_differentialevolution.py
55.9 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
1001
1002
1003
1004
1005
1006
1007
1008
1009
1010
1011
1012
1013
1014
1015
1016
1017
1018
1019
1020
1021
1022
1023
1024
1025
1026
1027
1028
1029
1030
1031
1032
1033
1034
1035
1036
1037
1038
1039
1040
1041
1042
1043
1044
1045
1046
1047
1048
1049
1050
1051
1052
1053
1054
1055
1056
1057
1058
1059
1060
1061
1062
1063
1064
1065
1066
1067
1068
1069
1070
1071
1072
1073
1074
1075
1076
1077
1078
1079
1080
1081
1082
1083
1084
1085
1086
1087
1088
1089
1090
1091
1092
1093
1094
1095
1096
1097
1098
1099
1100
1101
1102
1103
1104
1105
1106
1107
1108
1109
1110
1111
1112
1113
1114
1115
1116
1117
1118
1119
1120
1121
1122
1123
1124
1125
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
1137
1138
1139
1140
1141
1142
1143
1144
1145
1146
1147
1148
1149
1150
1151
1152
1153
1154
1155
1156
1157
1158
1159
1160
1161
1162
1163
1164
1165
1166
1167
1168
1169
1170
1171
1172
1173
1174
1175
1176
1177
1178
1179
1180
1181
1182
1183
1184
1185
1186
1187
1188
1189
1190
1191
1192
1193
1194
1195
1196
1197
1198
1199
1200
1201
1202
1203
1204
1205
1206
1207
1208
1209
1210
1211
1212
1213
1214
1215
1216
1217
1218
1219
1220
1221
1222
1223
1224
1225
1226
1227
1228
1229
1230
1231
1232
1233
1234
1235
1236
1237
1238
1239
1240
1241
1242
1243
1244
1245
1246
1247
1248
1249
1250
1251
1252
1253
1254
1255
1256
1257
1258
1259
1260
1261
1262
1263
1264
1265
1266
1267
1268
1269
1270
1271
1272
1273
1274
1275
1276
1277
1278
1279
1280
1281
1282
1283
1284
1285
1286
1287
1288
1289
1290
1291
1292
1293
1294
1295
1296
1297
1298
1299
1300
1301
1302
1303
1304
1305
1306
1307
1308
1309
1310
1311
1312
1313
1314
1315
1316
1317
1318
1319
1320
1321
1322
1323
1324
1325
1326
1327
1328
1329
1330
1331
1332
1333
1334
1335
1336
1337
1338
1339
1340
1341
1342
1343
1344
1345
1346
"""
differential_evolution: The differential evolution global optimization algorithm
Added by Andrew Nelson 2014
"""
from __future__ import division, print_function, absolute_import
import warnings
import numpy as np
from scipy.optimize import OptimizeResult, minimize
from scipy.optimize.optimize import _status_message
from scipy._lib._util import check_random_state, MapWrapper
from scipy._lib.six import xrange, string_types
from scipy.optimize._constraints import (Bounds, new_bounds_to_old,
NonlinearConstraint, LinearConstraint)
__all__ = ['differential_evolution']
_MACHEPS = np.finfo(np.float64).eps
def differential_evolution(func, bounds, args=(), strategy='best1bin',
maxiter=1000, popsize=15, tol=0.01,
mutation=(0.5, 1), recombination=0.7, seed=None,
callback=None, disp=False, polish=True,
init='latinhypercube', atol=0, updating='immediate',
workers=1, constraints=()):
"""Finds the global minimum of a multivariate function.
Differential Evolution is stochastic in nature (does not use gradient
methods) to find the minimum, and can search large areas of candidate
space, but often requires larger numbers of function evaluations than
conventional gradient based techniques.
The algorithm is due to Storn and Price [1]_.
Parameters
----------
func : callable
The objective function to be minimized. Must be in the form
``f(x, *args)``, where ``x`` is the argument in the form of a 1-D array
and ``args`` is a tuple of any additional fixed parameters needed to
completely specify the function.
bounds : sequence or `Bounds`, optional
Bounds for variables. There are two ways to specify the bounds:
1. Instance of `Bounds` class.
2. ``(min, max)`` pairs for each element in ``x``, defining the finite
lower and upper bounds for the optimizing argument of `func`. It is
required to have ``len(bounds) == len(x)``. ``len(bounds)`` is used
to determine the number of parameters in ``x``.
args : tuple, optional
Any additional fixed parameters needed to
completely specify the objective function.
strategy : str, optional
The differential evolution strategy to use. Should be one of:
- 'best1bin'
- 'best1exp'
- 'rand1exp'
- 'randtobest1exp'
- 'currenttobest1exp'
- 'best2exp'
- 'rand2exp'
- 'randtobest1bin'
- 'currenttobest1bin'
- 'best2bin'
- 'rand2bin'
- 'rand1bin'
The default is 'best1bin'.
maxiter : int, optional
The maximum number of generations over which the entire population is
evolved. The maximum number of function evaluations (with no polishing)
is: ``(maxiter + 1) * popsize * len(x)``
popsize : int, optional
A multiplier for setting the total population size. The population has
``popsize * len(x)`` individuals (unless the initial population is
supplied via the `init` keyword).
tol : float, optional
Relative tolerance for convergence, the solving stops when
``np.std(pop) <= atol + tol * np.abs(np.mean(population_energies))``,
where and `atol` and `tol` are the absolute and relative tolerance
respectively.
mutation : float or tuple(float, float), optional
The mutation constant. In the literature this is also known as
differential weight, being denoted by F.
If specified as a float it should be in the range [0, 2].
If specified as a tuple ``(min, max)`` dithering is employed. Dithering
randomly changes the mutation constant on a generation by generation
basis. The mutation constant for that generation is taken from
``U[min, max)``. Dithering can help speed convergence significantly.
