1 | #include "sopnamsp.h"
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2 | #include "simplex.h"
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3 | #include "ntuple.h"
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4 | #include <math.h>
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5 |
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6 | #include "timing.h"
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7 |
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8 | //---------------------------------------------------------------
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9 | //------------------- Classe MinZFunction -------------------
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10 | //---------------------------------------------------------------
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11 | // Interface de classe de function multivariable pour le SimplexMinmizer
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12 | /*!
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13 | \class SOPHYA::MinZFunction
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14 | \ingroup NTools
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15 | Interface definition for a function object f(x[]) for which MinZSimplex can
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16 | search the minimum.
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17 | The pure virtual method Value() should be implemented by the derived classes.
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18 | */
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19 |
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20 | MinZFunction::MinZFunction(unsigned int nvar)
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21 | : mNVar(nvar)
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22 | {
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23 | }
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24 |
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25 | MinZFunction::~MinZFunction()
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26 | {
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27 | }
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28 |
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29 | //---------------------------------------------------------------
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30 | //------------------- Classe MinZFuncXi2 --------------------
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31 | //---------------------------------------------------------------
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32 | /*!
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33 | \class SOPHYA::MinZXi2
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34 | \ingroup NTools
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35 | Implements the MinZFunction interface using a xi2 calculator
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36 | \sa GeneralXi2 GeneralFitData
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37 | */
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38 | MinZFuncXi2::MinZFuncXi2(GeneralXi2* gxi2, GeneralFitData* gd)
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39 | : mGXi2(gxi2) , mGData(gd), MinZFunction(gxi2->NPar())
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40 | {
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41 | }
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42 |
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43 | MinZFuncXi2::~MinZFuncXi2()
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44 | {
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45 | }
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46 |
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47 | double MinZFuncXi2::Value(double const xp[])
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48 | {
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49 | int ndataused;
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50 | return mGXi2->Value(*mGData, const_cast<double *>(xp), ndataused);
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51 | }
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52 |
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53 | //---------------------------------------------------------------
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54 | //------------------- Classe MinZTestFunc -------------------
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55 | //---------------------------------------------------------------
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56 | class MinZTestFunc : public MinZFunction {
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57 | public:
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58 | MinZTestFunc(int sel);
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59 | virtual double Value(double const xp[]);
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60 | string ToString();
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61 | Vector OptParms();
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62 | protected:
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63 | static int ISelToNvar(int isel);
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64 | int mSel;
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65 | };
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66 |
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67 | int MinZTestFunc::ISelToNvar(int isel)
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68 | {
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69 | if (isel == 0) return 1;
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70 | if (isel == 1) return 1;
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71 | else if (isel == 2) return 1;
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72 | else if (isel == 3) return 2;
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73 | else if (isel == 4) return 3;
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74 | else return 1;
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75 | }
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76 |
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77 | MinZTestFunc::MinZTestFunc(int sel)
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78 | : MinZFunction(ISelToNvar(sel))
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79 | {
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80 | if ((sel < 0) || (sel > 4)) sel = 0;
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81 | mSel = sel;
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82 | }
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83 |
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84 | string MinZTestFunc::ToString()
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85 | {
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86 | string rs;
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87 | if (mSel == 0) {
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88 | rs = "-x+(x-2)^2";
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89 | }
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90 | else if (mSel == 1) {
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91 | rs = "0.1*x^2-3exp(-(x-2)^2)-5*exp(-0.5*(x+3)^2)";
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92 | }
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93 | else if (mSel == 2) {
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94 | rs = "0.1*x^2-3exp(-(x-2)^2)+5*exp(-0.5*(x+3)^2)";
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95 | }
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96 | else if (mSel == 3) {
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97 | rs = "1.3*(x-50.35)^2+25*(y+3.14)^2";
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98 | }
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99 | else if (mSel == 4) {
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100 | rs = "(x-2.2)^2+2.*(y+3.6)^2+3.*(z-1.1)^2";
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101 | }
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102 | else rs = "????";
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103 | return rs;
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104 | }
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105 |
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106 | Vector MinZTestFunc::OptParms()
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107 | {
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108 | Vector xx;
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109 | if (mSel == 0) {
