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| from scipy._lib._util import check_random_state from scipy.optimize._optimize import _status_message from scipy.optimize import OptimizeResult, minimize import numpy as np
""" A slight modification to Scipy's implementation of differential evolution. To speed up predictions, the entire parameters array is passed to `self.func`, where a neural network model can batch its computations and execute in parallel. Search for `CHANGES` to find all code changes.
Dan Kondratyuk 2018
Original code adapted from https://github.com/scipy/scipy/blob/70e61dee181de23fdd8d893eaa9491100e2218d7/scipy/optimize/_differentialevolution.py ----------
differential_evolution: The differential evolution global optimization algorithm Added by Andrew Nelson 2014 """
_MACHEPS = np.finfo(np.float64).eps
def differential_evolution(func, bounds, args=(), strategy='best1bin', maxiter=1000, popsize=15, tol=0.01, mutation=(0.5, 1), recombination=0.7, seed=None, callback=None, disp=False, polish=True, init='latinhypercube', atol=0): """Finds the global minimum of a multivariate function. Differential Evolution is stochastic in nature (does not use gradient methods) to find the minimium, and can search large areas of candidate space, but often requires larger numbers of function evaluations than conventional gradient based techniques. The algorithm is due to Storn and Price [1]_. Parameters ---------- func : callable The objective function to be minimized. Must be in the form ``f(x, *args)``, where ``x`` is the argument in the form of a 1-D array and ``args`` is a tuple of any additional fixed parameters needed to completely specify the function. bounds : sequence Bounds for variables. ``(min, max)`` pairs for each element in ``x``, defining the lower and upper bounds for the optimizing argument of `func`. It is required to have ``len(bounds) == len(x)``. ``len(bounds)`` is used to determine the number of parameters in ``x``. args : tuple, optional Any additional fixed parameters needed to completely specify the objective function. strategy : str, optional The differential evolution strategy to use. Should be one of: - 'best1bin' - 'best1exp' - 'rand1exp' - 'randtobest1exp' - 'currenttobest1exp' - 'best2exp' - 'rand2exp' - 'randtobest1bin' - 'currenttobest1bin' - 'best2bin' - 'rand2bin' - 'rand1bin' The default is 'best1bin'. maxiter : int, optional The maximum number of generations over which the entire population is evolved. The maximum number of function evaluations (with no polishing) is: ``(maxiter + 1) * popsize * len(x)`` popsize : int, optional A multiplier for setting the total population size. The population has ``popsize * len(x)`` individuals (unless the initial population is supplied via the `init` keyword). tol : float, optional Relative tolerance for convergence, the solving stops when ``np.std(pop) <= atol + tol * np.abs(np.mean(population_energies))``, where and `atol` and `tol` are the absolute and relative tolerance respectively. mutation : float or tuple(float, float), optional The mutation constant. In the literature this is also known as differential weight, being denoted by F. If specified as a float it should be in the range [0, 2]. If specified as a tuple ``(min, max)`` dithering is employed. Dithering randomly changes the mutation constant on a generation by generation basis. The mutation constant for that generation is taken from ``U[min, max)``. Dithering can help speed convergence significantly. Increasing the mutation constant increases the search radius, but will slow down convergence. recombination : float, optional The recombination constant, should be in the range [0, 1]. In the literature this is also known as the crossover probability, being denoted by CR. Increasing this value allows a larger number of mutants to progress into the next generation, but at the risk of population stability. seed : int or `np.random.RandomState`, optional If `seed` is not specified the `np.RandomState` singleton is used. If `seed` is an int, a new `np.random.RandomState` instance is used, seeded with seed. If `seed` is already a `np.random.RandomState instance`, then that `np.random.RandomState` instance is used. Specify `seed` for repeatable minimizations. disp : bool, optional Display status messages callback : callable, `callback(xk, convergence=val)`, optional A function to follow the progress of the minimization. ``xk`` is the current value of ``x0``. ``val`` represents the fractional value of the population convergence. When ``val`` is greater than one the function halts. If callback returns `True`, then the minimization is halted (any polishing is still carried out). polish : bool, optional If True (default), then `scipy.optimize.minimize` with the `L-BFGS-B` method is used to polish the best population member at the end, which can improve the minimization slightly. init : str or array-like, optional Specify which type of population initialization is performed. Should be one of: - 'latinhypercube' - 'random' - array specifying the initial population. The array should have shape ``(M, len(x))``, where len(x) is the number of parameters. `init` is clipped to `bounds` before use. The default is 'latinhypercube'. Latin Hypercube sampling tries to maximize coverage of the available parameter space. 