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source: branches/Algorithms.GradientDescent/HeuristicLab.Algorithms.GradientDescent/3.3/LevenbergMarquardtMove.cs @ 5518

Last change on this file since 5518 was 5516, checked in by gkronber, 13 years ago

Added files for implementation of Levenberg-Marquardt optimization algorithm.

File size: 4.7 KB
Line 
1#region License Information
2/* HeuristicLab
3 * Copyright (C) 2002-2011 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
4 *
5 * This file is part of HeuristicLab.
6 *
7 * HeuristicLab is free software: you can redistribute it and/or modify
8 * it under the terms of the GNU General Public License as published by
9 * the Free Software Foundation, either version 3 of the License, or
10 * (at your option) any later version.
11 *
12 * HeuristicLab is distributed in the hope that it will be useful,
13 * but WITHOUT ANY WARRANTY; without even the implied warranty of
14 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
15 * GNU General Public License for more details.
16 *
17 * You should have received a copy of the GNU General Public License
18 * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
19 */
20#endregion
21using System.Linq;
22
23using HeuristicLab.Common;
24using HeuristicLab.Core;
25using HeuristicLab.Data;
26using HeuristicLab.Encodings.RealVectorEncoding;
27using HeuristicLab.Operators;
28using HeuristicLab.Optimization;
29using HeuristicLab.Parameters;
30using HeuristicLab.Persistence.Default.CompositeSerializers.Storable;
31using HeuristicLab.Problems.TestFunctions;
32
33namespace HeuristicLab.Algorithms.GradientDescent {
34  public class LevenbergMarquardtMove : SingleSuccessorOperator {
35    private const string EvaluatorParameterName = "Evaluator";
36    private const string ResultsParameterName = "Results";
37    private const string RealVectorParameterName = "RealVector";
38    private const string QualityParameterName = "Quality";
39
40    private const string QualityResultsName = "Quality";
41
42
43    public ILookupParameter<ISingleObjectiveTestFunctionProblemEvaluator> EvaluatorParameter {
44      get { return (ILookupParameter<ISingleObjectiveTestFunctionProblemEvaluator>)Parameters[EvaluatorParameterName]; }
45    }
46    public ILookupParameter<RealVector> RealVectorParameter {
47      get { return (ILookupParameter<RealVector>)Parameters[RealVectorParameterName]; }
48    }
49    public ILookupParameter<ResultCollection> ResultParameter {
50      get { return (ILookupParameter<ResultCollection>)Parameters[ResultsParameterName]; }
51    }
52    public ILookupParameter<DoubleValue> QualityParameter {
53      get { return (ILookupParameter<DoubleValue>)Parameters[QualityParameterName]; }
54    }
55
56    [StorableConstructor]
57    protected LevenbergMarquardtMove(bool deserializing) : base(deserializing) { }
58    protected LevenbergMarquardtMove(LevenbergMarquardtMove original, Cloner cloner)
59      : base(original, cloner) {
60    }
61    public override IDeepCloneable Clone(Cloner cloner) {
62      return new LevenbergMarquardtMove(this, cloner);
63    }
64
65    public LevenbergMarquardtMove()
66      : base() {
67      Parameters.Add(new LookupParameter<ISingleObjectiveTestFunctionProblemEvaluator>(EvaluatorParameterName, ""));
68      Parameters.Add(new LookupParameter<RealVector>(RealVectorParameterName, ""));
69      Parameters.Add(new LookupParameter<ResultCollection>(ResultsParameterName, ""));
70      Parameters.Add(new LookupParameter<DoubleValue>(QualityParameterName, ""));
71    }
72
73    public override IOperation Apply() {
74      double epsg = 0;
75      double epsf = 0;
76      double epsx = 0;
77      int maxits = 100;
78      double diffstep = .1;
79
80      double[] solution = RealVectorParameter.ActualValue.ToArray();
81
82      alglib.minlmstate state;
83      alglib.minlmreport report;
84
85      alglib.minlmcreatev(solution.Length, 1, solution, diffstep, out state);
86      alglib.minlmsetcond(state, epsg, epsf, epsx, maxits);
87      alglib.minlmoptimize(state, CreateCallBack(EvaluatorParameter.ActualValue), ReportProgress, null);
88      alglib.minlmresults(state, out solution, out report);
89
90      RealVectorParameter.ActualValue = new RealVector(solution);
91      return base.Apply();
92    }
93
94    private alglib.ndimensional_fvec CreateCallBack(ISingleObjectiveTestFunctionProblemEvaluator evaluator) {
95      return (double[] arg, double[] fi, object obj) => {
96        RealVector r = new RealVector(arg);
97        RealVectorParameter.ActualValue = r;
98
99        IExecutionContext context = (IExecutionContext)ExecutionContext.CreateChildOperation(evaluator);
100        evaluator.Execute(context, CancellationToken);
101        QualityParameter.ExecutionContext = context;
102        fi[0] = QualityParameter.ActualValue.Value;
103      };
104    }
105
106    private void ReportProgress(double[] arg, double func, object obj) {
107      if (!ResultParameter.ActualValue.ContainsKey(QualityResultsName))
108        ResultParameter.ActualValue.Add(new Result(QualityResultsName, new DoubleValue()));
109
110      ((DoubleValue)ResultParameter.ActualValue[QualityResultsName].Value).Value = func;
111    }
112  }
113}
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