Differential Evolution

does this and that…

class olympus.planners.DifferentialEvolution(*args, **kwargs)[source]

Finds the global minimum of a multivariate function. Differential Evolution is stochastic in nature (does not use gradient methods) to find the minimium, 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

  • (str) (init_guess_seed) –

  • 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) – Bounds for variables. (min, max) pairs for each element in x, defining the 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) – Display status messages

  • 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.

  • 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). 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

  • (array (init_guess) –

  • optional) (initial guess for the optimization) –

  • (str) – Choose from: random

  • (str) –

Returns

res – 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.

Return type

OptimizeResult

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), \(b_0\), 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) 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(1,2)

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

Methods

tell([observations])

Provide the planner with all previous observations.

ask([return_as])

suggest new set of parameters

recommend([observations, return_as])

Consecutively executes tell and ask: tell the planner about all previous observations, and ask about the next query point.

optimize(emulator[, num_iter, verbose])

Optimizes a surface for a fixed number of iterations.

set_param_space(param_space)

Defines the parameter space over which the planner will search.