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optim: upgrade license to GPLv3+ and mention on DESCRIPTION the other package licenses
author carandraug
date Fri, 30 Mar 2012 15:14:48 +0000
parents 5758bf7f1b2b
children
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1 // Copyright (C) 2004, 2006 Michael Creel <michael.creel@uab.es>
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2 //
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3 // This program is free software; you can redistribute it and/or modify it under
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4 // the terms of the GNU General Public License as published by the Free Software
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5 // Foundation; either version 3 of the License, or (at your option) any later
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6 // version.
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7 //
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8 // This program is distributed in the hope that it will be useful, but WITHOUT
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9 // ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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10 // FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
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11 // details.
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12 //
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13 // You should have received a copy of the GNU General Public License along with
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14 // this program; if not, see <http://www.gnu.org/licenses/>.
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15
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16 // References:
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17 //
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18 // The code follows the article
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19 // Goffe, William L. (1996) "SIMANN: A Global Optimization Algorithm
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20 // using Simulated Annealing " Studies in Nonlinear Dynamics & Econometrics
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21 // Oct96, Vol. 1 Issue 3.
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22 //
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23 // The code uses the same names for control variables,
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24 // for the most part. A notable difference is that the initial
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25 // temperature is found automatically to ensure that the active
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26 // bounds when the temperature begins to reduce cover the entire
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27 // parameter space (defined as a n-dimensional
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28 // rectangle that is the Cartesian product of the
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29 // (lb_i, ub_i), i = 1,2,..n
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30 //
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31 // Also of note:
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32 // Corana et. al., (1987) "Minimizing Multimodal Functions of Continuous
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33 // Variables with the "Simulated Annealing" Algorithm",
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34 // ACM Transactions on Mathematical Software, V. 13, N. 3.
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35 //
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36 // Goffe, et. al. (1994) "Global Optimization of Statistical Functions
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37 // with Simulated Annealing", Journal of Econometrics,
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38 // V. 60, N. 1/2.
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39
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40 #include <oct.h>
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41 #include <octave/parse.h>
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42 #include <octave/Cell.h>
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43 #include <octave/lo-mappers.h>
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44 #include <octave/oct-rand.h>
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45 #include <float.h>
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46 #include "error.h"
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47
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48 // define argument checks
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49 static bool any_bad_argument(const octave_value_list& args)
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50 {
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51
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52 // objective function name is a string?
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53 if (!args(0).is_string()) {
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54 error("samin: first argument must be string holding objective function name");
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55 return true;
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56 }
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57
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58 // are function arguments contained in a cell?
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59 if (!args(1).is_cell()) {
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60 error("samin: second argument must cell array of function arguments");
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61 return true;
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62 }
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63
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64 // is control a cell?
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65 Cell control (args(2).cell_value());
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66 if (error_state) {
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67 error("samin: third argument must cell array of algorithm controls");
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68 return true;
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69 }
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70
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71 // does control have proper number of elements?
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72 if (!(control.length() == 11)) {
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73 error("samin: third argument must be a cell array with 11 elements");
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74 return true;
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75 }
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76
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77 // now check type of each element of control
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78 if (!(control(0).is_real_matrix()) && !(control(0).is_real_scalar())) {
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79 error("samin: 1st element of controls must be LB: a vector of lower bounds");
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80 return true;
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81 }
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82
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83 if ((control(0).is_real_matrix()) && (control(0).columns() != 1)) {
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84 error("samin: 1st element of controls must be LB: a vector of lower bounds");
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85 return true;
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86 }
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87
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88 if (!(control(1).is_real_matrix()) && !(control(1).is_real_scalar())) {
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89 error("samin: 1st element of controls must be UB: a vector of lower bounds");
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90 return true;
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91 }
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92
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93 if ((control(1).is_real_matrix()) && (control(1).columns() != 1)) {
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94 error("samin: 2nd element of controls must be UB: a vector of lower bounds");
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95 return true;
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96 }
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97
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98 int tmp = control(2).int_value();
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99 if (error_state || tmp < 1) {
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100 error("samin: 3rd element of controls must be NT: positive integer\n\
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101 loops per temperature reduction");
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102 return true;
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103 }
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104
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105 tmp = control(3).int_value();
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106 if (error_state || tmp < 1) {