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110 | Vector rv(1);
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111 | rv = 2.5;
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112 | return rv;
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113 | }
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114 | else if (mSel == 1) {
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115 | Vector rv(1);
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116 | rv = -2.883;
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117 | return rv;
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118 | }
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119 | else if (mSel == 2) {
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120 | Vector rv(1);
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121 | rv = 1.812;
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122 | return rv;
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123 | }
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124 | else if (mSel == 3) {
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125 | Vector rv(2);
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126 | rv(0) = 50.35;
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127 | rv(1) = -3.14;
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128 | return rv;
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129 | }
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130 | else if (mSel == 4) {
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131 | Vector rv(3);
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132 | rv(0) = 2.2;
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133 | rv(1) = -3.6;
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134 | rv(2) = 1.1;
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135 | return rv;
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136 | }
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137 | else xx = 0.;
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138 | return xx ;
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139 | }
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140 |
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141 |
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142 | double MinZTestFunc::Value(double const xp[])
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143 | {
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144 | double retval = 0;
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145 | if (mSel == 0) {
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146 | double x = xp[0];
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147 | retval = -x+(x-2.)*(x-2.);
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148 | }
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149 | else if ((mSel == 1) || (mSel == 2)) {
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150 | double x = xp[0];
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151 | retval = 0.1*x*x;
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152 | x = xp[0]-2.;
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153 | x = x*x;
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154 | retval -= 3*exp(-x);
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155 | x = xp[0]+3.;
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156 | x = 0.5*x*x;
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157 | if (mSel == 1) retval -= 5*exp(-x);
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158 | else retval += 5*exp(-x);
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159 | }
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160 | else if (mSel == 3) {
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161 | double x = xp[0]-50.35;
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162 | double y = xp[1]+3.14;
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163 | retval = 1.3*x*x+25.*y*y;
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164 | }
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165 | else if (mSel == 4) {
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166 | double x = xp[0]-2.2;
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167 | double y = xp[1]+3.6;
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168 | double z = xp[2]-1.1;
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169 | retval = x*x+2.*y*y+3.*z*z;
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170 | }
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171 | else retval = 0.;
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172 | return retval;
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173 | }
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174 |
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175 | //---------------------------------------------------------------
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176 | //------------------- Classe MinZSimplex --------------------
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177 | //---------------------------------------------------------------
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178 | string __Vec2Str4MinZ_AutoTest(Vector& xx)
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179 | {
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180 | string rs;
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181 | char buff[32];
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182 | for(int i=0; i<xx.Size(); i++) {
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183 | sprintf(buff," %g " , xx(i));
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184 | rs += buff;
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185 | }
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186 | return rs;
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187 | }
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188 |
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189 | /*!
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190 | \class SOPHYA::MinZSimplex
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191 | \ingroup NTools
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192 | This class implements non linear minimization (optimization)
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193 | in a multidimensional space following the \b Simplex method.
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194 | A \b Simplex is a geometrical figure made of N+1 points in a
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195 | N-dimensional space. (triangle in a plane, tetrahedron in 3-d space).
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196 | The minimization method implemented in this class is based on the
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197 | algorithm described in "Numerical Recipes, Chapter X".
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198 |
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199 | The algorithm has been slightly enhanced :
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200 | - More complex convergence / stop test
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201 | - A new transformation of the simplex has been included (ExpandHigh)
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202 |
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203 | For each step, on of the following geometrical transform is performed
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204 | on the Simplex figure:
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205 | - Reflection : reflection away from the high point (expansion by factor Alpha)
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206 | - ReflecExpand : reflection way from the high point and expansion by factor Beta2
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207 | - ContractHigh : Contraction along the high point (factor Beta)
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208 | - ContractLow : Contraction toward the low point (factor Beta2)
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209 | - ExpandHigh : Expansion along the high point
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210 |
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211 | \sa GeneralFit
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212 |
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213 | The following sample code shows a usage example:
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214 | \code
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215 | include "simplex.h"
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216 | ...
