Esempio n. 1
0
        private static readonly double JITTER = 1e-10d; // a small value used to protect against floating point noise

        #endregion Fields

        #region Methods

        public static RegressionResult Regress(SimplexConstant[] simplexConstants, double convergenceTolerance, int maxEvaluations,
                                        Func<double[], double> objectiveFunction)
        {
            // confirm that we are in a position to commence
            if (objectiveFunction == null)
                throw new InvalidOperationException("ObjectiveFunction must be set to a valid ObjectiveFunctionDelegate");

            if (simplexConstants == null)
                throw new InvalidOperationException("SimplexConstants must be initialized");

            // create the initial simplex
            int numDimensions = simplexConstants.Length;
            int numVertices = numDimensions + 1;
            Vector[] vertices = _initializeVertices(simplexConstants);
            double[] errorValues = new double[numVertices];

            int evaluationCount = 0;
            TerminationReason terminationReason = TerminationReason.Unspecified;
            ErrorProfile errorProfile;

            errorValues = _initializeErrorValues(vertices, objectiveFunction);

            // iterate until we converge, or complete our permitted number of iterations
            while (true)
            {
                errorProfile = _evaluateSimplex(errorValues);

                // see if the range in point heights is small enough to exit
                if (_hasConverged(convergenceTolerance, errorProfile, errorValues))
                {
                    terminationReason = TerminationReason.Converged;
                    break;
                }

                // attempt a reflection of the simplex
                double reflectionPointValue = _tryToScaleSimplex(-1.0, ref errorProfile, vertices, errorValues, objectiveFunction);
                ++evaluationCount;
                if (reflectionPointValue <= errorValues[errorProfile.LowestIndex])
                {
                    // it's better than the best point, so attempt an expansion of the simplex
                    double expansionPointValue = _tryToScaleSimplex(2.0, ref errorProfile, vertices, errorValues, objectiveFunction);
                    ++evaluationCount;
                }
                else if (reflectionPointValue >= errorValues[errorProfile.NextHighestIndex])
                {
                    // it would be worse than the second best point, so attempt a contraction to look
                    // for an intermediate point
                    double currentWorst = errorValues[errorProfile.HighestIndex];
                    double contractionPointValue = _tryToScaleSimplex(0.5, ref errorProfile, vertices, errorValues, objectiveFunction);
                    ++evaluationCount;
                    if (contractionPointValue >= currentWorst)
                    {
                        // that would be even worse, so let's try to contract uniformly towards the low point;
                        // don't bother to update the error profile, we'll do it at the start of the
                        // next iteration
                        _shrinkSimplex(errorProfile, vertices, errorValues, objectiveFunction);
                        evaluationCount += numVertices; // that required one function evaluation for each vertex; keep track
                    }
                }
                // check to see if we have exceeded our alloted number of evaluations
                if (evaluationCount >= maxEvaluations)
                {
                    terminationReason = TerminationReason.MaxFunctionEvaluations;
                    break;
                }
            }
            RegressionResult regressionResult = new RegressionResult(terminationReason,
                                vertices[errorProfile.LowestIndex].Components, errorValues[errorProfile.LowestIndex], evaluationCount);
            return regressionResult;
        }
Esempio n. 2
0
        /// <summary>
        /// Construct an initial simplex, given starting guesses for the constants, and
        /// initial step sizes for each dimension
        /// </summary>
        /// <param name="simplexConstants"></param>
        /// <returns></returns>
        private static Vector[] _initializeVertices(SimplexConstant[] simplexConstants)
        {
            int numDimensions = simplexConstants.Length;
            Vector[] vertices = new Vector[numDimensions + 1];

            // define one point of the simplex as the given initial guesses
            Vector p0 = new Vector(numDimensions);
            for (int i = 0; i < numDimensions; i++)
            {
                p0[i] = simplexConstants[i].Value;
            }

            // now fill in the vertices, creating the additional points as:
            // P(i) = P(0) + Scale(i) * UnitVector(i)
            vertices[0] = p0;
            for (int i = 0; i < numDimensions; i++)
            {
                double scale = simplexConstants[i].InitialPerturbation;
                Vector unitVector = new Vector(numDimensions);
                unitVector[i] = 1;
                vertices[i + 1] = p0.Add(unitVector.Multiply(scale));
            }
            return vertices;
        }