function [xmin, ... % minimum search point of last iteration fmin, ... % function value of xmin counteval, ... % number of function evaluations done stopflag, ... % stop criterion reached out, ... % struct with various histories and solutions bestever ... % struct containing overall best solution (for convenience) ] = cmaes( ... fitfun, ... % name of objective/fitness function xstart, ... % objective variables initial point, determines N insigma, ... % initial coordinate wise standard deviation(s) inopts, ... % options struct, see defopts below varargin ) % arguments passed to objective function % cmaes.m, Version 3.56.beta, last change: February, 2012 % CMAES implements an Evolution Strategy with Covariance Matrix % Adaptation (CMA-ES) for nonlinear function minimization. For % introductory comments and copyright (GPL) see end of file (type % 'type cmaes'). cmaes.m runs with MATLAB (Windows, Linux) and, % without data logging and plotting, it should run under Octave % (Linux, package octave-forge is needed). % % OPTS = CMAES returns default options. % OPTS = CMAES('defaults') returns default options quietly. % OPTS = CMAES('displayoptions') displays options. % OPTS = CMAES('defaults', OPTS) supplements options OPTS with default % options. % % XMIN = CMAES(FUN, X0, SIGMA[, OPTS]) locates the minimum XMIN of % function FUN starting from column vector X0 with the initial % coordinate wise search standard deviation SIGMA. % % Input arguments: % % FUN is a string function name like 'myfun'. FUN takes as argument a % column vector of size of X0 and returns a scalar. An easy way to % implement a hard non-linear constraint is to return NaN. Then, % this function evaluation is not counted and a newly sampled % point is tried immediately. % % X0 is a column vector, or a matrix, or a string. If X0 is a matrix, % mean(X0, 2) is taken as initial point. If X0 is a string like % '2*rand(10,1)-1', the string is evaluated first. % % SIGMA is a scalar, or a column vector of size(X0,1), or a string % that can be evaluated into one of these. SIGMA determines the % initial coordinate wise standard deviations for the search. % Setting SIGMA one third of the initial search region is % appropriate, e.g., the initial point in [0, 6]^10 and SIGMA=2 % means cmaes('myfun', 3*rand(10,1), 2). If SIGMA is missing and % size(X0,2) > 1, SIGMA is set to sqrt(var(X0')'). That is, X0 is % used as a sample for estimating initial mean and variance of the % search distribution. % % OPTS (an optional argument) is a struct holding additional input % options. Valid field names and a short documentation can be % discovered by looking at the default options (type 'cmaes' % without arguments, see above). Empty or missing fields in OPTS % invoke the default value, i.e. OPTS needs not to have all valid % field names. Capitalization does not matter and unambiguous % abbreviations can be used for the field names. If a string is % given where a numerical value is needed, the string is evaluated % by eval, where 'N' expands to the problem dimension % (==size(X0,1)) and 'popsize' to the population size. % % [XMIN, FMIN, COUNTEVAL, STOPFLAG, OUT, BESTEVER] = ... % CMAES(FITFUN, X0, SIGMA) % returns the best (minimal) point XMIN (found in the last % generation); function value FMIN of XMIN; the number of needed % function evaluations COUNTEVAL; a STOPFLAG value as cell array, % where possible entries are 'fitness', 'tolx', 'tolupx', 'tolfun', % 'maxfunevals', 'maxiter', 'stoptoresume', 'manual', % 'warnconditioncov', 'warnnoeffectcoord', 'warnnoeffectaxis', % 'warnequalfunvals', 'warnequalfunvalhist', 'bug' (use % e.g. any(strcmp(STOPFLAG, 'tolx')) or findstr(strcat(STOPFLAG, % 'tolx')) for further processing); a record struct OUT with some % more output, where the struct SOLUTIONS.BESTEVER contains the overall % best evaluated point X with function value F evaluated at evaluation % count EVALS. The last output argument BESTEVER equals % OUT.SOLUTIONS.BESTEVER. Moreover a history of solutions and % parameters is written to files according to the Log-options. % % A regular manual stop can be achieved via the file signals.par. The % program is terminated if the first two non-white sequences in any % line of this file are 'stop' and the value of the LogFilenamePrefix % option (by default 'outcmaes'). Also a run can be skipped. % Given, for example, 'skip outcmaes run 2', skips the second run % if option Restarts is at least 2, and another run will be started. % % To run the code completely silently set Disp, Save, and Log options % to 0. With OPTS.LogModulo > 0 (1 by default) the most important % data are written to ASCII files permitting to investigate the % results (e.g. plot with function plotcmaesdat) even while CMAES is % still running (which can be quite useful on expensive objective % functions). When OPTS.SaveVariables==1 (default) everything is saved % in file OPTS.SaveFilename (default 'variablescmaes.mat') allowing to % resume the search afterwards by using the resume option. % % To find the best ever evaluated point load the variables typing % "es=load('variablescmaes')" and investigate the variable % es.out.solutions.bestever. % % In case of a noisy objective function (uncertainties) set % OPTS.Noise.on = 1. This option interferes presumably with some % termination criteria, because the step-size sigma will presumably % not converge to zero anymore. If CMAES was provided with a % fifth argument (P1 in the below example, which is passed to the % objective function FUN), this argument is multiplied with the % factor given in option Noise.alphaevals, each time the detected % noise exceeds a threshold. This argument can be used within % FUN, for example, as averaging number to reduce the noise level. % % OPTS.DiagonalOnly > 1 defines the number of initial iterations, % where the covariance matrix remains diagonal and the algorithm has % internally linear time complexity. OPTS.DiagonalOnly = 1 means % keeping the covariance matrix always diagonal and this setting % also exhibits linear space complexity. This can be particularly % useful for dimension > 100. The default is OPTS.DiagonalOnly = 0. % % OPTS.CMA.active = 1 turns on "active CMA" with a negative update % of the covariance matrix and checks for positive definiteness. % OPTS.CMA.active = 2 does not check for pos. def. and is numerically % faster. Active CMA usually speeds up the adaptation and might % become a default in near future. % % The primary strategy parameter to play with is OPTS.PopSize, which % can be increased from its default value. Increasing the population % size (by default linked to increasing parent number OPTS.ParentNumber) % improves global search properties in exchange to speed. Speed % decreases, as a rule, at most linearely with increasing population % size. It is advisable to begin with the default small population % size. The options Restarts and IncPopSize can be used for an % automated multistart where the population size is increased by the % factor IncPopSize (two by default) before each restart. X0 (given as % string) is reevaluated for each restart. Stopping options % StopFunEvals, StopIter, MaxFunEvals, and Fitness terminate the % program, all others including MaxIter invoke another restart, where % the iteration counter is reset to zero. % % Examples: % % XMIN = cmaes('myfun', 5*ones(10,1), 1.5); starts the search at % 10D-point 5 and initially searches mainly between 5-3 and 5+3 % (+- two standard deviations), but this is not a strict bound. % 'myfun' is a name of a function that returns a scalar from a 10D % column vector. % % opts.LBounds = 0; opts.UBounds = 10; % X=cmaes('myfun', 10*rand(10,1), 5, opts); % search within lower bound of 0 and upper bound of 10. Bounds can % also be given as column vectors. If the optimum is not located % on the boundary, use rather a penalty approach to handle bounds. % % opts=cmaes; opts.StopFitness=1e-10; % X=cmaes('myfun', rand(5,1), 0.5, opts); stops the search, if % the function value is smaller than 1e-10. % % [X, F, E, STOP, OUT] = cmaes('myfun2', 'rand(5,1)', 1, [], P1, P2); % passes two additional parameters to the function MYFUN2. % % Copyright © 2001-2012 Nikolaus Hansen, % Copyright © 2012-2017 Dynare Team % % This file is part of Dynare. % % Dynare is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % Dynare is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . cmaVersion = '3.60.beta'; % ----------- Set Defaults for Input Parameters and Options ------------- % These defaults may be edited for convenience % Input Defaults (obsolete, these are obligatory now) definput.fitfun = 'felli'; % frosen; fcigar; see end of file for more definput.xstart = rand(10,1); % 0.50*ones(10,1); definput.sigma = 0.3; % Options defaults: Stopping criteria % (value of stop flag) defopts.StopFitness = '-Inf % stop if f(xmin) < stopfitness, minimization'; defopts.MaxFunEvals = 'Inf % maximal number of fevals'; defopts.MaxIter = '1e3*(N+5)^2/sqrt(popsize) % maximal number of iterations'; defopts.StopFunEvals = 'Inf % stop after resp. evaluation, possibly resume later'; defopts.StopIter = 'Inf % stop after resp. iteration, possibly resume later'; defopts.TolX = '1e-9*max(insigma) % stop if x-change smaller TolX'; defopts.TolUpX = '1e3*max(insigma) % stop if x-changes larger TolUpX'; defopts.TolFun = '1e-10 % stop if fun-changes smaller TolFun'; defopts.TolHistFun = '1e-11 % stop if back fun-changes smaller TolHistFun'; defopts.StopOnStagnation = 'on % stop when fitness stagnates for a long time'; defopts.StopOnWarnings = 'yes % ''no''==''off''==0, ''on''==''yes''==1 '; defopts.StopOnEqualFunctionValues = '2 + N/3 % number of iterations'; % Options defaults: Other defopts.DiffMaxChange = 'Inf % maximal variable change(s), can be Nx1-vector'; defopts.DiffMinChange = '0 % minimal variable change(s), can be Nx1-vector'; defopts.WarnOnEqualFunctionValues = ... 'yes % ''no''==''off''==0, ''on''==''yes''==1 '; defopts.LBounds = '-Inf % lower bounds, scalar or Nx1-vector'; defopts.UBounds = 'Inf % upper bounds, scalar or Nx1-vector'; defopts.EvalParallel = 'no % objective function FUN accepts NxM matrix, with M>1?'; defopts.EvalInitialX = 'yes % evaluation of initial solution'; defopts.Restarts = '0 % number of restarts '; defopts.IncPopSize = '2 % multiplier for population size before each restart'; defopts.PopSize = '(4 + floor(3*log(N))) % population size, lambda'; defopts.ParentNumber = 'floor(popsize/2) % AKA mu, popsize equals lambda'; defopts.RecombinationWeights = 'superlinear decrease % or linear, or equal'; defopts.DiagonalOnly = '0*(1+100*N/sqrt(popsize))+(N>=1000) % C is diagonal for given iterations, 1==always'; defopts.Noise.on = '0 % uncertainty handling is off by default'; defopts.Noise.reevals = '1*ceil(0.05*lambda) % nb. of re-evaluated for uncertainty measurement'; defopts.Noise.theta = '0.5 % threshold to invoke uncertainty treatment'; % smaller: more likely to diverge defopts.Noise.cum = '0.3 % cumulation constant for uncertainty'; defopts.Noise.cutoff = '2*lambda/3 % rank change cutoff for summation'; defopts.Noise.alphasigma = '1+2/(N+10) % factor for increasing sigma'; % smaller: slower adaptation defopts.Noise.epsilon = '1e-7 % additional relative perturbation before reevaluation'; defopts.Noise.minmaxevals = '[1 inf] % min and max value of 2nd arg to fitfun, start value is 5th arg to cmaes'; defopts.Noise.alphaevals = '1+2/(N+10) % factor for increasing 2nd arg to fitfun'; defopts.Noise.callback = '[] % callback function when uncertainty threshold is exceeded'; % defopts.TPA = 0; defopts.CMA.cs = '(mueff+2)/(N+mueff+3) % cumulation constant for step-size'; %qqq cs = (mueff^0.5)/(N^0.5+mueff^0.5) % the short time horizon version defopts.CMA.damps = '1 + 2*max(0,sqrt((mueff-1)/(N+1))-1) + cs % damping for step-size'; % defopts.CMA.ccum = '4/(N+4) % cumulation constant for covariance matrix'; defopts.CMA.ccum = '(4 + mueff/N) / (N+4 + 2*mueff/N) % cumulation constant for pc'; defopts.CMA.ccov1 = '2 / ((N+1.3)^2+mueff) % learning rate for rank-one update'; defopts.CMA.ccovmu = '2 * (mueff-2+1/mueff) / ((N+2)^2+mueff) % learning rate for rank-mu update'; defopts.CMA.on = 'yes'; defopts.CMA.active = '0 % active CMA 1: neg. updates with pos. def. check, 2: neg. updates'; flg_future_setting = 0; % testing for possible future variant(s) if flg_future_setting disp('in the future') % damps setting from Brockhoff et al 2010 % this damps diverges with popsize 400: % cmaeshtml('benchmarkszero', ones(20,1)*2, 5, o, 15); defopts.CMA.damps = '2*mueff/lambda + 0.3 + cs % damping for step-size'; % cs: for large mueff % how about: % defopts.CMA.damps = '2*mueff/lambda + 0.3 + 2*max(0,sqrt((mueff-1)/(N+1))-1) + cs % damping for step-size'; % ccum adjusted for large mueff, better on schefelmult? % TODO: this should also depend on diagonal option!? defopts.CMA.ccum = '(4 + mueff/N) / (N+4 + 2*mueff/N) % cumulation constant for pc'; defopts.CMA.active = '1 % active CMA 1: neg. updates with pos. def. check, 2: neg. updates'; end defopts.Resume = 'no % resume former run from SaveFile'; defopts.Science = 'on % off==do some additional (minor) problem capturing, NOT IN USE'; defopts.ReadSignals = 'on % from file signals.par for termination, yet a stumb'; defopts.Seed = 'sum(100*clock) % evaluated if it is a string'; defopts.DispFinal = 'on % display messages like initial and final message'; defopts.DispModulo = '100 % [0:Inf], disp messages after every i-th iteration'; defopts.SaveVariables = 'on % [on|final|off][-v6] save variables to .mat file'; defopts.SaveFilename = 'variablescmaes.mat % save all variables, see SaveVariables'; defopts.LogModulo = '1 % [0:Inf] if >1 record data less frequently after gen=100'; defopts.LogTime = '25 % [0:100] max. percentage of time for recording data'; defopts.LogFilenamePrefix = 'outcmaes % files for output data'; defopts.LogPlot = 'off % plot while running using output data files'; %qqqkkk %defopts.varopt1 = ''; % 'for temporary and hacking purposes'; %defopts.varopt2 = ''; % 'for temporary and hacking purposes'; defopts.UserData = 'for saving data/comments associated with the run'; defopts.UserDat2 = ''; 'for saving data/comments associated with the run'; % ---------------------- Handling Input Parameters ---------------------- if nargin < 1 || isequal(fitfun, 'defaults') % pass default options if nargin < 1 disp('Default options returned (type "help cmaes" for help).'); end xmin = defopts; if nargin > 1 % supplement second argument with default options xmin = getoptions(xstart, defopts); end return end if isequal(fitfun, 'displayoptions') names = fieldnames(defopts); for name = names' disp([name{:} repmat(' ', 1, 20-length(name{:})) ': ''' defopts.