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217 | // Define our function to be minimized:
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218 | class MySFunc : public MinZFunction {
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219 | public:
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220 | MySFunc() : MinZFunction(2) {}
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221 | virtual double Value(double const xp[])
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222 | { return (xp[0]*xp[0]+2*xp[1]*xp[1]); }
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223 | };
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224 |
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225 | ...
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226 |
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227 | MySFunc mysf;
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228 | MinZSimplex simplex(&mysf);
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229 | // Guess the center and step for constructing the initial simplex
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230 | Vector x0(2); x0 = 1.;
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231 | Vector step(2); step = 2.;
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232 | simplex.SetInitialPoint(x0);
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233 | simplex.SetInitialStep(step);
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234 | Vector oparm(2);
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235 | int rc = simplex.Minimize(oparm);
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236 | if (rc != 0) {
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237 | string srt;
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238 | int sr = simplex.StopReason(srt);
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239 | cout << " Convergence Pb, StopReason= " << sr << " : " << srt << endl;
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240 | }
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241 | else {
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242 | cout << " Converged: NStep= " << simplex.NbIter()
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243 | << " OParm= " << oparm << endl;
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244 | }
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245 | \endcode
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246 | */
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247 |
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248 | /*!
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249 | \brief Auto test function
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250 | \param tsel : select autotest (0,1,2,3,4) , tsel<0 -> all
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251 | \param prtlev : printlevel
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252 | */
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253 | int MinZSimplex::AutoTest(int tsel, int prtlev)
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254 | {
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255 | int rc = 0;
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256 | cout << " --- MinZSimplex::AutoTest() --- TSel= " << tsel << " PrtLev=" << prtlev << endl;
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257 | for(int i=0; i<5; i++) {
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258 | if ((tsel >= 0) && (tsel != i)) continue;
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259 | cout << " ======= Test avec ISel= " << i;
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260 | Vector xx;
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261 | MinZTestFunc mzf(i);
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262 | cout << " - Func= " << mzf.ToString() << endl;
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263 | Vector rv = mzf.OptParms();
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264 | xx = rv;
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265 | for(int j=0; j<2; j++) {
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266 | double vi = 50.*(j-0.5);
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267 | for(int k=0; k<2; k++) {
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268 | double vs = (k == 0) ? 1. : 10. ;
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269 | cout << "--[" << j << "," << k
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270 | << "] Initialisation avec IniPoint= " << vi << " IniStep= " << vs << endl;
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271 | MinZSimplex simplex(&mzf);
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272 | xx = vi;
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273 | simplex.SetInitialPoint(xx);
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274 | xx = vs;
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275 | simplex.SetInitialStep(xx);
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276 | simplex.SetPrtLevel(prtlev);
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277 | int rcs = simplex.Minimize(xx);
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278 | Vector diff = rv-xx;
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279 | double d2 = diff.Norm2();
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280 | cout << " Rc(simplex.Minimize() = " << rc << " NIter= "
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281 | << simplex.NbIter() << " ===> Distance^2= " << d2
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282 | << "\nConverged to " << __Vec2Str4MinZ_AutoTest(xx)
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283 | << " Best Value= " << __Vec2Str4MinZ_AutoTest(rv)
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284 | << " Diff = " << __Vec2Str4MinZ_AutoTest(diff) << endl;
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285 | if ((rcs > 5) || (d2 > 0.5)) rc ++;
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286 | }
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287 | }
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288 | }
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289 | cout << " --- MinZSimplex::AutoTest() --- Rc=" << rc << " -- END ----- " << endl;
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290 | return rc;
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291 | }
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292 |
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293 | //! Constructor from pointer to MinZFunction object
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294 | MinZSimplex::MinZSimplex(MinZFunction *mzf)
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295 | : mZF(mzf) , mPoint0(mZF->NVar()) , mStep0(mZF->NVar())
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296 | {
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297 | SetMaxIter();
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298 | SetControls();
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299 | Vector xx(NDim());
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300 | xx = 0.;
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301 | SetInitialPoint(xx);
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302 | xx = 1.0;
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303 | SetInitialStep(xx);
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304 | SetStopTolerance();
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305 | mIter = -1;
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306 | mStop = -1;
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307 | SetPrtLevel();
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308 | }
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309 |
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310 | MinZSimplex::~MinZSimplex()
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311 | {
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312 | }
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313 |
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314 | //! Perform the minimization
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315 | /*!
