/* * Copyright Nick Thompson, 2024 * Use, modification and distribution are subject to the * Boost Software License, Version 1.0. (See accompanying file * LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) */ #ifndef BOOST_MATH_OPTIMIZATION_DETAIL_COMMON_HPP #define BOOST_MATH_OPTIMIZATION_DETAIL_COMMON_HPP #include // for std::sort #include #include #include #include #include #include // for std::false_type namespace boost::math::optimization::detail { template struct has_resize : std::false_type {}; template struct has_resize().resize(size_t{}))>> : std::true_type {}; template constexpr bool has_resize_v = has_resize::value; template void validate_bounds(ArgumentContainer const &lower_bounds, ArgumentContainer const &upper_bounds) { using std::isfinite; std::ostringstream oss; if (lower_bounds.size() == 0) { oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": The dimension of the problem cannot be zero."; throw std::domain_error(oss.str()); } if (upper_bounds.size() != lower_bounds.size()) { oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": There must be the same number of lower bounds as upper bounds, but given "; oss << upper_bounds.size() << " upper bounds, and " << lower_bounds.size() << " lower bounds."; throw std::domain_error(oss.str()); } for (size_t i = 0; i < lower_bounds.size(); ++i) { auto lb = lower_bounds[i]; auto ub = upper_bounds[i]; if (lb > ub) { oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": The upper bound must be greater than or equal to the lower bound, but the upper bound is " << ub << " and the lower is " << lb << "."; throw std::domain_error(oss.str()); } if (!isfinite(lb)) { oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": The lower bound must be finite, but got " << lb << "."; oss << " For infinite bounds, emulate with std::numeric_limits::lower() or use a standard infinite->finite " "transform."; throw std::domain_error(oss.str()); } if (!isfinite(ub)) { oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": The upper bound must be finite, but got " << ub << "."; oss << " For infinite bounds, emulate with std::numeric_limits::max() or use a standard infinite->finite " "transform."; throw std::domain_error(oss.str()); } } } template std::vector random_initial_population(ArgumentContainer const &lower_bounds, ArgumentContainer const &upper_bounds, size_t initial_population_size, URBG &&gen) { using Real = typename ArgumentContainer::value_type; using DimensionlessReal = decltype(Real()/Real()); constexpr bool has_resize = detail::has_resize_v; std::vector population(initial_population_size); auto const dimension = lower_bounds.size(); for (size_t i = 0; i < population.size(); ++i) { if constexpr (has_resize) { population[i].resize(dimension); } else { // Argument type must be known at compile-time; like std::array: if (population[i].size() != dimension) { std::ostringstream oss; oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": For containers which do not have resize, the default size must be the same as the dimension, "; oss << "but the default container size is " << population[i].size() << " and the dimension of the problem is " << dimension << "."; oss << " The function argument container type is " << typeid(ArgumentContainer).name() << ".\n"; throw std::runtime_error(oss.str()); } } } // Why don't we provide an option to initialize with (say) a Gaussian distribution? // > If the optimum's location is fairly well known, // > a Gaussian distribution may prove somewhat faster, although it // > may also increase the probability that the population will converge prematurely. // > In general, uniform distributions are preferred, since they best reflect // > the lack of knowledge about the optimum's location. // - Differential Evolution: A Practical Approach to Global Optimization // That said, scipy uses Latin Hypercube sampling and says self-avoiding sequences are preferable. // So this is something that could be investigated and potentially improved. using std::uniform_real_distribution; uniform_real_distribution dis(DimensionlessReal(0), DimensionlessReal(1)); for (size_t i = 0; i < population.size(); ++i) { for (size_t j = 0; j < dimension; ++j) { auto const &lb = lower_bounds[j]; auto const &ub = upper_bounds[j]; population[i][j] = lb + dis(gen) * (ub - lb); } } return population; } template void validate_initial_guess(ArgumentContainer const &initial_guess, ArgumentContainer const &lower_bounds, ArgumentContainer const &upper_bounds) { using std::isfinite; std::ostringstream oss; auto const dimension = lower_bounds.size(); if (initial_guess.size() != dimension) { oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": The initial guess must have the same dimensions as the problem,"; oss << ", but the problem size is " << dimension << " and the initial guess has " << initial_guess.size() << " elements."; throw std::domain_error(oss.str()); } for (size_t i = 0; i < dimension; ++i) { auto lb = lower_bounds[i]; auto ub = upper_bounds[i]; if (!isfinite(initial_guess[i])) { oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": At index " << i << ", the initial guess is " << initial_guess[i] << ", make sure all elements of the initial guess are finite."; throw std::domain_error(oss.str()); } if (initial_guess[i] < lb || initial_guess[i] > ub) { oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": At index " << i << " the initial guess " << initial_guess[i] << " is not in the bounds [" << lb << ", " << ub << "]."; throw std::domain_error(oss.str()); } } } // Return indices corresponding to the minimum function values. template std::vector best_indices(std::vector const &function_values) { using std::isnan; const size_t n = function_values.size(); std::vector indices(n); for (size_t i = 0; i < n; ++i) { indices[i] = i; } std::sort(indices.begin(), indices.end(), [&](size_t a, size_t b) { if (isnan(function_values[a])) { return false; } if (isnan(function_values[b])) { return true; } return function_values[a] < function_values[b]; }); return indices; } template auto weighted_lehmer_mean(RandomAccessContainer const & values, RandomAccessContainer const & weights) { using std::isfinite; if (values.size() != weights.size()) { std::ostringstream oss; oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": There must be the same number of weights as values, but got " << values.size() << " values and " << weights.size() << " weights."; throw std::logic_error(oss.str()); } if (values.size() == 0) { std::ostringstream oss; oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": There must at least one value provided."; throw std::logic_error(oss.str()); } using Real = typename RandomAccessContainer::value_type; Real numerator = 0; Real denominator = 0; for (size_t i = 0; i < values.size(); ++i) { if (weights[i] < 0 || !isfinite(weights[i])) { std::ostringstream oss; oss << __FILE__ << ":" << __LINE__ << ":" << __func__; oss << ": All weights must be positive and finite, but got received weight " << weights[i] << " at index " << i << " of " << weights.size() << "."; throw std::domain_error(oss.str()); } Real tmp = weights[i]*values[i]; numerator += tmp*values[i]; denominator += tmp; } return numerator/denominator; } } // namespace boost::math::optimization::detail #endif