Increasing the mutation constant increases the search radius, but will
slow down convergence.
recombination : float, optional
The recombination constant, should be in the range [0, 1]. In the
literature this is also known as the crossover probability, being
denoted by CR. Increasing this value allows a larger number of mutants
to progress into the next generation, but at the risk of population
stability.
seed : int or `np.random.RandomState`, optional
If `seed` is not specified the `np.RandomState` singleton is used.
If `seed` is an int, a new `np.random.RandomState` instance is used,
seeded with seed.
If `seed` is already a `np.random.RandomState instance`, then that
`np.random.RandomState` instance is used.
Specify `seed` for repeatable minimizations.
disp : bool, optional
Prints the evaluated `func` at every iteration.
callback : callable, `callback(xk, convergence=val)`, optional
A function to follow the progress of the minimization. ``xk`` is
the current value of ``x0``. ``val`` represents the fractional
value of the population convergence. When ``val`` is greater than one
the function halts. If callback returns `True`, then the minimization
is halted (any polishing is still carried out).
polish : bool, optional
If True (default), then `scipy.optimize.minimize` with the `L-BFGS-B`
method is used to polish the best population member at the end, which
can improve the minimization slightly. If a constrained problem is
being studied then the `trust-constr` method is used instead.
init : str or array-like, optional
Specify which type of population initialization is performed. Should be
one of:
- 'latinhypercube'
- 'random'
- array specifying the initial population. The array should have
shape ``(M, len(x))``, where len(x) is the number of parameters.
`init` is clipped to `bounds` before use.
The default is 'latinhypercube'. Latin Hypercube sampling tries to
maximize coverage of the available parameter space. 'random'
initializes the population randomly - this has the drawback that
clustering can occur, preventing the whole of parameter space being
covered. Use of an array to specify a population subset could be used,
for example, to create a tight bunch of initial guesses in an location
where the solution is known to exist, thereby reducing time for
convergence.
atol : float, optional
Absolute tolerance for convergence, the solving stops when
``np.std(pop) <= atol + tol * np.abs(np.mean(population_energies))``,
where and `atol` and `tol` are the absolute and relative tolerance
respectively.
updating : {'immediate', 'deferred'}, optional
If ``'immediate'``, the best solution vector is continuously updated
within a single generation [4]_. This can lead to faster convergence as
trial vectors can take advantage of continuous improvements in the best
solution.
With ``'deferred'``, the best solution vector is updated once per
generation. Only ``'deferred'`` is compatible with parallelization, and
the `workers` keyword can over-ride this option.
.. versionadded:: 1.2.0
workers : int or map-like callable, optional
If `workers` is an int the population is subdivided into `workers`
sections and evaluated in parallel
(uses `multiprocessing.Pool <multiprocessing>`).
Supply -1 to use all available CPU cores.
Alternatively supply a map-like callable, such as
`multiprocessing.Pool.map` for evaluating the population in parallel.
This evaluation is carried out as ``workers(func, iterable)``.
This option will override the `updating` keyword to
``updating='deferred'`` if ``workers != 1``.
Requires that `func` be pickleable.
.. versionadded:: 1.2.0
constraints : {NonLinearConstraint, LinearConstraint, Bounds}
Constraints on the solver, over and above those applied by the `bounds`
kwd. Uses the approach by Lampinen [5]_.
.. versionadded:: 1.4.0
Returns
-------
res : OptimizeResult
The optimization result represented as a `OptimizeResult` object.
Important attributes are: ``x`` the solution array, ``success`` a
Boolean flag indicating if the optimizer exited successfully and
``message`` which describes the cause of the termination. See
`OptimizeResult` for a description of other attributes. If `polish`
was employed, and a lower minimum was obtained by the polishing, then
OptimizeResult also contains the ``jac`` attribute.
If the eventual solution does not satisfy the applied constraints
``success`` will be `False`.
Notes
-----
Differential evolution is a stochastic population based method that is
useful for global optimization problems. At each pass through the population
the algorithm mutates each candidate solution by mixing with other candidate
solutions to create a trial candidate. There are several strategies [2]_ for
creating trial candidates, which suit some problems more than others. The
'best1bin' strategy is a good starting point for many systems. In this
strategy two members of the population are randomly chosen. Their difference
is used to mutate the best member (the `best` in `best1bin`), :math:`b_0`,
so far:
.. math::
b' = b_0 + mutation * (population[rand0] - population[rand1])
A trial vector is then constructed. Starting with a randomly chosen 'i'th
parameter the trial is sequentially filled (in modulo) with parameters from
``b'`` or the original candidate. The choice of whether to use ``b'`` or the
original candidate is made with a binomial distribution (the 'bin' in
'best1bin') - a random number in [0, 1) is generated. If this number is
less than the `recombination` constant then the parameter is loaded from
``b'``, otherwise it is loaded from the original candidate. The final
parameter is always loaded from ``b'``. Once the trial candidate is built
its fitness is assessed. If the trial is better than the original candidate
then it takes its place. If it is also better than the best overall
candidate it also replaces that.
To improve your chances of finding a global minimum use higher `popsize`
values, with higher `mutation` and (dithering), but lower `recombination`
values. This has the effect of widening the search radius, but slowing
convergence.
By default the best solution vector is updated continuously within a single
iteration (``updating='immediate'``). This is a modification [4]_ of the
original differential evolution algorithm which can lead to faster
convergence as trial vectors can immediately benefit from improved
solutions. To use the original Storn and Price behaviour, updating the best
solution once per iteration, set ``updating='deferred'``.
.. versionadded:: 0.15.0
Examples
--------
Let us consider the problem of minimizing the Rosenbrock function. This
function is implemented in `rosen` in `scipy.optimize`.
