From 1ec3187856c69622b7a3c8050e608355aa177cab Mon Sep 17 00:00:00 2001
From: Erik Strand <erik.strand@cba.mit.edu>
Date: Thu, 16 Apr 2020 17:09:09 -0400
Subject: [PATCH] Don't template Nelder-Mead on the objective
---
apps/compare_convergence.cpp | 2 +-
optimization/optimizers/nelder_mead/main.cpp | 4 +-
.../optimizers/nelder_mead/nelder_mead.h | 32 +++++++++------
.../optimizers/nelder_mead/nelder_mead_log.h | 40 ++++++++++++-------
.../optimizers/nelder_mead/nelder_mead_vis.h | 10 ++---
5 files changed, 53 insertions(+), 35 deletions(-)
diff --git a/apps/compare_convergence.cpp b/apps/compare_convergence.cpp
index ef25945..b154ac4 100644
--- a/apps/compare_convergence.cpp
+++ b/apps/compare_convergence.cpp
@@ -25,7 +25,7 @@ int main() {
Scalar value_threshold = 1e-8;
std::vector<uint32_t> dims = {2, 4, 8, 16, 32, 64, 128, 256, 512, 1024};
- NelderMead<Objective, -1> nm(max_evaluations, value_threshold);
+ NelderMead<-1> nm(max_evaluations, value_threshold);
// We'll set the learning rate in the loop.
GradientDescent<-1> gd(0, max_evaluations, gradient_threshold);
diff --git a/optimization/optimizers/nelder_mead/main.cpp b/optimization/optimizers/nelder_mead/main.cpp
index b2819e2..b70e989 100644
--- a/optimization/optimizers/nelder_mead/main.cpp
+++ b/optimization/optimizers/nelder_mead/main.cpp
@@ -48,7 +48,7 @@ int main(int const argc, char const** argv) {
Objective objective;
objective.dim() = dim;
- NelderMead<Objective, -1> optimizer(max_evaluations, relative_y_tolerance);
+ NelderMead<-1> optimizer(max_evaluations, relative_y_tolerance);
VectorXs minimum = optimizer.optimize(objective, simplex);
std::cout << "n evaluations: " << optimizer.n_evaluations() << '\n';
std::cout << "final point: " << minimum << '\n';
@@ -61,7 +61,7 @@ int main(int const argc, char const** argv) {
}
if (!vis_file_path.empty()) {
- json data = NelderMeadVis<Objective, -1>{optimizer};
+ json data = NelderMeadVis<-1>{optimizer};
std::ofstream vis_file(vis_file_path);
vis_file << data.dump(4) << '\n';
}
diff --git a/optimization/optimizers/nelder_mead/nelder_mead.h b/optimization/optimizers/nelder_mead/nelder_mead.h
index 36826b1..058f34c 100644
--- a/optimization/optimizers/nelder_mead/nelder_mead.h
+++ b/optimization/optimizers/nelder_mead/nelder_mead.h
@@ -9,15 +9,15 @@ namespace optimization {
//--------------------------------------------------------------------------------------------------
// TODO record termination condition
-template <typename Objective, int32_t D = -1>
-class NelderMead : public NelderMeadLog<Objective, D> {
+template <int32_t D = -1>
+class NelderMead : public NelderMeadLog<D> {
public:
// vector in the space we're searching
- using VectorD = typename NelderMeadLog<Objective, D>::VectorD;
+ using VectorD = typename NelderMeadLog<D>::VectorD;
// vector in one higher dimension (e.g. to store a real value for each simplex vertex)
- using VectorN = typename NelderMeadLog<Objective, D>::VectorN;
+ using VectorN = typename NelderMeadLog<D>::VectorN;
// D x N matrix (each column is a VectorD holding a vertex, each row is a VectorN)
- using MatrixDN = typename NelderMeadLog<Objective, D>::MatrixDN;
+ using MatrixDN = typename NelderMeadLog<D>::MatrixDN;
NelderMead(uint32_t me = 1000, Scalar ry = 1e-8)
: max_evaluations_(me), relative_y_tolerance_(ry)
@@ -29,14 +29,17 @@ public:
VectorN const& simplex_values() const { return simplex_values_; }
// Constructs a simplex from an initial point by offset all coordinate values.
