#region License Information
/* HeuristicLab
* Copyright (C) 2002-2016 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
* and the BEACON Center for the Study of Evolution in Action.
*
* This file is part of HeuristicLab.
*
* HeuristicLab is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* HeuristicLab is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with HeuristicLab. If not, see .
*/
#endregion
using System;
using System.Collections.Generic;
using System.Linq;
using System.Threading;
using HeuristicLab.Analysis;
using HeuristicLab.Common;
using HeuristicLab.Core;
using HeuristicLab.Data;
using HeuristicLab.Encodings.RealVectorEncoding;
using HeuristicLab.Optimization;
using HeuristicLab.Parameters;
using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
using HeuristicLab.Problems.TestFunctions.MultiObjective;
using HeuristicLab.Random;
namespace HeuristicLab.Algorithms.MOCMAEvolutionStrategy {
[Item("Multi-Objective CMA Evolution Strategy (MOCMAES)", "A multi objective evolution strategy based on covariance matrix adaptation. Code is based on 'Covariance Matrix Adaptation for Multi - objective Optimization' by Igel, Hansen and Roth")]
[Creatable(CreatableAttribute.Categories.PopulationBasedAlgorithms, Priority = 210)]
[StorableClass]
public class MOCMAEvolutionStrategy : BasicAlgorithm {
public override Type ProblemType {
get { return typeof(MultiObjectiveBasicProblem); }
}
public new MultiObjectiveBasicProblem Problem {
get { return (MultiObjectiveBasicProblem)base.Problem; }
set { base.Problem = value; }
}
public override bool SupportsPause {
get { return true; }
}
#region Storable fields
[Storable]
private IRandom random = new MersenneTwister();
[Storable]
private NormalDistributedRandom gauss;
[Storable]
private Individual[] solutions;
[Storable]
private double stepSizeLearningRate; //=cp learning rate in [0,1]
[Storable]
private double stepSizeDampeningFactor; //d
[Storable]
private double targetSuccessProbability;// p^target_succ
[Storable]
private double evolutionPathLearningRate;//cc
[Storable]
private double covarianceMatrixLearningRate;//ccov
[Storable]
private double covarianceMatrixUnlearningRate;
[Storable]
private double successThreshold; //ptresh
#endregion
#region ParameterNames
private const string MaximumRuntimeName = "Maximum Runtime";
private const string SeedName = "Seed";
private const string SetSeedRandomlyName = "SetSeedRandomly";
private const string PopulationSizeName = "PopulationSize";
private const string MaximumGenerationsName = "MaximumGenerations";
private const string MaximumEvaluatedSolutionsName = "MaximumEvaluatedSolutions";
private const string InitialSigmaName = "InitialSigma";
private const string IndicatorName = "Indicator";
private const string EvaluationsResultName = "Evaluations";
private const string IterationsResultName = "Generations";
private const string TimetableResultName = "Timetable";
private const string HypervolumeResultName = "Hypervolume";
private const string GenerationalDistanceResultName = "Generational Distance";
private const string InvertedGenerationalDistanceResultName = "Inverted Generational Distance";
private const string CrowdingResultName = "Crowding";
private const string SpacingResultName = "Spacing";
private const string CurrentFrontResultName = "Pareto Front";
private const string BestHypervolumeResultName = "Best Hypervolume";
private const string BestKnownHypervolumeResultName = "Best known hypervolume";
private const string DifferenceToBestKnownHypervolumeResultName = "Absolute Distance to BestKnownHypervolume";
private const string ScatterPlotResultName = "ScatterPlot";
#endregion
#region ParameterProperties
public IFixedValueParameter MaximumRuntimeParameter {