>>> from scipy.optimize import rosen, differential_evolution
>>> bounds = [(0,2), (0, 2), (0, 2), (0, 2), (0, 2)]
>>> result = differential_evolution(rosen, bounds)
>>> result.x, result.fun
(array([1., 1., 1., 1., 1.]), 1.9216496320061384e-19)
Now repeat, but with parallelization.
>>> bounds = [(0,2), (0, 2), (0, 2), (0, 2), (0, 2)]
>>> result = differential_evolution(rosen, bounds, updating='deferred',
... workers=2)
>>> result.x, result.fun
(array([1., 1., 1., 1., 1.]), 1.9216496320061384e-19)
Let's try and do a constrained minimization
>>> from scipy.optimize import NonlinearConstraint, Bounds
>>> def constr_f(x):
... return np.array(x[0] + x[1])
>>>
>>> # the sum of x[0] and x[1] must be less than 1.9
>>> nlc = NonlinearConstraint(constr_f, -np.inf, 1.9)
>>> # specify limits using a `Bounds` object.
>>> bounds = Bounds([0., 0.], [2., 2.])
>>> result = differential_evolution(rosen, bounds, constraints=(nlc),
... seed=1)
>>> result.x, result.fun
(array([0.96633867, 0.93363577]), 0.0011361355854792312)
Next find the minimum of the Ackley function
(https://en.wikipedia.org/wiki/Test_functions_for_optimization).
>>> from scipy.optimize import differential_evolution
>>> import numpy as np
>>> def ackley(x):
... arg1 = -0.2 * np.sqrt(0.5 * (x[0] ** 2 + x[1] ** 2))
... arg2 = 0.5 * (np.cos(2. * np.pi * x[0]) + np.cos(2. * np.pi * x[1]))
... return -20. * np.exp(arg1) - np.exp(arg2) + 20. + np.e
>>> bounds = [(-5, 5), (-5, 5)]
>>> result = differential_evolution(ackley, bounds)
>>> result.x, result.fun
(array([ 0., 0.]), 4.4408920985006262e-16)
References
----------
.. [1] Storn, R and Price, K, Differential Evolution - a Simple and
Efficient Heuristic for Global Optimization over Continuous Spaces,
Journal of Global Optimization, 1997, 11, 341 - 359.
.. [2] http://www1.icsi.berkeley.edu/~storn/code.html
.. [3] http://en.wikipedia.org/wiki/Differential_evolution
.. [4] Wormington, M., Panaccione, C., Matney, K. M., Bowen, D. K., -
Characterization of structures from X-ray scattering data using
genetic algorithms, Phil. Trans. R. Soc. Lond. A, 1999, 357,
2827-2848
.. [5] Lampinen, J., A constraint handling approach for the differential
evolution algorithm. Proceedings of the 2002 Congress on
Evolutionary Computation. CEC'02 (Cat. No. 02TH8600). Vol. 2. IEEE,
2002.
"""
# using a context manager means that any created Pool objects are
# cleared up.
with DifferentialEvolutionSolver(func, bounds, args=args,
strategy=strategy,
maxiter=maxiter,
popsize=popsize, tol=tol,
mutation=mutation,
recombination=recombination,
seed=seed, polish=polish,
callback=callback,
disp=disp, init=init, atol=atol,
updating=updating,
workers=workers,
constraints=constraints) as solver:
ret = solver.solve()
return ret
class DifferentialEvolutionSolver(object):
"""This class implements the differential evolution solver
Parameters
----------
func : callable
The objective function to be minimized. Must be in the form
``f(x, *args)``, where ``x`` is the argument in the form of a 1-D array
and ``args`` is a tuple of any additional fixed parameters needed to
completely specify the function.
bounds : sequence or `Bounds`, optional
Bounds for variables. There are two ways to specify the bounds:
1. Instance of `Bounds` class.
2. ``(min, max)`` pairs for each element in ``x``, defining the finite
lower and upper bounds for the optimizing argument of `func`. It is
required to have ``len(bounds) == len(x)``. ``len(bounds)`` is used
to determine the number of parameters in ``x``.
args : tuple, optional
Any additional fixed parameters needed to
completely specify the objective function.
strategy : str, optional
The differential evolution strategy to use. Should be one of:
- 'best1bin'
- 'best1exp'
- 'rand1exp'
- 'randtobest1exp'
- 'currenttobest1exp'
- 'best2exp'
- 'rand2exp'
- 'randtobest1bin'
- 'currenttobest1bin'
- 'best2bin'
- 'rand2bin'
- 'rand1bin'
The default is 'best1bin'
maxiter : int, optional
The maximum number of generations over which the entire population is
evolved. The maximum number of function evaluations (with no polishing)
is: ``(maxiter + 1) * popsize * len(x)``
popsize : int, optional
A multiplier for setting the total population size. The population has
``popsize * len(x)`` individuals (unless the initial population is
supplied via the `init` keyword).
tol : float, optional
Relative tolerance for convergence, the solving stops when
``np.std(pop) <= atol + tol * np.abs(np.mean(population_energies))``,
where and `atol` and `tol` are the absolute and relative tolerance
respectively.
mutation : float or tuple(float, float), optional
The mutation constant. In the literature this is also known as
differential weight, being denoted by F.
If specified as a float it should be in the range [0, 2].
If specified as a tuple ``(min, max)`` dithering is employed. Dithering
randomly changes the mutation constant on a generation by generation
basis. The mutation constant for that generation is taken from
U[min, max). Dithering can help speed convergence significantly.
