double SGD<DecomposableFunctionType, UpdatePolicyType>::Optimize(
DecomposableFunctionType& function,
arma::mat& iterate)
{
// Find the number of functions to use.
const size_t numFunctions = function.NumFunctions();
// This is used only if shuffle is true.
arma::Col<size_t> visitationOrder;
if (shuffle)
{
visitationOrder = arma::shuffle(arma::linspace<arma::Col<size_t>>(0,
(numFunctions - 1), numFunctions));
}
// To keep track of where we are and how things are going.
size_t currentFunction = 0;
double overallObjective = 0;
double lastObjective = DBL_MAX;
// Calculate the first objective function.
for (size_t i = 0; i < numFunctions; ++i)
overallObjective += function.Evaluate(iterate, i);
// Initialize the update policy.
updatePolicy.Initialize(iterate.n_rows, iterate.n_cols);
// Now iterate!
arma::mat gradient(iterate.n_rows, iterate.n_cols);
for (size_t i = 1; i != maxIterations; ++i, ++currentFunction)
{
// Is this iteration the start of a sequence?
if ((currentFunction % numFunctions) == 0)
{
// Output current objective function.
Log::Info << "SGD: iteration " << i << ", objective " << overallObjective
<< "." << std::endl;
if (std::isnan(overallObjective) || std::isinf(overallObjective))
{
Log::Warn << "SGD: converged to " << overallObjective << "; terminating"
<< " with failure. Try a smaller step size?" << std::endl;
return overallObjective;
}
if (std::abs(lastObjective - overallObjective) < tolerance)
{
Log::Info << "SGD: minimized within tolerance " << tolerance << "; "
<< "terminating optimization." << std::endl;
return overallObjective;
}
// Reset the counter variables.
lastObjective = overallObjective;
overallObjective = 0;
currentFunction = 0;
if (shuffle) // Determine order of visitation.
visitationOrder = arma::shuffle(visitationOrder);
}
// Evaluate the gradient for this iteration.
if (shuffle)
function.Gradient(iterate, visitationOrder[currentFunction], gradient);
else
function.Gradient(iterate, currentFunction, gradient);
// Use the update policy to take a step.
updatePolicy.Update(iterate, stepSize, gradient);
// Now add that to the overall objective function.
if (shuffle)
{
overallObjective += function.Evaluate(iterate,
visitationOrder[currentFunction]);
}
else
{
overallObjective += function.Evaluate(iterate, currentFunction);
}
}
Log::Info << "SGD: maximum iterations (" << maxIterations << ") reached; "
<< "terminating optimization." << std::endl;
// Calculate final objective.
overallObjective = 0;
for (size_t i = 0; i < numFunctions; ++i)
overallObjective += function.Evaluate(iterate, i);
return overallObjective;
}
double CNE::Optimize(DecomposableFunctionType& function, arma::mat& iterate)
{
// Make sure for evolution to work at least four candidates are present.
if (populationSize < 4)
{
throw std::logic_error("CNE::Optimize(): population size should be at least"
" 4!");
}
// Find the number of elite canditates from population.
numElite = floor(selectPercent * populationSize);
// Making sure we have even number of candidates to remove and create.
if ((populationSize - numElite) % 2 != 0)
numElite--;
// Terminate if two parents can not be created.
if (numElite < 2)
{
throw std::logic_error("CNE::Optimize(): unable to select two parents. "
"Increase selection percentage.");
}
// Terminate if at least two childs are not possible.
if ((populationSize - numElite) < 2)
{
throw std::logic_error("CNE::Optimize(): no space to accomodate even 2 "
"children. Increase population size.");
}
// Set the population size and fill random values [0,1].
population = arma::randu(iterate.n_rows, iterate.n_cols, populationSize);
// Store the number of elements in a cube slice or a matrix column.
elements = population.n_rows * population.n_cols;
// initializing helper variables.
fitnessValues.set_size(populationSize);
Log::Info << "CNE initialized successfully. Optimization started."
<< std::endl;
// Find the fitness before optimization using given iterate parameters.
size_t lastBestFitness = function.Evaluate(iterate);
// Iterate until maximum number of generations is obtained.
for (size_t gen = 1; gen <= maxGenerations; gen++)
{
// Calculating fitness values of all candidates.
for (size_t i = 0; i < populationSize; i++)
{
// Select a candidate and insert the parameters in the function.
iterate = population.slice(i);
// Find fitness of candidate.
fitnessValues[i] = function.Evaluate(iterate);
}
Log::Info << "Generation number: " << gen << " best fitness = "
<< fitnessValues.min() << std::endl;
// Create next generation of species.
Reproduce();
// Check for termination criteria.
if (tolerance >= fitnessValues.min())
{
Log::Info << "CNE::Optimize(): terminating. Given fitness criteria "
<< tolerance << " > " << fitnessValues.min() << "." << std::endl;
break;
}
// Check for termination criteria.
if (lastBestFitness - fitnessValues.min() < objectiveChange)
{
Log::Info << "CNE::Optimize(): terminating. Fitness history change "
<< (lastBestFitness - fitnessValues.min())
<< " < " << objectiveChange << "." << std::endl;
break;
}
// Store the best fitness of present generation.
lastBestFitness = fitnessValues.min();
}
// Set the best candidate into the network parameters.
iterate = population.slice(index(0));
return function.Evaluate(iterate);
}
