protected void fillInitialPopulation(List <Candidate> population, Problem p)
{
// use initial values provided by the user
population.First().values = p.currentValue().Clone();
population.First().cost = p.costFunction().value(population.First().values);
if (Double.IsNaN(population.First().cost))
{
population.First().cost = Double.MaxValue;
}
// rest of the initial population is random
for (int j = 1; j < population.Count; ++j)
{
for (int i = 0; i < p.currentValue().size(); ++i)
{
double l = lowerBound_[i], u = upperBound_[i];
population[j].values[i] = l + (u - l) * rng_.nextReal();
}
population[j].cost = p.costFunction().value(population[j].values);
if (Double.IsNaN(population[j].cost))
{
population[j].cost = Double.MaxValue;
}
}
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
EndCriteria.Type ecType = EndCriteria.Type.None;
upperBound_ = P.constraint().upperBound(P.currentValue());
lowerBound_ = P.constraint().lowerBound(P.currentValue());
currGenSizeWeights_ = new Vector(configuration().populationMembers,
configuration().stepsizeWeight);
currGenCrossover_ = new Vector(configuration().populationMembers,
configuration().crossoverProbability);
List <Candidate> population = new InitializedList <Candidate>(configuration().populationMembers);
population.ForEach((ii, vv) => population[ii] = new Candidate(P.currentValue().size()));
fillInitialPopulation(population, P);
//original quantlib use partial_sort as only first elements is needed
double fxOld = population.Min(x => x.cost);
bestMemberEver_ = (Candidate)population.First(x => x.cost.IsEqual(fxOld)).Clone();
int iteration = 0, stationaryPointIteration = 0;
// main loop - calculate consecutive emerging populations
while (!endCriteria.checkMaxIterations(iteration++, ref ecType))
{
calculateNextGeneration(population, P.costFunction());
double fxNew = population.Min(x => x.cost);
Candidate tmp = (Candidate)population.First(x => x.cost.IsEqual(fxNew)).Clone();
if (fxNew < bestMemberEver_.cost)
{
bestMemberEver_ = tmp;
}
if (endCriteria.checkStationaryFunctionValue(fxOld, fxNew, ref stationaryPointIteration,
ref ecType))
{
break;
}
fxOld = fxNew;
}
P.setCurrentValue(bestMemberEver_.values);
P.setFunctionValue(bestMemberEver_.cost);
return(ecType);
}
public Matrix jacFcn(int m, int n, Vector x, int iflag)
{
Vector xt = new Vector(x);
Matrix fjac;
// constraint handling needs some improvement in the future:
// starting point should not be close to a constraint violation
if (currentProblem_.constraint().test(xt))
{
Matrix tmp = new Matrix(m, n);
currentProblem_.costFunction().jacobian(tmp, xt);
Matrix tmpT = Matrix.transpose(tmp);
fjac = new Matrix(tmpT);
}
else
{
Matrix tmpT = Matrix.transpose(initJacobian_);
fjac = new Matrix(tmpT);
}
return(fjac);
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
currentProblem_ = P;
initCostValues_ = P.costFunction().values(x_);
int m = initCostValues_.size();
int n = x_.size();
if (useCostFunctionsJacobian_)
{
initJacobian_ = new Matrix(m, n);
P.costFunction().jacobian(initJacobian_, x_);
}
Vector xx = new Vector(x_);
Vector fvec = new Vector(m), diag = new Vector(n);
int mode = 1;
double factor = 1;
int nprint = 0;
int info = 0;
int nfev = 0;
Matrix fjac = new Matrix(m, n);
int ldfjac = m;
List <int> ipvt = new InitializedList <int>(n);
Vector qtf = new Vector(n), wa1 = new Vector(n), wa2 = new Vector(n), wa3 = new Vector(n), wa4 = new Vector(m);
// call lmdif to minimize the sum of the squares of m functions
// in n variables by the Levenberg-Marquardt algorithm.
Func <int, int, Vector, int, Matrix> j = null;
if (useCostFunctionsJacobian_)
{
j = jacFcn;
}
// requirements; check here to get more detailed error messages.
Utils.QL_REQUIRE(n > 0, () => "no variables given");
Utils.QL_REQUIRE(m >= n, () => $"less functions ({m}) than available variables ({n})");
Utils.QL_REQUIRE(endCriteria.functionEpsilon() >= 0.0, () => "negative f tolerance");
Utils.QL_REQUIRE(xtol_ >= 0.0, () => "negative x tolerance");
Utils.QL_REQUIRE(gtol_ >= 0.0, () => "negative g tolerance");
Utils.QL_REQUIRE(endCriteria.maxIterations() > 0, () => "null number of evaluations");
MINPACK.lmdif(m, n, xx, ref fvec,
endCriteria.functionEpsilon(),
xtol_,
gtol_,
endCriteria.maxIterations(),
epsfcn_,
diag, mode, factor,
nprint, ref info, ref nfev, ref fjac,
ldfjac, ref ipvt, ref qtf,
wa1, wa2, wa3, wa4,
fcn, j);
info_ = info;
// check requirements & endCriteria evaluation
Utils.QL_REQUIRE(info != 0, () => "MINPACK: improper input parameters");
if (info != 6)
{
ecType = EndCriteria.Type.StationaryFunctionValue;
}
endCriteria.checkMaxIterations(nfev, ref ecType);
Utils.QL_REQUIRE(info != 7, () => "MINPACK: xtol is too small. no further " +
"improvement in the approximate " +
"solution x is possible.");
Utils.QL_REQUIRE(info != 8, () => "MINPACK: gtol is too small. fvec is " +
"orthogonal to the columns of the " +
"jacobian to machine precision.");
// set problem
x_ = new Vector(xx.GetRange(0, n));
P.setCurrentValue(x_);
P.setFunctionValue(P.costFunction().value(x_));
return(ecType);
}