Increasing the mutation constant increases the search radius, but will
slow down convergence.
recombination : float, optional
The recombination constant, should be in the range [0, 1]. In the
literature this is also known as the crossover probability, being
denoted by CR. Increasing this value allows a larger number of mutants
to progress into the next generation, but at the risk of population
stability.
seed : int or `np.random.RandomState`, optional
If `seed` is not specified the `np.random.RandomState` singleton is
used.
If `seed` is an int, a new `np.random.RandomState` instance is used,
seeded with `seed`.
If `seed` is already a `np.random.RandomState` instance, then that
`np.random.RandomState` instance is used.
Specify `seed` for repeatable minimizations.
disp : bool, optional
Prints the evaluated `func` at every iteration.
callback : callable, `callback(xk, convergence=val)`, optional
A function to follow the progress of the minimization. ``xk`` is
the current value of ``x0``. ``val`` represents the fractional
value of the population convergence. When ``val`` is greater than one
the function halts. If callback returns `True`, then the minimization
is halted (any polishing is still carried out).
polish : bool, optional
If True (default), then `scipy.optimize.minimize` with the `L-BFGS-B`
method is used to polish the best population member at the end, which
can improve the minimization slightly. If a constrained problem is
being studied then the `trust-constr` method is used instead.
maxfun : int, optional
Set the maximum number of function evaluations. However, it probably
makes more sense to set `maxiter` instead.
init : str or array-like, optional
Specify which type of population initialization is performed. Should be
one of:
- 'latinhypercube'
- 'random'
- array specifying the initial population. The array should have
shape ``(M, len(x))``, where len(x) is the number of parameters.
`init` is clipped to `bounds` before use.
The default is 'latinhypercube'. Latin Hypercube sampling tries to
maximize coverage of the available parameter space. 'random'
initializes the population randomly - this has the drawback that
clustering can occur, preventing the whole of parameter space being
covered. Use of an array to specify a population could be used, for
example, to create a tight bunch of initial guesses in an location
where the solution is known to exist, thereby reducing time for
convergence.
atol : float, optional
Absolute tolerance for convergence, the solving stops when
``np.std(pop) <= atol + tol * np.abs(np.mean(population_energies))``,
where and `atol` and `tol` are the absolute and relative tolerance
respectively.
updating : {'immediate', 'deferred'}, optional
If `immediate` the best solution vector is continuously updated within
a single generation. This can lead to faster convergence as trial
vectors can take advantage of continuous improvements in the best
solution.
With `deferred` the best solution vector is updated once per
generation. Only `deferred` is compatible with parallelization, and the
`workers` keyword can over-ride this option.
workers : int or map-like callable, optional
If `workers` is an int the population is subdivided into `workers`
sections and evaluated in parallel
(uses `multiprocessing.Pool <multiprocessing>`).
Supply `-1` to use all cores available to the Process.
Alternatively supply a map-like callable, such as
`multiprocessing.Pool.map` for evaluating the population in parallel.
This evaluation is carried out as ``workers(func, iterable)``.
This option will override the `updating` keyword to
`updating='deferred'` if `workers != 1`.
Requires that `func` be pickleable.
constraints : {NonLinearConstraint, LinearConstraint, Bounds}
Constraints on the solver, over and above those applied by the `bounds`
kwd. Uses the approach by Lampinen.
"""
# Dispatch of mutation strategy method (binomial or exponential).
_binomial = {'best1bin': '_best1',
'randtobest1bin': '_randtobest1',
'currenttobest1bin': '_currenttobest1',
'best2bin': '_best2',
'rand2bin': '_rand2',
'rand1bin': '_rand1'}
_exponential = {'best1exp': '_best1',
'rand1exp': '_rand1',
'randtobest1exp': '_randtobest1',
'currenttobest1exp': '_currenttobest1',
'best2exp': '_best2',
'rand2exp': '_rand2'}
__init_error_msg = ("The population initialization method must be one of "
"'latinhypercube' or 'random', or an array of shape "
"(M, N) where N is the number of parameters and M>5")
def __init__(self, func, bounds, args=(),
strategy='best1bin', maxiter=1000, popsize=15,
tol=0.01, mutation=(0.5, 1), recombination=0.7, seed=None,
maxfun=np.inf, callback=None, disp=False, polish=True,
init='latinhypercube', atol=0, updating='immediate',
workers=1, constraints=()):
if strategy in self._binomial:
self.mutation_func = getattr(self, self._binomial[strategy])
elif strategy in self._exponential:
self.mutation_func = getattr(self, self._exponential[strategy])
else:
raise ValueError("Please select a valid mutation strategy")
self.strategy = strategy
self.callback = callback
self.polish = polish
# set the updating / parallelisation options
if updating in ['immediate', 'deferred']:
self._updating = updating
# want to use parallelisation, but updating is immediate
if workers != 1 and updating == 'immediate':
warnings.warn("differential_evolution: the 'workers' keyword has"
" overridden updating='immediate' to"
" updating='deferred'", UserWarning)
self._updating = 'deferred'
# an object with a map method.
self._mapwrapper = MapWrapper(workers)
# relative and absolute tolerances for convergence
self.tol, self.atol = tol, atol
# Mutation constant should be in [0, 2). If specified as a sequence
# then dithering is performed.
self.scale = mutation
if (not np.all(np.isfinite(mutation)) or
np.any(np.array(mutation) >= 2) or
np.any(np.array(mutation) < 0)):
raise ValueError('The mutation constant must be a float in '
'U[0, 2), or specified as a tuple(min, max)'
' where min < max and min, max are in U[0, 2).')
