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Posted to commits@commons.apache.org by lu...@apache.org on 2013/03/09 18:37:30 UTC
svn commit: r1454746 - in /commons/proper/math/trunk/src: changes/
main/java/org/apache/commons/math3/optim/
test/java/org/apache/commons/math3/optim/nonlinear/vector/
Author: luc
Date: Sat Mar 9 17:37:30 2013
New Revision: 1454746
URL: http://svn.apache.org/r1454746
Log:
Check bounds in multi-start vector optimizers.
JIRA: MATH-914
Modified:
commons/proper/math/trunk/src/changes/changes.xml
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/BaseMultiStartMultivariateOptimizer.java
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/vector/MultiStartMultivariateVectorOptimizerTest.java
Modified: commons/proper/math/trunk/src/changes/changes.xml
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/changes/changes.xml?rev=1454746&r1=1454745&r2=1454746&view=diff
==============================================================================
--- commons/proper/math/trunk/src/changes/changes.xml (original)
+++ commons/proper/math/trunk/src/changes/changes.xml Sat Mar 9 17:37:30 2013
@@ -55,6 +55,9 @@ This is a minor release: It combines bug
Changes to existing features were made in a backwards-compatible
way such as to allow drop-in replacement of the v3.1[.1] JAR file.
">
+ <action dev="luc" type="add" issue="MATH-914" >
+ Check bounds in multi-start vector optimizers.
+ </action>
<action dev="luc" type="add" issue="MATH-941" due-to="Piotr Wydrych" >
Added discrete distributions.
</action>
Modified: commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/BaseMultiStartMultivariateOptimizer.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/BaseMultiStartMultivariateOptimizer.java?rev=1454746&r1=1454745&r2=1454746&view=diff
==============================================================================
--- commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/BaseMultiStartMultivariateOptimizer.java (original)
+++ commons/proper/math/trunk/src/main/java/org/apache/commons/math3/optim/BaseMultiStartMultivariateOptimizer.java Sat Mar 9 17:37:30 2013
@@ -18,6 +18,7 @@ package org.apache.commons.math3.optim;
import org.apache.commons.math3.exception.MathIllegalStateException;
import org.apache.commons.math3.exception.NotStrictlyPositiveException;
+import org.apache.commons.math3.exception.TooManyEvaluationsException;
import org.apache.commons.math3.random.RandomVectorGenerator;
/**
@@ -59,7 +60,15 @@ public abstract class BaseMultiStartMult
/**
* Create a multi-start optimizer from a single-start optimizer.
- *
+ * <p>
+ * Note that if there are bounds constraints (see {@link #getLowerBound()}
+ * and {@link #getUpperBound()}), then a simple rejection algorithm is used
+ * at each restart. This implies that the random vector generator should have
+ * a good probability to generate vectors in the bounded domain, otherwise the
+ * rejection algorithm will hit the {@link #getMaxEvaluations()} count without
+ * generating a proper restart point. Users must be take great care of the <a
+ * href="http://en.wikipedia.org/wiki/Curse_of_dimensionality">curse of dimensionality</a>.
+ * </p>
* @param optimizer Single-start optimizer to wrap.
* @param starts Number of starts to perform. If {@code starts == 1},
* the {@link #optimize(OptimizationData[]) optimize} will return the
@@ -157,8 +166,8 @@ public abstract class BaseMultiStartMult
clear();
final int maxEval = getMaxEvaluations();
- final double[] min = getLowerBound(); // XXX Should be used to enforce bounds (see below).
- final double[] max = getUpperBound(); // XXX Should be used to enforce bounds (see below).
+ final double[] min = getLowerBound();
+ final double[] max = getUpperBound();
final double[] startPoint = getStartPoint();
// Multi-start loop.
@@ -168,9 +177,24 @@ public abstract class BaseMultiStartMult
// Decrease number of allowed evaluations.
optimData[maxEvalIndex] = new MaxEval(maxEval - totalEvaluations);
// New start value.
- final double[] s = (i == 0) ?
- startPoint :
- generator.nextVector(); // XXX This does not enforce bounds!