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107 error("samin: 4th element of controls must be NS: positive integer\n\
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108 loops per stepsize adjustment");
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109 return true;
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110 }
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111
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112 double tmp2 = control(4).double_value();
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113 if (error_state || tmp < 0) {
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114 error("samin: 5th element of controls must be RT:\n\
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115 temperature reduction factor, RT > 0");
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116 return true;
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117 }
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118
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119 tmp2 = control(5).double_value();
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120 if (error_state || tmp < 0) {
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121 error("samin: 6th element of controls must be integer MAXEVALS > 0 ");
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122 return true;
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123 }
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124
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125 tmp = control(6).int_value();
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126 if (error_state || tmp < 0) {
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127 error("samin: 7th element of controls must be NEPS: positive integer\n\
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128 number of final obj. values that must be within EPS of eachother ");
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129 return true;
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130 }
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131
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132 tmp2 = control(7).double_value();if (error_state || tmp2 < 0) {
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133 error("samin: 8th element of controls must must be FUNCTOL (> 0)\n\
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134 used to compare the last NEPS obj values for convergence test");
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135 return true;
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136 }
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137
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138 tmp2 = control(8).double_value();
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139 if (error_state || tmp2 < 0) {
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140 error("samin: 9th element of controls must must be PARAMTOL (> 0)\n\
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141 used to compare the last NEPS obj values for convergence test");
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142 return true;
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143 }
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144
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145 tmp = control(9).int_value();
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146 if (error_state || tmp < 0 || tmp > 2) {
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147 error("samin: 9th element of controls must be VERBOSITY (0, 1, or 2)");
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148 return true;
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149 }
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150
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151 tmp = control(10).int_value();
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152 if (error_state || tmp < 0) {
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153 error("samin: 10th element of controls must be MINARG (integer)\n\
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154 position of argument to minimize wrt");
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155 return true;
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156 }
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157
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158 // make sure that minarg points to an existing element
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159 if ((tmp > args(1).length())||(tmp < 1)) {
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160 error("bfgsmin: 4th argument must be a positive integer that indicates \n\
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161 which of the elements of the second argument is the one minimization is over");
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162 return true;
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163 }
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164
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165 return false;
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166 }
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167
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168 //-------------- The annealing algorithm --------------
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169 DEFUN_DLD(samin, args, , "samin: simulated annealing minimization of a function. See samin_example.m\n\
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170 \n\
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171 usage: [x, obj, convergence, details] = samin(\"f\", {args}, {control})\n\
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172 \n\
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173 Arguments:\n\
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174 * \"f\": function name (string)\n\
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175 * {args}: a cell array that holds all arguments of the function,\n\
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176 * {control}: a cell array with 11 elements\n\
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177 * LB - vector of lower bounds\n\
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178 * UB - vector of upper bounds\n\
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179 * nt - integer: # of iterations between temperature reductions\n\
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180 * ns - integer: # of iterations between bounds adjustments\n\
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181 * rt - (0 < rt <1): temperature reduction factor\n\
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182 * maxevals - integer: limit on function evaluations\n\
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183 * neps - integer: number of values final result is compared to\n\
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184 * functol - (> 0): the required tolerance level for function value\n\
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185 comparisons\n\
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186 * paramtol - (> 0): the required tolerance level for parameters\n\
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187 * verbosity - scalar: 0, 1, or 2.\n\
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188 * 0 = no screen output\n\
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189 * 1 = only final results to screen\n\
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190 * 2 = summary every temperature change\n\
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191 * minarg - integer: which of function args is minimization over?\n\
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192 \n\
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193 Returns:\n\
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194 * x: the minimizer\n\
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195 * obj: the value of f() at x\n\
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196 * convergence:\n\
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197 0 if no convergence within maxevals function evaluations\n\
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198 1 if normal convergence to a point interior to the parameter space\n\
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199 2 if convergence to point very near bounds of parameter space\n\
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200 (suggest re-running with looser bounds)\n\
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201 * details: a px3 matrix. p is the number of times improvements were found.\n\
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202 The columns record information at the time an improvement was found\n\
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203 * first: cumulative number of function evaluations\n\
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204 * second: temperature\n\
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205 * third: function value\n\
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206 \n\
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207 Example: see samin_example\n\
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208 ")
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209 {
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210 int nargin = args.length();
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211 if (!(nargin == 3)) {
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212 error("samin: you must supply 3 arguments");
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213 return octave_value_list();
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214 }