self.dither = None
if hasattr(mutation, '__iter__') and len(mutation) > 1:
self.dither = [mutation[0], mutation[1]]
self.dither.sort()
self.cross_over_probability = recombination
# we create a wrapped function to allow the use of map (and Pool.map
# in the future)
self.func = _FunctionWrapper(func, args)
self.args = args
# convert tuple of lower and upper bounds to limits
# [(low_0, high_0), ..., (low_n, high_n]
# -> [[low_0, ..., low_n], [high_0, ..., high_n]]
if isinstance(bounds, Bounds):
self.limits = np.array(new_bounds_to_old(bounds.lb,
bounds.ub,
len(bounds.lb)),
dtype=float).T
else:
self.limits = np.array(bounds, dtype='float').T
if (np.size(self.limits, 0) != 2 or not
np.all(np.isfinite(self.limits))):
raise ValueError('bounds should be a sequence containing '
'real valued (min, max) pairs for each value'
' in x')
if maxiter is None: # the default used to be None
maxiter = 1000
self.maxiter = maxiter
if maxfun is None: # the default used to be None
maxfun = np.inf
self.maxfun = maxfun
# population is scaled to between [0, 1].
# We have to scale between parameter <-> population
# save these arguments for _scale_parameter and
# _unscale_parameter. This is an optimization
self.__scale_arg1 = 0.5 * (self.limits[0] + self.limits[1])
self.__scale_arg2 = np.fabs(self.limits[0] - self.limits[1])
self.parameter_count = np.size(self.limits, 1)
self.random_number_generator = check_random_state(seed)
# default population initialization is a latin hypercube design, but
# there are other population initializations possible.
# the minimum is 5 because 'best2bin' requires a population that's at
# least 5 long
self.num_population_members = max(5, popsize * self.parameter_count)
self.population_shape = (self.num_population_members,
self.parameter_count)
self._nfev = 0
if isinstance(init, string_types):
if init == 'latinhypercube':
self.init_population_lhs()
elif init == 'random':
self.init_population_random()
else:
raise ValueError(self.__init_error_msg)
else:
self.init_population_array(init)
# infrastructure for constraints
# dummy parameter vector for preparing constraints, this is required so
# that the number of constraints is known.
x0 = self._scale_parameters(self.population[0])
self.constraints = constraints
self._wrapped_constraints = []
if hasattr(constraints, '__len__'):
# sequence of constraints, this will also deal with default
# keyword parameter
for c in constraints:
self._wrapped_constraints.append(_ConstraintWrapper(c, x0))
else:
self._wrapped_constraints = [_ConstraintWrapper(constraints, x0)]
self.constraint_violation = np.zeros((self.num_population_members, 1))
self.feasible = np.ones(self.num_population_members, bool)
self.disp = disp
def init_population_lhs(self):
"""
Initializes the population with Latin Hypercube Sampling.
Latin Hypercube Sampling ensures that each parameter is uniformly
sampled over its range.
"""
rng = self.random_number_generator
# Each parameter range needs to be sampled uniformly. The scaled
# parameter range ([0, 1)) needs to be split into
# `self.num_population_members` segments, each of which has the following
# size:
segsize = 1.0 / self.num_population_members
# Within each segment we sample from a uniform random distribution.
# We need to do this sampling for each parameter.
samples = (segsize * rng.random_sample(self.population_shape)
# Offset each segment to cover the entire parameter range [0, 1)
+ np.linspace(0., 1., self.num_population_members,
endpoint=False)[:, np.newaxis])
# Create an array for population of candidate solutions.
self.population = np.zeros_like(samples)
# Initialize population of candidate solutions by permutation of the
# random samples.
for j in range(self.parameter_count):
order = rng.permutation(range(self.num_population_members))
self.population[:, j] = samples[order, j]
# reset population energies
self.population_energies = np.full(self.num_population_members,
np.inf)
# reset number of function evaluations counter
self._nfev = 0
def init_population_random(self):
"""
Initialises the population at random. This type of initialization
can possess clustering, Latin Hypercube sampling is generally better.
"""
rng = self.random_number_generator
self.population = rng.random_sample(self.population_shape)
# reset population energies
self.population_energies = np.full(self.num_population_members,
np.inf)
# reset number of function evaluations counter
self._nfev = 0
def init_population_array(self, init):
"""
Initialises the population with a user specified population.
Parameters
----------
init : np.ndarray
Array specifying subset of the initial population. The array should
have shape (M, len(x)), where len(x) is the number of parameters.
The population is clipped to the lower and upper bounds.
"""
# make sure you're using a float array
popn = np.asfarray(init)
if (np.size(popn, 0) < 5 or
popn.shape[1] != self.parameter_count or
len(popn.shape) != 2):
raise ValueError("The population supplied needs to have shape"
" (M, len(x)), where M > 4.")
# scale values and clip to bounds, assigning to population
self.population = np.clip(self._unscale_parameters(popn), 0, 1)
self.num_population_members = np.size(self.population, 0)
self.population_shape = (self.num_population_members,
self.parameter_count)
# reset population energies
self.population_energies = np.full(self.num_population_members,
np.inf)
# reset number of function evaluations counter
self._nfev = 0
@property
def x(self):
"""
The best solution from the solver
"""
return self._scale_parameters(self.population[0])
@property
def convergence(self):
"""
The standard deviation of the population energies divided by their
mean.
"""
if np.any(np.isinf(self.population_energies)):
return np.inf
return (np.std(self.population_energies) /
np.abs(np.mean(self.population_energies) + _MACHEPS))
def converged(self):
"""
Return True if the solver has converged.
"""
return (np.std(self.population_energies) <=
self.atol +
self.tol * np.abs(np.mean(self.population_energies)))
def solve(self):
"""
Runs the DifferentialEvolutionSolver.
Returns
-------
res : OptimizeResult
The optimization result represented as a ``OptimizeResult`` object.
Important attributes are: ``x`` the solution array, ``success`` a
Boolean flag indicating if the optimizer exited successfully and
``message`` which describes the cause of the termination. See
`OptimizeResult` for a description of other attributes. If `polish`
was employed, and a lower minimum was obtained by the polishing,
then OptimizeResult also contains the ``jac`` attribute.