(name{:}) '''']); end return end input.fitfun = fitfun; % record used input if isempty(fitfun) % fitfun = definput.fitfun; % warning(['Objective function not determined, ''' fitfun ''' used']); error(['Objective function not determined']); end if ~ischar(fitfun) error('first argument FUN must be a string'); end if nargin < 2 xstart = []; end input.xstart = xstart; if isempty(xstart) % xstart = definput.xstart; % objective variables initial point % warning('Initial search point, and problem dimension, not determined'); error('Initial search point, and problem dimension, not determined'); end if nargin < 3 insigma = []; end if isa(insigma, 'struct') error(['Third argument SIGMA must be (or eval to) a scalar '... 'or a column vector of size(X0,1)']); end input.sigma = insigma; if isempty(insigma) if all(size(myeval(xstart)) > 1) insigma = std(xstart, 0, 2); if any(insigma == 0) error(['Initial search volume is zero, choose SIGMA or X0 appropriate']); end else % will be captured later % error(['Initial step sizes (SIGMA) not determined']); end end % Compose options opts if nargin < 4 || isempty(inopts) % no input options available inopts = []; opts = defopts; else opts = getoptions(inopts, defopts); end i = strfind(opts.SaveFilename, ' '); % remove everything after white space if ~isempty(i) opts.SaveFilename = opts.SaveFilename(1:i(1)-1); end %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% counteval = 0; countevalNaN = 0; irun = 0; while irun <= myeval(opts.Restarts) % for-loop does not work with resume irun = irun + 1; % ------------------------ Initialization ------------------------------- % Handle resuming of old run flgresume = myevalbool(opts.Resume); xmean = myeval(xstart); if all(size(xmean) > 1) xmean = mean(xmean, 2); % in case if xstart is a population elseif size(xmean, 2) > 1 xmean = xmean'; end if ~flgresume % not resuming a former run % Assign settings from input parameters and options for myeval... N = size(xmean, 1); numberofvariables = N; lambda0 = floor(myeval(opts.PopSize) * myeval(opts.IncPopSize)^(irun-1)); % lambda0 = floor(myeval(opts.PopSize) * 3^floor((irun-1)/2)); popsize = lambda0; lambda = lambda0; insigma = myeval(insigma); if all(size(insigma) == [N 2]) insigma = 0.5 * (insigma(:,2) - insigma(:,1)); end else % flgresume is true, do resume former run tmp = whos('-file', opts.SaveFilename); for i = 1:length(tmp) if strcmp(tmp(i).name, 'localopts') error('Saved variables include variable "localopts", please remove'); end end local.opts = opts; % keep stopping and display options local.varargin = varargin; load(opts.SaveFilename); varargin = local.varargin; flgresume = 1; % Overwrite old stopping and display options opts.StopFitness = local.opts.StopFitness; %%opts.MaxFunEvals = local.opts.MaxFunEvals; %%opts.MaxIter = local.opts.MaxIter; opts.StopFunEvals = local.opts.StopFunEvals; opts.StopIter = local.opts.StopIter; opts.TolX = local.opts.TolX; opts.TolUpX = local.opts.TolUpX; opts.TolFun = local.opts.TolFun; opts.TolHistFun = local.opts.TolHistFun; opts.StopOnStagnation = local.opts.StopOnStagnation; opts.StopOnWarnings = local.opts.StopOnWarnings; opts.ReadSignals = local.opts.ReadSignals; opts.DispFinal = local.opts.DispFinal; opts.LogPlot = local.opts.LogPlot; opts.DispModulo = local.opts.DispModulo; opts.SaveVariables = local.opts.SaveVariables; opts.LogModulo = local.opts.LogModulo; opts.LogTime = local.opts.LogTime; clear local; % otherwise local would be overwritten during load end %-------------------------------------------------------------- % Evaluate options stopFitness = myeval(opts.StopFitness); stopMaxFunEvals = myeval(opts.MaxFunEvals); stopMaxIter = myeval(opts.MaxIter); stopFunEvals = myeval(opts.StopFunEvals); stopIter = myeval(opts.StopIter); stopTolX = myeval(opts.TolX); stopTolUpX = myeval(opts.TolUpX); stopTolFun = myeval(opts.TolFun); stopTolHistFun = myeval(opts.TolHistFun); stopOnStagnation = myevalbool(opts.StopOnStagnation); stopOnWarnings = myevalbool(opts.StopOnWarnings); flgreadsignals = myevalbool(opts.ReadSignals); flgWarnOnEqualFunctionValues = myevalbool(opts.WarnOnEqualFunctionValues); flgEvalParallel = myevalbool(opts.EvalParallel); stopOnEqualFunctionValues = myeval(opts.StopOnEqualFunctionValues); arrEqualFunvals = zeros(1,10+N); flgDiagonalOnly = myeval(opts.DiagonalOnly); flgActiveCMA = myeval(opts.CMA.active); noiseHandling = myevalbool(opts.Noise.on); noiseMinMaxEvals = myeval(opts.Noise.minmaxevals); noiseAlphaEvals = myeval(opts.Noise.alphaevals); noiseCallback = myeval(opts.Noise.callback); flgdisplay = myevalbool(opts.DispFinal); flgplotting = myevalbool(opts.LogPlot); verbosemodulo = myeval(opts.DispModulo); flgscience = myevalbool(opts.Science); flgsaving = []; strsaving = []; if strfind(opts.SaveVariables, '-v6') i = strfind(opts.SaveVariables, '%'); if isempty(i) || i == 0 || strfind(opts.SaveVariables, '-v6') < i strsaving = '-v6'; flgsaving = 1; flgsavingfinal = 1; end end if strncmp('final', opts.SaveVariables, 5) flgsaving = 0; flgsavingfinal = 1; end if isempty(flgsaving) flgsaving = myevalbool(opts.SaveVariables); flgsavingfinal = flgsaving; end savemodulo = myeval(opts.LogModulo); savetime = myeval(opts.LogTime); i = strfind(opts.LogFilenamePrefix, ' '); % remove everything after white space if ~isempty(i) opts.LogFilenamePrefix = opts.LogFilenamePrefix(1:i(1)-1); end % TODO here silent option? set disp, save and log options to 0 %-------------------------------------------------------------- if (isfinite(stopFunEvals) || isfinite(stopIter)) && ~flgsaving warning('To resume later the saving option needs to be set'); end % Do more checking and initialization if flgresume % resume is on time.t0 = clock; if flgdisplay disp([' resumed from ' opts.SaveFilename ]); end if counteval >= stopMaxFunEvals error(['MaxFunEvals exceeded, use StopFunEvals as stopping ' ... 'criterion before resume']); end if countiter >= stopMaxIter error(['MaxIter exceeded, use StopIter as stopping criterion ' ... 'before resume']); end else % flgresume % xmean = mean(myeval(xstart), 2); % evaluate xstart again, because of irun maxdx = myeval(opts.DiffMaxChange); % maximal sensible variable change mindx = myeval(opts.DiffMinChange); % minimal sensible variable change % can both also be defined as Nx1 vectors lbounds = myeval(opts.LBounds); ubounds = myeval(opts.UBounds); if length(lbounds) == 1 lbounds = repmat(lbounds, N, 1); end if length(ubounds) == 1 ubounds = repmat(ubounds, N, 1); end if isempty(insigma) % last chance to set insigma if all(lbounds > -Inf) && all(ubounds < Inf) if any(lbounds>=ubounds) error('upper bound must be greater than lower bound'); end insigma = 0.3*(ubounds-lbounds); stopTolX = myeval(opts.TolX); % reevaluate these stopTolUpX = myeval(opts.TolUpX); else error(['Initial step sizes (SIGMA) not determined']); end end % Check all vector sizes if size(xmean, 2) > 1 || size(xmean,1) ~= N error(['intial search point should be a column vector of size ' ... num2str(N)]); elseif ~(all(size(insigma) == [1 1]) || all(size(insigma) == [N 1])) error(['input parameter SIGMA should be (or eval to) a scalar '... 'or a column vector of size ' num2str(N)] ); elseif size(stopTolX, 2) > 1 || ~ismember(size(stopTolX, 1), [1 N]) error(['option TolX should be (or eval to) a scalar '... 'or a column vector of size ' num2str(N)] ); elseif size(stopTolUpX, 2) > 1 || ~ismember(size(stopTolUpX, 1), [1 N]) error(['option TolUpX should be (or eval to) a scalar '... 'or a column vector of size ' num2str(N)] ); elseif size(maxdx, 2) > 1 || ~ismember(size(maxdx, 1), [1 N]) error(['option DiffMaxChange should be (or eval to) a scalar '... 'or a column vector of size ' num2str(N)] ); elseif size(mindx, 2) > 1 || ~ismember(size(mindx, 1), [1 N]) error(['option DiffMinChange should be (or eval to) a scalar '... 'or a column vector of size ' num2str(N)] ); elseif size(lbounds, 2) > 1 || ~ismember(size(lbounds, 1), [1 N]) error(['option lbounds should be (or eval to) a scalar '... 'or a column vector of size ' num2str(N)] ); elseif size(ubounds, 2) > 1 || ~ismember(size(ubounds, 1), [1 N]) error(['option ubounds should be (or eval to) a scalar '... 'or a column vector of size ' num2str(N)] ); end % Initialize dynamic internal state parameters if any(insigma <= 0) error(['Initial search volume (SIGMA) must be greater than zero']); end if max(insigma)/min(insigma) > 1e6 error(['Initial search volume (SIGMA) badly conditioned']); end sigma = max(insigma); % overall standard deviation pc = zeros(N,1); ps = zeros(N,1); % evolution paths for C and sigma if length(insigma) == 1 insigma = insigma * ones(N,1) ; end diagD = insigma/max(insigma); % diagonal matrix D defines the scaling diagC = diagD.^2; if flgDiagonalOnly ~= 1 % use at some point full covariance matrix B = eye(N,N); % B defines the coordinate system BD = B.*repmat(diagD',N,1); % B*D for speed up only C = diag(diagC); % covariance matrix == BD*(BD)' end if flgDiagonalOnly B = 1; end fitness.hist=NaN*ones(1,10+ceil(3*10*N/lambda)); % history of fitness values fitness.histsel=NaN*ones(1,10+ceil(3*10*N/lambda)); % history of fitness values fitness.histbest=[]; % history of fitness values fitness.histmedian=[]; % history of fitness values % Initialize boundary handling bnd.isactive = any(lbounds > -Inf) || any(ubounds < Inf); if bnd.isactive if any(lbounds>ubounds) error('lower bound found to be greater than upper bound'); end [xmean, ti] = xintobounds(xmean, lbounds, ubounds); % just in case if any(ti) warning('Initial point was out of bounds, corrected'); end bnd.weights = zeros(N,1); % weights for bound penalty % scaling is better in axis-parallel case, worse in rotated bnd.flgscale = 0; % scaling will be omitted if zero if bnd.flgscale ~= 0 bnd.scale = diagC/mean(diagC); else bnd.scale = ones(N,1); end idx = (lbounds > -Inf) | (ubounds < Inf); if length(idx) == 1 idx = idx * ones(N,1); end bnd.isbounded = zeros(N,1); bnd.isbounded(find(idx)) = 1; maxdx = min(maxdx, (ubounds - lbounds)/2); if any(sigma*sqrt(diagC) > maxdx) fac = min(maxdx ./ sqrt(diagC))/sigma; sigma = min(maxdx ./ sqrt(diagC)); warning(['Initial SIGMA multiplied by the factor ' num2str(fac) ... ', because it was larger than half' ... ' of one of the boundary intervals']); end idx = (lbounds > -Inf) & (ubounds < Inf); dd = diagC; if any(5*sigma*sqrt(dd(idx)) < ubounds(idx) - lbounds(idx)) warning(['Initial SIGMA is, in at least one coordinate, ' ... 'much smaller than the '... 'given boundary intervals. For reasonable ' ... 'global search performance SIGMA should be ' ... 'between 0.2 and 0.5 of the bounded interval in ' ... 'each coordinate. If all coordinates have ' ... 