'random' initializes the population randomly - this has the drawback that clustering can occur, preventing the whole of parameter space being covered. Use of an array to specify a population subset could be used, for example, to create a tight bunch of initial guesses in an location where the solution is known to exist, thereby reducing time for convergence. atol : float, optional Absolute tolerance for convergence, the solving stops when ``np.std(pop) <= atol + tol * np.abs(np.mean(population_energies))``, where and `atol` and `tol` are the absolute and relative tolerance respectively. Returns ------- res : OptimizeResult The optimization result represented as a `OptimizeResult` object. Important attributes are: ``x`` the solution array, ``success`` a Boolean flag indicating if the optimizer exited successfully and ``message`` which describes the cause of the termination. See `OptimizeResult` for a description of other attributes. If `polish` was employed, and a lower minimum was obtained by the polishing, then OptimizeResult also contains the ``jac`` attribute. Notes ----- Differential evolution is a stochastic population based method that is useful for global optimization problems. At each pass through the population the algorithm mutates each candidate solution by mixing with other candidate solutions to create a trial candidate. There are several strategies [2]_ for creating trial candidates, which suit some problems more than others. The 'best1bin' strategy is a good starting point for many systems. In this strategy two members of the population are randomly chosen. Their difference is used to mutate the best member (the `best` in `best1bin`), :math:`b_0`, so far: .. math:: b' = b_0 + mutation * (population[rand0] - population[rand1]) A trial vector is then constructed. Starting with a randomly chosen 'i'th parameter the trial is sequentially filled (in modulo) with parameters from `b'` or the original candidate. The choice of whether to use `b'` or the original candidate is made with a binomial distribution (the 'bin' in 'best1bin') - a random number in [0, 1) is generated. If this number is less than the `recombination` constant then the parameter is loaded from `b'`, otherwise it is loaded from the original candidate. The final parameter is always loaded from `b'`. Once the trial candidate is built its fitness is assessed. If the trial is better than the original candidate then it takes its place. If it is also better than the best overall candidate it also replaces that. To improve your chances of finding a global minimum use higher `popsize` values, with higher `mutation` and (dithering), but lower `recombination` values. This has the effect of widening the search radius, but slowing convergence. .. versionadded:: 0.15.0 Examples -------- Let us consider the problem of minimizing the Rosenbrock function. This function is implemented in `rosen` in `scipy.optimize`. >>> from scipy.optimize import rosen, differential_evolution >>> bounds = [(0,2), (0, 2), (0, 2), (0, 2), (0, 2)] >>> result = differential_evolution(rosen, bounds) >>> result.x, result.fun (array([1., 1., 1., 1., 1.]), 1.9216496320061384e-19) Next find the minimum of the Ackley function (http://en.wikipedia.org/wiki/Test_functions_for_optimization). >>> from scipy.optimize import differential_evolution >>> import numpy as np >>> def ackley(x): ... arg1 = -0.2 * np.sqrt(0.5 * (x[0] ** 2 + x[1] ** 2)) ... arg2 = 0.5 * (np.cos(2. * np.pi * x[0]) + np.cos(2. * np.pi * x[1])) ... return -20. * np.exp(arg1) - np.exp(arg2) + 20. + np.e >>> bounds = [(-5, 5), (-5, 5)] >>> result = differential_evolution(ackley, bounds) >>> result.x, result.fun (array([ 0., 0.]), 4.4408920985006262e-16) References ---------- .. [1] Storn, R and Price, K, Differential Evolution - a Simple and Efficient Heuristic for Global Optimization over Continuous Spaces, Journal of Global Optimization, 1997, 11, 341 - 359. .. [2] http://www1.icsi.berkeley.edu/~storn/code.html .. [3] http://en.wikipedia.org/wiki/Differential_evolution """
