator<RealPointValuePair> comparator) |
| 62 | throws FunctionEvaluationException, OptimizationException, IllegalArgumentException { |
| 63 | |
| 64 | final RealConvergenceChecker checker = getConvergenceChecker(); |
| 65 | while (true) { |
| 66 | |
| 67 | incrementIterationsCounter(); |
| 68 | |
| 69 | // save the original vertex |
| 70 | final RealPointValuePair[] original = simplex; |
| 71 | final RealPointValuePair best = original[0]; |
| 72 | |
| 73 | // perform a reflection step |
| 74 | final RealPointValuePair reflected = evaluateNewSimplex(original, 1.0, comparator); |
| 75 | if (comparator.compare(reflected, best) < 0) { |
| 76 | |
| 77 | // compute the expanded simplex |
| 78 | final RealPointValuePair[] reflectedSimplex = simplex; |
| 79 | final RealPointValuePair expanded = evaluateNewSimplex(original, khi, comparator); |
| 80 | if (comparator.compare(reflected, expanded) <= 0) { |
| 81 | // accept the reflected simplex |
| 82 | simplex = reflectedSimplex; |
| 83 | } |
| 84 | |
| 85 | return; |
| 86 | |
| 87 | } |
| 88 | |
| 89 | // compute the contracted simplex |
| 90 | final RealPointValuePair contracted = evaluateNewSimplex(original, gamma, comparator); |
| 91 | if (comparator.compare(contracted, best) < 0) { |
| 92 | // accept the contracted simplex |
| 93 | return; |
| 94 | } |
| 95 | |
| 96 | // check convergence |
| 97 | final int iter = getIterations(); |
| 98 | boolean converged = true; |
| 99 | for (int i = 0; i < simplex.length; ++i) { |
| 100 | converged &= checker.converged(iter, original[i], simplex[i]); |
| 101 | } |
| 102 | if (converged) { |
| 103 | return; |
| 104 | } |
| 105 | |
| 106 | } |
| 107 | |
| 108 | } |
| 109 | |
| 110 | /** Compute and evaluate a new simplex. |
| 111 | * @param original original simplex (to be preserved) |
| 112 | * @param coeff linear coefficient |
| 113 | * @param comparator comparator to use to sort simplex vertices from best to poorest |
| 114 | * @return best point in the transformed simplex |
| 115 | * @exception FunctionEvaluationException if the function cannot be evaluated at some point |
| 116 | * @exception OptimizationException if the maximal number of evaluations is exceeded |
| 117 | */ |
| 118 | private RealPointValuePair evaluateNewSimplex(final RealPointValuePair[] original, |
| 119 | final double coeff, |
| 120 | final Comparator<RealPointValuePair> comparator) |
| 121 | throws FunctionEvaluationException, OptimizationException { |
| 122 | |
| 123 | final double[] xSmallest = original[0].getPointRef(); |
| 124 | final int n = xSmallest.length; |
| 125 | |
| 126 | // create the linearly transformed simplex |
| 127 | simplex = new RealPointValuePair[n + 1]; |
| 128 | simplex[0] = original[0]; |
| 129 | for (int i = 1; i <= n; ++i) { |
| 130 | final double[] xOriginal = original[i].getPointRef(); |
| 131 | final double[] xTransformed = new double[n]; |
| 132 | for (int j = 0; j < n; ++j) { |
| 133 | xTransformed[j] = xSmallest[j] + coeff * (xSmallest[j] - xOriginal[j]); |
| 134 | } |
| 135 | simplex[i] = new RealPointValuePair(xTransformed, Double.NaN, false); |
| 136 | } |
| 137 | |
| 138 | // evaluate it |
| 139 | evaluateSimplex(comparator); |
| 140 | return simplex[0]; |
| 141 | |
| 142 | } |
| 143 | |
| 144 | } |