+ template <typename Objective>
VectorD optimize(Objective& objective, VectorD const& initial_point, Scalar offset = 1);
// Each row of simplex is a vertex.
+ template <typename Objective>
VectorD optimize(Objective& objective, MatrixDN const& simplex);
VectorD const& min_point() const { return simplex_vertices_[i_lowest_]; }
Scalar min_value() const { return simplex_values_[i_lowest_]; }
private:
+ template <typename Objective>
Scalar try_new_point(Objective& objective, Scalar factor);
// For fixed size D (and thus N), dim_ and n_vertices_ are redundant.
@@ -63,8 +66,9 @@ private:
};
//..................................................................................................
-template <typename Objective, int32_t D>
-auto NelderMead<Objective, D>::optimize(
+template <int32_t D>
+template <typename Objective>
+auto NelderMead<D>::optimize(
Objective& objective,
VectorD const& initial_point,
Scalar offset
@@ -80,8 +84,9 @@ auto NelderMead<Objective, D>::optimize(
}
//..................................................................................................
-template <typename Objective, int32_t D>
-auto NelderMead<Objective, D>::optimize(Objective& objective, MatrixDN const& simplex) -> VectorD {
+template <int32_t D>
+template <typename Objective>
+auto NelderMead<D>::optimize(Objective& objective, MatrixDN const& simplex) -> VectorD {
simplex_vertices_ = simplex;
n_vertices_ = simplex_vertices_.cols();
dim_ = simplex_vertices_.rows();
@@ -96,6 +101,8 @@ auto NelderMead<Objective, D>::optimize(Objective& objective, MatrixDN const& si
}
n_evaluations_ = n_vertices_;
+ NelderMeadLog<D>::initialize(objective);
+
while (true) {
// Find lowest, highest, and second highest points.
i_lowest_ = (simplex_values_[0] < simplex_values_[1]) ? 0 : 1;
@@ -116,7 +123,7 @@ auto NelderMead<Objective, D>::optimize(Objective& objective, MatrixDN const& si
}
// Log the simplex.
- NelderMeadLog<Objective, D>::push_back(simplex_vertices_, simplex_values_);
+ NelderMeadLog<D>::push_back(simplex_vertices_, simplex_values_);
// Evaluate termination conditions.
Scalar const difference = std::abs(simplex_values_[i_highest_] - simplex_values_[i_lowest_]);
@@ -170,8 +177,9 @@ auto NelderMead<Objective, D>::optimize(Objective& objective, MatrixDN const& si
}
//..................................................................................................
-template <typename Objective, int32_t D>
-Scalar NelderMead<Objective, D>::try_new_point(Objective& objective, Scalar factor) {
+template <int32_t D>
+template <typename Objective>
+Scalar NelderMead<D>::try_new_point(Objective& objective, Scalar factor) {
// Generate a new point by reflecting/expanding/contracting the worst point.
Scalar const t1 = (Scalar(1) - factor) / dim_;
Scalar const t2 = factor - t1;
diff --git a/optimization/optimizers/nelder_mead/nelder_mead_log.h b/optimization/optimizers/nelder_mead/nelder_mead_log.h
index 0e39c7d..4229ad2 100644
--- a/optimization/optimizers/nelder_mead/nelder_mead_log.h
+++ b/optimization/optimizers/nelder_mead/nelder_mead_log.h
@@ -14,7 +14,7 @@
namespace optimization {
//--------------------------------------------------------------------------------------------------
-template <typename Objective, int32_t D>
+template <int32_t D>
struct NelderMeadState {
// If D != -1, N == D + 1. If D == -1, N == -1.
static constexpr int32_t N = [D_ = D](){
@@ -48,32 +48,42 @@ struct NelderMeadState {
//--------------------------------------------------------------------------------------------------
// This is used as a base class rather than a member so that the empty base class optimization can
// be applied (the member would take up space even if it is an empty class).