"""
nit, warning_flag = 0, False
status_message = _status_message['success']
# The population may have just been initialized (all entries are
# np.inf). If it has you have to calculate the initial energies.
# Although this is also done in the evolve generator it's possible
# that someone can set maxiter=0, at which point we still want the
# initial energies to be calculated (the following loop isn't run).
if np.all(np.isinf(self.population_energies)):
self.feasible, self.constraint_violation = (
self._calculate_population_feasibilities(self.population))
# only work out population energies for feasible solutions
self.population_energies[self.feasible] = (
self._calculate_population_energies(
self.population[self.feasible]))
self._promote_lowest_energy()
# do the optimisation.
for nit in xrange(1, self.maxiter + 1):
# evolve the population by a generation
try:
next(self)
except StopIteration:
warning_flag = True
if self._nfev > self.maxfun:
status_message = _status_message['maxfev']
elif self._nfev == self.maxfun:
status_message = ('Maximum number of function evaluations'
' has been reached.')
break
if self.disp:
print("differential_evolution step %d: f(x)= %g"
% (nit,
self.population_energies[0]))
# should the solver terminate?
convergence = self.convergence
if (self.callback and
self.callback(self._scale_parameters(self.population[0]),
convergence=self.tol / convergence) is True):
warning_flag = True
status_message = ('callback function requested stop early '
'by returning True')
break
if np.any(np.isinf(self.population_energies)):
intol = False
else:
intol = (np.std(self.population_energies) <=
self.atol +
self.tol * np.abs(np.mean(self.population_energies)))
if warning_flag or intol:
break
else:
status_message = _status_message['maxiter']
warning_flag = True
DE_result = OptimizeResult(
x=self.x,
fun=self.population_energies[0],
nfev=self._nfev,
nit=nit,
message=status_message,
success=(warning_flag is not True))
if self.polish:
polish_method = 'L-BFGS-B'
if self._wrapped_constraints:
polish_method = 'trust-constr'
constr_violation = self._constraint_violation_fn(DE_result.x)
if np.any(constr_violation > 0.):
warnings.warn("differential evolution didn't find a"
" solution satisfying the constraints,"
" attempting to polish from the least"
" infeasible solution", UserWarning)
result = minimize(self.func,
np.copy(DE_result.x),
method=polish_method,
bounds=self.limits.T,
constraints=self.constraints)
self._nfev += result.nfev
DE_result.nfev = self._nfev
# polishing solution is only accepted if there is an improvement in
# cost function, the polishing was successful and the solution lies
# within the bounds.
if (result.fun < DE_result.fun and
result.success and
np.all(result.x <= self.limits[1]) and
np.all(self.limits[0] <= result.x)):
DE_result.fun = result.fun
DE_result.x = result.x
DE_result.jac = result.jac
# to keep internal state consistent
self.population_energies[0] = result.fun
self.population[0] = self._unscale_parameters(result.x)
if self._wrapped_constraints:
DE_result.constr = [c.violation(DE_result.x) for
c in self._wrapped_constraints]
DE_result.constr_violation = np.max(
np.concatenate(DE_result.constr))
DE_result.maxcv = DE_result.constr_violation
if DE_result.maxcv > 0:
# if the result is infeasible then success must be False
DE_result.success = False
DE_result.message = ("The solution does not satisfy the"
" constraints, MAXCV = " % DE_result.maxcv)
return DE_result
def _calculate_population_energies(self, population):
"""
Calculate the energies of a population.
Parameters
----------
population : ndarray
An array of parameter vectors normalised to [0, 1] using lower
and upper limits. Has shape ``(np.size(population, 0), len(x))``.
Returns
-------
energies : ndarray
An array of energies corresponding to each population member. If
maxfun will be exceeded during this call, then the number of
function evaluations will be reduced and energies will be
right-padded with np.inf. Has shape ``(np.size(population, 0),)``
"""
num_members = np.size(population, 0)
nfevs = min(num_members,
self.maxfun - num_members)
energies = np.full(num_members, np.inf)
parameters_pop = self._scale_parameters(population)
try:
calc_energies = list(self._mapwrapper(self.func,
parameters_pop[0:nfevs]))
energies[0:nfevs] = calc_energies
except (TypeError, ValueError):
# wrong number of arguments for _mapwrapper
# or wrong length returned from the mapper
raise RuntimeError("The map-like callable must be of the"
" form f(func, iterable), returning a sequence"
" of numbers the same length as 'iterable'")
self._nfev += nfevs
return energies
def _promote_lowest_energy(self):
# swaps 'best solution' into first population entry
idx = np.arange(self.num_population_members)
feasible_solutions = idx[self.feasible]
if feasible_solutions.size:
# find the best feasible solution
idx_t = np.argmin(self.population_energies[feasible_solutions])
l = feasible_solutions[idx_t]
else:
# no solution was feasible, use 'best' infeasible solution, which
# will violate constraints the least
l = np.argmin(np.sum(self.constraint_violation, axis=1))
self.population_energies[[0, l]] = self.population_energies[[l, 0]]
self.population[[0, l], :] = self.population[[l, 0], :]
self.feasible[[0, l]] = self.feasible[[l, 0]]
self.constraint_violation[[0, l], :] = (
self.constraint_violation[[l, 0], :])
def _constraint_violation_fn(self, x):
"""
Calculates total constraint violation for all the constraints, for a given
solution.
Parameters
----------
x : ndarray
Solution vector
Returns
-------
cv : ndarray
Total violation of constraints. Has shape ``(M,)``, where M is the
number of constraints (if each constraint function only returns one
value)
"""
return np.concatenate([c.violation(x) for c in self._wrapped_constraints])
def _calculate_population_feasibilities(self, population):
"""
Calculate the feasibilities of a population.
