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Stop the simplex algorithm (mode_compute=8) if improving too slowly.

time-shift
Stéphane Adjemian (Charybdis) 2013-06-24 10:09:25 +02:00
parent b26b651403
commit 55edb3c12e
1 changed files with 9 additions and 2 deletions
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11
matlab/simplex_optimization_routine.m
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@ -1,4 +1,4 @@
function [x,fval,exitflag] = simplex_optimization_routine(objective_function,x,options,varargin)
Xfunction [x,fval,exitflag] = simplex_optimization_routine(objective_function,x,options,varargin)
% Nelder-Mead like optimization routine.
% By default, we use standard values for the reflection, the expansion, the contraction and the shrink coefficients (alpha = 1, chi = 2, psi = 1 / 2 and σ = 1 / 2).
% See http://en.wikipedia.org/wiki/Nelder-Mead_method
@ -201,7 +201,9 @@ max_simplex_algo_iterations = 3;
simplex_algo_iterations = 1;
best_point = v(:,1);
best_point_score = fv(1);
convergence = 0;
tooslow = 0;
iter_no_improvement_break = 0;
max_no_improvement_break = 1;
@ -213,6 +215,9 @@ while (func_count < max_func_calls) && (iter_count < max_iterations) && (simplex
if critF <= max(f_tolerance,10*eps(fv(1))) && critX <= max(x_tolerance,10*eps(max(v(:,1))))
convergence = 1;
end
if critX <= x_tolerance^2 && critF>1
tooslow = 1;
end
% Set random reflection and expansion parameters if needed.
if randomize_rho
rho = -log(rand)/lambda_rho;
@ -435,7 +440,7 @@ while (func_count < max_func_calls) && (iter_count < max_iterations) && (simplex
disp(' ')
end
end
if ((func_count==max_func_calls) || (iter_count==max_iterations) || (iter_no_improvement_break==max_no_improvement_break) || convergence)
if ((func_count==max_func_calls) || (iter_count==max_iterations) || (iter_no_improvement_break==max_no_improvement_break) || convergence || tooslow)
[v,fv,delta] = simplex_initialization(objective_function,best_point,best_point_score,DELTA,1,varargin{:});
if func_count==max_func_calls
if verbose
@ -454,6 +459,8 @@ while (func_count < max_func_calls) && (iter_count < max_iterations) && (simplex
max_no_improvements = Inf;% Do not stop until convergence is reached!
continue
end
elseif tooslow
disp(['CONVERGENCE NOT ACHIEVED AFTER ' int2str(simplex_iterations) ' ITERATIONS! IMPROVING TOO SLOWLY!'])
else
disp(['CONVERGENCE ACHIEVED AFTER ' int2str(simplex_iterations) ' ITERATIONS!'])
end