'lower and upper bounds SIGMA can be empty']); end bnd.dfithist = 1; % delta fit for setting weights bnd.aridxpoints = []; % remember complete outside points bnd.arfitness = []; % and their fitness bnd.validfitval = 0; bnd.iniphase = 1; end % ooo initial feval, for output only if irun == 1 out.solutions.bestever.x = xmean; out.solutions.bestever.f = Inf; % for simpler comparison below out.solutions.bestever.evals = counteval; bestever = out.solutions.bestever; end if myevalbool(opts.EvalInitialX) fitness.hist(1)=feval(fitfun, xmean, varargin{:}); fitness.histsel(1)=fitness.hist(1); counteval = counteval + 1; if fitness.hist(1) < out.solutions.bestever.f out.solutions.bestever.x = xmean; out.solutions.bestever.f = fitness.hist(1); out.solutions.bestever.evals = counteval; bestever = out.solutions.bestever; end else fitness.hist(1)=NaN; fitness.histsel(1)=NaN; end % initialize random number generator % $$$ if ischar(opts.Seed) % $$$ randn('state', eval(opts.Seed)); % random number generator state % $$$ else % $$$ randn('state', opts.Seed); % $$$ end %qqq % load(opts.SaveFilename, 'startseed'); % randn('state', startseed); % disp(['SEED RELOADED FROM ' opts.SaveFilename]); % startseed = randn('state'); % for retrieving in saved variables % Initialize further constants chiN=N^0.5*(1-1/(4*N)+1/(21*N^2)); % expectation of % ||N(0,I)|| == norm(randn(N,1)) countiter = 0; % Initialize records and output if irun == 1 time.t0 = clock; % TODO: keep also median solution? out.evals = counteval; % should be first entry out.stopflag = {}; outiter = 0; % Write headers to output data files filenameprefix = opts.LogFilenamePrefix; if savemodulo && savetime filenames = {}; filenames(end+1) = {'axlen'}; filenames(end+1) = {'fit'}; filenames(end+1) = {'stddev'}; filenames(end+1) = {'xmean'}; filenames(end+1) = {'xrecentbest'}; str = [' (startseed=' num2str(startseed(2)) ... ', ' num2str(clock, '%d/%02d/%d %d:%d:%2.2f') ')']; for namecell = filenames(:)' name = namecell{:}; [fid, err] = fopen(['./' filenameprefix name '.dat'], 'w'); if fid < 1 % err ~= 0 warning(['could not open ' filenameprefix name '.dat']); filenames(find(strcmp(filenames,name))) = []; else % fprintf(fid, '%s\n', ... % ['']); % fprintf(fid, [' ' name '\n']); % fprintf(fid, [' ' date() '\n']); % fprintf(fid, ' \n'); % fprintf(fid, [' dimension=' num2str(N) '\n']); % fprintf(fid, ' \n'); % different cases for DATA columns annotations here % fprintf(fid, ' 0 && floor(log10(lambda)) ~= floor(log10(lambda_last)) ... && flgdisplay disp([' lambda = ' num2str(lambda)]); lambda_hist(:,end+1) = [countiter+1; lambda]; else lambda_hist = [countiter+1; lambda]; end lambda_last = lambda; % Strategy internal parameter setting: Selection mu = myeval(opts.ParentNumber); % number of parents/points for recombination if strncmp(lower(opts.RecombinationWeights), 'equal', 3) weights = ones(mu,1); % (mu_I,lambda)-CMA-ES elseif strncmp(lower(opts.RecombinationWeights), 'linear', 3) weights = mu+0.5-(1:mu)'; elseif strncmp(lower(opts.RecombinationWeights), 'superlinear', 3) weights = log(mu+0.5)-log(1:mu)'; % muXone array for weighted recombination % qqq mu can be non-integer and % should become ceil(mu-0.5) (minor correction) else error(['Recombination weights to be "' opts.RecombinationWeights ... '" is not implemented']); end mueff=sum(weights)^2/sum(weights.^2); % variance-effective size of mu weights = weights/sum(weights); % normalize recombination weights array if mueff == lambda error(['Combination of values for PopSize, ParentNumber and ' ... ' and RecombinationWeights is not reasonable']); end % Strategy internal parameter setting: Adaptation cc = myeval(opts.CMA.ccum); % time constant for cumulation for covariance matrix cs = myeval(opts.CMA.cs); % old way TODO: remove this at some point % mucov = mueff; % size of mu used for calculating learning rate ccov % ccov = (1/mucov) * 2/(N+1.41)^2 ... % learning rate for covariance matrix % + (1-1/mucov) * min(1,(2*mucov-1)/((N+2)^2+mucov)); % new way if myevalbool(opts.CMA.on) ccov1 = myeval(opts.CMA.ccov1); ccovmu = min(1-ccov1, myeval(opts.CMA.ccovmu)); else ccov1 = 0; ccovmu = 0; end % flgDiagonalOnly = -lambda*4*1/ccov; % for ccov==1 it is not needed % 0 : C will never be diagonal anymore % 1 : C will always be diagonal % >1: C is diagonal for first iterations, set to 0 afterwards if flgDiagonalOnly < 1 flgDiagonalOnly = 0; end if flgDiagonalOnly ccov1_sep = min(1, ccov1 * (N+1.5) / 3); ccovmu_sep = min(1-ccov1_sep, ccovmu * (N+1.5) / 3); elseif N > 98 && flgdisplay && countiter == 0 disp('consider option DiagonalOnly for high-dimensional problems'); end % ||ps|| is close to sqrt(mueff/N) for mueff large on linear fitness %damps = ... % damping for step size control, usually close to one % (1 + 2*max(0,sqrt((mueff-1)/(N+1))-1)) ... % limit sigma increase % * max(0.3, ... % reduce damps, if max. iteration number is small % 1 - N/min(stopMaxIter,stopMaxFunEvals/lambda)) + cs; damps = myeval(opts.CMA.damps); if noiseHandling noiseReevals = min(myeval(opts.Noise.reevals), lambda); noiseAlpha = myeval(opts.Noise.alphasigma); noiseEpsilon = myeval(opts.Noise.epsilon); noiseTheta = myeval(opts.Noise.theta); noisecum = myeval(opts.Noise.cum); noiseCutOff = myeval(opts.Noise.cutoff); % arguably of minor relevance else noiseReevals = 0; % more convenient in later coding end %qqq hacking of a different parameter setting, e.g. for ccov or damps, % can be done here, but is not necessary anymore, see opts.CMA. % ccov1 = 0.0*ccov1; disp(['CAVE: ccov1=' num2str(ccov1)]); % ccovmu = 0.0*ccovmu; disp(['CAVE: ccovmu=' num2str(ccovmu)]); % damps = inf*damps; disp(['CAVE: damps=' num2str(damps)]); % cc = 1; disp(['CAVE: cc=' num2str(cc)]); end % Display initial message if countiter == 0 && flgdisplay if mu == 1 strw = '100'; elseif mu < 8 strw = [sprintf('%.0f', 100*weights(1)) ... sprintf(' %.0f', 100*weights(2:end)')]; else strw = [sprintf('%.2g ', 100*weights(1:2)') ... sprintf('%.2g', 100*weights(3)') '...' ... sprintf(' %.2g', 100*weights(end-1:end)') ']%, ']; end if irun > 1 strrun = [', run ' num2str(irun)]; else strrun = ''; end disp([' n=' num2str(N) ': (' num2str(mu) ',' ... num2str(lambda) ')-CMA-ES(w=[' ... strw ']%, ' ... 'mu_eff=' num2str(mueff,'%.1f') ... ') on function ' ... (fitfun) strrun]); if flgDiagonalOnly == 1 disp(' C is diagonal'); elseif flgDiagonalOnly disp([' C is diagonal for ' num2str(floor(flgDiagonalOnly)) ' iterations']); end end flush; countiter = countiter + 1; % Generate and evaluate lambda offspring fitness.raw = repmat(NaN, 1, lambda + noiseReevals); % parallel evaluation if flgEvalParallel arz = randn(N,lambda); if ~flgDiagonalOnly arx = repmat(xmean, 1, lambda) + sigma * (BD * arz); % Eq. (1) else arx = repmat(xmean, 1, lambda) + repmat(sigma * diagD, 1, lambda) .* arz; end if noiseHandling if noiseEpsilon == 0 arx = [arx arx(:,1:noiseReevals)]; elseif flgDiagonalOnly arx = [arx arx(:,1:noiseReevals) + ... repmat(noiseEpsilon * sigma * diagD, 1, noiseReevals) ... .* randn(N,noiseReevals)]; else arx = [arx arx(:,1:noiseReevals) + ... noiseEpsilon * sigma * ... (BD * randn(N,noiseReevals))]; end end % You may handle constraints here. You may either resample % arz(:,k) and/or multiply it with a factor between -1 and 1 % (the latter will decrease the overall step size) and % recalculate arx accordingly. Do not change arx or arz in any % other way. if ~bnd.isactive arxvalid = arx; else arxvalid = xintobounds(arx, lbounds, ubounds); end % You may handle constraints here. You may copy and alter % (columns of) arxvalid(:,k) only for the evaluation of the % fitness function. arx and arxvalid should not be changed. fitness.raw = feval(fitfun, arxvalid, varargin{:}); countevalNaN = countevalNaN + sum(isnan(fitness.raw)); counteval = counteval + sum(~isnan(fitness.raw)); end % non-parallel evaluation and remaining NaN-values % set also the reevaluated solution to NaN fitness.raw(lambda + find(isnan(fitness.raw(1:noiseReevals)))) = NaN; for k=find(isnan(fitness.raw)) % fitness.raw(k) = NaN; tries = 0; % Resample, until fitness is not NaN while isnan(fitness.raw(k)) if k <= lambda % regular samples (not the re-evaluation-samples) arz(:,k) = randn(N,1); % (re)sample if flgDiagonalOnly arx(:,k) = xmean + sigma * diagD .* arz(:,k); % Eq. (1) else arx(:,k) = xmean + sigma * (BD * arz(:,k)); % Eq. (1) end else % re-evaluation solution with index > lambda if flgDiagonalOnly arx(:,k) = arx(:,k-lambda) + (noiseEpsilon * sigma) * diagD .* randn(N,1); else arx(:,k) = arx(:,k-lambda) + (noiseEpsilon * sigma) * (BD * randn(N,1)); end end % You may handle constraints here. You may either resample % arz(:,k) and/or multiply it with a factor between -1 and 1 % (the latter will decrease the overall step size) and % recalculate arx accordingly. Do not change arx or arz in any % other way. if ~bnd.isactive arxvalid(:,k) = arx(:,k); else arxvalid(:,k) = xintobounds(arx(:,k), lbounds, ubounds); end % You may handle constraints here. You may copy and alter % (columns of) arxvalid(:,k) only for the evaluation of the % fitness function. arx should not be changed. fitness.raw(k) = feval(fitfun, arxvalid(:,k), varargin{:}); tries = tries + 1; if isnan(fitness.raw(k)) countevalNaN = countevalNaN + 1; end if mod(tries, 100) == 0 warning([num2str(tries) ... ' NaN objective function values at evaluation ' ... num2str(counteval)]); end end counteval = counteval + 1; % retries due to NaN are not counted end fitness.sel = fitness.raw; % ----- handle boundaries ----- if 1 < 3 && bnd.isactive % Get delta fitness values val = myprctile(fitness.raw, [25 75]); % more precise would be exp(mean(log(diagC))) val = (val(2) - val(1)) / N / mean(diagC) / sigma^2; %val = (myprctile(fitness.raw, 75) - myprctile(fitness.raw, 25)) ... % / N / mean(diagC) / sigma^2; % Catch non-sensible values if ~isfinite(val) if verbosemodulo>0 warning('Dynare:CMAES:nonFiniteFitnessRange','Non-finite fitness range'); end val = max(bnd.dfithist); elseif val == 0 % happens if all points are out of bounds val = min(bnd.dfithist(bnd.dfithist>0)); % seems not to make sense, given all solutions are out of bounds elseif bnd.validfitval == 0 % flag that first sensible val was found bnd.dfithist = []; bnd.validfitval = 1; end % Store delta fitness values if length(bnd.dfithist) < 20+(3*N)/lambda bnd.dfithist = [bnd.dfithist val]; else bnd.dfithist = [bnd.dfithist(2:end) val]; end [tx, ti] = xintobounds(xmean, lbounds, ubounds); % Set initial weights if bnd.iniphase if any(ti) bnd.weights(find(bnd.isbounded)) = 2.0002 * median(bnd.dfithist); if bnd.flgscale == 0 % scale only initial weights then dd = diagC; idx = find(bnd.isbounded); dd = dd(idx) / mean(dd); % remove mean scaling bnd.weights(idx) = bnd.weights(idx) ./ dd; end if bnd.validfitval && countiter > 2 bnd.iniphase = 0; end end end % Increase weights if 1 < 3 && any(ti) % any coordinate of xmean out of bounds % judge distance of xmean to boundary tx = xmean - tx; idx = (ti ~= 0 & abs(tx) > 3*max(1,sqrt(N)/mueff) ... * sigma*sqrt(diagC)) ; % only increase if xmean is moving away idx = idx & (sign(tx) == sign(xmean - xold)); if ~isempty(idx) % increase % the factor became 1.2 instead of 1.1, because % changed from max to min in version 3.52 bnd.weights(idx) = 1.2^(min(1, mueff/10/N)) * bnd.weights(idx); end end % Calculate scaling biased to unity, product is one if bnd.flgscale ~= 0 bnd.scale = exp(0.9*(log(diagC)-mean(log(diagC)))); end % Assigned penalized fitness bnd.arpenalty = (bnd.weights ./ bnd.scale)' * (arxvalid - arx).^2; fitness.sel = fitness.raw + bnd.arpenalty; end % handle boundaries % ----- end handle boundaries ----- % compute noise measurement and reduce fitness arrays to size lambda if noiseHandling [noiseS] = local_noisemeasurement(fitness.sel(1:lambda), ... fitness.sel(lambda+(1:noiseReevals)), ... noiseReevals, noiseTheta, noiseCutOff); if countiter == 1 % TODO: improve this very rude way of initialization noiseSS = 0; noiseN = 0; % counter for mean end noiseSS = noiseSS + noisecum * (noiseS - noiseSS); % noise-handling could be done here, but the original sigma is still needed % disp([noiseS noiseSS noisecum]) fitness.rawar12 = fitness.raw; % just documentary fitness.selar12 = fitness.sel; % just documentary % qqq refine fitness based on both values if 11 < 3 % TODO: in case of outliers this mean is counterproductive % median out of three would be ok fitness.raw(1:noiseReevals) = ... % not so raw anymore (fitness.raw(1:noiseReevals) + fitness.raw(lambda+(1:noiseReevals))) / 2; fitness.sel(1:noiseReevals) = ... (fitness.sel(1:noiseReevals) + fitness.sel(lambda+(1:noiseReevals))) / 2; end fitness.raw = fitness.raw(1:lambda); fitness.sel = fitness.sel(1:lambda); end % Sort by fitness [fitness.raw, fitness.idx] = sort(fitness.raw); [fitness.sel, fitness.idxsel] = sort(fitness.sel); % minimization fitness.hist(2:end) = fitness.hist(1:end-1); % record short history of fitness.hist(1) = fitness.raw(1); % best fitness values if length(fitness.histbest) < 120+ceil(30*N/lambda) || ... (mod(countiter, 5) == 0 && length(fitness.histbest) < 2e4) % 20 percent of 1e5 gen. fitness.histbest = [fitness.raw(1) fitness.histbest]; % best fitness values fitness.histmedian = [median(fitness.raw) fitness.histmedian]; % median fitness values else fitness.histbest(2:end) = fitness.histbest(1:end-1); fitness.histmedian(2:end) = fitness.histmedian(1:end-1); fitness.histbest(1) = fitness.raw(1); % best fitness values fitness.histmedian(1) = median(fitness.raw); % median fitness values end fitness.histsel(2:end) = fitness.histsel(1:end-1); % record short history of fitness.histsel(1) = fitness.sel(1); % best sel fitness values % Calculate new xmean, this is selection and recombination xold = xmean; % for speed up of Eq. (2) and (3) xmean = arx(:,fitness.idxsel(1:mu))*weights; zmean = arz(:,fitness.idxsel(1:mu))*weights;%==D^-1*B'*(xmean-xold)/sigma if mu == 1 fmean = fitness.sel(1); else fmean = NaN; % [] does not work in the latter assignment % fmean = feval(fitfun, xintobounds(xmean, lbounds, ubounds), varargin{:}); % counteval = counteval + 1; end % Cumulation: update evolution paths ps = (1-cs)*ps + sqrt(cs*(2-cs)*mueff) * (B*zmean); % Eq. (4) hsig = norm(ps)/sqrt(1-(1-cs)^(2*countiter))/chiN < 1.4 + 2/(N+1); if flg_future_setting hsig = sum(ps.