get { return (IFixedValueParameter)Parameters[MaximumRuntimeName]; }
}
public IFixedValueParameter SeedParameter {
get { return (IFixedValueParameter)Parameters[SeedName]; }
}
public FixedValueParameter SetSeedRandomlyParameter {
get { return (FixedValueParameter)Parameters[SetSeedRandomlyName]; }
}
public IFixedValueParameter PopulationSizeParameter {
get { return (IFixedValueParameter)Parameters[PopulationSizeName]; }
}
public IFixedValueParameter MaximumGenerationsParameter {
get { return (IFixedValueParameter)Parameters[MaximumGenerationsName]; }
}
public IFixedValueParameter MaximumEvaluatedSolutionsParameter {
get { return (IFixedValueParameter)Parameters[MaximumEvaluatedSolutionsName]; }
}
public IValueParameter InitialSigmaParameter {
get { return (IValueParameter)Parameters[InitialSigmaName]; }
}
public IConstrainedValueParameter IndicatorParameter {
get { return (IConstrainedValueParameter)Parameters[IndicatorName]; }
}
#endregion
#region Properties
public int MaximumRuntime {
get { return MaximumRuntimeParameter.Value.Value; }
set { MaximumRuntimeParameter.Value.Value = value; }
}
public int Seed {
get { return SeedParameter.Value.Value; }
set { SeedParameter.Value.Value = value; }
}
public bool SetSeedRandomly {
get { return SetSeedRandomlyParameter.Value.Value; }
set { SetSeedRandomlyParameter.Value.Value = value; }
}
public int PopulationSize {
get { return PopulationSizeParameter.Value.Value; }
set { PopulationSizeParameter.Value.Value = value; }
}
public int MaximumGenerations {
get { return MaximumGenerationsParameter.Value.Value; }
set { MaximumGenerationsParameter.Value.Value = value; }
}
public int MaximumEvaluatedSolutions {
get { return MaximumEvaluatedSolutionsParameter.Value.Value; }
set { MaximumEvaluatedSolutionsParameter.Value.Value = value; }
}
public DoubleArray InitialSigma {
get { return InitialSigmaParameter.Value; }
set { InitialSigmaParameter.Value = value; }
}
public IIndicator Indicator {
get { return IndicatorParameter.Value; }
set { IndicatorParameter.Value = value; }
}
public double StepSizeLearningRate { get { return stepSizeLearningRate; } }
public double StepSizeDampeningFactor { get { return stepSizeDampeningFactor; } }
public double TargetSuccessProbability { get { return targetSuccessProbability; } }
public double EvolutionPathLearningRate { get { return evolutionPathLearningRate; } }
public double CovarianceMatrixLearningRate { get { return covarianceMatrixLearningRate; } }
public double CovarianceMatrixUnlearningRate { get { return covarianceMatrixUnlearningRate; } }
public double SuccessThreshold { get { return successThreshold; } }
#endregion
#region ResultsProperties
private int ResultsEvaluations {
get { return ((IntValue)Results[EvaluationsResultName].Value).Value; }
set { ((IntValue)Results[EvaluationsResultName].Value).Value = value; }
}
private int ResultsIterations {
get { return ((IntValue)Results[IterationsResultName].Value).Value; }
set { ((IntValue)Results[IterationsResultName].Value).Value = value; }
}
#region Datatable
private DataTable ResultsQualities {
get { return (DataTable)Results[TimetableResultName].Value; }
}
private DataRow ResultsBestHypervolumeDataLine {
get { return ResultsQualities.Rows[BestHypervolumeResultName]; }
}
private DataRow ResultsHypervolumeDataLine {
get { return ResultsQualities.Rows[HypervolumeResultName]; }
}
private DataRow ResultsGenerationalDistanceDataLine {
get { return ResultsQualities.Rows[GenerationalDistanceResultName]; }
}
private DataRow ResultsInvertedGenerationalDistanceDataLine {
get { return ResultsQualities.Rows[InvertedGenerationalDistanceResultName]; }
}
private DataRow ResultsCrowdingDataLine {
get { return ResultsQualities.Rows[CrowdingResultName]; }
}
