Mercurial > mxe-octave
changeset 5053:32e0ab8d4223
of-optim: update to v1.6.0
* dist-files.mk: removed ref to patch file
* src/of-optim.mk: update version, checksum
* src/of-optim-1-fixes.patch: removed
* src/of-optim-2-deprecated.patch: removed
| author | John Donoghue |
|---|---|
| date | Wed, 17 Apr 2019 07:51:07 -0400 |
| parents | 894bacabdfb8 |
| children | fe6e588f10ed |
| files | dist-files.mk src/of-optim-1-fixes.patch src/of-optim-2-deprecated.patch src/of-optim.mk |
| diffstat | 4 files changed, 2 insertions(+), 589 deletions(-) [+] |
line wrap: on
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--- a/dist-files.mk Mon Apr 15 08:04:03 2019 -0400 +++ b/dist-files.mk Wed Apr 17 07:51:07 2019 -0400 @@ -508,8 +508,6 @@ of-odepkg-2-fixes.patch \ of-odepkg-3-deprecated.patch \ of-odepkg.mk \ - of-optim-1-fixes.patch \ - of-optim-2-deprecated.patch \ of-optim.mk \ of-optiminterp-1-dev-fixes.patch \ of-optiminterp.mk \
--- a/src/of-optim-1-fixes.patch Mon Apr 15 08:04:03 2019 -0400 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,12 +0,0 @@ -diff -uNr a/src/error-helpers.cc b/src/error-helpers.cc ---- a/src/error-helpers.cc 2018-08-01 16:52:02.743298100 -0400 -+++ b/src/error-helpers.cc 2018-08-13 13:34:37.085947522 -0400 -@@ -19,6 +19,8 @@ - - #include <octave/oct.h> - -+#include <iostream> -+ - #include "error-helpers.h" - - // call verror
--- a/src/of-optim-2-deprecated.patch Mon Apr 15 08:04:03 2019 -0400 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,573 +0,0 @@ -# HG changeset patch -# User Olaf Till <i7tiol@t-online.de> -# Date 1547218871 -3600 -# Fri Jan 11 16:01:11 2019 +0100 -# Node ID 5fcbf411d5c2a4b076e3ababeb6126125243e49d -# Parent 158b61118c7557f549656bf76ddc144c70bd3aa5 -remove deprecated samin.cc, still available as backend to nonlin_min - -diff -r 158b61118c75 -r 5fcbf411d5c2 src/Makefile.in ---- a/src/Makefile.in Fri Jan 11 15:29:45 2019 +0100 -+++ b/src/Makefile.in Fri Jan 11 16:01:11 2019 +0100 -@@ -46,7 +46,7 @@ - TEXIFILE := $(addsuffix .texi,$(basename $(INFOFILE))) - TXIFILE := $(addsuffix .txi,$(basename $(INFOFILE))) - HTMLDIR := ../doc/html/ --OCTFILES := __bfgsmin.oct numgradient.oct numhessian.oct samin.oct __disna_optim__.oct -+OCTFILES := __bfgsmin.oct numgradient.oct numhessian.oct __disna_optim__.oct - - OCTSOURCEFILES := $(addsuffix .cc,$(basename $(OCTFILES))) - DSFILES := $(addsuffix .docstrings,$(OCTSOURCEFILES)) -diff -r 158b61118c75 -r 5fcbf411d5c2 src/samin.cc ---- a/src/samin.cc Fri Jan 11 15:29:45 2019 +0100 -+++ /dev/null Thu Jan 01 00:00:00 1970 +0000 -@@ -1,549 +0,0 @@ --// Copyright (C) 2004, 2006 Michael Creel <michael.creel@uab.es> --// --// This program is free software; you can redistribute it and/or modify it under --// the terms of the GNU General Public License as published by the Free Software --// Foundation; either version 3 of the License, or (at your option) any later --// version. --// --// This program is distributed in the hope that it will be useful, but WITHOUT --// ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or --// FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more --// details. --// --// You should have received a copy of the GNU General Public License along with --// this program; if not, see <http://www.gnu.org/licenses/>. -- --// References: --// --// The code follows the article --// Goffe, William L. (1996) "SIMANN: A Global Optimization Algorithm --// using Simulated Annealing " Studies in Nonlinear Dynamics & Econometrics --// Oct96, Vol. 1 Issue 