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316 | Return 0 if success
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317 | \param fpoint : vector containing the optimal point
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318 |
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319 | Convergence test :
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320 | \verbatim
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321 | On minimise f(x) f=mZF->Value() ,
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322 | f_max = max(f) sur simplex , f_min = min(f) sur simplex
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323 | fm = (abs(f_max)+abs(f_min))
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324 | [Delta f] = abs(f_max-f_min)
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325 | [Delta f/f]simplex = 2.*Delta f / fm
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326 | fm2 = (abs(f_max)+abs(f_max(iter-1)))
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327 | [Delta f_max/f_max]iter = [f_max(iter-1)-f_max]/fm2
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328 | Test d'arret :
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329 | fm < mTol0 OU
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330 | [Delta f/f]simplex < mTol1 mRep1 fois de suite OU
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331 | [Delta f_max/f_max]iter < mTol2 mRep2 fois de suite
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332 | */
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333 | int MinZSimplex::Minimize(Vector& fpoint)
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334 | {
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335 | // vector< TVector<r_8> > splx;
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336 | Vector splx[100];
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337 | Vector Y(NDim()+1);
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338 | // On calcule le simplex initial
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339 | // N = NDim, N+1 points (pp) ds l'espace a N dimensions
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340 | // Point0, Point0 + Step0(i) e_i
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341 | Vector pp,ppc;
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342 | pp = mPoint0;
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343 | //ppc = pp;
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344 | //splx.push_back(ppc);
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345 | splx[0] = pp;
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346 | int i,j,k;
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347 | for(i=0; i<NDim(); i++) {
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348 | Vector pps;
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349 | pps = mPoint0;
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350 | pps(i) += mStep0(i);
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351 | //splx.push_back(pps);
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352 | splx[i+1] = pps;
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353 | }
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354 | int mpts = NDim()+1;
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355 | // calcul des valeurs de la fonction sur les sommets
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356 | for(i=0; i<mpts; i++)
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357 | Y(i) = Value(splx[i]);
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358 |
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359 | int iter = 0;
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360 | mIter = iter;
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361 | mStop = 0;
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362 |
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363 | int nbugrtol2 = 0;
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364 | bool stop = false, stop0=false;
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365 | int rc = 0;
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366 | int ilo, ihi, inhi;
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367 | int move = 0;
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368 | const char* smov[6] = { "None", "Reflection", "ReflecExpand", "ContractHigh", "ContractLow", "ExpandHigh" };
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369 | int movcnt[6] = {0,0,0,0,0,0};
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370 |
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371 | int nrep1=0, nrep2=0;
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372 | FindMinMax12(Y, ilo, ihi, inhi);
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373 | double yhilast = Y(ihi);
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374 | yhilast += fabs(yhilast);
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375 |
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376 | while (!stop) { //
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377 | FindMinMax12(Y, ilo, ihi, inhi);
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378 | double ymean = (fabs(Y(ihi))+fabs(Y(ilo)));
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379 | if (ymean < mTol0) { stop0 = true; ymean = mTol0; }
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380 | double rtol1 = 2.*fabs(Y(ihi)-Y(ilo))/ymean;
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381 | double ym2 = (fabs(yhilast)+fabs(Y(ihi)));
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382 | if (ym2 < mTol0) ym2 = mTol0;