private DataRow ResultsSpacingDataLine {
get { return ResultsQualities.Rows[SpacingResultName]; }
}
private DataRow ResultsHypervolumeDifferenceDataLine {
get { return ResultsQualities.Rows[DifferenceToBestKnownHypervolumeResultName]; }
}
#endregion
//QualityIndicators
private double ResultsHypervolume {
get { return ((DoubleValue)Results[HypervolumeResultName].Value).Value; }
set { ((DoubleValue)Results[HypervolumeResultName].Value).Value = value; }
}
private double ResultsGenerationalDistance {
get { return ((DoubleValue)Results[GenerationalDistanceResultName].Value).Value; }
set { ((DoubleValue)Results[GenerationalDistanceResultName].Value).Value = value; }
}
private double ResultsInvertedGenerationalDistance {
get { return ((DoubleValue)Results[InvertedGenerationalDistanceResultName].Value).Value; }
set { ((DoubleValue)Results[InvertedGenerationalDistanceResultName].Value).Value = value; }
}
private double ResultsCrowding {
get { return ((DoubleValue)Results[CrowdingResultName].Value).Value; }
set { ((DoubleValue)Results[CrowdingResultName].Value).Value = value; }
}
private double ResultsSpacing {
get { return ((DoubleValue)Results[SpacingResultName].Value).Value; }
set { ((DoubleValue)Results[SpacingResultName].Value).Value = value; }
}
private double ResultsBestHypervolume {
get { return ((DoubleValue)Results[BestHypervolumeResultName].Value).Value; }
set { ((DoubleValue)Results[BestHypervolumeResultName].Value).Value = value; }
}
private double ResultsBestKnownHypervolume {
get { return ((DoubleValue)Results[BestKnownHypervolumeResultName].Value).Value; }
set { ((DoubleValue)Results[BestKnownHypervolumeResultName].Value).Value = value; }
}
private double ResultsDifferenceBestKnownHypervolume {
get { return ((DoubleValue)Results[DifferenceToBestKnownHypervolumeResultName].Value).Value; }
set { ((DoubleValue)Results[DifferenceToBestKnownHypervolumeResultName].Value).Value = value; }
}
//Solutions
private DoubleMatrix ResultsSolutions {
get { return (DoubleMatrix)Results[CurrentFrontResultName].Value; }
set { Results[CurrentFrontResultName].Value = value; }
}
private ParetoFrontScatterPlot ResultsScatterPlot {
get { return (ParetoFrontScatterPlot)Results[ScatterPlotResultName].Value; }
set { Results[ScatterPlotResultName].Value = value; }
}
#endregion
#region Constructors
public MOCMAEvolutionStrategy() {
Parameters.Add(new FixedValueParameter(MaximumRuntimeName, "The maximum runtime in seconds after which the algorithm stops. Use -1 to specify no limit for the runtime", new IntValue(3600)));
Parameters.Add(new FixedValueParameter(SeedName, "The random seed used to initialize the new pseudo random number generator.", new IntValue(0)));
Parameters.Add(new FixedValueParameter(SetSeedRandomlyName, "True if the random seed should be set to a random value, otherwise false.", new BoolValue(true)));
Parameters.Add(new FixedValueParameter(PopulationSizeName, "λ (lambda) - the size of the offspring population.", new IntValue(20)));
Parameters.Add(new ValueParameter(InitialSigmaName, "The initial sigma can be a single value or a value for each dimension. All values need to be > 0.", new DoubleArray(new[] { 0.5 })));
Parameters.Add(new FixedValueParameter(MaximumGenerationsName, "The maximum number of generations which should be processed.", new IntValue(1000)));
Parameters.Add(new FixedValueParameter(MaximumEvaluatedSolutionsName, "The maximum number of evaluated solutions that should be computed.", new IntValue(int.MaxValue)));
var set = new ItemSet { new HypervolumeIndicator(), new CrowdingIndicator(), new MinimalDistanceIndicator() };
Parameters.Add(new ConstrainedValueParameter(IndicatorName, "The selection mechanism on non-dominated solutions", set, set.First()));
}
