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Commit 4fc64232 authored by incardon's avatar incardon
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Fixing PS-CMA-ES and high dimension structures blow-up

parent 9f384106
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example/Numerics/PS-CMA-ES/main.cpp
View file @ 4fc64232
......@@ -27,7 +27,7 @@
#include <boost/math/special_functions/sign.hpp>
constexpr int dim = 3;
constexpr int dim = 10;
// set this to 4+std::floor(3*log(dim))
constexpr int lambda = 7;
constexpr int mu = lambda/2;
......@@ -48,6 +48,8 @@ constexpr int validfit = 12;
constexpr int xold = 13;
constexpr int last_restart = 14;
constexpr int iniphase = 15;
constexpr int xmean_st = 16;
constexpr int meanz_st = 17;
const double c_m = 1.0;
......@@ -64,8 +66,10 @@ double b = 0.1;
double psoWeight = 0.7;
// number of cma-step before pso step
int N_pso = 200;
double stopTolX = 1e-12;
double stopTolX = 2e-11;
double stopTolUpX = 2000.0;
int restart_cma = 1;
size_t max_fun_eval = 1000000;
typedef vector_dist<dim,double, aggregate<double,
Eigen::VectorXd[lambda],
......@@ -82,7 +86,9 @@ typedef vector_dist<dim,double, aggregate<double,
double,
Eigen::VectorXd,
int,
bool> > particle_type;
bool,
Eigen::VectorXd,
Eigen::VectorXd> > particle_type;
double generateGaussianNoise(double mu, double sigma)
......@@ -154,7 +160,7 @@ double wm[mu];
void init_weight()
{
for (size_t i = 0 ; i < mu ; i++)
{wm[i] = log(mu+1.0) - log(i+1);}
{wm[i] = log(double(mu)+1.0) - log(double(i)+1.0);}
double tot = 0.0;
......@@ -271,6 +277,7 @@ void create_rotmat(Eigen::VectorXd & S,Eigen::VectorXd & T, Eigen::MatrixXd & R)
void updatePso(openfpm::vector<double> & best_sol,
double sigma,
Eigen::VectorXd & xmean,
Eigen::VectorXd & xold,
Eigen::MatrixXd & B,
Eigen::DiagonalMatrix<double,Eigen::Dynamic> & D,
Eigen::MatrixXd & C_pso)
......@@ -308,7 +315,8 @@ void updatePso(openfpm::vector<double> & best_sol,
Eigen::MatrixXd B_rot(dim,dim);
Eigen::DiagonalMatrix<double,Eigen::Dynamic> D_square(dim);
create_rotmat(b_main,gb_vec,R);
Eigen::VectorXd gb_vec_old = best_sol_ei - xold;
create_rotmat(b_main,gb_vec_old,R);
for (size_t i = 0 ; i < dim ; i++)
{B_rot.col(i) = R*B.col(i);}
......@@ -322,7 +330,6 @@ void updatePso(openfpm::vector<double> & best_sol,
}
}
void broadcast_best_solution(particle_type & vd,
openfpm::vector<double> & best_sol,
double & best,
......@@ -546,7 +553,7 @@ void cmaes_handlebounds(openfpm::vector<fun_index> & f_obj,
{
if (idx_any)
{
if(maxI == 1)
if(maxI == 0)
{value = fithist[0];}
else
{
......@@ -597,7 +604,7 @@ void cmaes_handlebounds(openfpm::vector<fun_index> & f_obj,
double arpenalty[lambda];
for (size_t i = 0 ; i < lambda ; i++)
{
arpenality[i] = 0.0;
arpenalty[i] = 0.0;
for (size_t j = 0 ; j < dim ; j++)
{
arpenalty[i] += weight[j] * (arxvalid[i](j) - arx[i](j))*(arxvalid[i](j) - arx[i](j));
......@@ -607,10 +614,25 @@ void cmaes_handlebounds(openfpm::vector<fun_index> & f_obj,
// fitness%sel = fitness%raw + bnd%arpenalty;
}