Parameters
----------
population : ndarray
An array of parameter vectors normalised to [0, 1] using lower
and upper limits. Has shape ``(np.size(population, 0), len(x))``.
Returns
-------
feasible, constraint_violation : ndarray, ndarray
Boolean array of feasibility for each population member, and an
array of the constraint violation for each population member.
constraint_violation has shape ``(np.size(population, 0), M)``,
where M is the number of constraints.
"""
num_members = np.size(population, 0)
if not self._wrapped_constraints:
# shortcut for no constraints
return np.ones(num_members, bool), np.zeros((num_members, 1))
parameters_pop = self._scale_parameters(population)
constraint_violation = np.array([self._constraint_violation_fn(x)
for x in parameters_pop])
feasible = ~(np.sum(constraint_violation, axis=1) > 0)
return feasible, constraint_violation
def __iter__(self):
return self
def __enter__(self):
return self
def __exit__(self, *args):
# to make sure resources are closed down
self._mapwrapper.close()
self._mapwrapper.terminate()
def __del__(self):
# to make sure resources are closed down
self._mapwrapper.close()
self._mapwrapper.terminate()
def _accept_trial(self, energy_trial, feasible_trial, cv_trial,
energy_orig, feasible_orig, cv_orig):
"""
Trial is accepted if:
* it satisfies all constraints and provides a lower or equal objective
function value, while both the compared solutions are feasible
- or -
* it is feasible while the original solution is infeasible,
- or -
* it is infeasible, but provides a lower or equal constraint violation
for all constraint functions.
This test corresponds to section III of Lampinen [1]_.
Parameters
----------
energy_trial : float
Energy of the trial solution
feasible_trial : float
Feasibility of trial solution
cv_trial : array-like
Excess constraint violation for the trial solution
energy_orig : float
Energy of the original solution
feasible_orig : float
Feasibility of original solution
cv_orig : array-like
Excess constraint violation for the original solution
Returns
-------
accepted : bool
"""
if feasible_orig and feasible_trial:
return energy_trial <= energy_orig
elif feasible_trial and not feasible_orig:
return True
elif not feasible_trial and (cv_trial <= cv_orig).all():
# cv_trial < cv_orig would imply that both trial and orig are not
# feasible
return True
return False
def __next__(self):
"""
Evolve the population by a single generation
Returns
-------
x : ndarray
The best solution from the solver.
fun : float
Value of objective function obtained from the best solution.
"""
# the population may have just been initialized (all entries are
# np.inf). If it has you have to calculate the initial energies
if np.all(np.isinf(self.population_energies)):
self.feasible, self.constraint_violation = (
self._calculate_population_feasibilities(self.population))
# only need to work out population energies for those that are
# feasible
self.population_energies[self.feasible] = (
self._calculate_population_energies(
self.population[self.feasible]))
self._promote_lowest_energy()
if self.dither is not None:
self.scale = (self.random_number_generator.rand()
* (self.dither[1] - self.dither[0]) + self.dither[0])
if self._updating == 'immediate':
# update best solution immediately
for candidate in range(self.num_population_members):
if self._nfev > self.maxfun:
raise StopIteration
# create a trial solution
trial = self._mutate(candidate)
# ensuring that it's in the range [0, 1)
self._ensure_constraint(trial)
# scale from [0, 1) to the actual parameter value
parameters = self._scale_parameters(trial)
# determine the energy of the objective function
if self._wrapped_constraints:
cv = self._constraint_violation_fn(parameters)
feasible = False
energy = np.inf
if not np.sum(cv) > 0:
# solution is feasible
feasible = True
energy = self.func(parameters)
self._nfev += 1
else:
feasible = True
cv = np.atleast_2d([0.])
energy = self.func(parameters)
self._nfev += 1
# compare trial and population member
if self._accept_trial(energy, feasible, cv,
self.population_energies[candidate],
self.feasible[candidate],
self.constraint_violation[candidate]):
self.population[candidate] = trial
self.population_energies[candidate] = energy
self.feasible[candidate] = feasible
self.constraint_violation[candidate] = cv
# if the trial candidate is also better than the best
# solution then promote it.
if self._accept_trial(energy, feasible, cv,
self.population_energies[0],
self.feasible[0],
self.constraint_violation[0]):
self._promote_lowest_energy()
elif self._updating == 'deferred':
# update best solution once per generation
if self._nfev >= self.maxfun:
raise StopIteration
# 'deferred' approach, vectorised form.
# create trial solutions
trial_pop = np.array(
[self._mutate(i) for i in range(self.num_population_members)])
# enforce bounds
self._ensure_constraint(trial_pop)
# determine the energies of the objective function, but only for
# feasible trials
feasible, cv = self._calculate_population_feasibilities(trial_pop)
trial_energies = np.full(self.num_population_members, np.inf)
# only calculate for feasible entries
trial_energies[feasible] = self._calculate_population_energies(
trial_pop[feasible])
# which solutions are 'improved'?
loc = [self._accept_trial(*val) for val in
zip(trial_energies, feasible, cv, self.population_energies,
self.feasible, self.constraint_violation)]
loc = np.array(loc)
self.population = np.where(loc[:, np.newaxis],
trial_pop,
self.population)
self.population_energies = np.where(loc,
trial_energies,
self.population_energies)
self.feasible = np.where(loc,
feasible,
self.feasible)
self.constraint_violation = np.where(loc[:, np.newaxis],
cv,
self.constraint_violation)
# make sure the best solution is updated if updating='deferred'.
# put the lowest energy into the best solution position.
self._promote_lowest_energy()
return self.x, self.population_energies[0]
next = __next__
def _scale_parameters(self, trial):
"""Scale from a number between 0 and 1 to parameters."""