[StorableConstructor]
protected MOCMAEvolutionStrategy(bool deserializing) : base(deserializing) { }
protected MOCMAEvolutionStrategy(MOCMAEvolutionStrategy original, Cloner cloner) : base(original, cloner) {
random = cloner.Clone(original.random);
gauss = cloner.Clone(original.gauss);
solutions = original.solutions != null ? original.solutions.Select(cloner.Clone).ToArray() : null;
stepSizeLearningRate = original.stepSizeLearningRate;
stepSizeDampeningFactor = original.stepSizeDampeningFactor;
targetSuccessProbability = original.targetSuccessProbability;
evolutionPathLearningRate = original.evolutionPathLearningRate;
covarianceMatrixLearningRate = original.covarianceMatrixLearningRate;
covarianceMatrixUnlearningRate = original.covarianceMatrixUnlearningRate;
successThreshold = original.successThreshold;
}
public override IDeepCloneable Clone(Cloner cloner) { return new MOCMAEvolutionStrategy(this, cloner); }
#endregion
#region Initialization
protected override void Initialize(CancellationToken cancellationToken) {
if (SetSeedRandomly) Seed = new System.Random().Next();
random.Reset(Seed);
gauss = new NormalDistributedRandom(random, 0, 1);
InitResults();
InitStrategy();
InitSolutions();
Analyze();
ResultsIterations = 1;
}
private Individual InitializeIndividual(RealVector x) {
var zeros = new RealVector(x.Length);
var c = new double[x.Length, x.Length];
var sigma = InitialSigma.Max();
for (var i = 0; i < x.Length; i++) {
var d = InitialSigma[i % InitialSigma.Length] / sigma;
c[i, i] = d * d;
}
return new Individual(x, targetSuccessProbability, sigma, zeros, c, this);
}
private void InitSolutions() {
solutions = new Individual[PopulationSize];
for (var i = 0; i < PopulationSize; i++) {
var x = new RealVector(Problem.Encoding.Length); // Uniform distibution in all dimensions assumed.
var bounds = Problem.Encoding.Bounds;
for (var j = 0; j < Problem.Encoding.Length; j++) {
var dim = j % bounds.Rows;
x[j] = random.NextDouble() * (bounds[dim, 1] - bounds[dim, 0]) + bounds[dim, 0];
}
solutions[i] = InitializeIndividual(x);
PenalizeEvaluate(solutions[i]);
}
ResultsEvaluations += solutions.Length;
}
private void InitStrategy() {
const int lambda = 1;
double n = Problem.Encoding.Length;
targetSuccessProbability = 1.0 / (5.0 + Math.Sqrt(lambda) / 2.0);
stepSizeDampeningFactor = 1.0 + n / (2.0 * lambda);
stepSizeLearningRate = targetSuccessProbability * lambda / (2.0 + targetSuccessProbability * lambda);
evolutionPathLearningRate = 2.0 / (n + 2.0);
covarianceMatrixLearningRate = 2.0 / (n * n + 6.0);
covarianceMatrixUnlearningRate = 0.4 / (Math.Pow(n, 1.6) + 1);
successThreshold = 0.44;
}
private void InitResults() {
Results.Add(new Result(IterationsResultName, "The number of gererations evaluated", new IntValue(0)));
Results.Add(new Result(EvaluationsResultName, "The number of function evaltions performed", new IntValue(0)));
Results.Add(new Result(HypervolumeResultName, "The hypervolume of the current front considering the Referencepoint defined in the Problem", new DoubleValue(0.0)));
Results.Add(new Result(BestHypervolumeResultName, "The best hypervolume of the current run considering the Referencepoint defined in the Problem", new DoubleValue(0.0)));
Results.Add(new Result(BestKnownHypervolumeResultName, "The best knwon hypervolume considering the Referencepoint defined in the Problem", new DoubleValue(double.NaN)));
Results.Add(new Result(DifferenceToBestKnownHypervolumeResultName, "The difference between the current and the best known hypervolume", new DoubleValue(double.NaN)));
Results.Add(new Result(GenerationalDistanceResultName, "The generational distance to an optimal pareto front defined in the Problem", new DoubleValue(double.NaN)));