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383 | double rtol2 = 2.*(yhilast-Y(ihi))/ym2;
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384 | yhilast = Y(ihi);
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385 | if (rtol2 < 0.) {
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386 | if (move != 40) {
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387 | cout << " !!!! MinZSimplex::Minimize() BUG RTol2< 0. --> Chs " << endl;
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388 | nbugrtol2++;
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389 | }
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390 | else nrep2 = 0;
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391 | rtol2 = -rtol2;
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392 | }
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393 | if (PrtLevel() > 1)
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394 | cout << "--MinZSimplex::Minimize() - Iter=" << iter
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395 | << " Move= " << move << " (" << smov[move/10] << ")" << endl;
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396 | if (PrtLevel() > 2)
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397 | cout << "..ILO=" << ilo << " IHI=" << ihi << " INHI=" << inhi
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398 | << " Y(ILO)=" << Y(ilo) << " Y(IHI)=" << Y(ihi) << "\n"
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399 | << "...YMean_Abs=" << ymean << " RTOL1=" << rtol1 << " RTOL2=" << rtol2 << endl;
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400 | if (PrtLevel() > 3) {
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401 | for(i=0; i<mpts; i++) {
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402 | cout << "....Simplex[" << i << "]= ";
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403 | for(j=0; j<NDim(); j++) cout << splx[i](j) << " , ";
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404 | cout << " Y=Value= " << Y(i) << endl;
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405 | }
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406 | }
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407 | if (rtol1 < mTol1) nrep1++;
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408 | else nrep1 = 0;
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409 | if (rtol2 < mTol2) nrep2++;
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410 | else nrep2 = 0;
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411 |
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412 | if (stop0) { mStop = 1; rc = 0; stop = true; break; }
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413 | if (nrep1 > mRep1) { mStop = 2; rc = 0; stop = true; break; }
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414 | if (nrep2 > mRep2) { mStop = 3; rc = 0; stop = true; break; }
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415 | if (iter > MaxIter() ) { mStop = 0, rc = iter; break; }
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416 | iter++;
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417 | if (iter > 0) movcnt[move/10]++;
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418 |
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419 | // Next iteration, on modifie le simplex
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420 | // Calcul du centre de gravite su simplex, hors le point le + haut
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421 | Vector pbar(NDim());
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422 | pbar = 0.;
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423 | for(i=0; i<mpts; i++) {
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424 | if (i == ihi) continue;
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425 | pbar += splx[i];
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426 | }
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427 | pbar /= (double)NDim();
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428 | // On calcule le sommet oppose a point IHI (le + haut)
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429 | Vector pr, prr;
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430 | double YPR, YPRR;
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431 | pr = (1.+Alpha())*pbar-Alpha()*splx[ihi];
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432 | YPR = Value(pr);
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433 | if (YPR < Y(ilo)) { // Amelioaration par rapport au meilleur point,
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434 | // on va plus loin d'un facteur gamma
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435 | prr = Gamma()*pr+(1.-Gamma())*pbar;
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436 | YPRR = Value(prr);
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437 | if (YPRR < Y(ilo)) { // On remplace le IHI par YPRR
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438 | splx[ihi] = prr;
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439 | Y(ihi) = YPRR;
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440 | move = 20;
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441 | }
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442 | else { // sinon, on remplace par YPR
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443 | splx[ihi] = pr;
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444 | Y(ihi) = YPR;
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445 | move = 10;
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446 | }
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447 | }
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448 | else { // Moins bon que le meilleur point ..
