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Diffstat (limited to 'third-party/boost-math/include/boost/math/optimization/differential_evolution.hpp')
| -rw-r--r-- | third-party/boost-math/include/boost/math/optimization/differential_evolution.hpp | 236 |
1 files changed, 236 insertions, 0 deletions
diff --git a/third-party/boost-math/include/boost/math/optimization/differential_evolution.hpp b/third-party/boost-math/include/boost/math/optimization/differential_evolution.hpp new file mode 100644 index 000000000000..f734f921115b --- /dev/null +++ b/third-party/boost-math/include/boost/math/optimization/differential_evolution.hpp @@ -0,0 +1,236 @@ +/* + * Copyright Nick Thompson, 2024 + * Use, modification and distribution are subject to the + * Boost Software License, Version 1.0. (See accompanying file + * LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) + */ +#ifndef BOOST_MATH_OPTIMIZATION_DIFFERENTIAL_EVOLUTION_HPP +#define BOOST_MATH_OPTIMIZATION_DIFFERENTIAL_EVOLUTION_HPP +#include <atomic> +#include <boost/math/optimization/detail/common.hpp> +#include <cmath> +#include <limits> +#include <mutex> +#include <random> +#include <sstream> +#include <stdexcept> +#include <thread> +#include <utility> +#include <vector> + +namespace boost::math::optimization { + +// Storn, R., Price, K. (1997). Differential evolution-a simple and efficient heuristic for global optimization over +// continuous spaces. +// Journal of global optimization, 11, 341-359. +// See: +// https://www.cp.eng.chula.ac.th/~prabhas//teaching/ec/ec2012/storn_price_de.pdf + +// We provide the parameters in a struct-there are too many of them and they are too unwieldy to pass individually: +template <typename ArgumentContainer> struct differential_evolution_parameters { + using Real = typename ArgumentContainer::value_type; + using DimensionlessReal = decltype(Real()/Real()); + ArgumentContainer lower_bounds; + ArgumentContainer upper_bounds; + // mutation factor is also called scale factor or just F in the literature: + DimensionlessReal mutation_factor = static_cast<DimensionlessReal>(0.65); + DimensionlessReal crossover_probability = static_cast<DimensionlessReal>(0.5); + // Population in each generation: + size_t NP = 500; + size_t max_generations = 1000; + ArgumentContainer const *initial_guess = nullptr; + unsigned threads = std::thread::hardware_concurrency(); +}; + +template <typename ArgumentContainer> +void validate_differential_evolution_parameters(differential_evolution_parameters<ArgumentContainer> const &de_params) { + using std::isfinite; + using std::isnan; + std::ostringstream oss; + detail::validate_bounds(de_params.lower_bounds, de_params.upper_bounds); + if (de_params.NP < 4) { + oss << __FILE__ << ":" << __LINE__ << ":" << __func__; + oss << ": The population size must be at least 4, but requested population size of " << de_params.NP << "."; + throw std::invalid_argument(oss.str()); + } + // From: "Differential Evolution: A Practical Approach to Global Optimization (Natural Computing Series)" + // > The scale factor, F in (0,1+), is a positive real number that controls the rate at which the population evolves. + // > While there is no upper limit on F, effective values are seldom greater than 1.0. + // ... + // Also see "Limits on F", Section 2.5.1: + // > This discontinuity at F = 1 reduces the number of mutants by half and can result in erratic convergence... + auto F = de_params.mutation_factor; + if (isnan(F) || F >= 1 || F <= 0) { + oss << __FILE__ << ":" << __LINE__ << ":" << __func__; + oss << ": F in (0, 1) is required, but got F=" << F << "."; + throw std::domain_error(oss.str()); + } + if (de_params.max_generations < 1) { + oss << __FILE__ << ":" << __LINE__ << ":" << __func__; + oss << ": There must be at least one generation."; + throw std::invalid_argument(oss.str()); + } + if (de_params.initial_guess) { + detail::validate_initial_guess(*de_params.initial_guess, de_params.lower_bounds, de_params.upper_bounds); + } + if (de_params.threads == 0) { + oss << __FILE__ << ":" << __LINE__ << ":" << __func__; + oss << ": There must be at least one thread."; + throw std::invalid_argument(oss.str()); + } +} + +template <typename ArgumentContainer, class Func, class URBG> +ArgumentContainer differential_evolution( + const Func cost_function, differential_evolution_parameters<ArgumentContainer> const &de_params, URBG &gen, + std::invoke_result_t<Func, ArgumentContainer> target_value = + std::numeric_limits<std::invoke_result_t<Func, ArgumentContainer>>::quiet_NaN(), + std::atomic<bool> *cancellation = nullptr, + std::atomic<std::invoke_result_t<Func, ArgumentContainer>> *current_minimum_cost = nullptr, + std::vector<std::pair<ArgumentContainer, std::invoke_result_t<Func, ArgumentContainer>>> *queries = nullptr) { + using Real = typename ArgumentContainer::value_type; + using DimensionlessReal = decltype(Real()/Real()); + using ResultType = std::invoke_result_t<Func, ArgumentContainer>; + using std::clamp; + using std::isnan; + using std::round; + using std::uniform_real_distribution; + validate_differential_evolution_parameters(de_params); + const size_t dimension = de_params.lower_bounds.size(); + auto NP = de_params.NP; + auto population = detail::random_initial_population(de_params.lower_bounds, de_params.upper_bounds, NP, gen); + if (de_params.initial_guess) { + population[0] = *de_params.initial_guess; + } + std::vector<ResultType> cost(NP, std::numeric_limits<ResultType>::quiet_NaN()); + std::atomic<bool> target_attained = false; + // This mutex is only used if the queries are stored: + std::mutex mt; + + std::vector<std::thread> thread_pool; + auto const threads = de_params.threads; + for (size_t j = 0; j < threads; ++j) { + // Note that if some members of the population take way longer to compute, + // then this parallelization strategy is very suboptimal. + // However, we tried using std::async (which should be robust to this particular problem), + // but the overhead was just totally unacceptable on ARM Macs (the only platform tested). + // As the economists say "there are no solutions, only tradeoffs". + thread_pool.emplace_back([&, j]() { + for (size_t i = j; i < cost.size(); i += threads) { + cost[i] = cost_function(population[i]); + if (current_minimum_cost && cost[i] < *current_minimum_cost) { + *current_minimum_cost = cost[i]; + } + if (queries) { + std::scoped_lock lock(mt); + queries->push_back(std::make_pair(population[i], cost[i])); + } + if (!isnan(target_value) && cost[i] <= target_value) { + target_attained = true; + } + } + }); + } + for (auto &thread : thread_pool) { + thread.join(); + } + + std::vector<ArgumentContainer> trial_vectors(NP); + for (size_t i = 0; i < NP; ++i) { + if constexpr (detail::has_resize_v<ArgumentContainer>) { + trial_vectors[i].resize(dimension); + } + } + std::vector<URBG> thread_generators(threads); + for (size_t j = 0; j < threads; ++j) { + thread_generators[j].seed(gen()); + } + // std::vector<bool> isn't threadsafe! + std::vector<int> updated_indices(NP, 0); + + for (size_t generation = 0; generation < de_params.max_generations; ++generation) { + if (cancellation && *cancellation) { + break; + } + if (target_attained) { + break; + } + thread_pool.resize(0); + for (size_t j = 0; j < threads; ++j) { + thread_pool.emplace_back([&, j]() { + auto& tlg = thread_generators[j]; + uniform_real_distribution<DimensionlessReal> unif01(DimensionlessReal(0), DimensionlessReal(1)); + for (size_t i = j; i < cost.size(); i += threads) { + if (target_attained) { + return; + } + if (cancellation && *cancellation) { + return; + } + size_t r1, r2, r3; + do { + r1 = tlg() % NP; + } while (r1 == i); + do { + r2 = tlg() % NP; + } while (r2 == i || r2 == r1); + do { + r3 = tlg() % NP; + } while (r3 == i || r3 == r2 || r3 == r1); + + for (size_t k = 0; k < dimension; ++k) { + // See equation (4) of the reference: + auto guaranteed_changed_idx = tlg() % dimension; + if (unif01(tlg) < de_params.crossover_probability || k == guaranteed_changed_idx) { + auto tmp = population[r1][k] + de_params.mutation_factor * (population[r2][k] - population[r3][k]); + auto const &lb = de_params.lower_bounds[k]; + auto const &ub = de_params.upper_bounds[k]; + // Some others recommend regenerating the indices rather than clamping; + // I dunno seems like it could get stuck regenerating . . . + trial_vectors[i][k] = clamp(tmp, lb, ub); + } else { + trial_vectors[i][k] = population[i][k]; + } + } + + auto const trial_cost = cost_function(trial_vectors[i]); + if (isnan(trial_cost)) { + continue; + } + if (queries) { + std::scoped_lock lock(mt); + queries->push_back(std::make_pair(trial_vectors[i], trial_cost)); + } + if (trial_cost < cost[i] || isnan(cost[i])) { + cost[i] = trial_cost; + if (!isnan(target_value) && cost[i] <= target_value) { + target_attained = true; + } + if (current_minimum_cost && cost[i] < *current_minimum_cost) { + *current_minimum_cost = cost[i]; + } + // Can't do this! It's a race condition! + //population[i] = trial_vectors[i]; + // Instead mark all the indices that need to be updated: + updated_indices[i] = 1; + } + } + }); + } + for (auto &thread : thread_pool) { + thread.join(); + } + for (size_t i = 0; i < NP; ++i) { + if (updated_indices[i]) { + population[i] = trial_vectors[i]; + updated_indices[i] = 0; + } + } + } + + auto it = std::min_element(cost.begin(), cost.end()); + return population[std::distance(cost.begin(), it)]; +} + +} // namespace boost::math::optimization +#endif |