Results.Add(new Result(InvertedGenerationalDistanceResultName, "The inverted generational distance to an optimal pareto front defined in the Problem", new DoubleValue(double.NaN)));
Results.Add(new Result(CrowdingResultName, "The average crowding value for the current front (excluding infinities)", new DoubleValue(0.0)));
Results.Add(new Result(SpacingResultName, "The spacing for the current front (excluding infinities)", new DoubleValue(0.0)));
var table = new DataTable("QualityIndicators");
table.Rows.Add(new DataRow(BestHypervolumeResultName));
table.Rows.Add(new DataRow(HypervolumeResultName));
table.Rows.Add(new DataRow(CrowdingResultName));
table.Rows.Add(new DataRow(GenerationalDistanceResultName));
table.Rows.Add(new DataRow(InvertedGenerationalDistanceResultName));
table.Rows.Add(new DataRow(DifferenceToBestKnownHypervolumeResultName));
table.Rows.Add(new DataRow(SpacingResultName));
Results.Add(new Result(TimetableResultName, "Different quality meassures in a timeseries", table));
Results.Add(new Result(CurrentFrontResultName, "The current front", new DoubleMatrix()));
Results.Add(new Result(ScatterPlotResultName, "A scatterplot displaying the evaluated solutions and (if available) the analytically optimal front", new ParetoFrontScatterPlot()));
var problem = Problem as MultiObjectiveTestFunctionProblem;
if (problem == null) return;
if (problem.BestKnownFront != null) {
ResultsBestKnownHypervolume = Hypervolume.Calculate(problem.BestKnownFront.ToJaggedArray(), problem.TestFunction.ReferencePoint(problem.Objectives), Problem.Maximization);
ResultsDifferenceBestKnownHypervolume = ResultsBestKnownHypervolume;
}
ResultsScatterPlot = new ParetoFrontScatterPlot(new double[0][], new double[0][], problem.BestKnownFront.ToJaggedArray(), problem.Objectives, problem.ProblemSize);
}
#endregion
#region Mainloop
protected override void Run(CancellationToken cancellationToken) {
while (ResultsIterations < MaximumGenerations) {
try {
Iterate();
ResultsIterations++;
cancellationToken.ThrowIfCancellationRequested();
} finally {
Analyze();
}
}
}
private void Iterate() {
var offspring = solutions.Select(i => {
var o = new Individual(i);
o.Mutate(gauss);
PenalizeEvaluate(o);
return o;
});
ResultsEvaluations += solutions.Length;
var parents = solutions.Concat(offspring).ToArray();
SelectParents(parents, solutions.Length);
UpdatePopulation(parents);
}
protected override void OnExecutionTimeChanged() {
base.OnExecutionTimeChanged();
if (CancellationTokenSource == null) return;
if (MaximumRuntime == -1) return;
if (ExecutionTime.TotalSeconds > MaximumRuntime) CancellationTokenSource.Cancel();
}
#endregion
#region Evaluation
private void PenalizeEvaluate(Individual individual) {
if (IsFeasable(individual.Mean)) {
individual.Fitness = Evaluate(individual.Mean);
individual.PenalizedFitness = individual.Fitness;
} else {
var t = ClosestFeasible(individual.Mean);
individual.Fitness = Evaluate(t);
individual.PenalizedFitness = Penalize(individual.Mean, t, individual.Fitness);
}
}
private double[] Evaluate(RealVector x) {
var res = Problem.Evaluate(new SingleEncodingIndividual(Problem.Encoding, new Scope { Variables = { new Variable(Problem.Encoding.Name, x) } }), random);
return res;
}
private double[] Penalize(RealVector x, RealVector t, IEnumerable fitness) {
var penalty = x.Zip(t, (a, b) => (a - b) * (a - b)).Sum() * 1E-6;
return fitness.Select((v, i) => Problem.Maximization[i] ? v - penalty : v + penalty).ToArray();
}
private RealVector ClosestFeasible(RealVector x) {
var bounds = Problem.Encoding.Bounds;
var r = new RealVector(x.Length);
for (var i = 0; i < x.Length; i++) {
var dim = i % bounds.Rows;
r[i] = Math.Min(Math.Max(bounds[dim, 0], x[i]), bounds[dim, 1]);
}
return r;
}
private bool IsFeasable(RealVector offspring) {
