Class: Mopti::NelderMead

Inherits:
Object
  • Object
show all
Includes:
Enumerable
Defined in:
lib/mopti/nelder_mead.rb

Overview

NelderMead is a class that implements multivariate optimization using the Nelder-Mead simplex method.

Reference

  1. Gao, F. and Han, L., “Implementing the Nelder-Mead simplex algorithm with adaptive parameters,” Computational Optimization and Applications, vol. 51 (1), pp. 259–277, 2012.

Examples:

require 'numo/narray'
require 'mopti'

args = Numo::DFloat[2, 3]

f = proc { |x, a| (8 * (x - a)**2).sum }

x0 = Numo::DFloat.zeros(2)

optimizer = Mopti::NelderMead.new(fnc: f, x_init: x0, args: args)
result = optimizer.map { |params| params }.last

pp result

# {:x=>Numo::DFloat(view)#shape=[2]
# [2, 3],
#  :n_fev=>165,
#  :n_iter=>84,
#  :fnc=>5.694864987422661e-13}

Instance Method Summary collapse

Constructor Details

#initialize(fnc:, x_init:, args: nil, max_iter: nil, xtol: 1e-6, ftol: 1e-6) ⇒ NelderMead

Create a new optimizer with the Nelder-Mead simplex method.

Parameters:

  • fnc (Method/Proc) —

    Method for calculating the objective function to be minimized.

  • args (Array/Hash) (defaults to: nil) —

    Arguments pass to the ‘fnc’ and ‘jcb’.

  • x_init (Numo::NArray) —

    Initial point.

  • max_iter (Integer) (defaults to: nil) —

    Maximum number of iterations. If nil is given, max_iter sets to 200 * number of dimensions.

  • xtol (Float) (defaults to: 1e-6) —

    Tolerance for termination for the optimal vector norm.

  • ftol (Float) (defaults to: 1e-6) —

    Tolerance for termination for the objective function value.



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# File 'lib/mopti/nelder_mead.rb', line 41

def initialize(fnc:, x_init:, args: nil, max_iter: nil, xtol: 1e-6, ftol: 1e-6)
  @fnc = fnc
  @args = args
  @x_init = x_init
  @max_iter = max_iter
  @xtol = xtol
  @ftol = ftol
end

Instance Method Details

#each(&block) ⇒ Enumerator

Iteration for optimization.

Yields:

  • (Hash) —

    { x:, n_fev:, n_jev:, n_iter:, fnc:, jcb: }

    • x [Numo::NArray] Updated vector by optimization.

    • n_fev [Interger] Number of calls of the objective function.

    • n_iter [Integer] Number of iterations.

    • fnc [Float] Value of the objective function.

Returns:

  • (Enumerator) —

    If block is not given, this method returns Enumerator.



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# File 'lib/mopti/nelder_mead.rb', line 59

def each
  return to_enum(__method__) unless block_given?

  x = @x_init.dup
  n = x.size
  max_iter = @max_iter || (200 * n)

  alpha = 1.0
  beta = n > 1 ? 1 + 2.fdiv(n) : 2.0
  gamma = n > 1 ? 0.75 - 1.fdiv(2 * n) : 0.5
  delta = n > 1 ? 1 - 1.fdiv(n) : 0.5

  sim = x.class.zeros(n + 1, n)
  sim[0, true] = x
  n.times do |k|
    y = x.dup
    y[k] = (y[k]).zero? ? ZERO_TAU : (1 + NON_ZERO_TAU) * y[k]
    sim[k + 1, true] = y
  end

  fsim = Numo::DFloat.zeros(n + 1)

  (n + 1).times { |k| fsim[k] = func(sim[k, true], @args) }
  n_fev = n + 1

  ind = fsim.sort_index
  fsim = fsim[ind].dup
  sim = sim[ind, true].dup

  n_iter = 0
  while n_iter < max_iter
    break if ((sim[1..-1, true] - sim[0, true]).abs.flatten.max <= @xtol) && ((fsim[0] - fsim[1..-1]).abs.max <= @ftol)

    xbar = sim[0...-1, true].sum(0) / n
    xr = xbar + (alpha * (xbar - sim[-1, true]))
    fr = func(xr, @args)
    n_fev += 1

    shrink = true
    if fr < fsim[0]
      xe = xbar + (beta * (xr - xbar))
      fe = func(xe, @args)
      n_fev += 1
      shrink = false
      if fe < fr
        sim[-1, true] = xe
        fsim[-1] = fe
      else
        sim[-1, true] = xr
        fsim[-1] = fr
      end
    elsif fr < fsim[-2]
      shrink = false
      sim[-1, true] = xr
      fsim[-1] = fr
    elsif fr < fsim[-1]
      xoc = xbar + (gamma * (xr - xbar))
      foc = func(xoc, @args)
      n_fev += 1
      if foc <= fr
        shrink = false
        sim[-1, true] = xoc
        fsim[-1] = foc
      end
    else
      xic = xbar - (gamma * (xr - xbar))
      fic = func(xic, @args)
      n_fev += 1
      if fic < fsim[-1]
        shrink = false
        sim[-1, true] = xic
        fsim[-1] = fic
      end
    end

    if shrink
      (1..n).to_a.each do |j|
        sim[j, true] = sim[0, true] + (delta * (sim[j, true] - sim[0, true]))
        fsim[j] = func(sim[j, true], @args)
        n_fev += 1
      end
    end

    ind = fsim.sort_index
    sim = sim[ind, true].dup
    fsim = fsim[ind].dup

    n_iter += 1

    yield({ x: sim[0, true], n_fev: n_fev, n_iter: n_iter, fnc: fsim.min })
  end
end