^2) / (1-(1-cs)^(2*countiter)) / N < 2 + 4/(N+1); % just simplified end % hsig = norm(ps)/sqrt(1-(1-cs)^(2*countiter))/chiN < 1.4 + 2/(N+1); % hsig = norm(ps)/sqrt(1-(1-cs)^(2*countiter))/chiN < 1.5 + 1/(N-0.5); % hsig = norm(ps) < 1.5 * sqrt(N); % hsig = 1; pc = (1-cc)*pc ... + hsig*(sqrt(cc*(2-cc)*mueff)/sigma) * (xmean-xold); % Eq. (2) if hsig == 0 % disp([num2str(countiter) ' ' num2str(counteval) ' pc update stalled']); end % Adapt covariance matrix neg.ccov = 0; % TODO: move parameter setting upwards at some point if ccov1 + ccovmu > 0 % Eq. (3) if flgDiagonalOnly % internal linear(?) complexity diagC = (1-ccov1_sep-ccovmu_sep+(1-hsig)*ccov1_sep*cc*(2-cc)) * diagC ... % regard old matrix + ccov1_sep * pc.^2 ... % plus rank one update + ccovmu_sep ... % plus rank mu update * (diagC .* (arz(:,fitness.idxsel(1:mu)).^2 * weights)); % * (repmat(diagC,1,mu) .* arz(:,fitness.idxsel(1:mu)).^2 * weights); diagD = sqrt(diagC); % replaces eig(C) else arpos = (arx(:,fitness.idxsel(1:mu))-repmat(xold,1,mu)) / sigma; % "active" CMA update: negative update, in case controlling pos. definiteness if flgActiveCMA > 0 % set parameters neg.mu = mu; neg.mueff = mueff; if flgActiveCMA > 10 % flat weights with mu=lambda/2 neg.mu = floor(lambda/2); neg.mueff = neg.mu; end % neg.mu = ceil(min([N, lambda/4, mueff])); neg.mueff = mu; % i.e. neg.mu <= N % Parameter study: in 3-D lambda=50,100, 10-D lambda=200,400, 30-D lambda=1000,2000 a % three times larger neg.ccov does not work. % increasing all ccov rates three times does work (probably because of the factor (1-ccovmu)) % in 30-D to looks fine neg.ccov = (1 - ccovmu) * 0.25 * neg.mueff / ((N+2)^1.5 + 2*neg.mueff); neg.minresidualvariance = 0.66; % keep at least 0.66 in all directions, small popsize are most critical neg.alphaold = 0.5; % where to make up for the variance loss, 0.5 means no idea what to do % 1 is slightly more robust and gives a better "guaranty" for pos. def., % but does it make sense from the learning perspective for large ccovmu? neg.ccovfinal = neg.ccov; % prepare vectors, compute negative updating matrix Cneg and checking matrix Ccheck arzneg = arz(:,fitness.idxsel(lambda:-1:lambda - neg.mu + 1)); % i-th longest becomes i-th shortest % TODO: this is not in compliance with the paper Hansen&Ros2010, % where simply arnorms = arnorms(end:-1:1) ? [arnorms, idxnorms] = sort(sqrt(sum(arzneg.^2, 1))); [ignore, idxnorms] = sort(idxnorms); % inverse index arnormfacs = arnorms(end:-1:1) ./ arnorms; % arnormfacs = arnorms(randperm(neg.mu)) ./ arnorms; arnorms = arnorms(end:-1:1); % for the record if flgActiveCMA < 20 arzneg = arzneg .* repmat(arnormfacs(idxnorms), N, 1); % E x*x' is N % arzneg = sqrt(N) * arzneg ./ repmat(sqrt(sum(arzneg.^2, 1)), N, 1); % E x*x' is N end if flgActiveCMA < 10 && neg.mu == mu % weighted sum if mod(flgActiveCMA, 10) == 1 % TODO: prevent this with a less tight but more efficient check (see below) Ccheck = arzneg * diag(weights) * arzneg'; % in order to check the largest EV end artmp = BD * arzneg; Cneg = artmp * diag(weights) * artmp'; else % simple sum if mod(flgActiveCMA, 10) == 1 Ccheck = (1/neg.mu) * arzneg*arzneg'; % in order to check largest EV end artmp = BD * arzneg; Cneg = (1/neg.mu) * artmp*artmp'; end % check pos.def. and set learning rate neg.ccov accordingly, % this check makes the original choice of neg.ccov extremly failsafe % still assuming C == BD*BD', which is only approxim. correct if mod(flgActiveCMA, 10) == 1 && 1 - neg.ccov * arnorms(idxnorms).^2 * weights < neg.minresidualvariance % TODO: the simple and cheap way would be to set % fac = 1 - ccovmu - ccov1 OR 1 - mueff/lambda and % neg.ccov = fac*(1 - neg.minresidualvariance) / (arnorms(idxnorms).^2 * weights) % this is the more sophisticated way: % maxeigenval = eigs(arzneg * arzneg', 1, 'lm', eigsopts); % not faster maxeigenval = max(eig(Ccheck)); % norm is much slower, because (norm()==max(svd()) %disp([countiter log10([neg.ccov, maxeigenval, arnorms(idxnorms).^2 * weights, max(arnorms)^2]), ... % neg.ccov * arnorms(idxnorms).^2 * weights]) % pause % remove less than ??34*(1-cmu)%?? of variance in any direction % 1-ccovmu is the variance left from the old C neg.ccovfinal = min(neg.ccov, (1-ccovmu)*(1-neg.minresidualvariance)/maxeigenval); % -ccov1 removed to avoid error message?? if neg.ccovfinal < neg.ccov disp(['active CMA at iteration ' num2str(countiter) ... ': max EV ==', num2str([maxeigenval, neg.ccov, neg.ccovfinal])]); end end % xmean = xold; % the distribution does not degenerate!? % update C C = (1-ccov1-ccovmu+neg.alphaold*neg.ccovfinal+(1-hsig)*ccov1*cc*(2-cc)) * C ... % regard old matrix + ccov1 * pc*pc' ... % plus rank one update + (ccovmu + (1-neg.alphaold)*neg.ccovfinal) ... % plus rank mu update * arpos * (repmat(weights,1,N) .* arpos') ... - neg.ccovfinal * Cneg; % minus rank mu update else % no active (negative) update C = (1-ccov1-ccovmu+(1-hsig)*ccov1*cc*(2-cc)) * C ... % regard old matrix + ccov1 * pc*pc' ... % plus rank one update + ccovmu ... % plus rank mu update * arpos * (repmat(weights,1,N) .* arpos'); % is now O(mu*N^2 + mu*N), was O(mu*N^2 + mu^2*N) when using diag(weights) % for mu=30*N it is now 10 times faster, overall 3 times faster end diagC = diag(C); end end % the following is de-preciated and will be removed in future % better setting for cc makes this hack obsolete if 11 < 2 && ~flgscience % remove momentum in ps, if ps is large and fitness is getting worse. % this should rarely happen. % this might very well be counterproductive in dynamic environments if sum(ps.^2)/N > 1.5 + 10*(2/N)^.5 && ... fitness.histsel(1) > max(fitness.histsel(2:3)) ps = ps * sqrt(N*(1+max(0,log(sum(ps.^2)/N))) / sum(ps.^2)); if flgdisplay disp(['Momentum in ps removed at [niter neval]=' ... num2str([countiter counteval]) ']']); end end end % Adapt sigma if flg_future_setting % according to a suggestion from Dirk Arnold (2000) % exp(1) is still not reasonably small enough sigma = sigma * exp(min(1, (sum(ps.^2)/N - 1)/2 * cs/damps)); % Eq. (5) else % exp(1) is still not reasonably small enough sigma = sigma * exp(min(1, (sqrt(sum(ps.^2))/chiN - 1) * cs/damps)); % Eq. (5) end % disp([countiter norm(ps)/chiN]); if 11 < 3 % testing with optimal step-size if countiter == 1 disp('*********** sigma set to const * ||x|| ******************'); end sigma = 0.04 * mueff * sqrt(sum(xmean.^2)) / N; % 20D,lam=1000:25e3 sigma = 0.3 * mueff * sqrt(sum(xmean.^2)) / N; % 20D,lam=(40,1000):17e3 % 75e3 with def (1.5) % 35e3 with damps=0.25 end if 11 < 3 if countiter == 1 disp('*********** xmean set to const ******************'); end xmean = ones(N,1); end % Update B and D from C if ~flgDiagonalOnly && (ccov1+ccovmu+neg.ccov) > 0 && mod(countiter, 1/(ccov1+ccovmu+neg.ccov)/N/10) < 1 C=triu(C)+triu(C,1)'; % enforce symmetry to prevent complex numbers [B,tmp] = eig(C); % eigen decomposition, B==normalized eigenvectors % effort: approx. 15*N matrix-vector multiplications diagD = diag(tmp); if any(~isfinite(diagD)) clear idx; % prevents error under octave save(['tmp' opts.SaveFilename]); error(['function eig returned non-finited eigenvalues, cond(C)=' ... num2str(cond(C)) ]); end if any(any(~isfinite(B))) clear idx; % prevents error under octave save(['tmp' opts.SaveFilename]); error(['function eig returned non-finited eigenvectors, cond(C)=' ... num2str(cond(C)) ]); end % limit condition of C to 1e14 + 1 if min(diagD) <= 0 if stopOnWarnings stopflag(end+1) = {'warnconditioncov'}; else warning(['Iteration ' num2str(countiter) ... ': Eigenvalue (smaller) zero']); diagD(diagD<0) = 0; tmp = max(diagD)/1e14; C = C + tmp*eye(N,N); diagD = diagD + tmp*ones(N,1); end end if max(diagD) > 1e14*min(diagD) if stopOnWarnings stopflag(end+1) = {'warnconditioncov'}; else warning(['Iteration ' num2str(countiter) ': condition of C ' ... 'at upper limit' ]); tmp = max(diagD)/1e14 - min(diagD); C = C + tmp*eye(N,N); diagD = diagD + tmp*ones(N,1); end end diagC = diag(C); diagD = sqrt(diagD); % D contains standard deviations now % diagD = diagD / prod(diagD)^(1/N); C = C / prod(diagD)^(2/N); BD = B.*repmat(diagD',N,1); % O(n^2) end % if mod % Align/rescale order of magnitude of scales of sigma and C for nicer output % not a very usual case if 1 < 2 && sigma > 1e10*max(diagD) fac = sigma / max(diagD); sigma = sigma/fac; pc = fac * pc; diagD = fac * diagD; if ~flgDiagonalOnly C = fac^2 * C; % disp(fac); BD = B.*repmat(diagD',N,1); % O(n^2), but repmat might be inefficient todo? end diagC = fac^2 * diagC; end if flgDiagonalOnly > 1 && countiter > flgDiagonalOnly % full covariance matrix from now on flgDiagonalOnly = 0; B = eye(N,N); BD = diag(diagD); C = diag(diagC); % is better, because correlations are spurious anyway end if noiseHandling if countiter == 1 % assign firstvarargin for noise treatment e.g. as #reevaluations if ~isempty(varargin) && length(varargin{1}) == 1 && isnumeric(varargin{1}) if irun == 1 firstvarargin = varargin{1}; else varargin{1} = firstvarargin; % reset varargin{1} end else firstvarargin = 0; end end if noiseSS < 0 && noiseMinMaxEvals(2) > noiseMinMaxEvals(1) && firstvarargin varargin{1} = max(noiseMinMaxEvals(1), varargin{1} / noiseAlphaEvals^(1/4)); % still experimental elseif noiseSS > 0 if ~isempty(noiseCallback) % to be removed? res = feval(noiseCallback); % should also work without output argument!? if ~isempty(res) && res > 1 % TODO: decide for interface of callback % also a dynamic popsize could be done here sigma = sigma * noiseAlpha; end else if noiseMinMaxEvals(2) > noiseMinMaxEvals(1) && firstvarargin varargin{1} = min(noiseMinMaxEvals(2), varargin{1} * noiseAlphaEvals); end sigma = sigma * noiseAlpha; % lambda = ceil(0.1 * sqrt(lambda) + lambda); % TODO: find smallest increase of lambda with log-linear % convergence in iterations end % qqq experimental: take a mean to estimate the true optimum noiseN = noiseN + 1; if noiseN == 1 noiseX = xmean; else noiseX = noiseX + (3/noiseN) * (xmean - noiseX); end end end % ----- numerical error management ----- % Adjust maximal coordinate axis deviations if any(sigma*sqrt(diagC) > maxdx) sigma = min(maxdx ./ sqrt(diagC)); %warning(['Iteration ' num2str(countiter) ': coordinate axis std ' ... % 'deviation at upper limit of ' num2str(maxdx)]); % stopflag(end+1) = {'maxcoorddev'}; end % Adjust minimal coordinate axis deviations if any(sigma*sqrt(diagC) < mindx) sigma = max(mindx ./ sqrt(diagC)) * exp(0.05+cs/damps); %warning(['Iteration ' num2str(countiter) ': coordinate axis std ' ... % 'deviation at lower limit of ' num2str(mindx)]); % stopflag(end+1) = {'mincoorddev'};; end % Adjust too low coordinate axis deviations if any(xmean == xmean + 0.2*sigma*sqrt(diagC)) if stopOnWarnings stopflag(end+1) = {'warnnoeffectcoord'}; else warning(['Iteration ' num2str(countiter) ': coordinate axis std ' ... 'deviation too low' ]); if flgDiagonalOnly diagC = diagC + (ccov1_sep+ccovmu_sep) * (diagC .* ... (xmean == xmean + 0.2*sigma*sqrt(diagC))); else C = C + (ccov1+ccovmu) * diag(diagC .* ... (xmean == xmean + 0.2*sigma*sqrt(diagC))); end sigma = sigma * exp(0.05+cs/damps); end end % Adjust step size in case of (numerical) precision problem if flgDiagonalOnly tmp = 0.1*sigma*diagD; else tmp = 0.1*sigma*BD(:,1+floor(mod(countiter,N))); end if all(xmean == xmean + tmp) i = 1+floor(mod(countiter,N)); if stopOnWarnings stopflag(end+1) = {'warnnoeffectaxis'}; else warning(['Iteration ' num2str(countiter) ... ': main axis standard deviation ' ... num2str(sigma*diagD(i)) ' has no effect' ]); sigma = sigma * exp(0.2+cs/damps); end end % Adjust step size in case of equal function values (flat fitness) % isequalfuncvalues = 0; if fitness.sel(1) == fitness.sel(1+ceil(0.1+lambda/4)) % isequalfuncvalues = 1; if stopOnEqualFunctionValues arrEqualFunvals = [countiter arrEqualFunvals(1:end-1)]; % stop if this happens in more than 33% if arrEqualFunvals(end) > countiter - 3 * length(arrEqualFunvals) stopflag(end+1) = {'equalfunvals'}; end else if flgWarnOnEqualFunctionValues warning(['Iteration ' num2str(countiter) ... ': equal function values f=' num2str(fitness.sel(1)) ... ' at maximal main axis sigma ' ... num2str(sigma*max(diagD))]); end sigma = sigma * exp(0.2+cs/damps); end end % Adjust step size in case of equal function values if countiter > 2 && myrange([fitness.hist fitness.sel(1)]) == 0 if stopOnWarnings stopflag(end+1) = {'warnequalfunvalhist'}; else warning(['Iteration ' num2str(countiter) ... ': equal function values in history at maximal main ' ... 