double adjust_sigma(double sigma, Eigen::MatrixXd & C)
{
for (size_t i = 0 ; i < dim ; i++)
{
if (sigma*sqrt(C(i,i)) > 5.0)
{sigma = 5.0/sqrt(C(i,i));}
}
//if(any(vd.getProp<sigma>(p)*sqrt(diag) > maxdx)) sigma = minval(maxdx/sqrt(diag));
return sigma;
}
void cma_step(particle_type & vd, int step, double & best,
int & best_i, openfpm::vector<double> & best_sol,
int & stop_cond)
size_t & fun_eval)
{
size_t fe = 0;
Eigen::VectorXd xmean(dim);
Eigen::VectorXd mean_z(dim);
Eigen::VectorXd arxvalid[lambda];
......@@ -637,6 +659,8 @@ void cma_step(particle_type & vd, int step, double & best,
if (vd.getProp<stop>(p) == true)
{++it;continue;}
Eigen::VectorXd (& arz)[lambda] = vd.getProp<Zeta>(p);
// fill the mean vector;
fill_vector(vd.getPos(p),xmean);
......@@ -666,11 +690,12 @@ void cma_step(particle_type & vd, int step, double & best,
f_obj.get(j).f = hybrid_composition<dim>(arxvalid[j]);
f_obj.get(j).id = j;
fe++;
// Get the best ever
if (f_obj.get(0).f < best_sample)
if (f_obj.get(j).f < best_sample)
{
best_sample = f_obj.get(0).f;
best_sample = f_obj.get(j).f;
// Copy the new mean as position of the particle
for (size_t i = 0 ; i < dim ; i++)
......@@ -692,14 +717,9 @@ void cma_step(particle_type & vd, int step, double & best,
for (size_t j = 0 ; j < lambda ; j++)
{vd.getProp<ord>(p)[j] = f_obj.get(j).id;}
// Calculate weighted mean
if (step == 5)
{
Eigen::VectorXd (& debug4)[lambda] = vd.getProp<Zeta>(p);
vd.getProp<xold>(p) = xmean;
int debug = 0;
}
// Calculate weighted mean
xmean.setZero();
mean_z.setZero();
......@@ -709,7 +729,8 @@ void cma_step(particle_type & vd, int step, double & best,
mean_z += weight_sample(j)*vd.getProp<Zeta>(p)[vd.getProp<ord>(p)[j]];
}
vd.getProp<xold>(p) = xmean;
vd.getProp<xmean_st>(p) = xmean;
vd.getProp<meanz_st>(p) = mean_z;
++it;
}
......@@ -717,9 +738,10 @@ void cma_step(particle_type & vd, int step, double & best,
// Find the best point across processors
broadcast_best_solution(vd,best_sol,best,best_sample,best_sample_sol);
stop_cond = 1;
// Particle swarm update
// bool calculate B and D
bool calc_bd = counteval - eigeneval > lambda/(ccov)/dim/10;
if (calc_bd == true)
{eigeneval = counteval;}
auto it2 = vd.getDomainIterator();
while (it2.isNext())
......@@ -729,19 +751,19 @@ void cma_step(particle_type & vd, int step, double & best,
if (vd.getProp<stop>(p) == true)
{++it2;continue;}
// There are still particles to process
stop_cond = 0;
xmean = vd.getProp<xmean_st>(p);
mean_z = vd.getProp<meanz_st>(p);
vd.getProp<path_s>(p) = vd.getProp<path_s>(p)*(1.0 - cs) + sqrt(cs*(2.0-cs)*mu_eff)*vd.getProp<B>(p)*mean_z;
double hsig = vd.getProp<path_s>(p).norm()/(1-pow(1-cs,2*counteval/lambda))/dim < 2.0 + 4.0/(dim+1);
double hsig = vd.getProp<path_s>(p).norm()/sqrt(1.0-pow((1.0-cs),(2.0*double((step-vd.getProp<last_restart>(p))))))/chiN < 1.4 + 2.0/(dim+1);
vd.getProp<path_c>(p) = (1-cc)*vd.getProp<path_c>(p) + hsig * sqrt(cc*(2-cc)*mu_eff)*(vd.getProp<B>(p)*vd.getProp<D>(p)*mean_z);
if (step % N_pso == 0)
{
Eigen::MatrixXd C_pso(dim,dim);
