Optimization Example (Java)

On this page, we look at an example application of the sgpp::optimization module.

Versions of the example are given in all languages currently supported by SG++: C++, Python, Java, and MATLAB.

The example interpolates a bivariate test function with B-splines instead of piecewise linear basis functions to obtain a smoother interpolant. The resulting sparse grid function is then minimized with the method of steepest descent. For comparison, we also minimize the objective function with Nelder-Mead's method.

The example uses the following external class (stored in ExampleFunction.java). The function \(f\colon [0, 1]^d \to \mathbb{R}\) to be minimized is called objective function and has to derive from sgpp.ScalarFunction. In the constructor, we give the dimensionality of the domain (in this case \(d = 2\)). The eval method evaluates the objective function and returns the function value \(f(\vec{x})\) for a given point \(\vec{x} \in [0, 1]^d\).

// Copyright (C) 2008-today The SG++ project
// This file is part of the SG++ project. For conditions of distribution and
// use, please see the copyright notice provided with SG++ or at
// sgpp.sparsegrids.org
 
public class ExampleFunction extends sgpp.ScalarFunction {
  public ExampleFunction() {
    super(2);
  }
 
  public double eval(sgpp.DataVector x) {
    if ((x.get(0) >= 0.0) && (x.get(0) <= 1.0) &&
        (x.get(1) >= 0.0) && (x.get(1) <= 1.0)) {
      // minimum is f(x) = -2 for x[0] = 3*pi/16, x[1] = 3*pi/14
      return Math.sin(8.0 * x.get(0)) + Math.sin(7.0 * x.get(1));
    } else {
      return Double.POSITIVE_INFINITY;
    }
  }
 
  public void clone(sgpp.SWIGTYPE_p_std__unique_ptrT_sgpp__base__ScalarFunction_t clone) {
  }
}

The actual example looks as follows.

public class optimization {
  static void printLine() {
    System.out.println("----------------------------------------" +
                       "----------------------------------------");
  }
 
  static String numToStr(double number) {
    return new java.text.DecimalFormat("#.#####").format(number);
  }
 
  public static void main(String[] args) {

At the beginning of the program, we have to load the shared library object file. We can do so by using java.lang.System.load or sgpp.LoadJSGPPLib.loadJSGPPLib. Also, we disable OpenMP within jsgpp since it interferes with SWIG's director feature.

    sgpp.LoadJSGPPLib.loadJSGPPLib();
    sgpp.jsgpp.omp_set_num_threads(1);
 
    System.out.println("sgpp::optimization example program started.\n");
    // increase verbosity of the output
    sgpp.Printer.getInstance().setVerbosity(2);

Here, we define some parameters: objective function, dimensionality, B-spline degree, maximal number of grid points, and adaptivity.

    // objective function
    ExampleFunction f = new ExampleFunction();
    // dimension of domain
    final long d = f.getNumberOfParameters();
    // B-spline degree
    final long p = 3;
    // maximal number of grid points
    final long N = 30;
    // adaptivity of grid generation
    final double gamma = 0.95;

First, we define a grid with modified B-spline basis functions and an iterative grid generator, which can generate the grid adaptively.

    sgpp.Grid grid = sgpp.Grid.createModBsplineGrid(d, p);
    sgpp.OptIterativeGridGeneratorRitterNovak gridGen =
        new sgpp.OptIterativeGridGeneratorRitterNovak(f, grid, N, gamma);

With the iterative grid generator, we generate adaptively a sparse grid.

    printLine();
    System.out.println("Generating grid...\n");
 
    if (!gridGen.generate()) {
      System.out.println("Grid generation failed, exiting.");
      return;
    }

Then, we hierarchize the function values to get hierarchical B-spline coefficients of the B-spline sparse grid interpolant \(\tilde{f}\colon [0, 1]^d \to \mathbb{R}\).

    printLine();
    System.out.println("Hierarchizing...\n");
    final sgpp.DataVector functionValues = gridGen.getFunctionValues();
    sgpp.DataVector coeffs = new sgpp.DataVector(functionValues.getSize());
    sgpp.HierarchisationSLE hierSLE = new sgpp.HierarchisationSLE(grid);
    sgpp.AutoSLESolver sleSolver = new sgpp.AutoSLESolver();
 
    // solve linear system
    if (!sleSolver.solve(hierSLE, gridGen.getFunctionValues(), coeffs)) {
      System.out.println("Solving failed, exiting.");
      return;
    }