return self.__scale_arg1 + (trial - 0.5) * self.__scale_arg2
def _unscale_parameters(self, parameters):
"""Scale from parameters to a number between 0 and 1."""
return (parameters - self.__scale_arg1) / self.__scale_arg2 + 0.5
def _ensure_constraint(self, trial):
"""Make sure the parameters lie between the limits."""
mask = np.where((trial > 1) | (trial < 0))
trial[mask] = self.random_number_generator.rand(mask[0].size)
def _mutate(self, candidate):
"""Create a trial vector based on a mutation strategy."""
trial = np.copy(self.population[candidate])
rng = self.random_number_generator
fill_point = rng.randint(0, self.parameter_count)
if self.strategy in ['currenttobest1exp', 'currenttobest1bin']:
bprime = self.mutation_func(candidate,
self._select_samples(candidate, 5))
else:
bprime = self.mutation_func(self._select_samples(candidate, 5))
if self.strategy in self._binomial:
crossovers = rng.rand(self.parameter_count)
crossovers = crossovers < self.cross_over_probability
# the last one is always from the bprime vector for binomial
# If you fill in modulo with a loop you have to set the last one to
# true. If you don't use a loop then you can have any random entry
# be True.
crossovers[fill_point] = True
trial = np.where(crossovers, bprime, trial)
return trial
elif self.strategy in self._exponential:
i = 0
while (i < self.parameter_count and
rng.rand() < self.cross_over_probability):
trial[fill_point] = bprime[fill_point]
fill_point = (fill_point + 1) % self.parameter_count
i += 1
return trial
def _best1(self, samples):
"""best1bin, best1exp"""
r0, r1 = samples[:2]
return (self.population[0] + self.scale *
(self.population[r0] - self.population[r1]))
def _rand1(self, samples):
"""rand1bin, rand1exp"""
r0, r1, r2 = samples[:3]
return (self.population[r0] + self.scale *
(self.population[r1] - self.population[r2]))
def _randtobest1(self, samples):
"""randtobest1bin, randtobest1exp"""
r0, r1, r2 = samples[:3]
bprime = np.copy(self.population[r0])
bprime += self.scale * (self.population[0] - bprime)
bprime += self.scale * (self.population[r1] -
self.population[r2])
return bprime
def _currenttobest1(self, candidate, samples):
"""currenttobest1bin, currenttobest1exp"""
r0, r1 = samples[:2]
bprime = (self.population[candidate] + self.scale *
(self.population[0] - self.population[candidate] +
self.population[r0] - self.population[r1]))
return bprime
def _best2(self, samples):
"""best2bin, best2exp"""
r0, r1, r2, r3 = samples[:4]
bprime = (self.population[0] + self.scale *
(self.population[r0] + self.population[r1] -
self.population[r2] - self.population[r3]))
return bprime
def _rand2(self, samples):
"""rand2bin, rand2exp"""
r0, r1, r2, r3, r4 = samples
bprime = (self.population[r0] + self.scale *
(self.population[r1] + self.population[r2] -
self.population[r3] - self.population[r4]))
return bprime
def _select_samples(self, candidate, number_samples):
"""
obtain random integers from range(self.num_population_members),
without replacement. You can't have the original candidate either.
"""
idxs = list(range(self.num_population_members))
idxs.remove(candidate)
self.random_number_generator.shuffle(idxs)
idxs = idxs[:number_samples]
return idxs
class _FunctionWrapper(object):
"""
Object to wrap user cost function, allowing picklability
"""
def __init__(self, f, args):
self.f = f
self.args = [] if args is None else args
def __call__(self, x):
return self.f(x, *self.args)
class _ConstraintWrapper(object):
"""Object to wrap/evaluate user defined constraints.
Very similar in practice to `PreparedConstraint`, except that no evaluation
of jac/hess is performed (explicit or implicit).
If created successfully, it will contain the attributes listed below.
Parameters
----------
constraint : {`NonlinearConstraint`, `LinearConstraint`, `Bounds`}
Constraint to check and prepare.
x0 : array_like
Initial vector of independent variables.
Attributes
----------
fun : callable
Function defining the constraint wrapped by one of the convenience
classes.
bounds : 2-tuple
Contains lower and upper bounds for the constraints --- lb and ub.
These are converted to ndarray and have a size equal to the number of
the constraints.
"""
def __init__(self, constraint, x0):
self.constraint = constraint
if isinstance(constraint, NonlinearConstraint):
def fun(x):
return np.atleast_1d(constraint.fun(x))
elif isinstance(constraint, LinearConstraint):
def fun(x):
A = np.atleast_2d(constraint.A)
return A.dot(x)
elif isinstance(constraint, Bounds):
def fun(x):
return x
else:
raise ValueError("`constraint` of an unknown type is passed.")
self.fun = fun
lb = np.asarray(constraint.lb, dtype=float)
ub = np.asarray(constraint.ub, dtype=float)
f0 = fun(x0)
m = f0.size
if lb.ndim == 0:
lb = np.resize(lb, m)
if ub.ndim == 0:
ub = np.resize(ub, m)
self.bounds = (lb, ub)
def __call__(self, x):
return np.atleast_1d(self.fun(x))
def violation(self, x):
"""How much the constraint is exceeded by.
Parameters
----------
x : array-like
Vector of independent variables
Returns
-------
excess : array-like
How much the constraint is exceeded by, for each of the
constraints specified by `_ConstraintWrapper.fun`.
"""
ev = self.fun(np.asarray(x))
excess_lb = np.maximum(self.bounds[0] - ev, 0)
excess_ub = np.maximum(ev - self.bounds[1], 0)
return excess_lb + excess_ub