updatePso(best_sol,vd.getProp<sigma>(p),xmean,vd.getProp<B>(p),vd.getProp<D>(p),C_pso);
updatePso(best_sol,vd.getProp<sigma>(p),xmean,vd.getProp<xold>(p),vd.getProp<B>(p),vd.getProp<D>(p),C_pso);
// Adapt covariance matrix C
vd.getProp<Cov_m>(p) = (1.0-ccov+(1.0-hsig)*ccov*cc*(2.0-cc)/mu_eff)*vd.getProp<Cov_m>(p) +
......@@ -781,17 +803,16 @@ void cma_step(particle_type & vd, int step, double & best,
{vd.getProp<sigma>(p) = smaller;}
//Adapt step-size sigma
Eigen::VectorXd & debug_ps = vd.getProp<path_s>(p);
vd.getProp<sigma>(p) = vd.getProp<sigma>(p)*exp((cs/d_amps)*(vd.getProp<path_s>(p).norm()/chiN - 1));
auto & v_cl = create_vcluster();
std::cout << vd.getProp<sigma>(p) << " " << v_cl.rank() << std::endl;
// auto & v_cl = create_vcluster();
// std::cout << vd.getProp<sigma>(p) << " " << v_cl.rank() << std::endl;
// Update B and D from C
if (counteval - eigeneval > lambda/(ccov)/dim/10)
if (calc_bd)
{
eigeneval = counteval;
Eigen::MatrixXd trUp = vd.getProp<Cov_m>(p).triangularView<Eigen::Upper>();
Eigen::MatrixXd trDw = vd.getProp<Cov_m>(p).triangularView<Eigen::StrictlyUpper>();
vd.getProp<Cov_m>(p) = trUp + trDw.transpose();
......@@ -814,6 +835,16 @@ void cma_step(particle_type & vd, int step, double & best,
Eigen::MatrixXd tmp = vd.getProp<B>(p).transpose();
Eigen::MatrixXd & debug3 = vd.getProp<Cov_m>(p);
double debug_sigma = vd.getProp<sigma>(p);
if (step % 161 == 0)
{
//Adapt step-size sigma
Eigen::VectorXd & debug_ps = vd.getProp<path_s>(p);
Eigen::MatrixXd & debug4 = vd.getProp<Cov_m>(p);
int debug = 0;
}
int debug = 0;
}
......@@ -821,13 +852,6 @@ void cma_step(particle_type & vd, int step, double & best,
Eigen::MatrixXd & debug1 = vd.getProp<B>(p);
Eigen::DiagonalMatrix<double,Eigen::Dynamic> & debug2 = vd.getProp<D>(p);
// Escape flat fitness, or better terminate?
if (f_obj.get(0).f == f_obj.get(std::ceil(0.7*lambda)).f )
{
vd.getProp<sigma>(p) = vd.getProp<sigma>(p)*exp(0.2+cs/d_amps);
std::cout << "warning: flat fitness, consider reformulating the objective";
}
// Copy the new mean as position of the particle
for (size_t i = 0 ; i < dim ; i++)
{
......@@ -841,28 +865,84 @@ void cma_step(particle_type & vd, int step, double & best,
double debug_sigma = vd.getProp<sigma>(p);
Eigen::DiagonalMatrix<double,Eigen::Dynamic> & debug_d = vd.getProp<D>(p);
vd.getProp<sigma>(p) = adjust_sigma(vd.getProp<sigma>(p),vd.getProp<Cov_m>(p));
// Stop conditions
bool stop_tol = true;
bool stop_tolX = true;
for (size_t i = 0 ; i < dim ; i++)
{
stop_tol &= vd.getProp<sigma>(p)*std::max(fabs(vd.getProp<path_c>(p)(i)),sqrt(vd.getProp<D>(p).diagonal()[i])) < stopTolX;
double debug1 = std::max(fabs(vd.getProp<path_c>(p)(i)),sqrt(vd.getProp<Cov_m>(p)(i,i)));
stop_tol &= (vd.getProp<sigma>(p)*std::max(fabs(vd.getProp<path_c>(p)(i)),sqrt(vd.getProp<Cov_m>(p)(i,i)))) < stopTolX;
stop_tolX &= vd.getProp<sigma>(p)*sqrt(vd.getProp<D>(p).diagonal()[i]) > stopTolUpX;
}
vd.getProp<stop>(p) = stop_tol | stop_tolX;
// Escape flat fitness, or better terminate?
