SG++-Doxygen-Documentation
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Gradient-free CMA-ES method. More...
#include <CMAES.hpp>
Public Member Functions | |
void | clone (std::unique_ptr< UnconstrainedOptimizer > &clone) const override |
CMAES (const ScalarFunction &f, size_t maxFcnEvalCount=DEFAULT_MAX_FCN_EVAL_COUNT) | |
Constructor. More... | |
CMAES (const CMAES &other) | |
Copy constructor. More... | |
void | optimize () override |
Pure virtual method for optimization of the objective function. More... | |
~CMAES () override | |
Destructor. More... | |
Public Member Functions inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer | |
const base::DataMatrix & | getHistoryOfOptimalPoints () const |
const base::DataVector & | getHistoryOfOptimalValues () const |
size_t | getN () const |
ScalarFunction & | getObjectiveFunction () const |
const base::DataVector & | getOptimalPoint () const |
double | getOptimalValue () const |
const base::DataVector & | getStartingPoint () const |
void | setN (size_t N) |
void | setStartingPoint (const base::DataVector &startingPoint) |
UnconstrainedOptimizer (const ScalarFunction &f, size_t N=DEFAULT_N) | |
Constructor. More... | |
UnconstrainedOptimizer (const UnconstrainedOptimizer &other) | |
Copy constructor. More... | |
virtual | ~UnconstrainedOptimizer () |
Destructor. More... | |
Static Public Attributes | |
static const size_t | DEFAULT_MAX_FCN_EVAL_COUNT = 1000 |
default maximal number of function evaluations More... | |
Static Public Attributes inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer | |
static const size_t | DEFAULT_N = 1000 |
default maximal number of iterations or function evaluations More... | |
Additional Inherited Members | |
Protected Attributes inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer | |
std::unique_ptr< ScalarFunction > | f |
objective function More... | |
base::DataVector | fHist |
search history vector (optimal values) More... | |
double | fOpt |
result of optimization (optimal function value) More... | |
size_t | N |
maximal number of iterations or function evaluations More... | |
base::DataVector | x0 |
starting point More... | |
base::DataMatrix | xHist |
search history matrix (optimal points) More... | |
base::DataVector | xOpt |
result of optimization (location of optimum) More... | |
Gradient-free CMA-ES method.
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explicit |
Constructor.
The starting point is set to \((0.5, \dotsc, 0.5)^{\mathrm{T}}\).
f | objective function |
maxFcnEvalCount | maximal number of function evaluations |
Referenced by clone().
sgpp::optimization::optimizer::CMAES::CMAES | ( | const CMAES & | other | ) |
Copy constructor.
other | optimizer to be copied |
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override |
Destructor.
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overridevirtual |
[out] | clone | pointer to cloned object |
Implements sgpp::optimization::optimizer::UnconstrainedOptimizer.
References CMAES().
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overridevirtual |
Pure virtual method for optimization of the objective function.
The result of the optimization process can be obtained by member functions, e.g., getOptimalPoint() and getOptimalValue().
Implements sgpp::optimization::optimizer::UnconstrainedOptimizer.
References sgpp::base::DataVector::add(), sgpp::base::DataVector::append(), sgpp::base::DataMatrix::appendRow(), chess::b, python.utils.pca_normalize_dataset::C, D, sgpp::optimization::optimizer::UnconstrainedOptimizer::f, sgpp::optimization::optimizer::UnconstrainedOptimizer::fHist, sgpp::optimization::optimizer::UnconstrainedOptimizer::fOpt, sgpp::optimization::RandomNumberGenerator::getGaussianRN(), sgpp::optimization::RandomNumberGenerator::getInstance(), sgpp::optimization::Printer::getInstance(), python.statsfileInfo::i, python.utils.statsfile2gnuplot::j, sgpp::base::DataVector::l2Norm(), lambda, m, mu, sgpp::base::DataVector::mult(), sgpp::base::DataMatrix::mult(), sgpp::optimization::optimizer::UnconstrainedOptimizer::N, sgpp::combigrid::pow(), sgpp::optimization::Printer::printStatusBegin(), sgpp::optimization::Printer::printStatusEnd(), sgpp::optimization::Printer::printStatusUpdate(), sgpp::base::DataMatrix::resize(), sgpp::optimization::math::schurDecomposition(), sgpp::base::DataMatrix::setColumn(), sgpp::base::DataVector::sum(), analyse_erg::tmp, friedman::X, sgpp::optimization::optimizer::UnconstrainedOptimizer::x0, sgpp::optimization::optimizer::UnconstrainedOptimizer::xHist, and sgpp::optimization::optimizer::UnconstrainedOptimizer::xOpt.
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static |
default maximal number of function evaluations