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449 | if (YPR > Y(inhi)) { // Plus mauvais que le second plus haut (INHI)
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450 | if (YPR < Y(ihi)) { // Mais meilleur que le plus haut (IHI)
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451 | splx[ihi] = pr; // On remplace donc le plus haut
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452 | Y(ihi) = YPR;
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453 | move = 11;
|
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454 | }
|
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455 | else { // Plus mauvais que le plus mauvais IHI
|
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456 | // on tente avec un point intermediaire
|
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457 | prr = Beta()*splx[ihi]+(1.-Beta())*pbar;
|
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458 | YPRR = Value(prr);
|
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459 | if (YPRR < Y(ihi)) { // Le point intermediaire ameliore les choses
|
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460 | splx[ihi] = prr; // On remplace donc le point le + haut
|
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461 | Y(ihi) = YPRR;
|
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462 | move = 30;
|
---|
463 | }
|
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464 | else {
|
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465 | // On tente aussi de rester du meme cote, mais aller plus loin
|
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466 | prr = Gamma2()*splx[ihi]+(1.-Gamma2())*pbar;
|
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467 | YPRR = Value(prr);
|
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468 | if (YPRR < Y(ihi)) { // Le point intermediaire ameliore les choses
|
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469 | splx[ihi] = prr; // On remplace donc le point le + haut
|
---|
470 | Y(ihi) = YPRR;
|
---|
471 | move = 50;
|
---|
472 | }
|
---|
473 | else {
|
---|
474 | // Rien n'y fait, on contracte autour du meilleur point
|
---|
475 | for(i=0; i<mpts; i++) {
|
---|
476 | if (i == ilo) continue;
|
---|
477 | splx[i] = Beta2()*splx[i]+(1.-Beta())*splx[ilo];
|
---|
478 | Y(i) = Value(splx[i]);
|
---|
479 | move = 40;
|
---|
480 | }
|
---|
481 | }
|
---|
482 | }
|
---|
483 | }
|
---|
484 | }
|
---|
485 | else { // Meilleur que le IHI et le INHI
|
---|
486 | splx[ihi] = pr; // On remplace le plus haut
|
---|
487 | Y(ihi) = YPR;
|
---|
488 | move = 12;
|
---|
489 | }
|
---|
490 | }
|
---|
491 | } // Fin de la boucle while principale
|
---|
492 |
|
---|
493 | fpoint = splx[ilo];
|
---|
494 | mIter = iter;
|
---|
495 |
|
---|
496 | if (PrtLevel() > 0) {
|
---|
497 | string sr;
|
---|
498 | StopReason(sr);
|
---|
499 | cout << "-----MinZSimplex::Minimize()/Ended - NIter=" << iter
|
---|
500 | << " Moves[0..5]= " << movcnt[0] << "," << movcnt[1] << ","
|
---|
501 | << movcnt[2] << "," << movcnt[3] << ","
|
---|
502 | << movcnt[4] << "," << movcnt[5]
|
---|
503 | << "\n..MinZSimplex Stop=" << StopReason() << " -> " << sr << endl;
|
---|
504 |
|
---|
505 | if (nbugrtol2 > 0) cout << "MinZSimplex::Minimize()/Warning - nbugrtol2= " << nbugrtol2 << endl;
|
---|
506 | }
|
---|
507 | return rc;
|
---|
508 | }
|
---|
509 |
|
---|
510 | //! Return the stop reason and fills the corresponding string description
|
---|
511 | int MinZSimplex::StopReason(string& s)
|
---|
512 | {
|
---|
513 | const char* sr[5] = { "NoConverg, MaxIterReached", "OK, fm<Tol0", "OK, Df/f<Tol1",
|
---|
514 | "OK, [Df/f max]Iter<Tol2" "Error - Wrong StopReason" };
|
---|
515 | int stop = mStop;
|
---|
516 | if ((stop < 0) || (stop > 3)) stop = 4;
|
---|
517 | s = sr[stop];
|
---|
518 | return mStop;
|
---|
519 | }
|
---|
520 |
|
---|
521 | int MinZSimplex::FindMinMax12(Vector& fval, int& ilo, int& ihi, int& inhi)
|
---|
522 | {
|
---|
523 | ilo = 0;
|
---|
524 | if (fval(0) > fval(1)) { ihi = 0; inhi = 1; }
|
---|
525 | else { ihi = 1; inhi = 0; }
|
---|
526 |
|
---|
527 | for(int k=0; k<fval.Size(); k++) {
|
---|
528 | if (fval(k) < fval(ilo)) ilo = k;
|
---|
529 | if (fval(k) > fval(ihi)) {
|
---|
530 | inhi = ihi;
|
---|
531 | ihi = k;
|
---|
532 | }
|
---|
533 | else if (fval(k) > fval(inhi)) {
|
---|
534 | if (k != ihi) inhi = k; // ce test n'est peut-etre pas necessaire ???
|
---|
535 | }
|
---|
536 | }
|
---|
537 | return ilo;
|
---|
538 | }
|
---|