var bounds = Problem.Encoding.Bounds;
for (var i = 0; i < offspring.Length; i++) {
var dim = i % bounds.Rows;
if (bounds[dim, 0] > offspring[i] || offspring[i] > bounds[dim, 1]) return false;
}
return true;
}
#endregion
private void SelectParents(IReadOnlyList parents, int length) {
//perform a nondominated sort to assign the rank to every element
int[] ranks;
var fronts = DominationCalculator.CalculateAllParetoFronts(parents.ToArray(), parents.Select(i => i.PenalizedFitness).ToArray(), Problem.Maximization, out ranks);
//deselect the highest rank fronts until we would end up with less or equal mu elements
var rank = fronts.Count - 1;
var popSize = parents.Count;
while (popSize - fronts[rank].Count >= length) {
var front = fronts[rank];
foreach (var i in front) i.Item1.Selected = false;
popSize -= front.Count;
rank--;
}
//now use the indicator to deselect the approximatingly worst elements of the last selected front
var front1 = fronts[rank].OrderBy(x => x.Item1.PenalizedFitness[0]).ToList();
for (; popSize > length; popSize--) {
var lc = Indicator.LeastContributer(front1.Select(i => i.Item1).ToArray(), Problem);
front1[lc].Item1.Selected = false;
front1.Swap(lc, front1.Count - 1);
front1.RemoveAt(front1.Count - 1);
}
}
private void UpdatePopulation(IReadOnlyList parents) {
foreach (var p in parents.Skip(solutions.Length).Where(i => i.Selected))
p.UpdateAsOffspring();
for (var i = 0; i < solutions.Length; i++)
if (parents[i].Selected)
parents[i].UpdateAsParent(parents[i + solutions.Length].Selected);
solutions = parents.Where(p => p.Selected).ToArray();
}
private void Analyze() {
ResultsScatterPlot = new ParetoFrontScatterPlot(solutions.Select(x => x.Fitness).ToArray(), solutions.Select(x => x.Mean.ToArray()).ToArray(), ResultsScatterPlot.ParetoFront, ResultsScatterPlot.Objectives, ResultsScatterPlot.ProblemSize);
ResultsSolutions = solutions.Select(x => x.Mean.ToArray()).ToMatrix();
var problem = Problem as MultiObjectiveTestFunctionProblem;
if (problem == null) return;
var front = NonDominatedSelect.GetDominatingVectors(solutions.Select(x => x.Fitness), problem.ReferencePoint.CloneAsArray(), Problem.Maximization, true).ToArray();
if (front.Length == 0) return;
var bounds = problem.Bounds.CloneAsMatrix();
ResultsCrowding = Crowding.Calculate(front, bounds);
ResultsSpacing = Spacing.Calculate(front);
ResultsGenerationalDistance = problem.BestKnownFront != null ? GenerationalDistance.Calculate(front, problem.BestKnownFront.ToJaggedArray(), 1) : double.NaN;
ResultsInvertedGenerationalDistance = problem.BestKnownFront != null ? InvertedGenerationalDistance.Calculate(front, problem.BestKnownFront.ToJaggedArray(), 1) : double.NaN;
ResultsHypervolume = Hypervolume.Calculate(front, problem.ReferencePoint.CloneAsArray(), Problem.Maximization);
ResultsBestHypervolume = Math.Max(ResultsHypervolume, ResultsBestHypervolume);
ResultsDifferenceBestKnownHypervolume = ResultsBestKnownHypervolume - ResultsBestHypervolume;
ResultsBestHypervolumeDataLine.Values.Add(ResultsBestHypervolume);
ResultsHypervolumeDataLine.Values.Add(ResultsHypervolume);
ResultsCrowdingDataLine.Values.Add(ResultsCrowding);
ResultsGenerationalDistanceDataLine.Values.Add(ResultsGenerationalDistance);
ResultsInvertedGenerationalDistanceDataLine.Values.Add(ResultsInvertedGenerationalDistance);
ResultsSpacingDataLine.Values.Add(ResultsSpacing);
ResultsHypervolumeDifferenceDataLine.Values.Add(ResultsDifferenceBestKnownHypervolume);
Problem.Analyze(
solutions.Select(x => (Optimization.Individual)new SingleEncodingIndividual(Problem.Encoding, new Scope { Variables = { new Variable(Problem.Encoding.Name, x.Mean) } })).ToArray(),
solutions.Select(x => x.Fitness).ToArray(),
Results,
random);
}
}
}