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// Copyright (C) 2017 Davis E. King (davis@dlib.net)
// License: Boost Software License See LICENSE.txt for the full license.
#ifndef DLIB_GLOBAL_FuNCTION_SEARCH_Hh_
#define DLIB_GLOBAL_FuNCTION_SEARCH_Hh_
#include "global_function_search_abstract.h"
#include <vector>
#include "../matrix.h"
#include <mutex>
#include "../rand.h"
#include "upper_bound_function.h"
#include "../test_for_odr_violations.h"
namespace dlib
{
// ----------------------------------------------------------------------------------------
struct function_spec
{
function_spec(
matrix<double,0,1> bound1,
matrix<double,0,1> bound2
);
function_spec(
matrix<double,0,1> bound1,
matrix<double,0,1> bound2,
std::vector<bool> is_integer
);
matrix<double,0,1> lower;
matrix<double,0,1> upper;
std::vector<bool> is_integer_variable;
};
// ----------------------------------------------------------------------------------------
namespace gopt_impl
{
struct outstanding_function_eval_request
{
size_t request_id = 0; // unique id for this eval request
matrix<double,0,1> x; // function x to evaluate
// trust region specific stuff
bool was_trust_region_generated_request = false;
double predicted_improvement = std::numeric_limits<double>::quiet_NaN();
double anchor_objective_value = std::numeric_limits<double>::quiet_NaN(); // objective value at center of TR step
bool operator==(const outstanding_function_eval_request& item) const { return request_id == item.request_id; }
};
struct funct_info
{
funct_info() = delete;
funct_info(const funct_info&) = delete;
funct_info& operator=(const funct_info&) = delete;
funct_info(
const function_spec& spec,
size_t function_idx,
const std::shared_ptr<std::mutex>& m
) :
spec(spec), function_idx(function_idx), m(m)
{
best_x = zeros_matrix(spec.lower);
}
upper_bound_function build_upper_bound_with_all_function_evals (
) const;
static double find_nn (
const std::vector<function_evaluation>& evals,
const matrix<double,0,1>& x
);
function_spec spec;
size_t function_idx = 0;
std::shared_ptr<std::mutex> m;
upper_bound_function ub;
std::vector<outstanding_function_eval_request> outstanding_evals;
matrix<double,0,1> best_x;
double best_objective_value = -std::numeric_limits<double>::infinity();
double radius = 0;
};
}
// ----------------------------------------------------------------------------------------
class function_evaluation_request
{
public:
function_evaluation_request() = delete;
function_evaluation_request(const function_evaluation_request&) = delete;
function_evaluation_request& operator=(const function_evaluation_request&) = delete;
function_evaluation_request(function_evaluation_request&& item);
function_evaluation_request& operator=(function_evaluation_request&& item);
~function_evaluation_request();
size_t function_idx (
) const;
const matrix<double,0,1>& x (
) const;
bool has_been_evaluated (
) const;
void set (
double y
);
void swap(function_evaluation_request& item);
private:
friend class global_function_search;
explicit function_evaluation_request(
const gopt_impl::outstanding_function_eval_request& req,
const std::shared_ptr<gopt_impl::funct_info>& info
) : req(req), info(info) {}
bool m_has_been_evaluated = false;
gopt_impl::outstanding_function_eval_request req;
std::shared_ptr<gopt_impl::funct_info> info;
};
// ----------------------------------------------------------------------------------------
class global_function_search
{
public:
global_function_search() = default;
explicit global_function_search(
const function_spec& function
);
explicit global_function_search(
const std::vector<function_spec>& functions_
);
global_function_search(
const std::vector<function_spec>& functions_,
const std::vector<std::vector<function_evaluation>>& initial_function_evals,
const double relative_noise_magnitude = 0.001
);
global_function_search(const global_function_search&) = delete;
global_function_search& operator=(const global_function_search& item) = delete;
global_function_search(global_function_search&& item) = default;
global_function_search& operator=(global_function_search&& item) = default;
size_t num_functions(
) const;
void set_seed (
time_t seed
);
void get_function_evaluations (
std::vector<function_spec>& specs,
std::vector<std::vector<function_evaluation>>& function_evals
) const;
void get_best_function_eval (
matrix<double,0,1>& x,
double& y,
size_t& function_idx
) const;
function_evaluation_request get_next_x (
);
double get_pure_random_search_probability (
) const;
void set_pure_random_search_probability (
double prob
);
double get_solver_epsilon (
) const;
void set_solver_epsilon (
double eps
);
double get_relative_noise_magnitude (
) const;
void set_relative_noise_magnitude (
double value
);
size_t get_monte_carlo_upper_bound_sample_num (
) const;
void set_monte_carlo_upper_bound_sample_num (
size_t num
);
private:
std::shared_ptr<gopt_impl::funct_info> best_function(
) const;
std::shared_ptr<gopt_impl::funct_info> best_function(
size_t& idx
) const;
bool has_outstanding_trust_region_request (
) const;
dlib::rand rnd;
double pure_random_search_probability = 0.02;
double min_trust_region_epsilon = 0;
double relative_noise_magnitude = 0.001;
size_t num_random_samples = 5000;
bool do_trust_region_step = true;
size_t next_request_id = 1;
std::vector<std::shared_ptr<gopt_impl::funct_info>> functions;
std::shared_ptr<std::mutex> m;
};
// ----------------------------------------------------------------------------------------
}
#endif // DLIB_GLOBAL_FuNCTION_SEARCH_Hh_
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