From 2ec495e5f8086a304abe7a5f71571651705dd427 Mon Sep 17 00:00:00 2001 From: Connor Olding Date: Sat, 20 May 2023 19:03:46 -0700 Subject: [PATCH] add optimizers from cobyqa --- thursday/candidates/__init__.py | 1 + thursday/candidates/cobyqa.py | 82 +++++++++++++++++++++++++++++++++ thursday/parties.py | 1 + 3 files changed, 84 insertions(+) create mode 100644 thursday/candidates/cobyqa.py diff --git a/thursday/candidates/__init__.py b/thursday/candidates/__init__.py index 8fa86d4..4be675b 100644 --- a/thursday/candidates/__init__.py +++ b/thursday/candidates/__init__.py @@ -1,3 +1,4 @@ +from .cobyqa import COBYQA_OPTIMIZERS from .dlib import dlib_cube from .evolopy import make_evolopy from .fcmaes import ( diff --git a/thursday/candidates/cobyqa.py b/thursday/candidates/cobyqa.py new file mode 100644 index 0000000..1c3ac9c --- /dev/null +++ b/thursday/candidates/cobyqa.py @@ -0,0 +1,82 @@ +from cobyqa import minimize +from cobyqa.optimize import EXIT_RHOEND_SUCCESS, EXIT_MAXFEV_WARNING +import numpy as np +import sys + + +def _solve( + objective, x0, bounds, maxfun, *, rhobeg=None, rhoend=None, npt=None, tweaks=None +): + prng = np.random.default_rng() + + options = dict() + if npt is not None: + options["npt"] = npt + options["rhobeg"] = 1.0 if rhobeg is None else rhobeg + options["rhoend"] = 1e-6 if rhoend is None else rhoend + options["maxfev"] = maxfun + options["maxiter"] = 10_000 + + narrowing = False + + advanced = dict() + if tweaks is None: + pass + + elif tweaks == "bobby": + # use settings similar to pybobyqa. this seems to help a lot. + if rhobeg is None: + options["rhobeg"] = 0.1 + if rhoend is None: + options["rhoend"] = 1e-8 + + else: + assert False, tweaks + + nf = 0 + while nf < maxfun: + options["maxfev"] = maxfun - nf + res = minimize( + objective, x0, xl=bounds[0], xu=bounds[1], options=options, **advanced + ) + + if not res.success and res.status == EXIT_MAXFEV_WARNING: + pass # assert _objective(check) == budget, "nfev mismatch" + elif res.success and res.status == EXIT_RHOEND_SUCCESS: + pass + else: + print(f"{tweaks=}", res.success, res.message, file=sys.stderr) + + x0 = prng.uniform(size=len(x0)) if np.allclose(x0, res.x) else res.x + nf += res.nfev + + if narrowing: + options["rhobeg"] /= 2 + + return res + + +def cobyqa_default_cube(objective, size, budget): + x0, bounds = np.full(size, 0.5), (np.full(size, 0.0), np.full(size, 1.0)) + res = _solve(objective, x0, bounds, budget) + return res.fun, res.x, res.nfev + + +def cobyqa_bobby_cube(objective, size, budget): + x0, bounds = np.full(size, 0.5), (np.full(size, 0.0), np.full(size, 1.0)) + res = _solve(objective, x0, bounds, budget, tweaks="bobby") + return res.fun, res.x, res.nfev + + +def cobyqa_large_bobby_cube(objective, size, budget): + x0, bounds = np.full(size, 0.5), (np.full(size, 0.0), np.full(size, 1.0)) + npt = (size + 1) * (size + 2) // 2 + res = _solve(objective, x0, bounds, budget, tweaks="bobby", npt=npt) + return res.fun, res.x, res.nfev + + +COBYQA_OPTIMIZERS = [ + cobyqa_default_cube, + cobyqa_bobby_cube, + cobyqa_large_bobby_cube, +] diff --git a/thursday/parties.py b/thursday/parties.py index 144e187..8d90df5 100644 --- a/thursday/parties.py +++ b/thursday/parties.py @@ -115,6 +115,7 @@ else: parties = dict( baseline=BASELINE_OPTIMIZERS, + cobyqa=COBYQA_OPTIMIZERS, everything=FUCKING_EVERYTHING, evolopy=EVOLOPY_OPTIMIZERS, negative=PREVIOUSLY_NEGATIVE,