solver = DifferentialEvolutionSolver(func, bounds, args=args, strategy=strategy, maxiter=maxiter, popsize=popsize, tol=tol, mutation=mutation, recombination=recombination, seed=seed, polish=polish, callback=callback, disp=disp, init=init, atol=atol) return solver.solve()
class DifferentialEvolutionSolver(object):
"""This class implements the differential evolution solver Parameters ---------- func : callable The objective function to be minimized. Must be in the form ``f(x, *args)``, where ``x`` is the argument in the form of a 1-D array and ``args`` is a tuple of any additional fixed parameters needed to completely specify the function. bounds : sequence Bounds for variables. ``(min, max)`` pairs for each element in ``x``, defining the lower and upper bounds for the optimizing argument of `func`. It is required to have ``len(bounds) == len(x)``. ``len(bounds)`` is used to determine the number of parameters in ``x``. args : tuple, optional Any additional fixed parameters needed to completely specify the objective function. strategy : str, optional The differential evolution strategy to use. Should be one of: - 'best1bin' - 'best1exp' - 'rand1exp' - 'randtobest1exp' - 'currenttobest1exp' - 'best2exp' - 'rand2exp' - 'randtobest1bin' - 'currenttobest1bin' - 'best2bin' - 'rand2bin' - 'rand1bin' The default is 'best1bin' maxiter : int, optional The maximum number of generations over which the entire population is evolved. The maximum number of function evaluations (with no polishing) is: ``(maxiter + 1) * popsize * len(x)`` popsize : int, optional A multiplier for setting the total population size. The population has ``popsize * len(x)`` individuals (unless the initial population is supplied via the `init` keyword). tol : float, optional Relative tolerance for convergence, the solving stops when ``np.std(pop) <= atol + tol * np.abs(np.mean(population_energies))``, where and `atol` and `tol` are the absolute and relative tolerance respectively. mutation : float or tuple(float, float), optional The mutation constant. In the literature this is also known as differential weight, being denoted by F. If specified as a float it should be in the range [0, 2]. If specified as a tuple ``(min, max)`` dithering is employed. Dithering randomly changes the mutation constant on a generation by generation basis. The mutation constant for that generation is taken from U[min, max). Dithering can help speed convergence significantly. Increasing the mutation constant increases the search radius, but will slow down convergence. recombination : float, optional The recombination constant, should be in the range [0, 1]. In the literature this is also known as the crossover probability, being denoted by CR. Increasing this value allows a larger number of mutants to progress into the next generation, but at the risk of population stability. seed : int or `np.random.RandomState`, optional If `seed` is not specified the `np.random.RandomState` singleton is used. If `seed` is an int, a new `np.random.RandomState` instance is used, seeded with `seed`. If `seed` is already a `np.random.RandomState` instance, then that `np.random.RandomState` instance is used. Specify `seed` for repeatable minimizations. disp : bool, optional Display status messages callback : callable, `callback(xk, convergence=val)`, optional A function to follow the progress of the minimization. ``xk`` is the current value of ``x0``. ``val`` represents the fractional value of the population convergence. When ``val`` is greater than one the function halts. If callback returns `True`, then the minimization is halted (any polishing is still carried out). polish : bool, optional If True, then `scipy.optimize.minimize` with the `L-BFGS-B` method is used to polish the best population member at the end. This requires a few more function evaluations. maxfun : int, optional Set the maximum number of function evaluations. However, it probably makes more sense to set `maxiter` instead. init : str or array-like, optional Specify which type of population initialization is performed. Should be one of: - 'latinhypercube' - 'random' - array specifying the initial population. The array should have shape ``(M, len(x))``, where len(x) is the number of parameters. `init` is clipped to `bounds` before use. The default is 'latinhypercube'. Latin Hypercube sampling tries to maximize coverage of the available parameter space. 'random' initializes the population randomly - this has the drawback that clustering can occur, preventing the whole of parameter space being covered. Use of an array to specify a population could be used, for example, to create a tight bunch of initial guesses in an location where the solution is known to exist, thereby reducing time for convergence. atol : float, optional Absolute tolerance for convergence, the solving stops when ``np.std(pop) <= atol + tol * np.abs(np.mean(population_energies))``, where and `atol` and `tol` are the absolute and relative tolerance respectively. """