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215
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216 // check the arguments
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217 if (any_bad_argument(args)) return octave_value_list();
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218
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219 std::string obj_fn (args(0).string_value());
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220 Cell f_args_cell = args(1).cell_value (); // args to obj fn come in as a cell to allow arbitrary number
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221 Cell control (args(2).cell_value());
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222
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223 octave_value_list f_args;
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224 octave_value_list f_return; // holder for feval returns
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225
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226 int m, i, j, k, h, n, nacc, func_evals;
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227 int nup, nrej, nnew, ndown, lnobds;
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228 int converge, test, coverage_ok;
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229
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230 // user provided controls
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231 const ColumnVector lb (control(0).column_vector_value());
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232 const ColumnVector ub (control(1).column_vector_value());
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233 const int nt (control(2).int_value());
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234 const int ns (control(3).int_value());
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235 const double rt (control(4).double_value());
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236 const int maxevals (control(5).int_value());
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237 const int neps (control(6).int_value());
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238 const double functol (control(7).double_value());
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239 const double paramtol (control(8).double_value());
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240 const int verbosity (control(9).int_value());
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241 const int minarg (control(10).int_value());
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242
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243 // type checking for minimization parameter done here, since we don't know minarg
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244 // until now
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245 if (!(f_args_cell(minarg - 1).is_real_matrix() || (f_args_cell(minarg - 1).is_real_scalar()))) {
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246 error("samin: minimization must be with respect to a column vector");
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247 return octave_value_list();
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248 }
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249 if ((f_args_cell(minarg - 1).is_real_matrix()) && (f_args_cell(minarg - 1).columns() != 1)) {
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250 error("samin: minimization must be with respect to a column vector");
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251 return octave_value_list();
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252 }
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253
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254 double f, fp, p, pp, fopt, rand_draw, ratio, t;
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255
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256 Matrix details(1,3); // record function evaluations, temperatures and function values
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257 RowVector info(3);
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258
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259 // copy cell contents over to octave_value_list to use feval()
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260 k = f_args_cell.length();
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261 f_args(k); // resize only once
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262 for (i = 0; i<k; i++) f_args(i) = f_args_cell(i);
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263
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264 ColumnVector x = f_args(minarg - 1).column_vector_value();
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265 ColumnVector bounds = ub - lb;
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266 n = x.rows();
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267 ColumnVector xopt = x;
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268 ColumnVector xp(n);
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269 ColumnVector nacp(n);
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270
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271 // Set initial values
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272 nacc = 0; // total accepted trials
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273 t = 1000.0; // temperature - will initially rise or fall to cover parameter space. Then it will fall
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274 converge = 0; // convergence indicator 0 (failure), 1 (normal success), or 2 (convergence but near bounds)
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275 coverage_ok = 0; // has parameter space been covered? When turns to 1, temperature starts to fall
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276 // most recent values, to compare to when checking convergend
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277 ColumnVector fstar(neps,1);
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278 fstar.fill(DBL_MAX);
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279 octave_rand::distribution("uniform"); // we'll be using draws from U(0,1)
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280
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281 // check for out-of-bounds starting values
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282 for(i = 0; i < n; i++) {
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283 if(( x(i) > ub(i)) || (x(i) < lb(i))) {
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284 error("samin: initial parameter %d out of bounds", i+1);
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285 return octave_value_list();
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286 }
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287 }
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288
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289 // Initial obj_value
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290 f_return = feval(obj_fn, f_args);
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291 f = f_return(0).double_value();
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292 fopt = f; // give it something to compare to
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293 func_evals = 0; // total function evaluations (limited by maxeval)
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294 details(0,0) = func_evals;
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295 details(0,1) = t;
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296 details(0,2) = fopt;
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297
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298 // main loop, first increase temperature until parameter space covered, then reduce until convergence
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299 while(converge==0)
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300 {
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301 // statistics to report at each temp change, set back to zero
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302 nup = 0;
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303 nrej = 0;
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304 nnew = 0;
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305 ndown = 0;
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306 lnobds = 0;
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307
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308 // repeat nt times then adjust temperature
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309 for(m = 0;m < nt;m++) {
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310 // repeat ns times, then adjust bounds
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311 for(j = 0;j < ns;j++) {
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312 // generate new point by taking last and adding a random value
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313 // to each of elements, in turn
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314 for(h = 0;h < n;h++) {
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315 // new Sept 2011, if bounds are same, skip the search for that vbl. Allows restrictions without complicated programming
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316 if (lb(h) != ub(h)) {
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317 xp = x;
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318 rand_draw = octave_rand::scalar();
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319 xp(h) = x(h) + (2.0 * rand_draw - 1.0) * bounds(h);