We define the interpolant \(\tilde{f}\) and its gradient \(\nabla\tilde{f}\) for use with the gradient method (steepest descent). Of course, one can also use other optimization algorithms from sgpp::optimization::optimizer.

    printLine();
    System.out.println("Optimizing smooth interpolant...\n");
    sgpp.InterpolantScalarFunction ft =
        new sgpp.InterpolantScalarFunction(grid, coeffs);
    sgpp.InterpolantScalarFunctionGradient ftGradient =
        new sgpp.InterpolantScalarFunctionGradient(grid, coeffs);
    sgpp.OptGradientDescent gradientDescent =
        new sgpp.OptGradientDescent(ft, ftGradient);
    sgpp.DataVector x0 = new sgpp.DataVector(d);
    double fX0;
    double ftX0;

The gradient method needs a starting point. We use a point of our adaptively generated sparse grid as starting point. More specifically, we use the point with the smallest (most promising) function value and save it in x0.

    {
      sgpp.GridStorage gridStorage = grid.getStorage();
 
      // index of grid point with minimal function value
      int x0Index = 0;
      fX0 = functionValues.get(0);
 
      for (int i = 1; i < functionValues.getSize(); i++) {
        if (functionValues.get(i) < fX0) {
          fX0 = functionValues.get(i);
          x0Index = i;
        }
      }
 
      x0 = gridStorage.getCoordinates(gridStorage.getPoint(x0Index));
      ftX0 = ft.eval(x0);
    }
 
    System.out.println("x0 = " + x0);
    System.out.println("f(x0) = " + numToStr(fX0) +
                       ", ft(x0) = " + numToStr(ftX0) + "\n");

We apply the gradient method and print the results.

    gradientDescent.setStartingPoint(x0);
    gradientDescent.optimize();
    sgpp.DataVector xOpt = gradientDescent.getOptimalPoint();
    final double ftXOpt = gradientDescent.getOptimalValue();
    final double fXOpt = f.eval(xOpt);
 
    System.out.println("\nxOpt = " + xOpt);
    System.out.println("f(xOpt) = " + numToStr(fXOpt) +
                       ", ft(xOpt) = " + numToStr(ftXOpt) + "\n");

For comparison, we apply the classical gradient-free Nelder-Mead method directly to the objective function \(f\).

    printLine();
    System.out.println("Optimizing objective function (for comparison)...\n");
 
    sgpp.OptNelderMead nelderMead = new sgpp.OptNelderMead(f, 1000);
    nelderMead.optimize();
    sgpp.DataVector xOptNM = nelderMead.getOptimalPoint();
    final double fXOptNM = nelderMead.getOptimalValue();
    final double ftXOptNM = ft.eval(xOptNM);
 
    System.out.println("\nxOptNM = " + xOptNM);
    System.out.println("f(xOptNM) = " + numToStr(fXOptNM) +
                       ", ft(xOptNM) = " + numToStr(ftXOptNM) + "\n");
 
    printLine();
    System.out.println("\nsgpp::optimization example program terminated.");
  }
}  // end of class

The example program outputs the following results:

sgpp::optimization example program started.

--------------------------------------------------------------------------------
Generating grid...

Adaptive grid generation (Ritter-Novak)...
    100.0% (N = 29, k = 3)
Done in 3ms.
--------------------------------------------------------------------------------
Hierarchizing...

Solving linear system (automatic method)...
    estimated nnz ratio: 59.8% 
    Solving linear system (Armadillo)...
        constructing matrix (100.0%)
        nnz ratio: 58.0%
        solving with Armadillo
    Done in 0ms.
Done in 1ms.
--------------------------------------------------------------------------------
Optimizing smooth interpolant...

x0 = [0.625, 0.75]
f(x0) = -1.81786, ft(x0) = -1.81786

Optimizing (gradient method)...
    9 steps, f(x) = -2.000780
Done in 1ms.

xOpt = [0.589526, 0.673268]
f(xOpt) = -1.99999, ft(xOpt) = -2.00078

--------------------------------------------------------------------------------
Optimizing objective function (for comparison)...

Optimizing (Nelder-Mead)...
    280 steps, f(x) = -2.000000
Done in 2ms.

xOptNM = [0.589049, 0.673198]
f(xOptNM) = -2, ft(xOptNM) = -2.00077

--------------------------------------------------------------------------------

sgpp::optimization example program terminated.

We see that both the gradient-based optimization of the smooth sparse grid interpolant and the gradient-free optimization of the objective function find reasonable approximations of the minimum, which lies at \((3\pi/16, 3\pi/14) \approx (0.58904862, 0.67319843)\).