Gradient-free Differential Evolution method. More...

#include <DifferentialEvolution.hpp>

Inheritance diagram for sgpp::optimization::optimizer::DifferentialEvolution:

Public Member Functions
void	clone (std::unique_ptr< UnconstrainedOptimizer > &clone) const override

	DifferentialEvolution (const ScalarFunction &f, size_t maxFcnEvalCount=DEFAULT_N, size_t populationSize=0, double crossoverProbability=DEFAULT_CROSSOVER_PROBABILITY, double scalingFactor=DEFAULT_SCALING_FACTOR, size_t idleGenerationsCount=DEFAULT_IDLE_GENERATIONS_COUNT, double avgImprovementThreshold=DEFAULT_AVG_IMPROVEMENT_THRESHOLD, double maxDistanceThreshold=DEFAULT_MAX_DISTANCE_THRESHOLD)
	Constructor. More...

	DifferentialEvolution (const DifferentialEvolution &other)
	Copy constructor. More...

size_t	getPopulationSize () const

void	optimize () override
	Pure virtual method for optimization of the objective function. More...

void	setPopulationSize (size_t populationSize)

	~DifferentialEvolution () 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 constexpr double	DEFAULT_AVG_IMPROVEMENT_THRESHOLD = 1e-6
	default stopping criterion parameter 2 More...

static constexpr double	DEFAULT_CROSSOVER_PROBABILITY = 0.5
	default crossover probability More...

static const size_t	DEFAULT_IDLE_GENERATIONS_COUNT = 20
	default stopping criterion parameter 1 More...

static constexpr double	DEFAULT_MAX_DISTANCE_THRESHOLD = 1e-4
	default stopping criterion parameter 3 More...

static constexpr double	DEFAULT_SCALING_FACTOR = 0.6
	default crossover scaling factor 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...

Protected Attributes
double	avgImprovementThreshold
	stopping criterion parameter 2 More...

double	crossoverProbability
	crossover probability More...

size_t	idleGenerationsCount
	stopping criterion parameter 1 More...

double	maxDistanceThreshold
	stopping criterion parameter 3 More...

size_t	populationSize
	number of individuals More...

double	scalingFactor
	crossover scaling factor More...

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...

Detailed Description

Gradient-free Differential Evolution method.

Constructor & Destructor Documentation

◆ DifferentialEvolution() [1/2]

sgpp::optimization::optimizer::DifferentialEvolution::DifferentialEvolution	(	const ScalarFunction &	f,
		size_t	maxFcnEvalCount = `DEFAULT_N`,
		size_t	populationSize = `0`,
		double	crossoverProbability = `DEFAULT_CROSSOVER_PROBABILITY`,
		double	scalingFactor = `DEFAULT_SCALING_FACTOR`,
		size_t	idleGenerationsCount = `DEFAULT_IDLE_GENERATIONS_COUNT`,
		double	avgImprovementThreshold = `DEFAULT_AVG_IMPROVEMENT_THRESHOLD`,
		double	maxDistanceThreshold = `DEFAULT_MAX_DISTANCE_THRESHOLD`
	)

Constructor.

Parameters

f	objective function
maxFcnEvalCount	maximal number of function evaluations
populationSize	number of individuals (default: \(10d\))
crossoverProbability	crossover probability
scalingFactor	crossover scaling factor
idleGenerationsCount	stopping criterion parameter 1
avgImprovementThreshold	stopping criterion parameter 2
maxDistanceThreshold	stopping criterion parameter 3

Referenced by clone().

◆ DifferentialEvolution() [2/2]

sgpp::optimization::optimizer::DifferentialEvolution::DifferentialEvolution ( const DifferentialEvolution & other )

Copy constructor.

Parameters

other optimizer to be copied

◆ ~DifferentialEvolution()

sgpp::optimization::optimizer::DifferentialEvolution::~DifferentialEvolution ( )

override

Destructor.

Member Function Documentation

◆ clone()

void sgpp::optimization::optimizer::DifferentialEvolution::clone ( std::unique_ptr< UnconstrainedOptimizer > & clone ) const

overridevirtual

Parameters

[out] clone pointer to cloned object

Implements sgpp::optimization::optimizer::UnconstrainedOptimizer.

References DifferentialEvolution().

◆ getPopulationSize()

size_t sgpp::optimization::optimizer::DifferentialEvolution::getPopulationSize ( ) const

Returns: number of individuals

References populationSize.