_binomial = {'best1bin': '_best1', 'randtobest1bin': '_randtobest1', 'currenttobest1bin': '_currenttobest1', 'best2bin': '_best2', 'rand2bin': '_rand2', 'rand1bin': '_rand1'} _exponential = {'best1exp': '_best1', 'rand1exp': '_rand1', 'randtobest1exp': '_randtobest1', 'currenttobest1exp': '_currenttobest1', 'best2exp': '_best2', 'rand2exp': '_rand2'}
__init_error_msg = ("The population initialization method must be one of " "'latinhypercube' or 'random', or an array of shape " "(M, N) where N is the number of parameters and M>5")
def __init__(self, func, bounds, args=(), strategy='best1bin', maxiter=1000, popsize=15, tol=0.01, mutation=(0.5, 1), recombination=0.7, seed=None, maxfun=np.inf, callback=None, disp=False, polish=True, init='latinhypercube', atol=0):
if strategy in self._binomial: self.mutation_func = getattr(self, self._binomial[strategy]) elif strategy in self._exponential: self.mutation_func = getattr(self, self._exponential[strategy]) else: raise ValueError("Please select a valid mutation strategy") self.strategy = strategy
self.callback = callback self.polish = polish
self.tol, self.atol = tol, atol
self.scale = mutation if (not np.all(np.isfinite(mutation)) or np.any(np.array(mutation) >= 2) or np.any(np.array(mutation) < 0)): raise ValueError('The mutation constant must be a float in ' 'U[0, 2), or specified as a tuple(min, max)' ' where min < max and min, max are in U[0, 2).')
self.dither = None if hasattr(mutation, '__iter__') and len(mutation) > 1: self.dither = [mutation[0], mutation[1]] self.dither.sort()
self.cross_over_probability = recombination
self.func = func self.args = args
self.limits = np.array(bounds, dtype='float').T if (np.size(self.limits, 0) != 2 or not np.all(np.isfinite(self.limits))): raise ValueError('bounds should be a sequence containing ' 'real valued (min, max) pairs for each value' ' in x')
if maxiter is None: maxiter = 1000 self.maxiter = maxiter if maxfun is None: maxfun = np.inf self.maxfun = maxfun
self.__scale_arg1 = 0.5 * (self.limits[0] + self.limits[1]) self.__scale_arg2 = np.fabs(self.limits[0] - self.limits[1])
self.parameter_count = np.size(self.limits, 1)
self.random_number_generator = check_random_state(seed)
self.num_population_members = max(5, popsize * self.parameter_count)
self.population_shape = (self.num_population_members, self.parameter_count)
self._nfev = 0 if isinstance(init, str): if init == 'latinhypercube': self.init_population_lhs() elif init == 'random': self.init_population_random() else: raise ValueError(self.__init_error_msg) else: self.init_population_array(init)
self.disp = disp
def init_population_lhs(self): """ Initializes the population with Latin Hypercube Sampling. Latin Hypercube Sampling ensures that each parameter is uniformly sampled over its range. """ rng = self.random_number_generator
segsize = 1.0 / self.num_population_members
samples = (segsize * rng.random_sample(self.population_shape)
+ np.linspace(0., 1., self.num_population_members, endpoint=False)[:, np.newaxis])
self.population = np.zeros_like(samples)
for j in range(self.parameter_count): order = rng.permutation(range(self.num_population_members)) self.population[:, j] = samples[order, j]
self.population_energies = (np.ones(self.num_population_members) * np.inf)
self._nfev = 0
def init_population_random(self): """ Initialises the population at random. This type of initialization can possess clustering, Latin Hypercube sampling is generally better. """ rng = self.random_number_generator self.population = rng.random_sample(self.population_shape)
self.population_energies = (np.ones(self.num_population_members) * np.inf)
self._nfev = 0
def init_population_array(self, init): """ Initialises the population with a user specified population. Parameters ---------- init : np.ndarray Array specifying subset of the initial population. The array should have shape (M, len(x)), where len(x) is the number of parameters. The population is clipped to the lower and upper `bounds`. """ popn = np.asfarray(init)
if (np.size(popn, 0) < 5 or popn.shape[1] != self.parameter_count or len(popn.shape) != 2): raise ValueError("The population supplied needs to have shape" " (M, len(x)), where M > 4.")