'axis sigma ' num2str(sigma*max(diagD))]); sigma = sigma * exp(0.2+cs/damps); end end % ----- end numerical error management ----- % Keep overall best solution out.evals = counteval; out.solutions.evals = counteval; out.solutions.mean.x = xmean; out.solutions.mean.f = fmean; out.solutions.mean.evals = counteval; out.solutions.recentbest.x = arxvalid(:, fitness.idx(1)); out.solutions.recentbest.f = fitness.raw(1); out.solutions.recentbest.evals = counteval + fitness.idx(1) - lambda; out.solutions.recentworst.x = arxvalid(:, fitness.idx(end)); out.solutions.recentworst.f = fitness.raw(end); out.solutions.recentworst.evals = counteval + fitness.idx(end) - lambda; if fitness.hist(1) < out.solutions.bestever.f out.solutions.bestever.x = arxvalid(:, fitness.idx(1)); out.solutions.bestever.f = fitness.hist(1); out.solutions.bestever.evals = counteval + fitness.idx(1) - lambda; bestever = out.solutions.bestever; end % Set stop flag if fitness.raw(1) <= stopFitness, stopflag(end+1) = {'fitness'}; end if counteval >= stopMaxFunEvals, stopflag(end+1) = {'maxfunevals'}; end if countiter >= stopMaxIter, stopflag(end+1) = {'maxiter'}; end if all(sigma*(max(abs(pc), sqrt(diagC))) < stopTolX) stopflag(end+1) = {'tolx'}; end if any(sigma*sqrt(diagC) > stopTolUpX) stopflag(end+1) = {'tolupx'}; end if sigma*max(diagD) == 0 % should never happen stopflag(end+1) = {'bug'}; end if countiter > 2 && myrange([fitness.sel fitness.hist]) <= stopTolFun stopflag(end+1) = {'tolfun'}; end if countiter >= length(fitness.hist) && myrange(fitness.hist) <= stopTolHistFun stopflag(end+1) = {'tolhistfun'}; end l = floor(length(fitness.histbest)/3); if 1 < 2 && stopOnStagnation && ... % leads sometimes early stop on ftablet, fcigtab countiter > N * (5+100/lambda) && ... length(fitness.histbest) > 100 && ... median(fitness.histmedian(1:l)) >= median(fitness.histmedian(end-l:end)) && ... median(fitness.histbest(1:l)) >= median(fitness.histbest(end-l:end)) stopflag(end+1) = {'stagnation'}; end if counteval >= stopFunEvals || countiter >= stopIter stopflag(end+1) = {'stoptoresume'}; if length(stopflag) == 1 && flgsaving == 0 error('To resume later the saving option needs to be set'); end end % read stopping message from file signals.par if flgreadsignals fid = fopen('./signals.par', 'rt'); % can be performance critical while fid > 0 strline = fgetl(fid); %fgets(fid, 300); if strline < 0 % fgets and fgetl returns -1 at end of file break end % 'stop filename' sets stopflag to manual str = sscanf(strline, ' %s %s', 2); if strcmp(str, ['stop' opts.LogFilenamePrefix]) stopflag(end+1) = {'manual'}; break end % 'skip filename run 3' skips a run, but not the last str = sscanf(strline, ' %s %s %s', 3); if strcmp(str, ['skip' opts.LogFilenamePrefix 'run']) i = strfind(strline, 'run'); if irun == sscanf(strline(i+3:end), ' %d ', 1) && irun <= myeval(opts.Restarts) stopflag(end+1) = {'skipped'}; end end end % while, break if fid > 0 fclose(fid); clear fid; % prevents strange error under octave end end out.stopflag = stopflag; % ----- output generation ----- if verbosemodulo > 0 && isfinite(verbosemodulo) if countiter == 1 || mod(countiter, 10*verbosemodulo) < 1 disp(['Iterat, #Fevals: Function Value (median,worst) ' ... '|Axis Ratio|' ... 'idx:Min SD idx:Max SD']); end if mod(countiter, verbosemodulo) < 1 ... || (verbosemodulo > 0 && isfinite(verbosemodulo) && ... (countiter < 3 || ~isempty(stopflag))) [minstd, minstdidx] = min(sigma*sqrt(diagC)); [maxstd, maxstdidx] = max(sigma*sqrt(diagC)); % format display nicely disp([repmat(' ',1,4-floor(log10(countiter))) ... num2str(countiter) ' , ' ... repmat(' ',1,5-floor(log10(counteval))) ... num2str(counteval) ' : ' ... num2str(fitness.hist(1), '%.13e') ... ' +(' num2str(median(fitness.raw)-fitness.hist(1), '%.0e ') ... ',' num2str(max(fitness.raw)-fitness.hist(1), '%.0e ') ... ') | ' ... num2str(max(diagD)/min(diagD), '%4.2e') ' | ' ... repmat(' ',1,1-floor(log10(minstdidx))) num2str(minstdidx) ':' ... num2str(minstd, ' %.1e') ' ' ... repmat(' ',1,1-floor(log10(maxstdidx))) num2str(maxstdidx) ':' ... num2str(maxstd, ' %.1e')]); end end % measure time for recording data if countiter < 3 time.c = 0.05; time.nonoutput = 0; time.recording = 0; time.saving = 0.15; % first saving after 3 seconds of 100 iterations time.plotting = 0; elseif countiter > 300 % set backward horizon, must be long enough to cover infrequent plotting etc % time.c = min(1, time.nonoutput/3 + 1e-9); time.c = max(1e-5, 0.1/sqrt(countiter)); % mean over all or 1e-5 end % get average time per iteration time.t1 = clock; time.act = max(0,etime(time.t1, time.t0)); time.nonoutput = (1-time.c) * time.nonoutput ... + time.c * time.act; time.recording = (1-time.c) * time.recording; % per iteration time.saving = (1-time.c) * time.saving; time.plotting = (1-time.c) * time.plotting; % record output data, concerning time issues if savemodulo && savetime && (countiter < 1e2 || ~isempty(stopflag) || ... countiter >= outiter + savemodulo) outiter = countiter; % Save output data to files for namecell = filenames(:)' name = namecell{:}; [fid, err] = fopen(['./' filenameprefix name '.dat'], 'a'); if fid < 1 % err ~= 0 warning(['could not open ' filenameprefix name '.dat']); else if strcmp(name, 'axlen') fprintf(fid, '%d %d %e %e %e ', countiter, counteval, sigma, ... max(diagD), min(diagD)); fprintf(fid, '%e ', sort(diagD)); fprintf(fid, '\n'); elseif strcmp(name, 'disp') % TODO elseif strcmp(name, 'fit') fprintf(fid, '%ld %ld %e %e %25.18e %25.18e %25.18e %25.18e', ... countiter, counteval, sigma, max(diagD)/min(diagD), ... out.solutions.bestever.f, ... fitness.raw(1), median(fitness.raw), fitness.raw(end)); if ~isempty(varargin) && length(varargin{1}) == 1 && isnumeric(varargin{1}) && varargin{1} ~= 0 fprintf(fid, ' %f', varargin{1}); end fprintf(fid, '\n'); elseif strcmp(name, 'stddev') fprintf(fid, '%ld %ld %e 0 0 ', countiter, counteval, sigma); fprintf(fid, '%e ', sigma*sqrt(diagC)); fprintf(fid, '\n'); elseif strcmp(name, 'xmean') if isnan(fmean) fprintf(fid, '%ld %ld 0 0 0 ', countiter, counteval); else fprintf(fid, '%ld %ld 0 0 %e ', countiter, counteval, fmean); end fprintf(fid, '%e ', xmean); fprintf(fid, '\n'); elseif strcmp(name, 'xrecentbest') % TODO: fitness is inconsistent with x-value fprintf(fid, '%ld %ld %25.18e 0 0 ', countiter, counteval, fitness.raw(1)); fprintf(fid, '%e ', arx(:,fitness.idx(1))); fprintf(fid, '\n'); end fclose(fid); end end % get average time for recording data time.t2 = clock; time.recording = time.recording + time.c * max(0,etime(time.t2, time.t1)); % plot if flgplotting && countiter > 1 if countiter == 2 iterplotted = 0; end if ~isempty(stopflag) || ... ((time.nonoutput+time.recording) * (countiter - iterplotted) > 1 && ... time.plotting < 0.05 * (time.nonoutput+time.recording)) local_plotcmaesdat(324, filenameprefix); iterplotted = countiter; % outplot(out); % outplot defined below if time.plotting == 0 % disregard opening of the window time.plotting = time.nonoutput+time.recording; else time.plotting = time.plotting + time.c * max(0,etime(clock, time.t2)); end end end if countiter > 100 + 20 && savemodulo && ... time.recording * countiter > 0.1 && ... % absolute time larger 0.1 second time.recording > savetime * (time.nonoutput+time.recording) / 100 savemodulo = floor(1.1 * savemodulo) + 1; % disp('++savemodulo'); %qqq end end % if output % save everything time.t3 = clock; if ~isempty(stopflag) || time.saving < 0.05 * time.nonoutput || countiter == 100 xmin = arxvalid(:, fitness.idx(1)); fmin = fitness.raw(1); if flgsaving && countiter > 2 clear idx; % prevents error under octave % -v6 : non-compressed non-unicode for version 6 and earlier if ~isempty(strsaving) && ~isoctave save('-mat', strsaving, opts.SaveFilename); % for inspection and possible restart else save('-mat', opts.SaveFilename); % for inspection and possible restart end time.saving = time.saving + time.c * max(0,etime(clock, time.t3)); end end time.t0 = clock; % ----- end output generation ----- end % while, end generation loop % -------------------- Final Procedures ------------------------------- % Evaluate xmean and return best recent point in xmin fmin = fitness.raw(1); xmin = arxvalid(:, fitness.idx(1)); % Return best point of last generation. if length(stopflag) > sum(strcmp(stopflag, 'stoptoresume')) % final stopping out.solutions.mean.f = ... feval(fitfun, xintobounds(xmean, lbounds, ubounds), varargin{:}); counteval = counteval + 1; out.solutions.mean.evals = counteval; if out.solutions.mean.f < fitness.raw(1) fmin = out.solutions.mean.f; xmin = xintobounds(xmean, lbounds, ubounds); % Return xmean as best point end if out.solutions.mean.f < out.solutions.bestever.f out.solutions.bestever = out.solutions.mean; % Return xmean as bestever point out.solutions.bestever.x = xintobounds(xmean, lbounds, ubounds); bestever = out.solutions.bestever; end end % Save everything and display final message if flgsavingfinal clear idx; % prevents error under octave if ~isempty(strsaving) && ~isoctave save('-mat', strsaving, opts.SaveFilename); % for inspection and possible restart else save('-mat', opts.SaveFilename); % for inspection and possible restart end message = [' (saved to ' opts.SaveFilename ')']; else message = []; end if flgdisplay disp(['#Fevals: f(returned x) | bestever.f | stopflag' ... message]); if isoctave strstop = stopflag(:); else strcat(stopflag(:), '.'); end strstop = stopflag(:); %strcat(stopflag(:), '.'); disp([repmat(' ',1,6-floor(log10(counteval))) ... num2str(counteval, '%6.0f') ': ' num2str(fmin, '%.11e') ' | ' ... num2str(out.solutions.bestever.f, '%.11e') ' | ' ... strstop{1:end}]); if N < 102 disp(['mean solution:' sprintf(' %+.1e', xmean)]); disp(['std deviation:' sprintf(' %.1e', sigma*sqrt(diagC))]); disp(sprintf('use plotcmaesdat.m for plotting the output at any time (option LogModulo must not be zero)')); end if exist('sfile', 'var') disp(['Results saved in ' sfile]); end end out.arstopflags{irun} = stopflag; if any(strcmp(stopflag, 'fitness')) ... || any(strcmp(stopflag, 'maxfunevals')) ... || any(strcmp(stopflag, 'stoptoresume')) ... || any(strcmp(stopflag, 'manual')) break end end % while irun <= Restarts % --------------------------------------------------------------- % --------------------------------------------------------------- function [x, idx] = xintobounds(x, lbounds, ubounds) % % x can be a column vector or a matrix consisting of column vectors % if ~isempty(lbounds) if length(lbounds) == 1 idx = x < lbounds; x(idx) = lbounds; else arbounds = repmat(lbounds, 1, size(x,2)); idx = x < arbounds; x(idx) = arbounds(idx); end else idx = 0; end if ~isempty(ubounds) if length(ubounds) == 1 idx2 = x > ubounds; x(idx2) = ubounds; else arbounds = repmat(ubounds, 1, size(x,2)); idx2 = x > arbounds; x(idx2) = arbounds(idx2); end else idx2 = 0; end idx = idx2-idx; % --------------------------------------------------------------- % --------------------------------------------------------------- function opts=getoptions(inopts, defopts) % OPTS = GETOPTIONS(INOPTS, DEFOPTS) handles an arbitrary number of % optional arguments to a function. The given arguments are collected % in the struct INOPTS. GETOPTIONS matches INOPTS with a default % options struct DEFOPTS and returns the merge OPTS. Empty or missing % fields in INOPTS invoke the default value. Fieldnames in INOPTS can % be abbreviated. % % The returned struct OPTS is first assigned to DEFOPTS. Then any % field value in OPTS is replaced by the respective field value of % INOPTS if (1) the field unambiguously (case-insensitive) matches % with the fieldname in INOPTS (cut down to the length of the INOPTS % fieldname) and (2) the field is not empty. % % Example: % In the source-code of the function that needs optional % arguments, the last argument is the struct of optional % arguments: % % function results = myfunction(mandatory_arg, inopts) % % Define four default options % defopts.PopulationSize = 200; % defopts.ParentNumber = 50; % defopts.MaxIterations = 1e6; % defopts.MaxSigma = 1; % % % merge default options with input options % opts = getoptions(inopts, defopts); % % % Thats it! From now on the values in opts can be used % for i = 1:opts.PopulationSize % % do whatever % if sigma > opts.MaxSigma % % do whatever % end % end % % For calling the function myfunction with default options: % myfunction(argument1, []); % For calling the function myfunction with modified options: % opt.pop = 100; % redefine PopulationSize option % opt.PAR = 10; % redefine ParentNumber option % opt.maxiter = 2; % opt.max=2 is ambiguous and would result in an error % myfunction(argument1, opt); % % 04/07/19: Entries can be structs itself leading to a recursive % call to getoptions. % if nargin < 2 || isempty(defopts) % no default options available opts=inopts; return elseif isempty(inopts) % empty inopts invoke default options opts = defopts; return elseif ~isstruct(defopts) % handle a single option value if isempty(inopts) opts = defopts; elseif ~isstruct(inopts) opts = inopts; else error('Input options are a struct, while default options are not'); end return elseif ~isstruct(inopts) % no valid input options error('The options need to be a struct or empty'); end opts = defopts; % start from defopts % if necessary overwrite opts fields by inopts values defnames = fieldnames(defopts); idxmatched = []; % indices of defopts that already matched for name = fieldnames(inopts)' name = name{1}; % name of i-th inopts-field if isoctave for i = 1:size(defnames, 1) idx(i) = strncmp(lower(defnames(i)), lower(name), length(name)); end else idx = strncmpi(defnames, name, length(name)); end if sum(idx) > 1 error(['option "' name '" is not an unambigous abbreviation. ' ... 