◆ optimize()

void sgpp::optimization::optimizer::DifferentialEvolution::optimize ( )

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::append(), sgpp::base::DataMatrix::appendRow(), avgImprovementThreshold, chess::b, crossoverProbability, sgpp::optimization::ScalarFunction::eval(), sgpp::optimization::optimizer::UnconstrainedOptimizer::f, sgpp::optimization::optimizer::UnconstrainedOptimizer::fHist, sgpp::optimization::optimizer::UnconstrainedOptimizer::fOpt, sgpp::optimization::RandomNumberGenerator::getInstance(), sgpp::optimization::Printer::getInstance(), sgpp::optimization::RandomNumberGenerator::getUniformIndexRN(), sgpp::optimization::RandomNumberGenerator::getUniformRN(), python.statsfileInfo::i, idleGenerationsCount, python.utils.statsfile2gnuplot::j, maxDistanceThreshold, sgpp::optimization::optimizer::UnconstrainedOptimizer::N, populationSize, sgpp::optimization::Printer::printStatusBegin(), sgpp::optimization::Printer::printStatusEnd(), sgpp::optimization::Printer::printStatusUpdate(), sgpp::base::DataMatrix::resize(), scalingFactor, sgpp::optimization::optimizer::UnconstrainedOptimizer::xHist, and sgpp::optimization::optimizer::UnconstrainedOptimizer::xOpt.

◆ setPopulationSize()

void sgpp::optimization::optimizer::DifferentialEvolution::setPopulationSize ( size_t populationSize )

Parameters

populationSize number of individuals

References populationSize.

Member Data Documentation

◆ avgImprovementThreshold

double sgpp::optimization::optimizer::DifferentialEvolution::avgImprovementThreshold

protected

stopping criterion parameter 2

Referenced by optimize().

◆ crossoverProbability

double sgpp::optimization::optimizer::DifferentialEvolution::crossoverProbability

protected

crossover probability

Referenced by optimize().

◆ DEFAULT_AVG_IMPROVEMENT_THRESHOLD

constexpr double sgpp::optimization::optimizer::DifferentialEvolution::DEFAULT_AVG_IMPROVEMENT_THRESHOLD = 1e-6

static

default stopping criterion parameter 2

◆ DEFAULT_CROSSOVER_PROBABILITY

constexpr double sgpp::optimization::optimizer::DifferentialEvolution::DEFAULT_CROSSOVER_PROBABILITY = 0.5

static

default crossover probability

◆ DEFAULT_IDLE_GENERATIONS_COUNT

const size_t sgpp::optimization::optimizer::DifferentialEvolution::DEFAULT_IDLE_GENERATIONS_COUNT = 20

static

default stopping criterion parameter 1

◆ DEFAULT_MAX_DISTANCE_THRESHOLD

constexpr double sgpp::optimization::optimizer::DifferentialEvolution::DEFAULT_MAX_DISTANCE_THRESHOLD = 1e-4

static

default stopping criterion parameter 3

◆ DEFAULT_SCALING_FACTOR

constexpr double sgpp::optimization::optimizer::DifferentialEvolution::DEFAULT_SCALING_FACTOR = 0.6

static

default crossover scaling factor

◆ idleGenerationsCount

size_t sgpp::optimization::optimizer::DifferentialEvolution::idleGenerationsCount

protected

stopping criterion parameter 1

Referenced by optimize().

◆ maxDistanceThreshold

double sgpp::optimization::optimizer::DifferentialEvolution::maxDistanceThreshold

protected

stopping criterion parameter 3

Referenced by optimize().

◆ populationSize

size_t sgpp::optimization::optimizer::DifferentialEvolution::populationSize

protected

number of individuals

Referenced by getPopulationSize(), optimize(), and setPopulationSize().

◆ scalingFactor

double sgpp::optimization::optimizer::DifferentialEvolution::scalingFactor

protected

crossover scaling factor

Referenced by optimize().

The documentation for this class was generated from the following files:

optimization/src/sgpp/optimization/optimizer/unconstrained/DifferentialEvolution.hpp
optimization/src/sgpp/optimization/optimizer/unconstrained/DifferentialEvolution.cpp

Public Member Functions

Static Public Attributes

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ DifferentialEvolution() [1/2]

◆ DifferentialEvolution() [2/2]

◆ ~DifferentialEvolution()

Member Function Documentation

◆ clone()

◆ getPopulationSize()

◆ optimize()

◆ setPopulationSize()

Member Data Documentation

◆ avgImprovementThreshold

◆ crossoverProbability

◆ DEFAULT_AVG_IMPROVEMENT_THRESHOLD

◆ DEFAULT_CROSSOVER_PROBABILITY

◆ DEFAULT_IDLE_GENERATIONS_COUNT

◆ DEFAULT_MAX_DISTANCE_THRESHOLD

◆ DEFAULT_SCALING_FACTOR

◆ idleGenerationsCount

◆ maxDistanceThreshold

◆ populationSize

◆ scalingFactor