self.population = np.clip(self._unscale_parameters(popn), 0, 1)
self.num_population_members = np.size(self.population, 0)
self.population_shape = (self.num_population_members, self.parameter_count)
self.population_energies = (np.ones(self.num_population_members) * np.inf)
self._nfev = 0
@property def x(self): """ The best solution from the solver Returns ------- x : ndarray The best solution from the solver. """ return self._scale_parameters(self.population[0])
@property def convergence(self): """ The standard deviation of the population energies divided by their mean. """ return (np.std(self.population_energies) / np.abs(np.mean(self.population_energies) + _MACHEPS))
def solve(self): """ Runs the DifferentialEvolutionSolver. Returns ------- res : OptimizeResult The optimization result represented as a ``OptimizeResult`` object. Important attributes are: ``x`` the solution array, ``success`` a Boolean flag indicating if the optimizer exited successfully and ``message`` which describes the cause of the termination. See `OptimizeResult` for a description of other attributes. If `polish` was employed, and a lower minimum was obtained by the polishing, then OptimizeResult also contains the ``jac`` attribute. """ nit, warning_flag = 0, False status_message = _status_message['success']
if np.all(np.isinf(self.population_energies)): self._calculate_population_energies()
for nit in range(1, self.maxiter + 1): try: next(self) except StopIteration: warning_flag = True status_message = _status_message['maxfev'] break
if self.disp: print("differential_evolution step %d: f(x)= %g" % (nit, self.population_energies[0]))
convergence = self.convergence
if (self.callback and self.callback(self._scale_parameters(self.population[0]), convergence=self.tol / convergence) is True):
warning_flag = True status_message = ('callback function requested stop early ' 'by returning True') break
intol = (np.std(self.population_energies) <= self.atol + self.tol * np.abs(np.mean(self.population_energies))) if warning_flag or intol: break
else: status_message = _status_message['maxiter'] warning_flag = True
DE_result = OptimizeResult( x=self.x, fun=self.population_energies[0], nfev=self._nfev, nit=nit, message=status_message, success=(warning_flag is not True))
if self.polish: result = minimize(self.func, np.copy(DE_result.x), method='L-BFGS-B', bounds=self.limits.T, args=self.args)
self._nfev += result.nfev DE_result.nfev = self._nfev
if result.fun < DE_result.fun: DE_result.fun = result.fun DE_result.x = result.x DE_result.jac = result.jac self.population_energies[0] = result.fun self.population[0] = self._unscale_parameters(result.x)
return DE_result
def _calculate_population_energies(self): """ Calculate the energies of all the population members at the same time. Puts the best member in first place. Useful if the population has just been initialised. """
itersize = max(0, min(len(self.population), self.maxfun - self._nfev + 1)) candidates = self.population[:itersize] parameters = np.array([self._scale_parameters(c) for c in candidates]) energies = self.func(parameters, *self.args) self.population_energies = energies self._nfev += itersize
minval = np.argmin(self.population_energies)
lowest_energy = self.population_energies[minval] self.population_energies[minval] = self.population_energies[0] self.population_energies[0] = lowest_energy
self.population[[0, minval], :] = self.population[[minval, 0], :]
def __iter__(self): return self
def __next__(self): """ Evolve the population by a single generation Returns ------- x : ndarray The best solution from the solver. fun : float Value of objective function obtained from the best solution. """ if np.all(np.isinf(self.population_energies)): self._calculate_population_energies()
if self.dither is not None: self.scale = (self.random_number_generator.rand() * (self.dither[1] - self.dither[0]) + self.dither[0])