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320 if((xp(h) < lb(h)) || (xp(h) > ub(h))) {
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321 rand_draw = octave_rand::scalar(); // change 07-Nov-2007: avoid correlation with hitting bounds
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322 xp(h) = lb(h) + (ub(h) - lb(h)) * rand_draw;
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323 lnobds = lnobds + 1;
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324 }
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325 // Evaluate function at new point
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326 f_args(minarg - 1) = xp;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
327 f_return = feval(obj_fn, f_args);
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
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parents: 6686
diff changeset
328 fp = f_return(0).double_value();
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
329 func_evals = func_evals + 1;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
330 // Accept the new point if the function value decreases
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
331 if(fp <= f) {
2370
24d6a5cdedfe Changed the directory structure to match the package system
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parents:
diff changeset
332 x = xp;
24d6a5cdedfe Changed the directory structure to match the package system
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parents:
diff changeset
333 f = fp;
9674
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
334 nacc = nacc + 1; // total number of acceptances
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
335 nacp(h) = nacp(h) + 1; // acceptances for this parameter
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
336 nup = nup + 1;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
337 // If lower than any other point, record as new optimum
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
338 if(fp < fopt) {
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
339 xopt = xp;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
340 fopt = fp;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
341 nnew = nnew + 1;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
342 info(0) = func_evals;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
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parents: 6686
diff changeset
343 info(1) = t;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
344 info(2) = fp;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
345 details = details.stack(info);
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
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parents: 6686
diff changeset
346 }
2370
24d6a5cdedfe Changed the directory structure to match the package system
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parents:
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347 }
9674
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348 // If the point is higher, use the Metropolis criteria to decide on
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
349 // acceptance or rejection.
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
350 else {
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
351 p = exp(-(fp - f) / t);
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
352 rand_draw = octave_rand::scalar();
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
353 if(rand_draw < p) {
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
354 x = xp;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
355 f = fp;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
356 nacc = nacc + 1;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
357 nacp(h) = nacp(h) + 1;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
358 ndown = ndown + 1;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
359 }
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
360 else nrej = nrej + 1;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
361 }
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
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362 }
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
363 // If maxevals exceeded, terminate the algorithm
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
364 if(func_evals >= maxevals) {
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
365 if(verbosity >= 1) {
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
366 printf("\n================================================\n");
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
367 printf("SAMIN results\n");
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
368 printf("NO CONVERGENCE: MAXEVALS exceeded\n");
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
369 printf("================================================\n");
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
370 printf("Convergence tolerances: Func. tol. %e Param. tol. %e\n", functol, paramtol);
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
371 printf("Obj. fn. value %f\n\n", fopt);
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
372 printf(" parameter search width\n");
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
373 for(i = 0; i < n; i++) printf("%20f%20f\n", xopt(i), bounds(i));
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
374 }
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
375 f_return(3) = details;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
376 f_return(2) = 0;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
377 f_return(1) = fopt;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
378 f_return(0) = xopt;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
379 return octave_value_list(f_return);
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
380 }
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
381 }
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
382 }
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
383 // Adjust bounds so that approximately half of all evaluations are accepted
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
384 test = 0;
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
385 for(i = 0;i < n;i++) {
9674
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
386 if (lb(i) != ub(i)) {
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
387 ratio = nacp(i) / ns;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
388 if(ratio > 0.6) bounds(i) = bounds(i) * (1.0 + 2.0 * (ratio - 0.6) / 0.4);
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
389 else if(ratio < .4) bounds(i) = bounds(i) / (1.0 + 2.0 * ((0.4 - ratio) / 0.4));
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
390 // keep within initial bounds
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
391 if(bounds(i) >= (ub(i) - lb(i))) {
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
392 bounds(i) = ub(i) - lb(i);
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
393 test = test + 1;
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
394 }
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
395 }
9674
5758bf7f1b2b add possibility to restrict a parameter to samin.cc
mcreel
parents: 6686
diff changeset
396 else test = test + 1; // make sure coverage check passes for the fixed parameters
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
397 }
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
398 nacp.fill(0.0);
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
399 // check if we cover parameter space. if we have yet to do so
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
400 if (!coverage_ok) coverage_ok = (test == n);
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
401 }
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
402 // intermediate output, if desired
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
403 if(verbosity == 2) {
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
404 printf("\nsamin: intermediate results before next temperature change\n");
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
405 printf("\ntemperature %e", t);
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
406 printf("\ncurrent best function value %f", fopt);
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
407 printf("\ntotal evaluations so far %d", func_evals);
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
408 printf("\ntotal moves since last temperature reduction %d", nup + ndown + nrej);
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
409 printf("\ndownhill %d", nup);
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
410 printf("\naccepted uphill %d", ndown);
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
411 printf("\nrejected uphill %d", nrej);
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
412 printf("\nout of bounds trials %d", lnobds);
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
413 printf("\nnew minima this temperature %d", nnew);
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
414 printf("\n\n parameter search width\n");
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
415 for(i = 0; i < n; i++) printf("%20f%20f\n", xopt(i), bounds(i));
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
416 printf("\n");
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
417 }
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
418 // Check for convergence, if we have covered the parameter space
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
419 if (coverage_ok) {
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
420 // last value close enough to last neps values?