'Use opts=RMFIELD(opts, ''' name, ... ''') to remove the field from the struct.']); end if sum(idx) == 1 defname = defnames{find(idx)}; if ismember(find(idx), idxmatched) error(['input options match more than ones with "' ... defname '". ' ... 'Use opts=RMFIELD(opts, ''' name, ... ''') to remove the field from the struct.']); end idxmatched = [idxmatched find(idx)]; val = getfield(inopts, name); % next line can replace previous line from MATLAB version 6.5.0 on and in octave % val = inopts.(name); if isstruct(val) % valid syntax only from version 6.5.0 opts = setfield(opts, defname, ... getoptions(val, getfield(defopts, defname))); elseif isstruct(getfield(defopts, defname)) % next three lines can replace previous three lines from MATLAB % version 6.5.0 on % opts.(defname) = ... % getoptions(val, defopts.(defname)); % elseif isstruct(defopts.(defname)) warning(['option "' name '" disregarded (must be struct)']); elseif ~isempty(val) % empty value: do nothing, i.e. stick to default opts = setfield(opts, defnames{find(idx)}, val); % next line can replace previous line from MATLAB version 6.5.0 on % opts.(defname) = inopts.(name); end else warning(['option "' name '" disregarded (unknown field name)']); end end % --------------------------------------------------------------- % --------------------------------------------------------------- function res=myeval(s) if ischar(s) res = evalin('caller', s); else res = s; end % --------------------------------------------------------------- % --------------------------------------------------------------- function res=myevalbool(s) if ~ischar(s) % s may not and cannot be empty res = s; else % evaluation string s if strncmpi(lower(s), 'yes', 3) || strncmpi(s, 'on', 2) ... || strncmpi(s, 'true', 4) || strncmp(s, '1 ', 2) res = 1; elseif strncmpi(s, 'no', 2) || strncmpi(s, 'off', 3) ... || strncmpi(s, 'false', 5) || strncmp(s, '0 ', 2) res = 0; else try res = evalin('caller', s); catch error(['String value "' s '" cannot be evaluated']); end try res ~= 0; catch error(['String value "' s '" cannot be evaluated reasonably']); end end end % --------------------------------------------------------------- % --------------------------------------------------------------- function res = isoctave % any hack to find out whether we are running octave s = version; res = 0; if exist('fflush', 'builtin') && eval(s(1)) < 7 res = 1; end % --------------------------------------------------------------- % --------------------------------------------------------------- function flush if isoctave feval('fflush', stdout); end % --------------------------------------------------------------- % --------------------------------------------------------------- % ----- replacements for statistic toolbox functions ------------ % --------------------------------------------------------------- % --------------------------------------------------------------- function res=myrange(x) res = max(x) - min(x); % --------------------------------------------------------------- % --------------------------------------------------------------- function res = myprctile(inar, perc, idx) % % Computes the percentiles in vector perc from vector inar % returns vector with length(res)==length(perc) % idx: optional index-array indicating sorted order % N = length(inar); flgtranspose = 0; % sizes if size(perc,1) > 1 perc = perc'; flgtranspose = 1; if size(perc,1) > 1 error('perc must not be a matrix'); end end if size(inar, 1) > 1 && size(inar,2) > 1 error('data inar must not be a matrix'); end % sort inar if nargin < 3 || isempty(idx) [sar, idx] = sort(inar); else sar = inar(idx); end res = []; for p = perc if p <= 100*(0.5/N) res(end+1) = sar(1); elseif p >= 100*((N-0.5)/N) res(end+1) = sar(N); else % find largest index smaller than required percentile availablepercentiles = 100*((1:N)-0.5)/N; i = max(find(p > availablepercentiles)); % interpolate linearly res(end+1) = sar(i) ... + (sar(i+1)-sar(i))*(p - availablepercentiles(i)) ... / (availablepercentiles(i+1) - availablepercentiles(i)); end end if flgtranspose res = res'; end % --------------------------------------------------------------- % --------------------------------------------------------------- % --------------------------------------------------------------- % --------------------------------------------------------------- function [s, ranks, rankDelta] = local_noisemeasurement(arf1, arf2, lamreev, theta, cutlimit) % function [s ranks rankDelta] = noisemeasurement(arf1, arf2, lamreev, theta) % % Input: % arf1, arf2 : two arrays of function values. arf1 is of size 1xlambda, % arf2 may be of size 1xlamreev or 1xlambda. The first lamreev values % in arf2 are (re-)evaluations of the respective solutions, i.e. % arf1(1) and arf2(1) are two evaluations of "the first" solution. % lamreev: number of reevaluated individuals in arf2 % theta : parameter theta for the rank change limit, between 0 and 1, % typically between 0.2 and 0.7. % cutlimit (optional): output s is computed as a mean of rankchange minus % threshold, where rankchange is <=2*(lambda-1). cutlimit limits % abs(rankchange minus threshold) in this calculation to cutlimit. % cutlimit=1 evaluates basically the sign only. cutlimit=2 could be % the rank change with one solution (both evaluations of it). % % Output: % s : noise measurement, s>0 means the noise measure is above the % acceptance threshold % ranks : 2xlambda array, corresponding to [arf1; arf2], of ranks % of arf1 and arf2 in the set [arf1 arf2], values are in [1:2*lambda] % rankDelta: 1xlambda array of rank movements of arf2 compared to % arf1. rankDelta(i) agrees with the number of values from % the set [arf1 arf2] that lie between arf1(i) and arf2(i). % % Note: equal function values might lead to somewhat spurious results. % For this case a revision is advisable. %%% verify input argument sizes if size(arf1,1) ~= 1 error('arf1 must be an 1xlambda array'); elseif size(arf2,1) ~= 1 error('arf2 must be an 1xsomething array'); elseif size(arf1,2) < size(arf2,2) % not really necessary, but saver error('arf2 must not be smaller than arf1 in length'); end lam = size(arf1, 2); if size(arf1,2) ~= size(arf2,2) arf2(end+1:lam) = arf1((size(arf2,2)+1):lam); end if nargin < 5 cutlimit = inf; end %%% capture unusual values if any(diff(arf1) == 0) % this will presumably interpreted as rank change, because % sort(ones(...)) returns 1,2,3,... warning([num2str(sum(diff(arf1)==0)) ' equal function values']); end %%% compute rank changes into rankDelta % compute ranks [ignore, idx] = sort([arf1 arf2]); [ignore, ranks] = sort(idx); ranks = reshape(ranks, lam, 2)'; rankDelta = ranks(1,:) - ranks(2,:) - sign(ranks(1,:) - ranks(2,:)); %%% compute rank change limits using both ranks(1,...) and ranks(2,...) for i = 1:lamreev sumlim(i) = ... 0.5 * (... myprctile(abs((1:2*lam-1) - (ranks(1,i) - (ranks(1,i)>ranks(2,i)))), ... theta*50) ... + myprctile(abs((1:2*lam-1) - (ranks(2,i) - (ranks(2,i)>ranks(1,i)))), ... theta*50)); end %%% compute measurement %s = abs(rankDelta(1:lamreev)) - sumlim; % lives roughly in 0..2*lambda % max: 1 rankchange in 2*lambda is always fine s = abs(rankDelta(1:lamreev)) - max(1, sumlim); % lives roughly in 0..2*lambda % cut-off limit idx = abs(s) > cutlimit; s(idx) = sign(s(idx)) * cutlimit; s = mean(s); % --------------------------------------------------------------- % --------------------------------------------------------------- % --------------------------------------------------------------- % --------------------------------------------------------------- % just a "local" copy of plotcmaesdat.m, with manual_mode set to zero function local_plotcmaesdat(figNb, filenameprefix, filenameextension, objectvarname) % PLOTCMAESDAT; % PLOTCMAES(FIGURENUMBER_iBEGIN_iEND, FILENAMEPREFIX, FILENAMEEXTENSION, OBJECTVARNAME); % plots output from CMA-ES, e.g. cmaes.m, Java class CMAEvolutionStrategy... % mod(figNb,100)==1 plots versus iterations. % % PLOTCMAES([101 300]) plots versus iteration, from iteration 300. % PLOTCMAES([100 150 800]) plots versus function evaluations, between iteration 150 and 800. % % Upper left subplot: blue/red: function value of the best solution in the % recent population, cyan: same function value minus best % ever seen function value, green: sigma, red: ratio between % longest and shortest principal axis length which is equivalent % to sqrt(cond(C)). % Upper right plot: time evolution of the distribution mean (default) or % the recent best solution vector. % Lower left: principal axes lengths of the distribution ellipsoid, % equivalent with the sqrt(eig(C)) square root eigenvalues of C. % Lower right: magenta: minimal and maximal "true" standard deviation % (with sigma included) in the coordinates, other colors: sqrt(diag(C)) % of all diagonal elements of C, if C is diagonal they equal to the % lower left. % % Files [FILENAMEPREFIX name FILENAMEEXTENSION] are used, where % name = axlen, OBJECTVARNAME (xmean|xrecentbest), fit, or stddev. % manual_mode = 0; if nargin < 1 || isempty(figNb) figNb = 325; end if nargin < 2 || isempty(filenameprefix) filenameprefix = 'outcmaes'; end if nargin < 3 || isempty(filenameextension) filenameextension = '.dat'; end if nargin < 4 || isempty(objectvarname) objectvarname = 'xmean'; objectvarname = 'xrecentbest'; end % load data d.x = load([filenameprefix objectvarname filenameextension]); % d.x = load([filenameprefix 'xmean' filenameextension]); % d.x = load([filenameprefix 'xrecentbest' filenameextension]); d.f = load([filenameprefix 'fit' filenameextension]); d.std = load([filenameprefix 'stddev' filenameextension]); d.D = load([filenameprefix 'axlen' filenameextension]); % interpret entries in figNb for cutting out some data if length(figNb) > 1 iend = inf; istart = figNb(2); if length(figNb) > 2 iend = figNb(3); end figNb = figNb(1); d.x = d.x(d.x(:,1) >= istart & d.x(:,1) <= iend, :); d.f = d.f(d.f(:,1) >= istart & d.f(:,1) <= iend, :); d.std = d.std(d.std(:,1) >= istart & d.std(:,1) <= iend, :); d.D = d.D(d.D(:,1) >= istart & d.D(:,1) <= iend, :); end % decide for x-axis iabscissa = 2; % 1== versus iterations, 2==versus fevals if mod(figNb,100) == 1 iabscissa = 1; % a short hack end if iabscissa == 1 xlab ='iterations'; elseif iabscissa == 2 xlab = 'function evaluations'; end if size(d.x, 2) < 1000 minxend = 1.03*d.x(end, iabscissa); else minxend = 0; end % set up figure window if manual_mode figure(figNb); % just create and raise the figure window else if 1 < 3 && evalin('caller', 'iterplotted') == 0 && evalin('caller', 'irun') == 1 figure(figNb); % incomment this, if figure raise in the beginning is not desired elseif ismember(figNb, findobj('Type', 'figure')) set(0, 'CurrentFigure', figNb); % prevents raise of existing figure window else figure(figNb); end end % plot fitness etc foffset = 1e-99; dfit = d.f(:,6)-min(d.f(:,6)); [ignore, idxbest] = min(dfit); dfit(dfit<1e-98) = NaN; subplot(2,2,1); hold off; dd = abs(d.f(:,7:8)) + foffset; dd(d.f(:,7:8)==0) = NaN; semilogy(d.f(:,iabscissa), dd, '-k'); hold on; % additional fitness data, for example constraints values if size(d.f,2) > 8 dd = abs(d.f(:,9:end)) + 10*foffset; % a hack % dd(d.f(:,9:end)==0) = NaN; semilogy(d.f(:,iabscissa), dd, '-m'); hold on; if size(d.f,2) > 12 semilogy(d.f(:,iabscissa),abs(d.f(:,[7 8 11 13]))+foffset,'-k'); hold on; end end idx = find(d.f(:,6)>1e-98); % positive values