itersize = max(0, min(self.num_population_members, self.maxfun - self._nfev + 1)) trials = np.array([self._mutate(c) for c in range(itersize)]) for trial in trials: self._ensure_constraint(trial) parameters = np.array([self._scale_parameters(trial) for trial in trials]) energies = self.func(parameters, *self.args) self._nfev += itersize
for candidate, (energy, trial) in enumerate(zip(energies, trials)): if energy < self.population_energies[candidate]: self.population[candidate] = trial self.population_energies[candidate] = energy
if energy < self.population_energies[0]: self.population_energies[0] = energy self.population[0] = trial
return self.x, self.population_energies[0]
def next(self): """ Evolve the population by a single generation Returns ------- x : ndarray The best solution from the solver. fun : float Value of objective function obtained from the best solution. """ return self.__next__()
def _scale_parameters(self, trial): """ scale from a number between 0 and 1 to parameters. """ return self.__scale_arg1 + (trial - 0.5) * self.__scale_arg2
def _unscale_parameters(self, parameters): """ scale from parameters to a number between 0 and 1. """ return (parameters - self.__scale_arg1) / self.__scale_arg2 + 0.5
def _ensure_constraint(self, trial): """ make sure the parameters lie between the limits """ for index in np.where((trial < 0) | (trial > 1))[0]: trial[index] = self.random_number_generator.rand()
def _mutate(self, candidate): """ create a trial vector based on a mutation strategy """ trial = np.copy(self.population[candidate])
rng = self.random_number_generator
fill_point = rng.randint(0, self.parameter_count)
if self.strategy in ['currenttobest1exp', 'currenttobest1bin']: bprime = self.mutation_func(candidate, self._select_samples(candidate, 5)) else: bprime = self.mutation_func(self._select_samples(candidate, 5))
if self.strategy in self._binomial: crossovers = rng.rand(self.parameter_count) crossovers = crossovers < self.cross_over_probability crossovers[fill_point] = True trial = np.where(crossovers, bprime, trial) return trial
elif self.strategy in self._exponential: i = 0 while (i < self.parameter_count and rng.rand() < self.cross_over_probability):
trial[fill_point] = bprime[fill_point] fill_point = (fill_point + 1) % self.parameter_count i += 1
return trial
def _best1(self, samples): """ best1bin, best1exp """ r0, r1 = samples[:2] return (self.population[0] + self.scale * (self.population[r0] - self.population[r1]))
def _rand1(self, samples): """ rand1bin, rand1exp """ r0, r1, r2 = samples[:3] return (self.population[r0] + self.scale * (self.population[r1] - self.population[r2]))
def _randtobest1(self, samples): """ randtobest1bin, randtobest1exp """ r0, r1, r2 = samples[:3] bprime = np.copy(self.population[r0]) bprime += self.scale * (self.population[0] - bprime) bprime += self.scale * (self.population[r1] - self.population[r2]) return bprime
def _currenttobest1(self, candidate, samples): """ currenttobest1bin, currenttobest1exp """ r0, r1 = samples[:2] bprime = (self.population[candidate] + self.scale * (self.population[0] - self.population[candidate] + self.population[r0] - self.population[r1])) return bprime
def _best2(self, samples): """ best2bin, best2exp """ r0, r1, r2, r3 = samples[:4] bprime = (self.population[0] + self.scale * (self.population[r0] + self.population[r1] - self.population[r2] - self.population[r3]))
return bprime
def _rand2(self, samples): """ rand2bin, rand2exp """ r0, r1, r2, r3, r4 = samples bprime = (self.population[r0] + self.scale * (self.population[r1] + self.population[r2] - self.population[r3] - self.population[r4]))
return bprime
def _select_samples(self, candidate, number_samples): """ obtain random integers from range(self.num_population_members), without replacement. You can't have the original candidate either. """ idxs = list(range(self.num_population_members)) idxs.remove(candidate) self.random_number_generator.shuffle(idxs) idxs = idxs[:number_samples] return idxs
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