sgpp::optimization::optimizer::CMAES Class Reference

Gradient-free CMA-ES method. More...

#include <CMAES.hpp>

Inheritance diagram for sgpp::optimization::optimizer::CMAES:

Public Member Functions
void	clone (std::unique_ptr< UnconstrainedOptimizer > &clone) const override
	CMAES (const base::ScalarFunction &f, size_t maxFcnEvalCount=DEFAULT_MAX_FCN_EVAL_COUNT)
	Constructor.
	CMAES (const CMAES &other)
	Copy constructor.
void	optimize () override
	Pure virtual method for optimization of the objective function.
	~CMAES () override
	Destructor.
Public Member Functions inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer
const base::DataMatrix &	getHistoryOfOptimalPoints () const
const base::DataVector &	getHistoryOfOptimalValues () const
size_t	getN () const
base::ScalarFunction &	getObjectiveFunction () const
base::ScalarFunctionGradient *	getObjectiveGradient () const
base::ScalarFunctionHessian *	getObjectiveHessian () const
const base::DataVector &	getOptimalPoint () const
double	getOptimalValue () const
const base::DataVector &	getStartingPoint () const
void	setN (size_t N)
virtual void	setObjectiveFunction (const base::ScalarFunction &f)
virtual void	setObjectiveGradient (const base::ScalarFunctionGradient *fGradient)
virtual void	setObjectiveHessian (const base::ScalarFunctionHessian *fHessian)
void	setStartingPoint (const base::DataVector &startingPoint)
	UnconstrainedOptimizer (const base::ScalarFunction &f, const base::ScalarFunctionGradient *fGradient, const base::ScalarFunctionHessian *fHessian, size_t N=DEFAULT_N)
	Constructor.
	UnconstrainedOptimizer (const UnconstrainedOptimizer &other)
	Copy constructor.
virtual	~UnconstrainedOptimizer ()
	Destructor.

Static Public Attributes
static const size_t	DEFAULT_MAX_FCN_EVAL_COUNT = 1000
	default maximal number of function evaluations
Static Public Attributes inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer
static const size_t	DEFAULT_N = 1000
	default maximal number of iterations or function evaluations

Additional Inherited Members
Protected Attributes inherited from sgpp::optimization::optimizer::UnconstrainedOptimizer
std::unique_ptr< base::ScalarFunction >	f
	objective function
std::unique_ptr< base::ScalarFunctionGradient >	fGradient
	objective function gradient
std::unique_ptr< base::ScalarFunctionHessian >	fHessian
	objective function Hessian
base::DataVector	fHist
	search history vector (optimal values)
double	fOpt
	result of optimization (optimal function value)
size_t	N
	maximal number of iterations or function evaluations
base::DataVector	x0
	starting point
base::DataMatrix	xHist
	search history matrix (optimal points)
base::DataVector	xOpt
	result of optimization (location of optimum)

Detailed Description

Gradient-free CMA-ES method.

Constructor & Destructor Documentation

CMAES() [1/2]

sgpp::optimization::optimizer::CMAES::CMAES ( const base::ScalarFunction &  f, size_t  maxFcnEvalCount = DEFAULT_MAX_FCN_EVAL_COUNT  )

explicit

Constructor.

The starting point is set to \((0.5, \dotsc, 0.5)^{\mathrm{T}}\).

Parameters

f	objective function
maxFcnEvalCount	maximal number of function evaluations

CMAES() [2/2]

sgpp::optimization::optimizer::CMAES::CMAES

(

const CMAES &

other

)

Copy constructor.

Parameters

other

optimizer to be copied

~CMAES()

sgpp::optimization::optimizer::CMAES::~CMAES ( )

override

Destructor.

Member Function Documentation

clone()

void sgpp::optimization::optimizer::CMAES::clone ( std::unique_ptr< UnconstrainedOptimizer > &  clone ) const

overridevirtual

Parameters

[out]

clone

pointer to cloned object

Implements sgpp::optimization::optimizer::UnconstrainedOptimizer.

References clone().

Referenced by clone().

optimize()

void sgpp::optimization::optimizer::CMAES::optimize ( )

overridevirtual

Pure virtual method for optimization of the objective function.

The result of the optimization process can be obtained by member functions, e.g., getOptimalPoint() and getOptimalValue().

Implements sgpp::optimization::optimizer::UnconstrainedOptimizer.

References sgpp::base::DataVector::add(), sgpp::base::DataVector::append(), sgpp::base::DataMatrix::appendRow(), D, sgpp::optimization::optimizer::UnconstrainedOptimizer::f, sgpp::optimization::optimizer::UnconstrainedOptimizer::fHist, sgpp::optimization::optimizer::UnconstrainedOptimizer::fOpt, sgpp::base::RandomNumberGenerator::getGaussianRN(), sgpp::base::Printer::getInstance(), sgpp::base::RandomNumberGenerator::getInstance(), sgpp::base::DataVector::l2Norm(), lambda, m, mu, sgpp::base::DataMatrix::mult(), sgpp::base::DataVector::mult(), sgpp::optimization::optimizer::UnconstrainedOptimizer::N, sgpp::base::Printer::printStatusBegin(), sgpp::base::Printer::printStatusEnd(), sgpp::base::Printer::printStatusUpdate(), sgpp::base::DataMatrix::resize(), sgpp::optimization::math::schurDecomposition(), sgpp::base::DataMatrix::setColumn(), sgpp::base::DataVector::sum(), sgpp::optimization::optimizer::UnconstrainedOptimizer::x0, sgpp::optimization::optimizer::UnconstrainedOptimizer::xHist, and sgpp::optimization::optimizer::UnconstrainedOptimizer::xOpt.

Member Data Documentation

DEFAULT_MAX_FCN_EVAL_COUNT

const size_t sgpp::optimization::optimizer::CMAES::DEFAULT_MAX_FCN_EVAL_COUNT = 1000

static

default maximal number of function evaluations

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The documentation for this class was generated from the following files:

• optimization/src/sgpp/optimization/optimizer/unconstrained/CMAES.hpp
• optimization/src/sgpp/optimization/optimizer/unconstrained/CMAES.cpp