3. --// --// The code uses the same names for control variables, --// for the most part. A notable difference is that the initial --// temperature is found automatically to ensure that the active --// bounds when the temperature begins to reduce cover the entire --// parameter space (defined as a n-dimensional --// rectangle that is the Cartesian product of the --// (lb_i, ub_i), i = 1,2,..n --// --// Also of note: --// Corana et. al., (1987) "Minimizing Multimodal Functions of Continuous --// Variables with the "Simulated Annealing" Algorithm", --// ACM Transactions on Mathematical Software, V. 13, N. 3. --// --// Goffe, et. al. (1994) "Global Optimization of Statistical Functions --// with Simulated Annealing", Journal of Econometrics, --// V. 60, N. 1/2. -- --#include <oct.h> --#include <octave/parse.h> --#include <octave/Cell.h> --#include <octave/lo-mappers.h> --#include <octave/oct-rand.h> --#include <float.h> -- --#include "error-helpers.h" -- --// define argument checks --static bool any_bad_argument(const octave_value_list& args) --{ -- -- // objective function name is a string? -- if (!args(0).is_string()) -- { -- _p_error("samin: first argument must be string holding objective function name"); -- return true; -- } -- -- // are function arguments contained in a cell? -- if (!args(1).OV_ISCELL ()) -- { -- _p_error("samin: second argument must cell array of function arguments"); -- return true; -- } -- -- // is control a cell? -- Cell control; -- bool err; -- SET_ERR (control =args(2).cell_value(), err); -- if (err) -- { -- _p_error("samin: third argument must cell array of algorithm controls"); -- return true; -- } -- -- // does control have proper number of elements? -- if (!(control.numel () == 11)) -- { -- _p_error("samin: third argument must be a cell array with 11 elements"); -- return true; -- } -- -- // now check type of each element of control -- if (!(control(0).is_real_matrix()) && !(control(0).is_real_scalar())) -- { -- _p_error("samin: 1st element of controls must be LB: a vector of lower bounds"); -- return true; -- } -- -- if ((control(0).is_real_matrix()) && (control(0).columns() != 1)) -- { -- _p_error("samin: 1st element of controls must be LB: a vector of lower bounds"); -- return true; -- } -- -- if (!(control(1).is_real_matrix()) && !(control(1).is_real_scalar())) -- { -- _p_error("samin: 1st element of controls must be UB: a vector of lower bounds"); -- return true; -- } -- -- if ((control(1).is_real_matrix()) && (control(1).columns() != 1)) -- { -- _p_error("samin: 2nd element of controls must be UB: a vector of lower bounds"); -- return true; -- } -- -- int tmp; -- SET_ERR (tmp = control(2).int_value(), err); -- if (err || tmp < 1) -- { -- _p_error("samin: 3rd element of controls must be NT: positive integer\n\ --loops per temperature reduction"); -- return true; -- } -- -- SET_ERR (tmp = control(3).int_value(), err); -- if (err || tmp < 1) -- { -- _p_error("samin: 4th element of controls must be NS: positive integer\n\ --loops per stepsize adjustment"); -- return true; -- } -- -- double tmp2; -- SET_ERR (tmp2 = control(4).double_value(), err); -- if (err || tmp < 0) -- { -- _p_error("samin: 5th element of controls must be RT:\n\ --temperature reduction factor, RT > 0"); -- return true; -- } -- -- SET_ERR (tmp2 = control(5).double_value(), err); -- if (err || tmp < 0) -- { -- _p_error("samin: 6th element of controls must be integer MAXEVALS > 0 "); -- return true; -- } -- -- SET_ERR (tmp = control(6).int_value(), err); -- if (err || tmp < 0) -- { -- _p_error("samin: 7th element of controls must be NEPS: positive integer\n\ --number of final obj. values that must be within EPS of eachother "); -- return true; -- } -- -- SET_ERR (tmp2 = control(7).double_value(), err); -- if (err || tmp2 < 0) -- { -- _p_error("samin: 8th element of controls must must be FUNCTOL (> 0)\n\ --used to compare the last NEPS obj values for convergence test"); -- return true; -- } -- -- SET_ERR (tmp2 = control(8).double_value(), err); -- if (err || tmp2 < 0) -- { -- _p_error("samin: 9th element of controls must must be PARAMTOL (> 0)\n\ --used to compare the last NEPS obj values for convergence test"); -- return true; -- } -- -- SET_ERR (tmp = control(9).int_value(), err); -- if (err || tmp < 0 || tmp > 2) -- { -- _p_error("samin: 9th element of controls must be VERBOSITY (0, 1, or 2)"); -- return true; -- } -- -- SET_ERR (tmp = control(10).int_value(), err); -- if (err || tmp < 0) -- { -- _p_error("samin: 10th element of controls must be MINARG (integer)\n\ -- position of argument to minimize wrt"); -- return true; -- } -- -- // make sure that minarg points to an existing element -- if ((tmp > args(1).length ()) || (tmp < 1)) -- { -- _p_error("bfgsmin: 4th argument must be a positive integer that indicates \n\ --which of the elements of the second argument is the one minimization is over"); -- return true; -- } -- -- return false; --} -- --//-------------- The annealing algorithm -------------- --DEFUN_DLD(samin, args, , "samin: simulated annealing minimization of a function. See samin_example.m\n\ --\n\ --samin will be removed from a future version of the optim package.\n\ --Equivalent functionality is now in the samin backend of nonlin_min.\n\ --\n\ --usage: [x, obj, convergence, details] = samin(\"f\", {args}, {control})\n\ --\n\ --Arguments:\n\ --* \"f\": function name (string)\n\ --* {args}: a cell array that holds all arguments of the function,\n\ --* {control}: a cell array with 11 elements\n\ -- * LB - vector of lower bounds\n\ -- * UB - vector of upper bounds\n\ -- * nt - integer: # of iterations between temperature reductions\n\ -- * ns - integer: # of iterations between bounds adjustments\n\ -- * rt - (0 < rt <1): temperature reduction factor\n\ -- * maxevals - integer: limit on function evaluations\n\ -- * neps - integer: number of values final result is compared to\n\ -- * functol - (> 0): the required tolerance level for function value\n\ -- comparisons\n\ -- * paramtol - (> 0): the required tolerance level for parameters\n\ -- * verbosity - scalar: 0, 1, or 2.\n\ -- * 0 = no screen output\n\ -- * 1 = only final results to screen\n\ -- * 2 = summary every temperature change\n\ -- * minarg - integer: which of function args is minimization over?\n\ --\n\ --Returns:\n\ --* x: the minimizer\n\ --* obj: the value of f() at x\n\ --* convergence:\n\ -- 0 if no convergence within maxevals function evaluations\n\ -- 1 if normal convergence to a point interior to the parameter space\n\ -- 2 if convergence to point very near bounds of parameter space\n\ -- (suggest re-running with looser bounds)\n\ --* details: a px3 matrix. p is the number of times improvements were found.\n\ -- The columns record information at the time an improvement was found\n\ -- * first: cumulative number of function evaluations\n\ -- * second: temperature\n\ -- * third: function value\n\ --\n\ --Example: see samin_example\n\ --") --{ -- static bool warned = false; -- if (! warned) -- { -- warned = true; -- warning_with_id ("Octave:deprecated-function", -- "samin will be removed from a future version of the optim package, equivalent functionality is now in the samin backend of nonlin_min"); -- } -- -- int nargin = args.length(); -- if (!