-template <typename Objective, int32_t D>
+template <int32_t D>
struct NelderMeadLog {
- using VectorD = typename NelderMeadState<Objective, D>::VectorD;
- using VectorN = typename NelderMeadState<Objective, D>::VectorN;
- using MatrixDN = typename NelderMeadState<Objective, D>::MatrixDN;
+ using VectorD = typename NelderMeadState<D>::VectorD;
+ using VectorN = typename NelderMeadState<D>::VectorN;
+ using MatrixDN = typename NelderMeadState<D>::MatrixDN;
void reserve(uint32_t n) VIS_ONLY_METHOD;
+ template <typename Objective>
+ void initialize(Objective const&) VIS_ONLY_METHOD;
void push_back(MatrixDN const& simplex, VectorN const& values) VIS_ONLY_METHOD;
void clear() VIS_ONLY_METHOD;
#ifdef VISUALIZE
- std::vector<NelderMeadState<Objective, D>> states;
+ std::string objective_name;
+ std::vector<NelderMeadState<D>> states;
#endif
};
#ifdef VISUALIZE
//..................................................................................................
-template <typename Objective, int32_t D>
-void NelderMeadLog<Objective, D>::reserve(uint32_t n) {
+template <int32_t D>
+void NelderMeadLog<D>::reserve(uint32_t n) {
states.reserve(n);
}
//..................................................................................................
-template <typename Objective, int32_t D>
-void NelderMeadLog<Objective, D>::push_back(
+template <int32_t D>
+template <typename Objective>
+void NelderMeadLog<D>::initialize(Objective const&) {
+ objective_name = Objective::name;
+}
+
+//..................................................................................................
+template <int32_t D>
+void NelderMeadLog<D>::push_back(
MatrixDN const& simplex,
VectorN const& values
) {
@@ -82,8 +92,8 @@ void NelderMeadLog<Objective, D>::push_back(
//--------------------------------------------------------------------------------------------------
-template <typename Objective, int32_t D>
-void to_json(nlohmann::json& j, NelderMeadState<Objective, D> const& state) {
+template <int32_t D>
+void to_json(nlohmann::json& j, NelderMeadState<D> const& state) {
j = nlohmann::json{
{"simplex", transpose_for_json(state.simplex)},
{"values", state.values}
@@ -91,11 +101,11 @@ void to_json(nlohmann::json& j, NelderMeadState<Objective, D> const& state) {
}
//--------------------------------------------------------------------------------------------------
-template <typename Objective, int32_t D>
-void to_json(nlohmann::json& j, NelderMeadLog<Objective, D> const& log) {
+template <int32_t D>
+void to_json(nlohmann::json& j, NelderMeadLog<D> const& log) {
j = nlohmann::json{
{"algorithm", "nelder-mead"},
- {"objective", Objective::name},
+ {"objective", log.objective_name},
{"data", log.states}
};
}
diff --git a/optimization/optimizers/nelder_mead/nelder_mead_vis.h b/optimization/optimizers/nelder_mead/nelder_mead_vis.h
index a81d474..648b1bc 100644
--- a/optimization/optimizers/nelder_mead/nelder_mead_vis.h
+++ b/optimization/optimizers/nelder_mead/nelder_mead_vis.h
@@ -8,17 +8,17 @@
namespace optimization {
//--------------------------------------------------------------------------------------------------
-template <typename Objective, int32_t D>
+template <int32_t D>
struct NelderMeadVis {
- NelderMeadLog<Objective, D> const& log;
+ NelderMeadLog<D> const& log;
};
//..................................................................................................
-template <typename Objective, int32_t D>
-void to_json(nlohmann::json& j, NelderMeadVis<Objective, D> const& vis) {
+template <int32_t D>
+void to_json(nlohmann::json& j, NelderMeadVis<D> const& vis) {
j = nlohmann::json{
{"algorithm", "nelder-mead"},
- {"objective", Objective::name},
+ {"objective", vis.log.objective_name},
{"data", {
{"polygons", nlohmann::json::array()}
}}
--
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