if (f_obj.get(0).f == f_obj.get(std::ceil(0.7*lambda)).f )
{
vd.getProp<sigma>(p) = vd.getProp<sigma>(p)*exp(0.2+cs/d_amps);
std::cout << "warning: flat fitness, consider reformulating the objective";
// Stop it
vd.getProp<stop>(p) = true;
}
if (vd.getProp<stop>(p) == true)
{
std::cout << "Stopped" << std::endl;
}
if (restart_cma && vd.getProp<stop>(p) == true)
{
std::cout << "------- Restart #" << std::endl;
std::cout << "---------------------------------" << std::endl;
std::cout << "Best: " << best << " " << fun_eval << std::endl;
std::cout << "---------------------------------" << std::endl;
vd.getProp<last_restart>(p) = step;
vd.getProp<xold>(p).setZero();
for (size_t i = 0 ; i < vd.getProp<D>(p).diagonal().size() ; i++)
{vd.getProp<D>(p).diagonal()[i] = 1.0;}
vd.getProp<B>(p).resize(dim,dim);
vd.getProp<B>(p).setIdentity();
vd.getProp<Cov_m>(p) = vd.getProp<B>(p)*vd.getProp<D>(p)*vd.getProp<D>(p)*vd.getProp<B>(p);
vd.getProp<path_s>(p).resize(dim);
vd.getProp<path_s>(p).setZero(dim);
vd.getProp<path_c>(p).resize(dim);
vd.getProp<path_c>(p).setZero(dim);
vd.getProp<stop>(p) = false;
vd.getProp<iniphase>(p) = true;
vd.getProp<last_restart>(p) = 0;
vd.getProp<sigma>(p) = 2.0;
// a different point in space
for (size_t i = 0 ; i < dim ; i++)
{
// we define x, assign a random position between 0.0 and 1.0
vd.getPos(p)[i] = 10.0*(double)rand() / RAND_MAX - 5.0;
}
// Initialize the bound history
for (size_t i = 0 ; i < hist_size ; i++)
{vd.getProp<fithist>(p)[i] = -1.0;}
vd.getProp<fithist>(p)[0] = 1.0;
vd.getProp<validfit>(p) = 0.0;
}
++it2;
}
auto & v_cl = create_vcluster();
v_cl.min(stop_cond);
v_cl.sum(fe);
v_cl.execute();
fun_eval += fe;
}
......@@ -893,7 +973,7 @@ int main(int argc, char* argv[])
// extended boundary around the domain, and the processor domain
Ghost<dim,double> g(0.0);
particle_type vd(v_cl.size(),domain,bc,g);
particle_type vd(16,domain,bc,g);
// Initialize constants
......@@ -905,7 +985,7 @@ int main(int argc, char* argv[])
// Strategy parameter setting: Adaptation
cc = 4.0 / (dim+4.0);
cs = (mu_eff+2.0) / (dim+mu_eff+3.0);
cs = (mu_eff+2.0) / (double(dim)+mu_eff+3.0);
ccov = (1.0/mu_eff) * 2.0/((dim+1.41)*(dim+1.41)) +
(1.0 - 1.0/mu_eff)* std::min(1.0,(2.0*mu_eff-1.0)/((dim+2.0)*(dim+2.0) + mu_eff));
d_amps = 1 + 2*std::max(0.0, sqrt((mu_eff-1.0)/(dim+1))-1) + cs;
......@@ -916,13 +996,10 @@ int main(int argc, char* argv[])
// initialize the srand
int seed = 24756*v_cl.rank()*v_cl.rank();
int seed = 24756*v_cl.rank()*v_cl.rank() + time(NULL);
srand(seed);
for (size_t k = 0 ; k < 100 ; k++)
{
auto it = vd.getDomainIterator();
auto it = vd.getDomainIterator();
while (it.isNext())
{
......@@ -971,16 +1048,25 @@ int main(int argc, char* argv[])
// now do several iteration
int stop_cond = 0;
size_t fun_eval = 0;
int i = 0;
while (stop_cond == 0)
while (fun_eval < max_fun_eval && best > 120.000001)
{
// sample offspring
cma_step(vd,i+1,best,best_i,best_sol,stop_cond);
cma_step(vd,i+1,best,best_i,best_sol,fun_eval);
i++;
}
std::cout << "Best solution: " << best << std::endl;
if (v_cl.rank() == 0)
{
std::cout << "Best solution: " << best << " with " << fun_eval << std::endl;
std::cout << "at: " << std::endl;
for (size_t i = 0 ; i < best_sol.size() ; i++)
{
std::cout << best_sol.get(i) << " ";
}
}
openfpm_finalize();
......
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