(nargin == 3)) -- { -- error("samin: you must supply 3 arguments"); -- return octave_value_list(); -- } -- -- // check the arguments -- if (any_bad_argument (args)) -- { -- error ("error in samin"); -- return octave_value_list(); -- } -- -- std::string obj_fn (args(0).string_value()); -- Cell f_args_cell = args(1).cell_value (); // args to obj fn come in as a cell to allow arbitrary number -- Cell control (args(2).cell_value()); -- -- octave_value_list f_args; -- octave_value_list f_return; // holder for feval returns -- -- int m, i, j, k, h, n, nacc, func_evals; -- int nup, nrej, nnew, ndown, lnobds; -- int converge, test, coverage_ok; -- -- // user provided controls -- const ColumnVector lb (control(0).column_vector_value()); -- const ColumnVector ub (control(1).column_vector_value()); -- const int nt (control(2).int_value()); -- const int ns (control(3).int_value()); -- const double rt (control(4).double_value()); -- const int maxevals (control(5).int_value()); -- const int neps (control(6).int_value()); -- const double functol (control(7).double_value()); -- const double paramtol (control(8).double_value()); -- const int verbosity (control(9).int_value()); -- const int minarg (control(10).int_value()); -- -- // type checking for minimization parameter done here, since we don't know minarg -- // until now -- if (!(f_args_cell(minarg - 1).is_real_matrix() || (f_args_cell(minarg - 1).is_real_scalar()))) -- { -- error("samin: minimization must be with respect to a column vector"); -- return octave_value_list(); -- } -- if ((f_args_cell(minarg - 1).is_real_matrix()) && (f_args_cell(minarg - 1).columns() != 1)) -- { -- error("samin: minimization must be with respect to a column vector"); -- return octave_value_list(); -- } -- -- double f, fp, p, fopt, rand_draw, ratio, t; -- -- Matrix details(1,3); // record function evaluations, temperatures and function values -- RowVector info(3); -- -- // copy cell contents over to octave_value_list to use feval() -- k = f_args_cell.numel (); -- f_args(k); // resize only once -- for (i = 0; i<k; i++) f_args(i) = f_args_cell(i); -- -- ColumnVector x = f_args(minarg - 1).column_vector_value(); -- ColumnVector bounds = ub - lb; -- n = x.rows(); -- ColumnVector xopt = x; -- ColumnVector xp(n); -- ColumnVector nacp(n); -- -- // Set initial values -- nacc = 0; // total accepted trials -- t = 1000.0; // temperature - will initially rise or fall to cover parameter space. Then it will fall -- converge = 0; // convergence indicator 0 (failure), 1 (normal success), or 2 (convergence but near bounds) -- coverage_ok = 0; // has parameter space been covered? When turns to 1, temperature starts to fall -- // most recent values, to compare to when checking convergend -- ColumnVector fstar(neps,1); -- fstar.fill(DBL_MAX); -- octave_rand::distribution("uniform"); // we'll be using draws from U(0,1) -- -- // check for out-of-bounds starting values -- for(i = 0; i < n; i++) -- { -- if(( x(i) > ub(i)) || (x(i) < lb(i))) -- { -- error("samin: initial parameter %d out of bounds", i+1); -- return octave_value_list(); -- } -- } -- -- // Initial obj_value -- f_return = OCTAVE__FEVAL (obj_fn, f_args); -- f = f_return(0).double_value(); -- fopt = f; // give it something to compare to -- func_evals = 0; // total function evaluations (limited by