if ~isempty(idx) % otherwise non-log plot gets hold semilogy(d.f(idx,iabscissa), d.f(idx,6)+foffset, '.b'); hold on; end idx = find(d.f(:,6) < -1e-98); % negative values if ~isempty(idx) semilogy(d.f(idx, iabscissa), abs(d.f(idx,6))+foffset,'.r'); hold on; end semilogy(d.f(:,iabscissa),abs(d.f(:,6))+foffset,'-b'); hold on; semilogy(d.f(:,iabscissa),dfit,'-c'); hold on; semilogy(d.f(:,iabscissa),(d.f(:,4)),'-r'); hold on; % AR semilogy(d.std(:,iabscissa), [max(d.std(:,6:end)')' ... min(d.std(:,6:end)')'], '-m'); % max,min std maxval = max(d.std(end,6:end)); minval = min(d.std(end,6:end)); text(d.std(end,iabscissa), maxval, sprintf('%.0e', maxval)); text(d.std(end,iabscissa), minval, sprintf('%.0e', minval)); semilogy(d.std(:,iabscissa),(d.std(:,3)),'-g'); % sigma % plot best f semilogy(d.f(idxbest,iabscissa),min(dfit),'*c'); hold on; semilogy(d.f(idxbest,iabscissa),abs(d.f(idxbest,6))+foffset,'*r'); hold on; ax = axis; ax(2) = max(minxend, ax(2)); axis(ax); yannote = 10^(log10(ax(3)) + 0.05*(log10(ax(4))-log10(ax(3)))); text(ax(1), yannote, ... [ 'f=' num2str(d.f(end,6), '%.15g') ]); title('blue:abs(f), cyan:f-min(f), green:sigma, red:axis ratio'); grid on; subplot(2,2,2); hold off; plot(d.x(:,iabscissa), d.x(:,6:end),'-'); hold on; ax = axis; ax(2) = max(minxend, ax(2)); axis(ax); % add some annotation lines [ignore idx] = sort(d.x(end,6:end)); % choose no more than 25 indices idxs = round(linspace(1, size(d.x,2)-5, min(size(d.x,2)-5, 25))); yy = repmat(NaN, 2, size(d.x,2)-5); yy(1,:) = d.x(end, 6:end); yy(2,idx(idxs)) = linspace(ax(3), ax(4), length(idxs)); plot([d.x(end,iabscissa) ax(2)], yy, '-'); plot(repmat(d.x(end,iabscissa),2), [ax(3) ax(4)], 'k-'); for i = idx(idxs) text(ax(2), yy(2,i), ... ['x(' num2str(i) ')=' num2str(yy(1,i))]); end lam = 'NA'; if size(d.x, 1) > 1 && d.x(end, 1) > d.x(end-1, 1) lam = num2str((d.x(end, 2) - d.x(end-1, 2)) / (d.x(end, 1) - d.x(end-1, 1))); end title(['Object Variables (' num2str(size(d.x, 2)-5) ... '-D, popsize~' lam ')']);grid on; subplot(2,2,3); hold off; semilogy(d.D(:,iabscissa), d.D(:,6:end), '-'); ax = axis; ax(2) = max(minxend, ax(2)); axis(ax); title('Principal Axes Lengths');grid on; xlabel(xlab); subplot(2,2,4); hold off; % semilogy(d.std(:,iabscissa), d.std(:,6:end), 'k-'); hold on; % remove sigma from stds d.std(:,6:end) = d.std(:,6:end) ./ (d.std(:,3) * ones(1,size(d.std,2)-5)); semilogy(d.std(:,iabscissa), d.std(:,6:end), '-'); hold on; if 11 < 3 % max and min std semilogy(d.std(:,iabscissa), [d.std(:,3).*max(d.std(:,6:end)')' ... d.std(:,3).*min(d.std(:,6:end)')'], '-m', 'linewidth', 2); maxval = max(d.std(end,6:end)); minval = min(d.std(end,6:end)); text(d.std(end,iabscissa), d.std(end,3)*maxval, sprintf('max=%.0e', maxval)); text(d.std(end,iabscissa), d.std(end,3)*minval, sprintf('min=%.0e', minval)); end ax = axis; ax(2) = max(minxend, ax(2)); axis(ax); % add some annotation lines [ignore, idx] = sort(d.std(end,6:end)); % choose no more than 25 indices idxs = round(linspace(1, size(d.x,2)-5, min(size(d.x,2)-5, 25))); yy = repmat(NaN, 2, size(d.std,2)-5); yy(1,:) = d.std(end, 6:end); yy(2,idx(idxs)) = logspace(log10(ax(3)), log10(ax(4)), length(idxs)); semilogy([d.std(end,iabscissa) ax(2)], yy, '-'); semilogy(repmat(d.std(end,iabscissa),2), [ax(3) ax(4)], 'k-'); for i = idx(idxs) text(ax(2), yy(2,i), [' ' num2str(i)]); end title('Standard Deviations in Coordinates divided by sigma');grid on; xlabel(xlab); if figNb ~= 324 % zoom on; % does not work in Octave end drawnow; % --------------------------------------------------------------- % --------------- TEST OBJECTIVE FUNCTIONS ---------------------- % --------------------------------------------------------------- %%% Unimodal functions function f=fjens1(x) % % use population size about 2*N % f = sum((x>0) .* x.^1, 1); if any(any(x<0)) idx = sum(x < 0, 1) > 0; f(idx) = 1e3; % f = f + 1e3 * sum(x<0, 1); % f = f + 10 * sum((x<0) .* x.^2, 1); f(idx) = f(idx) + 1e-3*abs(randn(1,sum(idx))); % f(idx) = NaN; end function f=fsphere(x) f = sum(x.^2,1); function f=fmax(x) f = max(abs(x), [], 1); function f=fssphere(x) f=sqrt(sum(x.^2, 1)); % lb = -0.512; ub = 512; % xfeas = x; % xfeas(xub) = ub; % f=sum(xfeas.^2, 1); % f = f + 1e-9 * sum((xfeas-x).^2); function f=fspherenoise(x, Nevals) if nargin < 2 || isempty(Nevals) Nevals = 1; end [N,popsi] = size(x); % x = x .* (1 + 0.3e-0 * randn(N, popsi)/(2*N)); % actuator noise fsum = 10.^(0*(0:N-1)/(N-1)) * x.^2; % f = 0*rand(1,1) ... % + fsum ... % + fsum .* (2*randn(1,popsi) ./ randn(1,popsi).^0 / (2*N)) ... % + 1*fsum.^0.9 .* 2*randn(1,popsi) / (2*N); % % f = fsum .* exp(0.1*randn(1,popsi)); f = fsum .* (1 + (10/(N+10)/sqrt(Nevals))*randn(1,popsi)); % f = fsum .* (1 + (0.1/N)*randn(1,popsi)./randn(1,popsi).^1); idx = rand(1,popsi) < 0.0; if sum(idx) > 0 f(idx) = f(idx) + 1e3*exp(randn(1,sum(idx))); end function f=fmixranks(x) N = size(x,1); f=(10.^(0*(0:(N-1))/(N-1))*x.^2).^0.5; if size(x, 2) > 1 % compute ranks, if it is a population [ignore, idx] = sort(f); [ignore, ranks] = sort(idx); k = 9; % number of solutions randomly permuted, lambda/2-1 % works still quite well (two time slower) for i = k+1:k-0:size(x,2) idx(i-k+(1:k)) = idx(i-k+randperm(k)); end %disp([ranks' f']) [ignore, ranks] = sort(idx); %disp([ranks' f']) %pause f = ranks+1e-9*randn(1,1); end function f = fsphereoneax(x) f = x(1)^2; f = mean(x)^2; function f=frandsphere(x) N = size(x,1); idx = ceil(N*rand(7,1)); f=sum(x(idx).^2); function f=fspherelb0(x, M) % lbound at zero for 1:M needed if nargin < 2 M = 0; end N = size(x,1); % M active bounds, f_i = 1 for x = 0 f = -M + sum((x(1:M) + 1).^2); f = f + sum(x(M+1:N).^2); function f=fspherehull(x) % Patton, Dexter, Goodman, Punch % in -500..500 % spherical ridge through zeros(N,1) % worst case start point seems x = 2*100*sqrt(N) % and small step size N = size(x,1); f = norm(x) + (norm(x-100*sqrt(N)) - 100*N)^2; function f=fellilb0(x, idxM, scal) % lbound at zero for 1:M needed N = size(x,1); if nargin < 3 || isempty(scal) scal = 100; end scale=scal.^((0:N-1)/(N-1)); if nargin < 2 || isempty(idxM) idxM = 1:N; end %scale(N) = 1e0; % M active bounds xopt = 0.1; x(idxM) = x(idxM) + xopt; f = scale.^2*x.^2; f = f - sum((xopt*scale(idxM)).^2); % f = exp(f) - 1; % f = log10(f+1e-19) + 19; f = f + 1e-19; function f=fcornersphere(x) w = ones(size(x,1)); w(1) = 2.5; w(2)=2.5; idx = x < 0; f = sum(x(idx).^2); idx = x > 0; f = f + 2^2*sum(w(idx).*x(idx).^2); function f=fsectorsphere(x, scal) % % This is deceptive for cumulative sigma control CSA in large dimension: % The strategy (initially) diverges for N=50 and popsize = 150. (Even % for cs==1 this can be observed for larger settings of N and % popsize.) The reason is obvious from the function topology. % Divergence can be avoided by setting boundaries or adding a % penalty for large ||x||. Then, convergence can be observed again. % Conclusion: for popsize>N cumulative sigma control is not completely % reasonable, but I do not know better alternatives. In particular: % TPA takes longer to converge than CSA when the latter still works. % if nargin < 2 || isempty (scal) scal = 1e3; end f=sum(x.^2,1); idx = x<0; f = f + (scal^2 - 1) * sum((idx.*x).^2,1); if 11 < 3 idxpen = find(f>1e9); if ~isempty(idxpen) f(idxpen) = f(idxpen) + 1e8*sum(x(:,idxpen).^2,1); end end function f=fstepsphere(x, scal) if nargin < 2 || isempty (scal) scal = 1e0; end N = size(x,1); f=1e-11+sum(scal.^((0:N-1)/(N-1))*floor(x+0.5).^2); f=1e-11+sum(floor(scal.^((0:N-1)/(N-1))'.*x+0.5).^2); % f=1e-11+sum(floor(x+0.5).^2); function f=fstep(x) % in -5.12..5.12 (bounded) N = size(x,1); f=1e-11+6*N+sum(floor(x)); function f=flnorm(x, scal, e) if nargin < 2 || isempty(scal) scal = 1; end if nargin < 3 || isempty(e) e = 1; end if e==inf f = max(abs(x)); else N = size(x,1); scale = scal.^((0:N-1)/(N-1))'; f=sum(abs(scale.*x).^e); end function f=fneumaier3(x) % in -n^2..n^2 % x^*-i = i(n+1-i) N = size(x,1); % f = N*(N+4)*(N-1)/6 + sum((x-1).^2) - sum(x(1:N-1).*x(2:N)); f = sum((x-1).^2) - sum(x(1:N-1).*x(2:N)); function f = fmaxmindist(y) % y in [-1,1], y(1:2) is first point on a plane, y(3:4) second etc % points best % 5 1.4142 % 8 1.03527618 % 10 0.842535997 % 20 0.5997 pop = size(y,2); N = size(y,1)/2; f = []; for ipop = 1:pop if any(abs(y(:,ipop)) > 1) f(ipop) = NaN; else x = reshape(y(:,ipop), [2, N]); f(ipop) = inf; for i = 1:N f(ipop) = min(f(ipop), min(sqrt(sum((x(:,[1:i-1 i+1:N]) - repmat(x(:,i), 1, N-1)).^2, 1)))); end end end f = -f; function f=fchangingsphere(x) N = size(x,1); global scale_G; global count_G; if isempty(count_G) count_G=-1; end count_G = count_G+1; if mod(count_G,10) == 0 scale_G = 10.^(2*rand(1,N)); end %disp(scale(1)); f = scale_G*x.^2; function f= flogsphere(x) f = 1-exp(-sum(x.^2)); function f= fexpsphere(x) f = exp(sum(x.^2)) - 1; function f=fbaluja(x) % in [-0.16 0.16] y = x(1); for i = 2:length(x) y(i) = x(i) + y(i-1); end f = 1e5 - 1/(1e-5 + sum(abs(y))); function f=fschwefel(x) f = 0; for i = 1:size(x,1) f = f+sum(x(1:i))^2; end function f=fcigar(x, ar) if nargin < 2 || isempty(ar) ar = 1e3; end f = x(1,:).^2 + ar^2*sum(x(2:end,:).^2,1); function f=fcigtab(x) f = x(1,:).^2 + 1e8*x(end,:).^2 + 1e4*sum(x(2:(end-1),:).^2, 1); function f=ftablet(x) f = 1e6*x(1,:).^2 + sum(x(2:end,:).^2, 1); function f=felli(x, lgscal, expon, expon2) % lgscal: log10(axis ratio) % expon: x_i^expon, sphere==2 N = size(x,1); if N < 2 error('dimension must be greater one'); end % x = x - repmat(-0.5+(1:N)',1,size(x,2)); % optimum in 1:N if nargin < 2 || isempty(lgscal), lgscal = 3; end if nargin < 3 || isempty(expon), expon = 2; end if nargin < 4 || isempty(expon2), expon2 = 1; end f=((10^(lgscal*expon)).^((0:N-1)/(N-1)) * abs(x).^expon).^(1/expon2); % if rand(1,1) > 0.015 % f = NaN; % end % f = f + randn(size(f)); function f=fellitest(x) beta = 0.9; N = size(x,1); f = (1e6.^((0:(N-1))/(N-1))).^beta * (x.^2).^beta; function f=fellii(x, scal) N = size(x,1); if N < 2 error('dimension must be greater one'); end if nargin < 2 scal = 1; end f= (scal*(1:N)).^2 * (x).^2; function f=fellirot(x) N = size(x,1); global ORTHOGONALCOORSYSTEM_G if isempty(ORTHOGONALCOORSYSTEM_G) ... || length(ORTHOGONALCOORSYSTEM_G) < N ... || isempty(ORTHOGONALCOORSYSTEM_G{N}) coordinatesystem(N); end f = felli(ORTHOGONALCOORSYSTEM_G{N}*x); function f=frot(x, fun, varargin) N = size(x,1); global ORTHOGONALCOORSYSTEM_G if isempty(ORTHOGONALCOORSYSTEM_G) ... || length(ORTHOGONALCOORSYSTEM_G) < N ... || isempty(ORTHOGONALCOORSYSTEM_G{N}) coordinatesystem(N); end f = feval(fun, ORTHOGONALCOORSYSTEM_G{N}*x, varargin{:}); function coordinatesystem(N) if nargin < 1 || isempty(N) arN = 2:30; else arN = N; end global ORTHOGONALCOORSYSTEM_G ORTHOGONALCOORSYSTEM_G{1} = 1; for N = arN ar = randn(N,N); for i = 1:N for j = 1:i-1 ar(:,i) = ar(:,i) - ar(:,i)'*ar(:,j) * ar(:,j); end ar(:,i) = ar(:,i) / norm(ar(:,i)); end ORTHOGONALCOORSYSTEM_G{N} = ar; end function f=fplane(x) f=x(1); function f=ftwoaxes(x) f = sum(x(1:floor(end/2),:).^2, 1) + 1e6*sum(x(floor(1+end/2):end,:).^2, 1); function f=fparabR(x) f = -x(1,:) + 100*sum(x(2:end,:).^2,1); function f=fsharpR(x) f = abs(-x(1, :)).^2 + 100 * sqrt(sum(x(2:end,:).^2, 1)); function f=frosen(x) if size(x,1) < 2, error('dimension must be greater one'); end N = size(x,1); popsi = size(x,2); f = 1e2*sum((x(1:end-1,:).^2 - x(2:end,:)).^2,1) + sum((x(1:end-1,:)-1).^2,1); % f = f + f^0.9 .* (2*randn(1,popsi) ./ randn(1,popsi).^0 / (2*N)); function f=frosenlin(x) if size(x,1) < 2 error('dimension must be greater one'); end x_org = x; x(x>30) = 30; x(x<-30) = -30; f = 1e2*sum(-(x(1:end-1,:).^2 - x(2:end,:)),1) + ... sum((x(1:end-1,:)-1).^2,1); f = f + sum((x-x_org).^2,1); % f(any(abs(x)>30,1)) = NaN; function f=frosenrot(x) N = size(x,1); global ORTHOGONALCOORSYSTEM_G if isempty(ORTHOGONALCOORSYSTEM_G) ... || length(ORTHOGONALCOORSYSTEM_G) < N ... || isempty(ORTHOGONALCOORSYSTEM_G{N}) coordinatesystem(N); end f = frosen(ORTHOGONALCOORSYSTEM_G{N}*x); function f=frosenmodif(x) f = 74 + 100*(x(2)-x(1)^2)^2 + (1-x(1))^2 ... - 400*exp(-sum((x+1).^2)/2/0.05); function f=fschwefelrosen1(x) % in [-10 10] f=sum((x.^2-x(1)).^2 + (x-1).^2); function f=fschwefelrosen2(x) % in [-10 10] f=sum((x(2:end).^2-x(1)).^2 + (x(2:end)-1).^2); function f=fdiffpow(x) [N, popsi] = size(x); if N < 2 error('dimension must be greater one'); end f = sum(abs(x).^repmat(2+10*(0:N-1)'/(N-1), 1, popsi), 1); f = sqrt(f); function f=fabsprod(x) f = sum(abs(x),1) + prod(abs(x),1); function f=ffloor(x) f = sum(floor(x+0.5).^2,1); function f=fmaxx(x) f = max(abs(x), [], 1); %%% Multimodal functions function f=fbirastrigin(x) % todo: the volume needs to be a constant N = size(x,1); idx = (sum(x, 1) < 0.5*N); % global optimum f = zeros(1,size(x,2)); f(idx) = 10*(N-sum(cos(2*pi*x(:,idx)),1)) + sum(x(:,idx).^2,1); idx = ~idx; f(idx) = 0.1 + 10*(N-sum(cos(2*pi*(x(:,idx)-2)),1)) + sum((x(:,idx)-2).