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ones.py
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ones.py
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import numpy as np # engine for numerical computing
from pypop7.optimizers.nes.nes import NES # abstract class of Natural Evolution Strategies (NES) classes
from pypop7.optimizers.nes.sges import SGES # Search Gradient-based Evolution Strategy (SGES) class
class ONES(SGES):
"""Original Natural Evolution Strategy (ONES).
.. note:: Here we include `ONES` **mainly** for *benchmarking* and/or *theoretical* purpose. In practice,
more advanced versions (e.g., `ENES`, `XNES`, `SNES`, and `R1NES`) should be first considered rather
than the original version, which was first published in IEEE CEC-2008 by Schmidhuber's team. Simply
speaking, the **parameterized** search distribution makes the mathematical derivation of the complex
population update/evolution process possible and tractable, under mild assumptions.
Parameters
----------
problem : dict
problem arguments with the following common settings (`keys`):
* 'fitness_function' - objective function to be **minimized** (`func`),
* 'ndim_problem' - number of dimensionality (`int`),
* 'upper_boundary' - upper boundary of search range (`array_like`),
* 'lower_boundary' - lower boundary of search range (`array_like`).
options : dict
optimizer options with the following common settings (`keys`):
* 'max_function_evaluations' - maximum of function evaluations (`int`, default: `np.inf`),
* 'max_runtime' - maximal runtime to be allowed (`float`, default: `np.inf`),
* 'seed_rng' - seed for random number generation needed to be *explicitly* set (`int`);
and with the following particular settings (`keys`):
* 'n_individuals' - number of offspring/descendants, aka offspring population size (`int`),
* 'n_parents' - number of parents/ancestors, aka parental population size (`int`),
* 'mean' - initial (starting) point (`array_like`),
* If not given, it will draw a random sample from the uniform distribution whose search range is
bounded by `problem['lower_boundary']` and `problem['upper_boundary']`.
* 'lr_mean' - learning rate of distribution mean update (`float`, default: `1.0`),
* 'lr_sigma' - learning rate of global step-size adaptation (`float`, default: `1.0`).
Examples
--------
Use the optimizer `ONES` to minimize the well-known test function
`Rosenbrock <http://en.wikipedia.org/wiki/Rosenbrock_function>`_:
.. code-block:: python
:linenos:
>>> import numpy # engine for numerical computing
>>> from pypop7.benchmarks.base_functions import rosenbrock # function to be minimized
>>> from pypop7.optimizers.nes.ones import ONES
>>> problem = {'fitness_function': rosenbrock, # define problem arguments
... 'ndim_problem': 2,
... 'lower_boundary': -5*numpy.ones((2,)),
... 'upper_boundary': 5*numpy.ones((2,))}
>>> options = {'max_function_evaluations': 5000, # set optimizer options
... 'seed_rng': 2022,
... 'mean': 3*numpy.ones((2,)),
... 'sigma': 0.1} # the global step-size may need to be tuned for better performance
>>> ones = ONES(problem, options) # initialize the optimizer class
>>> results = ones.optimize() # run the optimization process
>>> # return the number of function evaluations and best-so-far fitness
>>> print(f"ONES: {results['n_function_evaluations']}, {results['best_so_far_y']}")
ONES: 5000, 4.08973753355584e-05
Attributes
----------
lr_mean : `float`
learning rate of distribution mean update (should `> 0.0`).
lr_sigma : `float`
learning rate of global step-size adaptation (should `> 0.0`).
mean : `array_like`
initial (starting) point, aka mean of Gaussian search/sampling/mutation distribution.
If not given, it will draw a random sample from the uniform distribution whose search
range is bounded by `problem['lower_boundary']` and `problem['upper_boundary']`, by
default.
n_individuals : `int`
number of offspring/descendants, aka offspring population size (should `> 0`).
n_parents : `int`
number of parents/ancestors, aka parental population size (should `> 0`).
References
----------
Beyer, H.G., 2023, July.
`What you always wanted to know about evolution strategies, but never dared to ask.
<https://doi.org/10.1145/3583133.3595041>`_
In Proceedings of Companion Conference on Genetic and Evolutionary Computation (pp. 878-894). ACM.
Beyer, H.G., 2014.
`Convergence analysis of evolutionary algorithms that are based on the paradigm of information geometry.
<https://doi.org/10.1162/EVCO_a_00132>`_
Evolutionary Computation, 22(4), pp.679-709.
Wierstra, D., Schaul, T., Glasmachers, T., Sun, Y., Peters, J. and Schmidhuber, J., 2014.
`Natural evolution strategies.
<https://jmlr.org/papers/v15/wierstra14a.html>`_
Journal of Machine Learning Research, 15(1), pp.949-980.
Schaul, T., 2011.
`Studies in continuous black-box optimization.
<https://people.idsia.ch/~schaul/publications/thesis.pdf>`_
Doctoral Dissertation, Technische Universität München.
Please refer to the *official* Python source code from `PyBrain` (now not actively maintained):
https://github.com/pybrain/pybrain/blob/master/pybrain/optimization/distributionbased/nes.py
"""
def __init__(self, problem, options):
"""Initialize all the hyper-parameters and also auxiliary class members.
"""
SGES.__init__(self, problem, options)
if options.get('lr_mean') is None:
self.lr_mean = 1.0
if options.get('lr_sigma') is None:
self.lr_sigma = 1.0
def _update_distribution(self, x=None, y=None, mean=None, cv=None):
"""Update the mean and covariance matrix of Gaussian search/sampling/mutation distribution.
"""
# sort the offspring population for *maximization* (`-y`) rather than *minimization*
order = np.argsort(-y)
# ensure that the better an offspring, the larger its weight
u = np.empty((self.n_individuals,))
for i, o in enumerate(order):
u[o] = self._u[i]
# calculate the inverse of covariance matrix
inv_cv = np.linalg.inv(cv)
# calculate all derivatives w.r.t. both mean and covariance matrix (`+ 1` is a trick)
phi = np.ones((self.n_individuals, self._n_distribution + 1))
for k in range(self.n_individuals): # for each offspring individual
diff = x[k] - mean
phi[k, :self.ndim_problem] = np.dot(inv_cv, diff)
_grad_cv = 0.5 * (np.dot(np.dot(inv_cv, np.outer(diff, diff)), inv_cv) - inv_cv)
phi[k, self.ndim_problem:-1] = self._triu2flat(np.dot(self._d_cv, _grad_cv + _grad_cv.T))
grad = np.dot(np.linalg.pinv(phi), u)[:-1] # `pinv` -> compute the (Moore-Penrose) pseudo-inverse
# update the mean of Gaussian search/sampling/mutation distribution
mean += self.lr_mean * grad[:self.ndim_problem]
# update the covariance matrix of Gaussian search/sampling/mutation distribution
self._d_cv += self.lr_sigma * self._flat2triu(grad[self.ndim_problem:])
cv = np.dot(self._d_cv.T, self._d_cv) # to recover covariance matrix
self._n_generations += 1
return x, y, mean, cv
def optimize(self, fitness_function=None, args=None):
"""Run the optimization/evolution process for all generations (iterations).
"""
fitness = NES.optimize(self, fitness_function) # to store all fitness generated during optimization
x, y, mean, cv = self.initialize()
while True:
x, y = self.iterate(x, y, mean, args)
if self._check_terminations():
break
self._print_verbose_info(fitness, y)
x, y, mean, cv = self._update_distribution(x, y, mean, cv)
x, y, mean, cv = self.restart_reinitialize(x, y, mean, cv)
return self._collect(fitness, y, mean)