maxeval) -- details(0,0) = func_evals; -- details(0,1) = t; -- details(0,2) = fopt; -- -- // main loop, first increase temperature until parameter space covered, then reduce until convergence -- while(converge==0) -- { -- // statistics to report at each temp change, set back to zero -- nup = 0; -- nrej = 0; -- nnew = 0; -- ndown = 0; -- lnobds = 0; -- -- // repeat nt times then adjust temperature -- for(m = 0;m < nt;m++) -- { -- // repeat ns times, then adjust bounds -- for(j = 0;j < ns;j++) -- { -- // generate new point by taking last and adding a random value -- // to each of elements, in turn -- for(h = 0;h < n;h++) -- { -- // new Sept 2011, if bounds are same, skip the search for that vbl. Allows restrictions without complicated programming -- if (lb(h) != ub(h)) -- { -- xp = x; -- rand_draw = octave_rand::scalar(); -- xp(h) = x(h) + (2.0 * rand_draw - 1.0) * bounds(h); -- if ((xp(h) < lb(h)) || (xp(h) > ub(h))) -- { -- rand_draw = octave_rand::scalar(); // change 07-Nov-2007: avoid correlation with hitting bounds -- xp(h) = lb(h) + (ub(h) - lb(h)) * rand_draw; -- lnobds = lnobds + 1; -- } -- // Evaluate function at new point -- f_args(minarg - 1) = xp; -- f_return = OCTAVE__FEVAL (obj_fn, f_args); -- fp = f_return(0).double_value(); -- func_evals = func_evals + 1; -- // Accept the new point if the function value decreases -- if(fp <= f) -- { -- x = xp; -- f = fp; -- nacc = nacc + 1; // total number of acceptances -- nacp(h) = nacp(h) + 1; // acceptances for this parameter -- nup = nup + 1; -- // If lower than any other point, record as new optimum -- if(fp < fopt) -- { -- xopt = xp; -- fopt = fp; -- nnew = nnew + 1; -- info(0) = func_evals; -- info(1) = t; -- info(2) = fp; -- details = details.stack(info); -- } -- } -- // If the point is higher, use the Metropolis criteria to decide on -- // acceptance or rejection. -- else -- { -- p = exp(-(fp - f) / t); -- rand_draw = octave_rand::scalar(); -- if(rand_draw < p) -- { -- x = xp; -- f = fp; -- nacc = nacc + 1; -- nacp(h) = nacp(h) + 1; -- ndown = ndown + 1; -- } -- else nrej = nrej + 1; -- } -- } -- // If maxevals exceeded, terminate the algorithm -- if (func_evals >= maxevals) -- { -- if (verbosity >= 1) -- { -- printf("\n================================================\n"); -- printf("SAMIN results\n"); -- printf("NO CONVERGENCE: MAXEVALS exceeded\n"); -- printf("================================================\n"); -- printf("Convergence tolerances: Func. tol. %e Param. tol. %e\n", functol, paramtol); -- printf("Obj. fn. value %f\n\n", fopt); -- printf(" parameter search width\n"); -- for(i = 0; i < n; i++) printf("%20f%20f\n", xopt(i), bounds(i)); -- } -- f_return(3) = details; -- f_return(2) = 0; -- f_return(1) = fopt; -- f_return(0) = xopt; -- return octave_value_list(f_return); -- } -- } -- } -- // Adjust bounds so that approximately half of all evaluations are accepted -- test = 0; -- for(i = 0;i < n;i++) -- { -- if (lb(i) != ub(i)) -- { -- ratio = nacp(i) / ns; -- if(ratio > 0.6) bounds(i) = bounds(i) * (1.0 + 2.0 * (ratio - 0.6) / 0.4); -- else if (ratio < .4) -- bounds(i) = bounds(i) / (1.0 + 2.0 * ((0.4 - ratio) / 0.4)); -- // keep within initial bounds -- if(bounds(i) >= (ub(i) - lb(i))) -- { -- bounds(i) = ub(i) - lb(i); -- test = test + 1; -- } -- } -- else -- test = test + 1; // make sure coverage check passes for the fixed parameters -- } -- nacp.fill(0.0); -- // check if we cover parameter space. if we have yet to do so -- if (!coverage_ok) coverage_ok = (test == n); -- } -- // intermediate