def fit(self, guess=None):
"""
Fits the given data
Parameters
----------
guess : np.array
Starting parameters to use when minimizing. Note: Starting guess is only used by simplex and basinhopping methods. DiffEv does not use guess.
"""
exp = self.exp
if guess is None:
guess = self.default_guess()
if (self.method is "nm"):
res = minimize(self.error,
guess,
method='nelder-mead',
options={'maxiter': 10000})
elif (self.method is "bh"):
res = basinhopping(self.error, guess, niter=1000)
return exp.surface, res.x
elif (self.method is "de"):
if self.bounds is None:
self.bounds_from_guess(guess)
res = de(self.error, self.bounds, popsize=20, mutation=(1., 1.5))
if not res.success:
print("Failed to converge to a correct structure.")
return exp.surface, res.x
else:
#exp.surface.d = res.x
return exp.surface, res.x
def get_param(g0, beta, wn, size, mu, V=None, ei=None, bound_v=(-2.0, 2.0), bound_e=(-2.0, 1.5)):
'''
Возвращает значение параметров фиттированной функции Грина
-------
g0 : Функция Грина :: np.array(compex)
wn : Матцубаровские частоты :: np.array(float)
size : Число узлов фермионной ванны :: int
V, ei : Фитируемые параметры (перескоки с кластера на ванну и затравочная энегрия на ванне) :: 0 or np.array(float)
bound_v, bound_e : Границы для искомых параметров :: tuple
\\\\\ Параметры для варьирования хим потенциала
shift : шаг :: float
erabs : точность :: float
-----
Returns: V, e, mu :: np.array(float), np.array(float), float
'''
# Параметры для минимизации
if type(V) != int:
V = V.copy()
ei = ei.copy()
V += 0.005 * (2 * np.random.rand(size) - 1) # Добавляем шум к уже найденным параметрам
ei += 0.005 * (2 * np.random.rand(size) - 1)
else:
V = np.random.rand(size) # Работает при первой итерации
ei = np.random.rand(size)
# init = np.concatenate((V, ei))
bounds = [bound_v] * size + [bound_e] * size
#num_threads = int(os.popen(u'grep -c cores /proc/cpuinfo').read()) - 1
num_threads = int(multiprocessing.cpu_count() - 1)
model = de(diff, bounds=bounds, args=(g0, wn, mu), tol=1e-08, maxiter = 5000, workers=num_threads)
V = (model.x[:size])
e = (model.x[size:])
#mu = find_mu(g0, beta, wn, V, e, mu, shift, erabs)
return abs(V), e, model.fun
def runOptimization(self, maxiter=10):
# self.result = minimize(self.merit, x0 = self.UB, method='L-BFGS-B', bounds = self.bounds, options = {'eps' : 1e-2})
self.result = de(self.merit,
bounds=[(0, 1)] * self.N_pars,
maxiter=maxiter)
if self.parametrization == 'CST':
self.finalAirfoil = self.airfoilfromX(self.result.x)
else:
self.finalAirfoil = self.airfoilBSfromX(self.result.x)
self.finalAirfoil.plotAirfoil()
def run(self, seed=0, func_params=None):
return de(
func=self.__func,
# strategy="randtobest1bin",
args=func_params,
maxiter=self.__max_iter,
bounds=self.__bounds,
popsize=self.__pop_size,
mutation=self.__f,
recombination=self.__cr,
callback=self.__callback,
polish=False,
seed=seed,
disp=True)
def main():
'''Samples from two uniform distributions 100 times. Separates the data points in X according
to the target weights and the activation function given in separate_classes. Uses logistic
regression to estimate the target weights. Plots the class 0 points in red, the class 1
points in green, and the division line given by the weight estimates.'''
