python-cogent 1.5.3-2 / usr / share / pyshared / cogent / maths / simannealingoptimiser.py

#!/usr/bin/env python
"""
Simulated annealing optimiser. Derives from basic optimiser class.

The simulated annealing optimiser is a translation into Python of the fortran
program simman.f authored by Bill Goffe (bgoffe@whale.st.usm.edu). The original
citation is "Global Optimization of Statistical Functions with Simulated
Annealing," Goffe, Ferrier and Rogers, Journal of Econometrics, vol. 60, no. 1/2,
Jan./Feb. 1994, pp. 65-100.
"""
from __future__ import division
import numpy
import random
from collections import deque
from cogent.util import checkpointing


__author__ = "Andrew Butterfield and Peter Maxwell"
__copyright__ = "Copyright 2007-2012, The Cogent Project"
__credits__ = ["Gavin Huttley", "Andrew Butterfield", "Peter Maxwell"]
__license__ = "GPL"
__version__ = "1.5.3"
__maintainer__ = "Gavin Huttley"
__email__ = "gavin.huttley@anu.edu.au"
__status__ = "Production"

class AnnealingSchedule(object):
    """Responsible for the shape of the simulated annealing temperature profile"""
    
    def __init__(self, temp_reduction, initial_temp, temp_iterations, step_cycles):
        if initial_temp < 0.0 :
            raise ValueError, "Initial temperature not +ve"
        self.T = self.initial_temp = initial_temp
        self.temp_reduction = temp_reduction
        self.temp_iterations = temp_iterations
        self.step_cycles = step_cycles
        self.dwell = temp_iterations * step_cycles
    
    def checkSameConditions(self, other):
        for attr in ['temp_reduction', 'initial_temp', 'temp_iterations', 'step_cycles']:
            if getattr(self, attr) != getattr(other, attr):
                raise ValueError('Checkpoint file ignored - %s different' % attr)
    
    def roundsToReach(self, T):
        from math import log
        return int(-log(self.initial_temp/T) / log(self.temp_reduction)) + 1
        
    def cool(self):
        self.T = self.temp_reduction * self.T
    
    def willAccept(self, newF, oldF, random_series):
        deltaF = newF - oldF
        return deltaF >= 0 or random_series.uniform(0.0, 1.0) < numpy.exp(deltaF / self.T)
    

class AnnealingHistory(object):
    """Keeps the last few results, for convergence testing"""
    
    def __init__(self, sample=4):
        self.sample_size = sample
        #self.values = deque([None]*sample, sample) Py2.6
        self.values = deque([None]*sample)
    
    def note(self, F):
        self.values.append(F)
        # Next 2 lines not required once above Py2.6 line is uncommented
        if len(self.values) > self.sample_size:
            self.values.popleft()
            
    def minRemainingRounds(self, tolerance):
        last = self.values[-1]
        return max([0]+[i+1 for (i,v) in enumerate(self.values)
                if v is None or abs(v-last)>tolerance])
    

class AnnealingState(object):
    def __init__(self, X, function, random_series):
        self.random_series = random_series
        self.NFCNEV = 1
        self.VM = numpy.ones(len(X), float)
        self.setX(X, function(X))
        (self.XOPT, self.FOPT) = (X, self.F)
        self.NACP = [0] * len(X)
        self.NTRY = 0
    
    def setX(self, X, F):
        self.X = numpy.array(X, float)
        self.F = F
    
    def step(self, function, accept_test):
        # One attempted move in each dimension
        X = self.X
        self.NTRY += 1
        for H in range(len(X)):
            self.NFCNEV += 1
            
            current_value = X[H]
            X[H] += self.VM[H] * self.random_series.uniform(-1.0, 1.0)
            F = function(X)
            
            if accept_test(F, self.F, self.random_series):
                self.NACP[H] += 1
                self.F = F
                if F > self.FOPT:
                    (self.FOPT, self.XOPT) = (F, X.copy())
            else:
                X[H] = current_value
    
    def adjustStepSizes(self):
        # Adjust velocity in each dimension to keep acceptance ratios near 50%
        if self.NTRY == 0:
            return
        for I in range(len(self.X)):
            RATIO = (self.NACP[I]*1.0) / self.NTRY
            if RATIO > 0.6:
                self.VM[I] *= (1.0 + (2.0 * ((RATIO-0.6)/0.4)))
            elif RATIO < 0.4:
                self.VM[I] /= (1.0 + (2.0 * ((0.4 - RATIO)/0.4)))
            self.NACP[I] = 0
        self.NTRY = 0
    

