public override List<OptimizationResult> RunOptimization(SystemRunSettings runSettings)
{
SetupOptimization();
List<OptimizationResult> ret = new List<OptimizationResult>();
double overallProgress = 0;
int runNo = 0;
SystemProgressUpdate progressCallback = (currentItem, totalItems, currentTime) =>
{
double currentRunProgress = (double)currentItem / totalItems;
string currentRunProgressText = null;
if (currentTime != DateTime.MinValue)
{
CultureInfo culture = BarUtils.GetCurrencyCulture(runSettings.AccountCurrency);
currentRunProgressText = "Current Run Progress: " + currentTime.ToString(culture.DateTimeFormat);
}
UpdateProgress(null, overallProgress + (currentRunProgress / MaxRuns), currentRunProgressText, currentRunProgress);
};
// Get baseline results
//runNo++;
//OptimizationResult currentBest = RunSystem(runSettings, progressCallback);
//ret.Add(currentBest);
OptimizationResult currentBest = null;
double[] currentParameters = _parametersToOptimize.Select(p => p.Value).ToArray();
while (runNo < MaxRuns)
{
runNo++;
string overallProgressText = string.Format("Optimization run {0} of {1}", runNo, MaxRuns);
overallProgress = ((double)runNo - 1) / MaxRuns;
UpdateProgress(overallProgressText, overallProgress, "Initializing...", 0);
if (currentBest != null)
{
// Choose parameters to use for next run
double[] newParameters = GetRandomNeighbor(currentParameters, 1.0);
runSettings.SystemParameters = new List<KeyValuePair<string, double>>();
for (int i = 0; i < _parametersToOptimize.Count; i++)
{
runSettings.SystemParameters.Add(new KeyValuePair<string, double>(_parametersToOptimize[i].Name, newParameters[i]));
}
runSettings.SystemParameters.AddRange(_unOptimizedParameters.Select(p => new KeyValuePair<string, double>(p.Name, p.Value)));
}
OptimizationResult newResults = RunSystem(runSettings, progressCallback);
if (currentBest == null ||
EvaluateResults(newResults) >= EvaluateResults(currentBest))
{
currentBest = newResults;
ret.Add(currentBest);
}
else
{
File.Delete(newResults.ResultsFile);
}
}
// Remove parameters that weren't optimized from the list so that they don't show up as columns in the optimization results
HashSet<string> unoptimizedParameters = new HashSet<string>(OptimizationParameters.Where(p => p.NumSteps <= 1).Select(p => p.Name));
foreach (var result in ret)
{
result.ParameterValues = result.ParameterValues.Where(p => !unoptimizedParameters.Contains(p.Key)).ToList();
}
return ret;
}
protected override bool ShowOptimizationSettings(SystemRunSettings runSettings, System.Windows.Forms.IWin32Window owner)
{
// Don't pop up a dialog, just start the optimization
return true;
//return base.ShowOptimizationSettings(runSettings, owner);
}
protected override bool ShowOptimizationSettings(SystemRunSettings runSettings, System.Windows.Forms.IWin32Window owner)
{
return base.ShowOptimizationSettings(runSettings, owner);
}
public override List<OptimizationResult> RunOptimization(SystemRunSettings runSettings)
{
var optimizationResults = new List<OptimizationResult>();
int[] optProgress = new int[OptimizationParameters.Count];
Dictionary<string, double> paramDict = new Dictionary<string, double>(OptimizationParameters.Count);
int runNo = 0;
while (true)
{
runNo++;
int totalRuns = 1;
for (int i = 0; i < OptimizationParameters.Count; i++)
{
SystemParameterInfo param = OptimizationParameters[i];
totalRuns *= param.NumSteps;
double currentValue;
if (param.NumSteps > 1)
{
double stepSize = (double)((Decimal)(param.High - param.Low) / (Decimal)(param.NumSteps - 1));
currentValue = param.Low + optProgress[i] * stepSize;
}
else
{
currentValue = param.Low;
}
paramDict[param.Name] = currentValue;
}
string overallProgressText = string.Format("Optimization run {0} of {1}", runNo, totalRuns);
double overallProgress = ((double)runNo - 1) / totalRuns;
UpdateProgress(overallProgressText, overallProgress, "Initializing...", 0);
runSettings.SystemParameters = paramDict.ToList();
OptimizationResult result = RunSystem(runSettings, (currentItem, totalItems, currentTime) =>
{
double currentRunProgress = (double)currentItem / totalItems;
string currentRunProgressText = null;
if (currentTime != DateTime.MinValue)
{
CultureInfo culture = BarUtils.GetCurrencyCulture(runSettings.AccountCurrency);
currentRunProgressText = "Current Run Progress: " + currentTime.ToString(culture.DateTimeFormat);
}
UpdateProgress(null, overallProgress + (currentRunProgress / totalRuns), currentRunProgressText, currentRunProgress);
});
if (!runSettings.SaveOptimizationResults)
{
File.Delete(result.ResultsFile);
}
optimizationResults.Add(result);
bool done = true;
for (int i = 0; i < optProgress.Length; i++)
{
optProgress[i]++;
if (optProgress[i] < OptimizationParameters[i].NumSteps)
{
done = false;
break;
}
else
{
optProgress[i] = 0;
}
}
if (done)
{
break;
}
}
// Remove parameters that weren't optimized from the list so that they don't show up as columns in the optimization results
HashSet<string> unoptimizedParameters = new HashSet<string>(OptimizationParameters.Where(p => p.NumSteps <= 1).Select(p => p.Name));
foreach (var result in optimizationResults)
{
result.ParameterValues = result.ParameterValues.Where(p => !unoptimizedParameters.Contains(p.Key)).ToList();
}
return optimizationResults;
}
protected override void LoadOptimizationSettingsFromFile(SystemRunSettings runSettings, string filename)
{
base.LoadOptimizationSettingsFromFile(runSettings, filename);
}