X = sample_points(100, 2, -5, 5)
target_weights = [1, -1, 5]
X0, X1 = separate_classes(target_weights, X)
def f(weights):
return -log_likelihood(weights, X0, X1)
weights = de(f, [(-5, 5), (-5, 5), (-5, 5)]).x
scatter(X0, 'red')
scatter(X1, 'green')
plot_division_line(weights, -5, 5)
print('Weights:', weights)
def optimize(w, freq):
cons = nlc(cons_fun, -np.inf, 1000)
bnds = [np.array([-1,1]),]*w.shape[0]
res = de(kf, args=(w, freq), maxiter=1000, bounds=bnds, popsize=2, polish=False, constraints=cons, disp=True, workers=-1, updating='deferred')
output = res.x>0
np.save('output.npy', output)
def de_optimizer(obj_func, initial_theta, bounds):
result = de(lambda x:obj_func(x)[0], [(b[0], b[1]) for b in bounds] )
return result.x, result.fun
def optimize_gp(obj_func,disp=True):
dim = obj_func.dimensions
bounds = obj_func.bounds
def apply_bounds(x, bounds):
return np.array([xi * (lub[1]-lub[0]) + lub[0] for xi, lub in zip(x,bounds)])
def de_optimizer(obj_func, initial_theta, bounds):
result = de(lambda x:obj_func(x)[0], [(b[0], b[1]) for b in bounds] )
return result.x, result.fun
kernel = C(1.0, (1e-3, 1e3)) * RBF([1]*dim, [(1e-2, 1e2)]*dim)
#kernel = C(1.0, (1e-3, 1e3)) * M([1]*dim, [(1e-2, 1e2)]*dim, nu=1.5)
gp = GPR(kernel=kernel, optimizer=de_optimizer)
n = dim * 10 + 1
N0 = n
Nmax = 20 * dim
pop = [apply_bounds(sgi, bounds) for sgi in sg(dim, n, 1).transpose()]
y= [obj_func(pi) for pi in pop]
bestx = [pop[i] for i in range(len(y)) if y[i]==min(y)]
besty = [y[i] for i in range(len(y)) if y[i]==min(y)]
def eval_gp_model(x):
y,s = gp.predict([x], return_std=True)
return y[0],s[0]
def func1(x):
y,s = eval_gp_model(x)
return y - 3*s
def func2(x):
y,s = eval_gp_model(x)
return y - 2*s
def func3(x):
y,s = eval_gp_model(x)
return y - 1*s
def func4(x):
y,s = eval_gp_model(x)
return y
def func5(x):
y,s = eval_gp_model(x)
return y + 1*s
def func6(x):
y,s = eval_gp_model(x)
return y + 2*s
def func7(x):
y,s = eval_gp_model(x)
return y + 3*s
def ei(x):
y,s = eval_gp_model(x)
if s<=0: return np.inf
t = (min(besty)-y)/s
return -1* ((min(besty)-y)*norm.cdf(t)+s*norm.pdf(t))
def pi(x):
y,s = eval_gp_model(x)
if s<=0: return np.inf
return -norm.cdf((min(besty)-y)/s)
def distance(x1, x2):
dx = x1 - x2
return np.sqrt((dx*dx).sum())
def distance2(x1, x2):
dx = x1 - x2
return np.abs(dx).max()
def mdist(x1, x2, di):
return np.exp(-np.log(2) * distance2(x1,x2)/di)
skip = len(pop) + 1
funcs = [ ei, pi,func1, func2, func3, func4, func5, func6, func7]
while len(pop) < Nmax:
d = [(b[1]-b[0])*10**(-1.1-2.1*(len(pop)-N0)/(Nmax-N0)) for b in bounds]
gp.fit(pop, y)
# print(bounds)
# print([f(obj_func.generator()) for f in funcs])
attrac_center = [de(f, bounds).x for f in funcs]
while True:
new_sample = apply_bounds(sg(dim,1, skip).transpose()[0], bounds)
skip = skip + 1
filter_on = [0.5 <= mdist(new_sample, aci, di) for aci,di in zip(attrac_center,d)]
if any(filter_on):
choice = filter_on.index(True)
break
new_y = obj_func(new_sample)
if np.isnan(new_y) or np.isinf(new_y):
continue
pop.append(new_sample)
y.append(new_y)
if (new_y <= min(besty)):
bestx.append(new_sample)
besty.append(new_y)
bestx = [bestx[i] for i in range(len(bestx)) if besty[i]==min(besty)]
besty = [besty[i] for i in range(len(besty)) if besty[i]==min(besty)]
if disp:
print(len(pop), max(d), funcs[choice].__name__.upper(), skip, new_sample, new_y, bestx[0], besty[0],sep='\t',end='\n')
return {'pop':pop, 'y':y, 'bestx':bestx, 'besty':besty, 'model':gp,'func':obj_func}
def differential_evolution(case, runopts, executor, initial_design, fvals):
""" optimize case using scipy.optimize.differential_evolution
"""
files = Manager().Queue()
fun = partial(case.fitness, queue=files)
N_iter = 0
print("Begin differential evolution")
print(
"NOTE: parallel evaluation not currently supported. Maybe in future scipy"
)
from scipy.optimize import differential_evolution as de
with Logger(params=case.params,
queue=files,
logfile=runopts.logfilename,
best_dir=runopts.output_dir) as log:
y = de(fun,
bounds=case.get_bounds(),
maxiter=runopts.max_iter,
callback=log.callback)
return log.x_best, log.f_best, log.Xi, log.Fi
optimizers = {
"skopt": skopt,
"multistart": multistart,
"dummy": dummy,
"de": differential_evolution
}
def get_optimizer(name="skopt"):
res_fun_values = np.zeros(n_runs)
successes = np.zeros(n_runs)
optid = np.zeros(n_runs)
dist = np.zeros(3)
# The fraction of runs in each optimum region
b_1 = 0.
b_2 = 0.
b_3 = 0.