output, if desired -- if(verbosity == 2) -- { -- printf("\nsamin: intermediate results before next temperature change\n"); -- printf("\ntemperature %e", t); -- printf("\ncurrent best function value %f", fopt); -- printf("\ntotal evaluations so far %d", func_evals); -- printf("\ntotal moves since last temperature reduction %d", nup + ndown + nrej); -- printf("\ndownhill %d", nup); -- printf("\naccepted uphill %d", ndown); -- printf("\nrejected uphill %d", nrej); -- printf("\nout of bounds trials %d", lnobds); -- printf("\nnew minima this temperature %d", nnew); -- printf("\n\n parameter search width\n"); -- for(i = 0; i < n; i++) printf("%20f%20f\n", xopt(i), bounds(i)); -- printf("\n"); -- } -- // Check for convergence, if we have covered the parameter space -- if (coverage_ok) -- { -- // last value close enough to last neps values? -- fstar(0) = f; -- test = 0; -- for (i = 1; i < neps; i++) test = test + fabs(f - fstar(i)) > functol; -- test = (test > 0); // if different from zero, function conv. has failed -- // last value close enough to overall best? -- if (((fopt - f) <= functol) && (!test)) -- { -- // check for bound narrow enough for parameter convergence -- for (i = 0;i < n;i++) -- { -- if (bounds(i) > paramtol) -- { -- converge = 0; // no conv. if bounds too wide -- break; -- } -- else -- converge = 1; -- } -- } -- // check if optimal point is near boundary of parameter space, and change convergence message if so -- if (converge && lnobds > 0) converge = 2; -- // Like to see the final results? -- if (converge > 0) -- { -- if (verbosity >= 1) -- { -- printf("\n================================================\n"); -- printf("SAMIN results\n\n"); -- if (converge == 1) printf("==> Normal convergence <==\n\n"); -- if (converge == 2) -- { -- printf("==> WARNING <==: Last point satisfies convergence criteria,\n"); -- printf("but is near boundary of parameter space.\n"); -- printf("%d out of %d evaluations were out-of-bounds in the last round.\n", lnobds, (nup+ndown+nrej)); -- printf("Expand bounds and re-run, unless this is a constrained minimization.\n\n"); -- } -- printf("Convergence tolerances:\nFunction: %e\nParameters: %e\n", functol, paramtol); -- printf("\nObjective function value at minimum: %f\n\n", fopt); -- printf(" parameter search width\n"); -- for(i = 0; i < n; i++) printf("%20f%20f\n", xopt(i), bounds(i)); -- printf("================================================\n"); -- } -- f_return(3) = details; -- f_return(2) = converge; -- f_return(1) = fopt; -- f_return(0) = xopt; -- return f_return; // this breaks out, if we get here -- } -- // Reduce temperature, record current function value in the -- // list of last "neps" values, and loop again -- t = rt * t; -- for(i = neps-1; i > 0; i--) fstar(i) = fstar(i-1); -- f = fopt; -- x = xopt; -- } -- else -- { -- // coverage not ok - increase temperature quickly to expand search area, to cover parameter space -- t = t*t; -- for(i = neps-1; i > 0; i--) fstar(i) = fstar(i-1); -- f = fopt; -- x = xopt; -- } -- } -- // silence compiler warning -- return octave_value_list (); --}
--- a/src/of-optim.mk Mon Apr 15 08:04:03 2019 -0400 +++ b/src/of-optim.mk Wed Apr 17 07:51:07 2019 -0400 @@ -3,8 +3,8 @@ PKG := of-optim $(PKG)_IGNORE := -$(PKG)_VERSION := 1.5.3 -$(PKG)_CHECKSUM := 3633a5257fbf882e1d654303f9e3ce090456165a +$(PKG)_VERSION := 1.6.0 +$(PKG)_CHECKSUM := b7b55449a2861f0d318db1ccf1c37294fcdca604 $(PKG)_REMOTE_SUBDIR := $(PKG)_SUBDIR := optim-$($(PKG)_VERSION) $(PKG)_FILE := optim-$($(PKG)_VERSION).tar.gz