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java.lang.Objectorg.apache.commons.math3.optimization.direct.BaseAbstractMultivariateOptimizer<MultivariateFunction>
org.apache.commons.math3.optimization.direct.SimplexOptimizer
public class SimplexOptimizer
This class implements simplex-based direct search optimization.
Direct search methods only use objective function values, they do not need derivatives and don't either try to compute approximation of the derivatives. According to a 1996 paper by Margaret H. Wright (Direct Search Methods: Once Scorned, Now Respectable), they are used when either the computation of the derivative is impossible (noisy functions, unpredictable discontinuities) or difficult (complexity, computation cost). In the first cases, rather than an optimum, a not too bad point is desired. In the latter cases, an optimum is desired but cannot be reasonably found. In all cases direct search methods can be useful.
Simplex-based direct search methods are based on comparison of the objective function values at the vertices of a simplex (which is a set of n+1 points in dimension n) that is updated by the algorithms steps.
The setSimplex
method must
be called prior to calling the optimize
method.
Each call to optimize
will re-use the start configuration of the current simplex and
move it such that its first vertex is at the provided start point of the
optimization. If the optimize
method is called to solve a different
problem and the number of parameters change, the simplex must be
re-initialized to one with the appropriate dimensions.
Convergence is checked by providing the worst points of previous and current simplex to the convergence checker, not the best ones.
This simplex optimizer implementation does not directly support constrained
optimization with simple bounds, so for such optimizations, either a more
dedicated method must be used like CMAESOptimizer
or BOBYQAOptimizer
, or the optimized method must be wrapped in an adapter like
MultivariateFunctionMappingAdapter
or MultivariateFunctionPenaltyAdapter
.
AbstractSimplex
,
MultivariateFunctionMappingAdapter
,
MultivariateFunctionPenaltyAdapter
,
CMAESOptimizer
,
BOBYQAOptimizer
Field Summary | |
---|---|
private AbstractSimplex |
simplex
Simplex. |
Fields inherited from class org.apache.commons.math3.optimization.direct.BaseAbstractMultivariateOptimizer |
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evaluations |
Constructor Summary | |
---|---|
SimplexOptimizer()
Constructor using a default convergence
checker . |
|
SimplexOptimizer(ConvergenceChecker<PointValuePair> checker)
|
|
SimplexOptimizer(double rel,
double abs)
|
Method Summary | |
---|---|
protected PointValuePair |
doOptimize()
Perform the bulk of the optimization algorithm. |
void |
setSimplex(AbstractSimplex simplex)
Set the simplex algorithm. |
Methods inherited from class org.apache.commons.math3.optimization.direct.BaseAbstractMultivariateOptimizer |
---|
computeObjectiveValue, getConvergenceChecker, getEvaluations, getGoalType, getMaxEvaluations, getStartPoint, optimize |
Methods inherited from class java.lang.Object |
---|
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Methods inherited from interface org.apache.commons.math3.optimization.BaseMultivariateOptimizer |
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optimize |
Methods inherited from interface org.apache.commons.math3.optimization.BaseOptimizer |
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getConvergenceChecker, getEvaluations, getMaxEvaluations |
Field Detail |
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private AbstractSimplex simplex
Constructor Detail |
---|
public SimplexOptimizer()
convergence
checker
.
public SimplexOptimizer(ConvergenceChecker<PointValuePair> checker)
checker
- Convergence checker.public SimplexOptimizer(double rel, double abs)
rel
- Relative threshold.abs
- Absolute threshold.Method Detail |
---|
public void setSimplex(AbstractSimplex simplex)
simplex
- Simplex.protected PointValuePair doOptimize()
doOptimize
in class BaseAbstractMultivariateOptimizer<MultivariateFunction>
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