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Diffstat (limited to 'ml/dlib/dlib/global_optimization/find_max_global.h')
| -rw-r--r-- | ml/dlib/dlib/global_optimization/find_max_global.h | 511 |
1 files changed, 511 insertions, 0 deletions
diff --git a/ml/dlib/dlib/global_optimization/find_max_global.h b/ml/dlib/dlib/global_optimization/find_max_global.h new file mode 100644 index 000000000..5356129f5 --- /dev/null +++ b/ml/dlib/dlib/global_optimization/find_max_global.h @@ -0,0 +1,511 @@ +// Copyright (C) 2017 Davis E. King (davis@dlib.net) +// License: Boost Software License See LICENSE.txt for the full license. +#ifndef DLIB_FiND_GLOBAL_MAXIMUM_hH_ +#define DLIB_FiND_GLOBAL_MAXIMUM_hH_ + +#include "find_max_global_abstract.h" +#include "global_function_search.h" +#include "../metaprogramming.h" +#include <utility> +#include <chrono> + +namespace dlib +{ + namespace gopt_impl + { + + // ---------------------------------------------------------------------------------------- + + class disable_decay_to_scalar + { + const matrix<double,0,1>& a; + public: + disable_decay_to_scalar(const matrix<double,0,1>& a) : a(a){} + operator const matrix<double,0,1>&() const { return a;} + }; + + + template <typename T, size_t... indices> + auto _cwv ( + T&& f, + const matrix<double,0,1>& a, + compile_time_integer_list<indices...> + ) -> decltype(f(a(indices-1)...)) + { + DLIB_CASSERT(a.size() == sizeof...(indices), + "You invoked dlib::call_function_and_expand_args(f,a) but the number of arguments expected by f() doesn't match the size of 'a'. " + << "Expected " << sizeof...(indices) << " arguments but got " << a.size() << "." + ); + return f(a(indices-1)...); + } + + // Visual studio, as of November 2017, doesn't support C++11 and can't compile this code. + // So we write the terrible garbage in the #else for visual studio. When Visual Studio supports C++11 I'll update this #ifdef to use the C++11 code. +#ifndef _MSC_VER + template <size_t max_unpack> + struct call_function_and_expand_args + { + template <typename T> + static auto go(T&& f, const matrix<double,0,1>& a) -> decltype(_cwv(std::forward<T>(f),a,typename make_compile_time_integer_range<max_unpack>::type())) + { + return _cwv(std::forward<T>(f),a,typename make_compile_time_integer_range<max_unpack>::type()); + } + + template <typename T> + static auto go(T&& f, const matrix<double,0,1>& a) -> decltype(call_function_and_expand_args<max_unpack-1>::template go(std::forward<T>(f),a)) + { + return call_function_and_expand_args<max_unpack-1>::go(std::forward<T>(f),a); + } + }; + + template <> + struct call_function_and_expand_args<0> + { + template <typename T> + static auto go(T&& f, const matrix<double,0,1>& a) -> decltype(f(disable_decay_to_scalar(a))) + { + return f(disable_decay_to_scalar(a)); + } + }; +#else + template <size_t max_unpack> + struct call_function_and_expand_args + { +template <typename T> static auto go(T&& f, const matrix<double, 0, 1>& a) -> decltype(f(disable_decay_to_scalar(a))) {return f(disable_decay_to_scalar(a)); } +template <typename T> static auto go(T&& f, const matrix<double, 0, 1>& a) -> decltype(f(a(0))) { DLIB_CASSERT(a.size() == 1); return f(a(0)); } +template <typename T> static auto go(T&& f, const matrix<double, 0, 1>& a) -> decltype(f(a(0),a(1))) { DLIB_CASSERT(a.size() == 2); return f(a(0),a(1)); } +template <typename T> static auto go(T&& f, const matrix<double, 0, 1>& a) -> decltype(f(a(0), a(1), a(2))) { DLIB_CASSERT(a.size() == 3); return f(a(0), a(1),a(2)); } +template <typename T> static auto go(T&& f, const matrix<double, 0, 1>& a) -> decltype(f(a(0), a(1), a(2), a(3))) { DLIB_CASSERT(a.size() == 4); return f(a(0), a(1), a(2), a(3)); } +template <typename T> static auto go(T&& f, const matrix<double, 0, 1>& a) -> decltype(f(a(0), a(1), a(2), a(3), a(4))) { DLIB_CASSERT(a.size() == 5); return f(a(0), a(1), a(2), a(3), a(4)); } +template <typename T> static auto go(T&& f, const matrix<double, 0, 1>& a) -> decltype(f(a(0), a(1), a(2), a(3), a(4), a(5))) { DLIB_CASSERT(a.size() == 6); return f(a(0), a(1), a(2), a(3), a(4), a(5)); } +template <typename T> static auto go(T&& f, const matrix<double, 0, 1>& a) -> decltype(f(a(0), a(1), a(2), a(3), a(4), a(5), a(6))) { DLIB_CASSERT(a.size() == 7); return f(a(0), a(1), a(2), a(3), a(4), a(5), a(6)); } + }; +#endif + } + +// ---------------------------------------------------------------------------------------- +// ---------------------------------------------------------------------------------------- + + template <typename T> + auto call_function_and_expand_args( + T&& f, + const matrix<double,0,1>& a + ) -> decltype(gopt_impl::call_function_and_expand_args<40>::go(f,a)) + { + // unpack up to 40 parameters when calling f() + return gopt_impl::call_function_and_expand_args<40>::go(std::forward<T>(f),a); + } + +// ---------------------------------------------------------------------------------------- +// ---------------------------------------------------------------------------------------- + + struct max_function_calls + { + max_function_calls() = default; + explicit max_function_calls(size_t max_calls) : max_calls(max_calls) {} + size_t max_calls = std::numeric_limits<size_t>::max(); + }; + +// ---------------------------------------------------------------------------------------- + + const auto FOREVER = std::chrono::hours(24*356*290); // 290 years + +// ---------------------------------------------------------------------------------------- + + namespace impl + { + template < + typename funct + > + std::pair<size_t,function_evaluation> find_max_global ( + std::vector<funct>& functions, + std::vector<function_spec> specs, + const max_function_calls num, + const std::chrono::nanoseconds max_runtime, + double solver_epsilon, + double ymult + ) + { + // Decide which parameters should be searched on a log scale. Basically, it's + // common for machine learning models to have parameters that should be searched on + // a log scale (e.g. SVM C). These parameters are usually identifiable because + // they have bounds like [1e-5 1e10], that is, they span a very large range of + // magnitudes from really small to really big. So there we are going to check for + // that and if we find parameters with that kind of bound constraints we will + // transform them to a log scale automatically. + std::vector<std::vector<bool>> log_scale(specs.size()); + for (size_t i = 0; i < specs.size(); ++i) + { + for (long j = 0; j < specs[i].lower.size(); ++j) + { + if (!specs[i].is_integer_variable[j] && specs[i].lower(j) > 0 && specs[i].upper(j)/specs[i].lower(j) >= 1000) + { + log_scale[i].push_back(true); + specs[i].lower(j) = std::log(specs[i].lower(j)); + specs[i].upper(j) = std::log(specs[i].upper(j)); + } + else + { + log_scale[i].push_back(false); + } + } + } + + global_function_search opt(specs); + opt.set_solver_epsilon(solver_epsilon); + + const auto time_to_stop = std::chrono::steady_clock::now() + max_runtime; + + // Now run the main solver loop. + for (size_t i = 0; i < num.max_calls && std::chrono::steady_clock::now() < time_to_stop; ++i) + { + auto next = opt.get_next_x(); + matrix<double,0,1> x = next.x(); + // Undo any log-scaling that was applied to the variables before we pass them + // to the functions being optimized. + for (long j = 0; j < x.size(); ++j) + { + if (log_scale[next.function_idx()][j]) + x(j) = std::exp(x(j)); + } + double y = ymult*call_function_and_expand_args(functions[next.function_idx()], x); + next.set(y); + } + + + matrix<double,0,1> x; + double y; + size_t function_idx; + opt.get_best_function_eval(x,y,function_idx); + // Undo any log-scaling that was applied to the variables before we output them. + for (long j = 0; j < x.size(); ++j) + { + if (log_scale[function_idx][j]) + x(j) = std::exp(x(j)); + } + return std::make_pair(function_idx, function_evaluation(x,y/ymult)); + } + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + std::pair<size_t,function_evaluation> find_max_global ( + std::vector<funct>& functions, + std::vector<function_spec> specs, + const max_function_calls num, + const std::chrono::nanoseconds max_runtime = FOREVER, + double solver_epsilon = 0 + ) + { + return impl::find_max_global(functions, std::move(specs), num, max_runtime, solver_epsilon, +1); + } + + template < + typename funct + > + std::pair<size_t,function_evaluation> find_min_global ( + std::vector<funct>& functions, + std::vector<function_spec> specs, + const max_function_calls num, + const std::chrono::nanoseconds max_runtime = FOREVER, + double solver_epsilon = 0 + ) + { + return impl::find_max_global(functions, std::move(specs), num, max_runtime, solver_epsilon, -1); + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + function_evaluation find_max_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const std::vector<bool>& is_integer_variable, + const max_function_calls num, + const std::chrono::nanoseconds max_runtime = FOREVER, + double solver_epsilon = 0 + ) + { + std::vector<funct> functions(1,std::move(f)); + std::vector<function_spec> specs(1, function_spec(bound1, bound2, is_integer_variable)); + return find_max_global(functions, std::move(specs), num, max_runtime, solver_epsilon).second; + } + + template < + typename funct + > + function_evaluation find_min_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const std::vector<bool>& is_integer_variable, + const max_function_calls num, + const std::chrono::nanoseconds max_runtime = FOREVER, + double solver_epsilon = 0 + ) + { + std::vector<funct> functions(1,std::move(f)); + std::vector<function_spec> specs(1, function_spec(bound1, bound2, is_integer_variable)); + return find_min_global(functions, std::move(specs), num, max_runtime, solver_epsilon).second; + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + function_evaluation find_max_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const std::vector<bool>& is_integer_variable, + const max_function_calls num, + double solver_epsilon + ) + { + return find_max_global(std::move(f), bound1, bound2, is_integer_variable, num, FOREVER, solver_epsilon); + } + + template < + typename funct + > + function_evaluation find_min_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const std::vector<bool>& is_integer_variable, + const max_function_calls num, + double solver_epsilon + ) + { + return find_min_global(std::move(f), bound1, bound2, is_integer_variable, num, FOREVER, solver_epsilon); + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + function_evaluation find_max_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const max_function_calls num, + const std::chrono::nanoseconds max_runtime = FOREVER, + double solver_epsilon = 0 + ) + { + return find_max_global(std::move(f), bound1, bound2, std::vector<bool>(bound1.size(),false), num, max_runtime, solver_epsilon); + } + + template < + typename funct + > + function_evaluation find_min_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const max_function_calls num, + const std::chrono::nanoseconds max_runtime = FOREVER, + double solver_epsilon = 0 + ) + { + return find_min_global(std::move(f), bound1, bound2, std::vector<bool>(bound1.size(),false), num, max_runtime, solver_epsilon); + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + function_evaluation find_max_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const max_function_calls num, + double solver_epsilon + ) + { + return find_max_global(std::move(f), bound1, bound2, std::vector<bool>(bound1.size(),false), num, FOREVER, solver_epsilon); + } + + template < + typename funct + > + function_evaluation find_min_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const max_function_calls num, + double solver_epsilon + ) + { + return find_min_global(std::move(f), bound1, bound2, std::vector<bool>(bound1.size(),false), num, FOREVER, solver_epsilon); + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + function_evaluation find_max_global ( + funct f, + const double bound1, + const double bound2, + const max_function_calls num, + const std::chrono::nanoseconds max_runtime = FOREVER, + double solver_epsilon = 0 + ) + { + return find_max_global(std::move(f), matrix<double,0,1>({bound1}), matrix<double,0,1>({bound2}), num, max_runtime, solver_epsilon); + } + + template < + typename funct + > + function_evaluation find_min_global ( + funct f, + const double bound1, + const double bound2, + const max_function_calls num, + const std::chrono::nanoseconds max_runtime = FOREVER, + double solver_epsilon = 0 + ) + { + return find_min_global(std::move(f), matrix<double,0,1>({bound1}), matrix<double,0,1>({bound2}), num, max_runtime, solver_epsilon); + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + function_evaluation find_max_global ( + funct f, + const double bound1, + const double bound2, + const max_function_calls num, + double solver_epsilon + ) + { + return find_max_global(std::move(f), matrix<double,0,1>({bound1}), matrix<double,0,1>({bound2}), num, FOREVER, solver_epsilon); + } + + template < + typename funct + > + function_evaluation find_min_global ( + funct f, + const double bound1, + const double bound2, + const max_function_calls num, + double solver_epsilon + ) + { + return find_min_global(std::move(f), matrix<double,0,1>({bound1}), matrix<double,0,1>({bound2}), num, FOREVER, solver_epsilon); + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + function_evaluation find_max_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const std::chrono::nanoseconds max_runtime, + double solver_epsilon = 0 + ) + { + return find_max_global(std::move(f), bound1, bound2, max_function_calls(), max_runtime, solver_epsilon); + } + + template < + typename funct + > + function_evaluation find_min_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const std::chrono::nanoseconds max_runtime, + double solver_epsilon = 0 + ) + { + return find_min_global(std::move(f), bound1, bound2, max_function_calls(), max_runtime, solver_epsilon); + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + function_evaluation find_max_global ( + funct f, + const double bound1, + const double bound2, + const std::chrono::nanoseconds max_runtime, + double solver_epsilon = 0 + ) + { + return find_max_global(std::move(f), bound1, bound2, max_function_calls(), max_runtime, solver_epsilon); + } + + template < + typename funct + > + function_evaluation find_min_global ( + funct f, + const double bound1, + const double bound2, + const std::chrono::nanoseconds max_runtime, + double solver_epsilon = 0 + ) + { + return find_min_global(std::move(f), bound1, bound2, max_function_calls(), max_runtime, solver_epsilon); + } + +// ---------------------------------------------------------------------------------------- + + template < + typename funct + > + function_evaluation find_max_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const std::vector<bool>& is_integer_variable, + const std::chrono::nanoseconds max_runtime, + double solver_epsilon = 0 + ) + { + return find_max_global(std::move(f), bound1, bound2, is_integer_variable, max_function_calls(), max_runtime, solver_epsilon); + } + + template < + typename funct + > + function_evaluation find_min_global ( + funct f, + const matrix<double,0,1>& bound1, + const matrix<double,0,1>& bound2, + const std::vector<bool>& is_integer_variable, + const std::chrono::nanoseconds max_runtime, + double solver_epsilon = 0 + ) + { + return find_min_global(std::move(f), bound1, bound2, is_integer_variable, max_function_calls(), max_runtime, solver_epsilon); + } + +// ---------------------------------------------------------------------------------------- + +} + +#endif // DLIB_FiND_GLOBAL_MAXIMUM_hH_ + |