public void SelectDistinctTest()
{
// Config
var config = JsonConvert.DeserializeObject <OptimizerConfiguration>(@"{
""genes"": [
{
""key"": ""period"",
""min"": 60,
""max"": 300
},
{
""key"": ""mult"",
""min"": 1.5,
""max"": 2.9
}
],
""population-initial-size"": 4}");
// Population
var population = new PopulationRandom(config.GeneConfigArray, config.PopulationInitialSize);
population.CreateInitialGeneration();
var chromosomes = population.CurrentGeneration.Chromosomes;
// Assign fitness to all in first collection and assign to merge
var merged = chromosomes.Select(c => { c.Fitness = 10; return(c); }).ToList();
// Clone first and add to merge
var chromosomes2 = chromosomes.Select(c => c.CreateNew()).ToList();
merged.AddRange(chromosomes2);
// Obtain result
var result = merged.SelectDistinct();
// Assert
Assert.AreEqual(4, result.Count);
foreach (var r in result)
{
Assert.AreEqual(r.Fitness, 10);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="AlgorithmOptimumFinder"/> class
/// </summary>
/// <param name="start">Algorithm start date</param>
/// <param name="end">Algorithm end date</param>
/// <param name="fitScore">Argument of <see cref="FitnessScore"/> type. Fintess function to rank the backtest results</param>
/// <param name="filterEnabled">Indicates whether to apply fitness filter to backtest results</param>
public AlgorithmOptimumFinder(DateTime start, DateTime end, FitnessScore fitScore, bool filterEnabled)
{
// Assign Dates and Criteria to sort the results
StartDate = start;
EndDate = end;
FitnessScore = fitScore;
// Common properties
var selection = new RouletteWheelSelection();
// Properties specific to optimization modes
IFitness fitness;
PopulationBase population;
ITaskExecutor executor;
ITermination termination;
// Task execution mode
switch (Shared.Config.TaskExecutionMode)
{
// Enable fitness filtering while searching for optimum parameters
case TaskExecutionMode.Linear:
executor = new LinearTaskExecutor();
fitness = new OptimizerFitness(StartDate, EndDate, fitScore, filterEnabled);
break;
case TaskExecutionMode.Parallel:
executor = new ParallelTaskExecutor();
fitness = new OptimizerFitness(StartDate, EndDate, fitScore, filterEnabled);
break;
case TaskExecutionMode.Azure:
executor = new ParallelTaskExecutor();
fitness = new AzureFitness(StartDate, EndDate, fitScore, filterEnabled);
break;
default:
throw new Exception("Executor initialization failed");
}
// Optimization mode
switch (Shared.Config.OptimizationMode)
{
case OptimizationMode.BruteForce:
{
// Create cartesian population
population = new PopulationCartesian(Shared.Config.GeneConfigArray);
termination = new GenerationNumberTermination(1);
break;
}
case OptimizationMode.Genetic:
{
// Create random population
population = new PopulationRandom(Shared.Config.GeneConfigArray, Shared.Config.PopulationInitialSize)
{
GenerationMaxSize = Shared.Config.GenerationMaxSize
};
// Logical terminaton
var localTerm = new LogicalOrTermination();
localTerm.AddTermination(new FruitlessGenerationsTermination(3));
if (Shared.Config.Generations.HasValue)
{
localTerm.AddTermination(new GenerationNumberTermination(Shared.Config.Generations.Value));
}
if (Shared.Config.StagnationGenerations.HasValue)
{
localTerm.AddTermination(new FitnessStagnationTermination(Shared.Config.StagnationGenerations.Value));
}
termination = localTerm;
break;
}
default:
throw new Exception("Optimization mode specific objects were not initialized");
}
// Create GA itself
GenAlgorithm = new GeneticAlgorithm(population, fitness, executor)
{
// Reference types
Selection = selection,
Termination = termination,
// Values types
CrossoverParentsNumber = Shared.Config.CrossoverParentsNumber,
CrossoverMixProbability = Shared.Config.CrossoverMixProbability,
MutationProbability = Shared.Config.MutationProbability
};
}