# This will be the average number of function evaluations in N_runs
avg_nfev = 0
for i in range(n_runs):
res = de(
my_fun,
bounds,
maxiter=max_iter,
popsize=pop_size,
tol=0.0, # this needs to be 0.0 to turn off convergence
disp=False, # this prints best objective value each iteration
polish=use_bfgs, # whether to run bfgs after
init='latinhypercube' # LHS random sampling for initial pop
)
res_x = res.x # the optimum design point
res_f = res.fun # the optimum function value
# find which minimum it went to, success, and store results
dist[0] = np.linalg.norm(res_x - x1) * epsilon
dist[1] = np.linalg.norm(res_x - x2) * epsilon
dist[2] = np.linalg.norm(res_x - x3) * epsilon
if dist[0] < 1:
b_1 = b_1 + 1
if dist[1] < 1:
'''
To improve your chances of finding a global minimum:
*use higher popsize values,
*with higher mutation and (dithering),
*but lower recombination values.
This has the effect of widening the search radius, but slowing convergence.
'''
# from scipy.optimize import rosen # import Rosenbrock func as example
from scipy.optimize import differential_evolution as de
def rose(x):
'''Rosenbrock Function'''
return sum(100 * (x[1:] - x[:-1]) ** 2 + (x[:-1] - 1) ** 2)
bnds = [(0, 2), (0, 2), (0, 2)]
ans = de(func=rose, bounds=bnds, maxiter=1000, popsize=25,
tol=0.01, mutation=(0.5, 1), recombination=0.7)
print(ans.x, ans.fun)
population_size = 30
optimization_steps = 5000
scaling_factor = 0.01
cross_over_rate = 0.5
problem_size = 4
# x = [-0.1, 0.1, -0.1, 1.0]
# y = [1000.0, 1000.0, 1000.0, 1000.0]
# x_c = x.ctypes.data_as(c.POINTER(c.c_double))
# y_c = x.ctypes.data_as(c.POINTER(c.c_double))
bounds = [(-0.5, 0.5), (-0.5, 0.5), (-0.5, 0.5), (-0.5, 0.5), (-0.5, 0.5),
(0.7, 0.99)]
result = de(
opt.objective_func,
bounds,
updating="deferred",
workers=2,
maxiter=optimization_steps,
)
x = result.x
opts = opt.vec_to_opts(x)
a = Automata(opts)
a.run()
print("BestAutomata", a)
print(a.stats())
p = Plotter(a)
p.plot(True) # animate
price07 = market07['price'].tolist()
price08 = market08['price'].tolist()
score = [
1 for m in [[real07, cf07, price_2007], [real08, cf08, price_2008]]
for i in range(len(m[0])) for j in range(len(m[0])) if j > i
if (m[0][i] - m[1][j, i] >= m[2][i] - m[2][j])
& (m[0][j] - m[1][i, (j - 1)] >= m[2][j] - m[2][i])
]
return sum(score) * -1
score(S, transfer)
# False Transfers.
transfer = "F"
# Guess
S = np.array((1000, -1))
nm_false = opt.minimize(score, S, args=(transfer), method='Nelder-Mead')
# Differential Evolution, false transfers.
bound_f = [(0, 500), (-5, 5)]
de_false = de(score, bound_f, params=(transfer))
print('\n' '>' " NELDER-MEAD, FALSE TRANSFERS:" '\n', nm_false)
print('\n' '>' " DIFFERENTIAL EVOLUTION, FALSE TRANSFERS:" '\n', de_false)
# True Transfers
transfer = "T"
# Differential Evolution, true transfers.
bound_t = [(-1000, 1000), (0, 1000), (-1000, 0), (-1000, 0)]
de_true = de(score, bound_t, params=(transfer))
print('\n' '>' " DIFFERENTIAL EVOLUTION, TRUE TRANSFERS:" '\n', de_true)