+ double[] s = null;
+ if (i == 0) {
+ s = startPoint;
+ } else {
+ int attempts = 0;
+ while (s == null) {
+ if (attempts++ >= getMaxEvaluations()) {
+ throw new TooManyEvaluationsException(getMaxEvaluations());
+ }
+ s = generator.nextVector();
+ for (int k = 0; s != null && k < s.length; ++k) {
+ if ((min != null && s[k] < min[k]) || (max != null && s[k] > max[k])) {
+ // reject the vector
+ s = null;
+ }
+ }
+ }
+ }
optimData[initialGuessIndex] = new InitialGuess(s);
// Optimize.
final PAIR result = optimizer.optimize(optimData);
Modified: commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/vector/MultiStartMultivariateVectorOptimizerTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/vector/MultiStartMultivariateVectorOptimizerTest.java?rev=1454746&r1=1454745&r2=1454746&view=diff
==============================================================================
--- commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/vector/MultiStartMultivariateVectorOptimizerTest.java (original)
+++ commons/proper/math/trunk/src/test/java/org/apache/commons/math3/optim/nonlinear/vector/MultiStartMultivariateVectorOptimizerTest.java Sat Mar 9 17:37:30 2013
@@ -16,14 +16,16 @@
*/
package org.apache.commons.math3.optim.nonlinear.vector;
-import org.apache.commons.math3.analysis.MultivariateVectorFunction;
import org.apache.commons.math3.analysis.MultivariateMatrixFunction;
-import org.apache.commons.math3.exception.MathIllegalStateException;
+import org.apache.commons.math3.analysis.MultivariateVectorFunction;
+import org.apache.commons.math3.exception.TooManyEvaluationsException;
import org.apache.commons.math3.linear.BlockRealMatrix;
import org.apache.commons.math3.linear.RealMatrix;
-import org.apache.commons.math3.optim.MaxEval;
import org.apache.commons.math3.optim.InitialGuess;
+import org.apache.commons.math3.optim.MaxEval;
+import org.apache.commons.math3.optim.OptimizationData;
import org.apache.commons.math3.optim.PointVectorValuePair;
+import org.apache.commons.math3.optim.SimpleBounds;
import org.apache.commons.math3.optim.SimpleVectorValueChecker;
import org.apache.commons.math3.optim.nonlinear.vector.jacobian.GaussNewtonOptimizer;
import org.apache.commons.math3.random.GaussianRandomGenerator;
@@ -96,10 +98,10 @@ import org.junit.Test;
* @author Luc Maisonobe (non-minpack tests and minpack tests Java translation)
*/
public class MultiStartMultivariateVectorOptimizerTest {
+
@Test(expected=NullPointerException.class)
public void testGetOptimaBeforeOptimize() {
- LinearProblem problem
- = new LinearProblem(new double[][] { { 2 } }, new double[] { 3 });
+
JacobianMultivariateVectorOptimizer underlyingOptimizer
= new GaussNewtonOptimizer(true, new SimpleVectorValueChecker(1e-6, 1e-6));
JDKRandomGenerator g = new JDKRandomGenerator();
@@ -145,8 +147,45 @@ public class MultiStartMultivariateVecto
Assert.assertEquals(100, optimizer.getMaxEvaluations());
}
+ @Test
+ public void testIssue914() {
+ LinearProblem problem = new LinearProblem(new double[][] { { 2 } }, new double[] { 3 });
+ JacobianMultivariateVectorOptimizer underlyingOptimizer =
+ new GaussNewtonOptimizer(true, new SimpleVectorValueChecker(1e-6, 1e-6)) {
+ public PointVectorValuePair optimize(OptimizationData... optData) {
+ // filter out simple bounds, as they are not supported
+ // by the underlying optimizer, and we don't really care for this test
+ OptimizationData[] filtered = optData.clone();
+ for (int i = 0; i < filtered.length; ++i) {
+ if (filtered[i] instanceof SimpleBounds) {
+ filtered[i] = null;
+ }
+ }
+ return super.optimize(filtered);
+ }
+ };
+ JDKRandomGenerator g = new JDKRandomGenerator();
+ g.setSeed(16069223052l);
+ RandomVectorGenerator generator =
+ new UncorrelatedRandomVectorGenerator(1, new GaussianRandomGenerator(g));
+ MultiStartMultivariateVectorOptimizer optimizer =
+ new MultiStartMultivariateVectorOptimizer(underlyingOptimizer, 10, generator);
+
+ optimizer.optimize(new MaxEval(100),
+ problem.getModelFunction(),
+ problem.getModelFunctionJacobian(),
+ problem.getTarget(),
+ new Weight(new double[] { 1 }),
+ new InitialGuess(new double[] { 0 }),
+ new SimpleBounds(new double[] { -1.0e-10 }, new double[] { 1.0e-10 }));
+ PointVectorValuePair[] optima = optimizer.getOptima();
+ // only the first start should have succeeded
+ Assert.assertEquals(1, optima.length);
+
+ }
+
/**
- * Test demonstrating that the user exception is fnally thrown if none
+ * Test demonstrating that the user exception is finally thrown if none
* of the runs succeed.
*/
@Test(expected=TestException.class)
@@ -170,7 +209,9 @@ public class MultiStartMultivariateVecto
}));
}
- private static class TestException extends RuntimeException {}
+ private static class TestException extends RuntimeException {
+
+ private static final long serialVersionUID = 1L;}
private static class LinearProblem {
private final RealMatrix factors;