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
421 fstar(0) = f;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
422 test = 0;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
423 for (i = 1; i < neps; i++) test = test + fabs(f - fstar(i)) > functol;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
424 test = (test > 0); // if different from zero, function conv. has failed
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
425 // last value close enough to overall best?
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
426 if (((fopt - f) <= functol) && (!test)) {
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
427 // check for bound narrow enough for parameter convergence
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
428 for (i = 0;i < n;i++) {
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
429 if (bounds(i) > paramtol) {
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
430 converge = 0; // no conv. if bounds too wide
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
431 break;
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
432 }
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
433 else converge = 1;
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
434 }
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
435 }
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
436 // check if optimal point is near boundary of parameter space, and change convergence message if so
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
437 if (converge) if (lnobds > 0) converge = 2;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
438 // Like to see the final results?
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
439 if (converge > 0) {
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
440 if (verbosity >= 1) {
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
441 printf("\n================================================\n");
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
442 printf("SAMIN results\n\n");
4002
c185f30e3157 Minor performance change - eliminate correlation between bounds hit and next trial
mcreel
parents: 3313
diff changeset
443 if (converge == 1) printf("==> Normal convergence <==\n\n");
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
444 if (converge == 2)
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
445 {
4002
c185f30e3157 Minor performance change - eliminate correlation between bounds hit and next trial
mcreel
parents: 3313
diff changeset
446 printf("==> WARNING <==: Last point satisfies convergence criteria,\n");
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
447 printf("but is near boundary of parameter space.\n");
6686
200d614223e2 minor bug fixes
mcreel
parents: 4404
diff changeset
448 printf("%d out of %d evaluations were out-of-bounds in the last round.\n", lnobds, (nup+ndown+nrej));
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
449 printf("Expand bounds and re-run, unless this is a constrained minimization.\n\n");
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
450 }
4002
c185f30e3157 Minor performance change - eliminate correlation between bounds hit and next trial
mcreel
parents: 3313
diff changeset
451 printf("Convergence tolerances:\nFunction: %e\nParameters: %e\n", functol, paramtol);
c185f30e3157 Minor performance change - eliminate correlation between bounds hit and next trial
mcreel
parents: 3313
diff changeset
452 printf("\nObjective function value at minimum: %f\n\n", fopt);
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
453 printf(" parameter search width\n");
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
454 for(i = 0; i < n; i++) printf("%20f%20f\n", xopt(i), bounds(i));
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
455 printf("================================================\n");
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
456 }
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
457 f_return(3) = details;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
458 f_return(2) = converge;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
459 f_return(1) = fopt;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
460 f_return(0) = xopt;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
461 return f_return; // this breaks out, if we get here
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
462 }
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
463 // Reduce temperature, record current function value in the
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
464 // list of last "neps" values, and loop again
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
465 t = rt * t;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
466 for(i = neps-1; i > 0; i--) fstar(i) = fstar(i-1);
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
467 f = fopt;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
468 x = xopt;
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
469 }
2489
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
470 else { // coverage not ok - increase temperature quickly to expand search area, to cover parameter space
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
471 t = t*t;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
472 for(i = neps-1; i > 0; i--) fstar(i) = fstar(i-1);
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
473 f = fopt;
dbb5601affd1 simplified temperature search, direct use of feval rather than though celleval
mcreel
parents: 2440
diff changeset
474 x = xopt;
2370
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
475 }
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
476 }
24d6a5cdedfe Changed the directory structure to match the package system
hauberg
parents:
diff changeset
477 }