| /* |
| * Licensed to the Apache Software Foundation (ASF) under one or more |
| * contributor license agreements. See the NOTICE file distributed with |
| * this work for additional information regarding copyright ownership. |
| * The ASF licenses this file to You under the Apache License, Version 2.0 |
| * (the "License"); you may not use this file except in compliance with |
| * the License. You may obtain a copy of the License at |
| * |
| * http://www.apache.org/licenses/LICENSE-2.0 |
| * |
| * Unless required by applicable law or agreed to in writing, software |
| * distributed under the License is distributed on an "AS IS" BASIS, |
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. |
| * See the License for the specific language governing permissions and |
| * limitations under the License. |
| */ |
| |
| package org.apache.commons.math.optimization.direct; |
| |
| import java.util.Comparator; |
| |
| import org.apache.commons.math.FunctionEvaluationException; |
| import org.apache.commons.math.optimization.OptimizationException; |
| import org.apache.commons.math.optimization.RealConvergenceChecker; |
| import org.apache.commons.math.optimization.RealPointValuePair; |
| |
| /** |
| * This class implements the multi-directional direct search method. |
| * |
| * @version $Revision: 1070725 $ $Date: 2011-02-15 02:31:12 +0100 (mar. 15 févr. 2011) $ |
| * @see NelderMead |
| * @since 1.2 |
| */ |
| public class MultiDirectional extends DirectSearchOptimizer { |
| |
| /** Expansion coefficient. */ |
| private final double khi; |
| |
| /** Contraction coefficient. */ |
| private final double gamma; |
| |
| /** Build a multi-directional optimizer with default coefficients. |
| * <p>The default values are 2.0 for khi and 0.5 for gamma.</p> |
| */ |
| public MultiDirectional() { |
| this.khi = 2.0; |
| this.gamma = 0.5; |
| } |
| |
| /** Build a multi-directional optimizer with specified coefficients. |
| * @param khi expansion coefficient |
| * @param gamma contraction coefficient |
| */ |
| public MultiDirectional(final double khi, final double gamma) { |
| this.khi = khi; |
| this.gamma = gamma; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| protected void iterateSimplex(final Comparator<RealPointValuePair> comparator) |
| throws FunctionEvaluationException, OptimizationException, IllegalArgumentException { |
| |
| final RealConvergenceChecker checker = getConvergenceChecker(); |
| while (true) { |
| |
| incrementIterationsCounter(); |
| |
| // save the original vertex |
| final RealPointValuePair[] original = simplex; |
| final RealPointValuePair best = original[0]; |
| |
| // perform a reflection step |
| final RealPointValuePair reflected = evaluateNewSimplex(original, 1.0, comparator); |
| if (comparator.compare(reflected, best) < 0) { |
| |
| // compute the expanded simplex |
| final RealPointValuePair[] reflectedSimplex = simplex; |
| final RealPointValuePair expanded = evaluateNewSimplex(original, khi, comparator); |
| if (comparator.compare(reflected, expanded) <= 0) { |
| // accept the reflected simplex |
| simplex = reflectedSimplex; |
| } |
| |
| return; |
| |
| } |
| |
| // compute the contracted simplex |
| final RealPointValuePair contracted = evaluateNewSimplex(original, gamma, comparator); |
| if (comparator.compare(contracted, best) < 0) { |
| // accept the contracted simplex |
| return; |
| } |
| |
| // check convergence |
| final int iter = getIterations(); |
| boolean converged = true; |
| for (int i = 0; i < simplex.length; ++i) { |
| converged &= checker.converged(iter, original[i], simplex[i]); |
| } |
| if (converged) { |
| return; |
| } |
| |
| } |
| |
| } |
| |
| /** Compute and evaluate a new simplex. |
| * @param original original simplex (to be preserved) |
| * @param coeff linear coefficient |
| * @param comparator comparator to use to sort simplex vertices from best to poorest |
| * @return best point in the transformed simplex |
| * @exception FunctionEvaluationException if the function cannot be evaluated at some point |
| * @exception OptimizationException if the maximal number of evaluations is exceeded |
| */ |
| private RealPointValuePair evaluateNewSimplex(final RealPointValuePair[] original, |
| final double coeff, |
| final Comparator<RealPointValuePair> comparator) |
| throws FunctionEvaluationException, OptimizationException { |
| |
| final double[] xSmallest = original[0].getPointRef(); |
| final int n = xSmallest.length; |
| |
| // create the linearly transformed simplex |
| simplex = new RealPointValuePair[n + 1]; |
| simplex[0] = original[0]; |
| for (int i = 1; i <= n; ++i) { |
| final double[] xOriginal = original[i].getPointRef(); |
| final double[] xTransformed = new double[n]; |
| for (int j = 0; j < n; ++j) { |
| xTransformed[j] = xSmallest[j] + coeff * (xSmallest[j] - xOriginal[j]); |
| } |
| simplex[i] = new RealPointValuePair(xTransformed, Double.NaN, false); |
| } |
| |
| // evaluate it |
| evaluateSimplex(comparator); |
| return simplex[0]; |
| |
| } |
| |
| } |