^2,1); function f=fackley(x) % -32.768..32.768 % Adding a penalty outside the interval is recommended, % because for large step sizes, fackley imposes like frand % N = size(x,1); f = 20-20*exp(-0.2*sqrt(sum(x.^2)/N)); f = f + (exp(1) - exp(sum(cos(2*pi*x))/N)); % add penalty outside the search interval f = f + sum((x(x>32.768)-32.768).^2) + sum((x(x<-32.768)+32.768).^2); function f = fbohachevsky(x) % -15..15 f = sum(x(1:end-1).^2 + 2 * x(2:end).^2 - 0.3 * cos(3*pi*x(1:end-1)) ... - 0.4 * cos(4*pi*x(2:end)) + 0.7); function f=fconcentric(x) % in +-600 s = sum(x.^2); f = s^0.25 * (sin(50*s^0.1)^2 + 1); function f=fgriewank(x) % in [-600 600] [N, P] = size(x); f = 1 - prod(cos(x'./sqrt(1:N))) + sum(x.^2)/4e3; scale = repmat(sqrt(1:N)', 1, P); f = 1 - prod(cos(x./scale), 1) + sum(x.^2, 1)/4e3; % f = f + 1e4*sum(x(abs(x)>5).^2); % if sum(x(abs(x)>5).^2) > 0 % f = 1e4 * sum(x(abs(x)>5).^2) + 1e8 * sum(x(x>5)).^2; % end function f=fgriewrosen(x) % F13 or F8F2 [N, P] = size(x); scale = repmat(sqrt(1:N)', 1, P); y = [x(2:end,:); x(1,:)]; x = 100 * (x.^2 - y) + (x - 1).^2; % Rosenbrock part f = 1 - prod(cos(x./scale), 1) + sum(x.^2, 1)/4e3; f = sum(1 - cos(x) + x.^2/4e3, 1); function f=fspallpseudorastrigin(x, scal, skewfac, skewstart, amplitude) % by default multi-modal about between -30 and 30 if nargin < 5 || isempty(amplitude) amplitude = 40; end if nargin < 4 || isempty(skewstart) skewstart = 0; end if nargin < 3 || isempty(skewfac) skewfac = 1; end if nargin < 2 || isempty(scal) scal = 1; end N = size(x,1); scale = 1; if N > 1 scale=scal.^((0:N-1)'/(N-1)); end % simple version: % f = amplitude*(N - sum(cos(2*pi*(scale.*x)))) + sum((scale.*x).^2); % skew version: y = repmat(scale, 1, size(x,2)) .* x; idx = find(x > skewstart); if ~isempty(idx) y(idx) = skewfac*y(idx); end f = amplitude * (0*N-prod(cos((2*pi)^0*y),1)) + 0.05 * sum(y.^2,1) ... + randn(1,1); function f=frastrigin(x, scal, skewfac, skewstart, amplitude) % by default multi-modal about between -30 and 30 if nargin < 5 || isempty(amplitude) amplitude = 10; end if nargin < 4 || isempty(skewstart) skewstart = 0; end if nargin < 3 || isempty(skewfac) skewfac = 1; end if nargin < 2 || isempty(scal) scal = 1; end N = size(x,1); scale = 1; if N > 1 scale=scal.^((0:N-1)'/(N-1)); end % simple version: % f = amplitude*(N - sum(cos(2*pi*(scale.*x)))) + sum((scale.*x).^2); % skew version: y = repmat(scale, 1, size(x,2)) .* x; idx = find(x > skewstart); % idx = intersect(idx, 2:2:10); if ~isempty(idx) y(idx) = skewfac*y(idx); end f = amplitude * (N-sum(cos(2*pi*y),1)) + sum(y.^2,1); function f=frastriginmax(x) N = size(x,1); f = (N/20)*807.06580387678 - (10 * (N-sum(cos(2*pi*x),1)) + sum(x.^2,1)); f(any(abs(x) > 5.12)) = 1e2*N; function f = fschaffer(x) % -100..100 N = size(x,1); s = x(1:N-1,:).^2 + x(2:N,:).^2; f = sum(s.^0.25 .* (sin(50*s.^0.1).^2+1), 1); function f=fschwefelmult(x) % -500..500 % N = size(x,1); f = - sum(x.*sin(sqrt(abs(x))), 1); f = 418.9829*N - 1.27275661e-5*N - sum(x.*sin(sqrt(abs(x))), 1); % penalty term f = f + 1e4*sum((abs(x)>500) .* (abs(x)-500).^2, 1); function f=ftwomax(x) % Boundaries at +/-5 N = size(x,1); f = -abs(sum(x)) + 5*N; function f=ftwomaxtwo(x) % Boundaries at +/-10 N = size(x,1); f = abs(sum(x)); if f > 30 f = f - 30; end f = -f; function f=frand(x) f=1./(1-rand(1, size(x,2))) - 1; % CHANGES % 12/02/19: "future" setting of ccum, correcting for large mueff, is default now % 11/11/15: bug-fix: max value for ccovmu_sep setting corrected % 10/11/11: (3.52.beta) boundary handling: replace max with min in change % rate formula. Active CMA: check of pos.def. improved. % Plotting: value of lambda appears in the title. % 10/04/03: (3.51.beta) active CMA cleaned up. Equal fitness detection % looks into history now. % 10/03/08: (3.50.beta) "active CMA" revised and bug-fix of ambiguous % option Noise.alpha -> Noise.alphasigma. % 09/10/12: (3.40.beta) a slightly modified version of "active CMA", % that is a negative covariance matrix update, use option % CMA.active. In 10;30;90-D the gain on ftablet is a factor % of 1.6;2.5;4.4 (the scaling improves by sqrt(N)). On % Rosenbrock the gain is about 25%. On sharp ridge the % behavior is improved. Cigar is unchanged. % 09/08/10: local plotcmaesdat remains in backround % 09/08/10: bug-fix in time management for data writing, logtime was not % considered properly (usually not at all). % 09/07/05: V3.24: stagnation termination added % 08/09/27: V3.23: momentum alignment is out-commented and de-preciated % 08/09/25: V3.22: re-alignment of sigma and C was buggy % 08/07/15: V3.20, CMA-parameters are options now. ccov and mucov were replaced % by ccov1 \approx ccov/mucov and ccovmu \approx (1-1/mucov)*ccov % 08/06/30: file name xrecent was change to xrecentbest (compatible with other % versions) % 08/06/29: time stamp added to output files % 08/06/28: bug fixed with resume option, commentary did not work % 08/06/28: V3.10, uncertainty (noise) handling added (re-implemented), according % to reference "A Method for Handling Uncertainty..." from below. % 08/06/28: bug fix: file xrecent was empty % 08/06/01: diagonalonly clean up. >1 means some iterations. % 08/05/05: output is written to file preventing an increasing data % array and ease long runs. % 08/03/27: DiagonalOnly<0 learns for -DiagonalOnly iterations only the % diagonal with a larger learning rate. % 08/03 (2.60): option DiagonalOnly>=1 invokes a time- and space-linear % variant with only diagonal elements of the covariance matrix % updating. This can be useful for large dimensions, say > 100. % 08/02: diag(weights) * ... replaced with repmat(weights,1,N) .* ... % in C update, implies O(mu*N^2) instead of O(mu^2*N + mu*N^2). % 07/09: tolhistfun as termination criterion added, "<" changed to % "<=" also for TolFun to allow for stopping on zero difference. % Name tolfunhist clashes with option tolfun. % 07/07: hsig threshold made slighly smaller for large dimension, % useful for lambda < lambda_default. % 07/06: boundary handling: scaling in the boundary handling % is omitted now, see bnd.flgscale. This seems not to % have a big impact. Using the scaling is worse on rotated % functions, but better on separable ones. % 07/05: boundary handling: weight i is not incremented anymore % if xmean(i) moves towards the feasible space. Increment % factor changed to 1.2 instead of 1.1. % 07/05: boundary handling code simplified not changing the algorithm % 07/04: bug removed for saving in octave % 06/11/10: more testing of outcome of eig, fixed max(D) to max(diag(D)) % 06/10/21: conclusive final bestever assignment in the end % 06/10/21: restart and incpopsize option implemented for restarts % with increasing population size, version 2.50. % 06/09/16: output argument bestever inserted again for convenience and % backward compatibility % 06/08: output argument out and struct out reorganized. % 06/01: Possible parallel evaluation included as option EvalParallel % 05/11: Compatibility to octave implemented, package octave-forge % is needed. % 05/09: Raise of figure and waiting for first plots improved % 05/01: Function coordinatesystem cleaned up. % 05/01: Function prctile, which requires the statistics toolbox, % replaced by myprctile. % 05/01: Option warnonequalfunctionvalues included. % 04/12: Decrease of sigma removed. Problems on fsectorsphere can % be addressed better by adding search space boundaries. % 04/12: Boundary handling simpyfied. % 04/12: Bug when stopping criteria tolx or tolupx are vectors. % 04/11: Three input parameters are obligatory now. % 04/11: Bug in boundary handling removed: Boundary weights can decrease now. % 04/11: Normalization for boundary weights scale changed. % 04/11: VerboseModulo option bug removed. Documentation improved. % 04/11: Condition for increasing boundary weights changed. % 04/10: Decrease of sigma when fitness is getting consistenly % worse. Addresses the problems appearing on fsectorsphere for % large population size. % 04/10: VerboseModulo option included. % 04/10: Bug for condition for increasing boundary weights removed. % 04/07: tolx depends on initial sigma to achieve scale invariance % for this stopping criterion. % 04/06: Objective function value NaN is not counted as function % evaluation and invokes resampling of the search point. % 04/06: Error handling for eigenvalue beeing zero (never happens % with default parameter setting) % 04/05: damps further tuned for large mueff % o Details for stall of pc-adaptation added (variable hsig % introduced). % 04/05: Bug in boundary handling removed: A large initial SIGMA was % corrected not until *after* the first iteration, which could % lead to a complete failure. % 04/05: Call of function range (works with stats toolbox only) % changed to myrange. % 04/04: Parameter cs depends on mueff now and damps \propto sqrt(mueff) % instead of \propto mueff. % o Initial stall to adapt C (flginiphase) is removed and % adaptation of pc is stalled for large norm(ps) instead. % o Returned default options include documentation. % o Resume part reorganized. % 04/03: Stopflag becomes cell-array. % --------------------------------------------------------------- % CMA-ES: Evolution Strategy with Covariance Matrix Adaptation for % nonlinear function minimization. To be used under the terms of the % GNU General Public License (http://www.gnu.org/copyleft/gpl.html). % Author (copyright): Nikolaus Hansen, 2001-2008. % e-mail: nikolaus.hansen AT inria.fr % URL:http://www.bionik.tu-berlin.de/user/niko % References: See below. % --------------------------------------------------------------- % % GENERAL PURPOSE: The CMA-ES (Evolution Strategy with Covariance % Matrix Adaptation) is a robust search method which should be % applied, if derivative based methods, e.g. quasi-Newton BFGS or % conjucate gradient, (supposably) fail due to a rugged search % landscape (e.g. noise, local optima, outlier, etc.). On smooth % landscapes CMA-ES is roughly ten times slower than BFGS. For up to % N=10 variables even the simplex direct search method (Nelder & Mead) % is often faster, but far less robust than CMA-ES. To see the % advantage of the CMA, it will usually take at least 30*N and up to % 300*N function evaluations, where N is the search problem dimension. % On considerably hard problems the complete search (a single run) is % expected to take at least 30*N^2 and up to 300*N^2 function % evaluations. % % SOME MORE COMMENTS: % The adaptation of the covariance matrix (e.g. by the CMA) is % equivalent to a general linear transformation of the problem % coding. Nevertheless every problem specific knowlegde about the best % linear transformation should be exploited before starting the % search. That is, an appropriate a priori transformation should be % applied to the problem. This also makes the identity matrix as % initial covariance matrix the best choice. % % The strategy parameter lambda (population size, opts.PopSize) is the % preferred strategy parameter to play with. If results with the % default strategy are not satisfactory, increase the population % size. (Remark that the crucial parameter mu (opts.ParentNumber) is % increased proportionally to lambda). This will improve the % strategies capability of handling noise and local minima. We % recomment successively increasing lambda by a factor of about three, % starting with initial values between 5 and 20. Casually, population % sizes even beyond 1000+100*N can be sensible. % % % --------------------------------------------------------------- %%% REFERENCES % % The equation numbers refer to % Hansen, N. and S. Kern (2004). Evaluating the CMA Evolution % Strategy on Multimodal Test Functions. Eighth International % Conference on Parallel Problem Solving from Nature PPSN VIII, % Proceedings, pp. 282-291, Berlin: Springer. % (http://www.bionik.tu-berlin.de/user/niko/ppsn2004hansenkern.pdf) % % Further references: % Hansen, N. and A. Ostermeier (2001). Completely Derandomized % Self-Adaptation in Evolution Strategies. Evolutionary Computation, % 9(2), pp. 159-195. % (http://www.bionik.tu-berlin.de/user/niko/cmaartic.pdf). % % Hansen, N., S.D. Mueller and P. Koumoutsakos (2003). Reducing the % Time Complexity of the Derandomized Evolution Strategy with % Covariance Matrix Adaptation (CMA-ES). Evolutionary Computation, % 11(1). (http://mitpress.mit.edu/journals/pdf/evco_11_1_1_0.pdf). % % Ros, R. and N. Hansen (2008). A Simple Modification in CMA-ES % Achieving Linear Time and Space Complexity. To appear in Tenth % International Conference on Parallel Problem Solving from Nature % PPSN X, Proceedings, Berlin: Springer. % % Hansen, N., A.S.P. Niederberger, L. Guzzella and P. Koumoutsakos % (2009?). A Method for Handling Uncertainty in Evolutionary % Optimization with an Application to Feedback Control of % Combustion. To appear in IEEE Transactions on Evolutionary % Computation.