class AnnealingRun(object):
    def __init__(self, function, X, schedule, random_series):
        self.history = AnnealingHistory()
        self.schedule = schedule
        self.state = AnnealingState(X, function, random_series)
        self.test_count = 0
    
    def checkFunction(self, function, xopt, checkpointing_filename):
        if len(xopt) != len(self.state.XOPT):
            raise ValueError(
                "Number of parameters in checkpoint file '%s' (%s) " \
                "don't match current function (%s)" % (
                    checkpointing_filename, len(self.state.XOPT), len(xopt)))
        # if f(x) != g(x) then f isn't g.
        then = self.state.FOPT
        now = function(self.state.XOPT)
        if not numpy.allclose(now, then, 1e-8):
            raise ValueError(
                "Function to optimise doesn't match checkpoint file " \
                "'%s': F=%s now, %s in file." % (
                    checkpointing_filename, now, then))
        
    def run(self, function, tolerance, checkpointer, show_remaining):
        state = self.state
        history = self.history
        schedule = self.schedule
        
        est_anneal_remaining = schedule.roundsToReach(tolerance/10) + 3
        while True:
            min_history_remaining = history.minRemainingRounds(tolerance)
            if min_history_remaining == 0:
                break
            self.save(checkpointer)
            remaining = max(min_history_remaining, est_anneal_remaining)
            est_anneal_remaining += -1
            
            for i in range(self.schedule.dwell):
                show_remaining(remaining + 1 - i/self.schedule.dwell, 
                        state.FOPT, schedule.T, state.NFCNEV)
                state.step(function, self.schedule.willAccept)
                self.test_count += 1
                if self.test_count % schedule.step_cycles == 0:
                    state.adjustStepSizes()
            
            history.note(state.F)
            state.setX(state.XOPT, state.FOPT)
            schedule.cool()
        
        self.save(checkpointer, final=True)
        
        return state
    
    def save(self, checkpointer, final=False):
        msg = "Number of function evaluations = %d; current F = %s" % \
                (self.state.NFCNEV, self.state.FOPT)
        checkpointer.record(self, msg, final)


class SimulatedAnnealing(object):
    """Simulated annealing optimiser for bounded functions
    """
    
    def __init__(self, filename=None, interval=None, restore=True):
        """
        Set the checkpointing filename and time interval.
        Arguments:
        - filename: name of the file to which data will be written. If None, no
          checkpointing will be done.
        - interval: time expressed in seconds
        - restore: flag to restore from this filename or not. will be set to 0 after
          restoration
        """
        self.checkpointer = checkpointing.Checkpointer(filename, interval)
        self.restore = restore
    
    def maximise(self, function, xopt, show_remaining, 
            random_series = None, seed = None, 
            tolerance = None, temp_reduction = 0.5, init_temp=5.0,
            temp_iterations = 5, step_cycles = 20):
                
        """Optimise function(xopt).
        
        Arguments:
            - show_progress: whether the function values are printed as
              the optimisation proceeds. Default is True.
            - tolerance: the error condition for termination, default is 1E-6
            - temp_reduction: the factor by which the annealing
              "temperature" is reduced, default is 0.5
            - temp_iterations: the number of iterations before a
              temperature reduction, default is 5
            - step_cycles: the number of cycles after which the step size
              is modified, default is 20
        
        Returns optimised parameter vector xopt
        """
        if tolerance is None:
            tolerance = 1E-6
        
        if len(xopt) == 0:
            return xopt

        random_series = random_series or random.Random()
        if seed is not None:
            random_series.seed(seed)

        schedule = AnnealingSchedule(
            temp_reduction, init_temp, temp_iterations, step_cycles)
        
        if self.restore and self.checkpointer.available():
            run = self.checkpointer.load()
            run.checkFunction(function, xopt, self.checkpointer.filename)
            run.schedule.checkSameConditions(schedule)
        else:
            run = AnnealingRun(function, xopt, schedule, random_series)
        self.restore = False
        
        result = run.run(
            function,
            tolerance,
            checkpointer = self.checkpointer,
            show_remaining = show_remaining)
                
        return result.XOPT