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interface to NLopt minimisers (tested and working)

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This commit is contained in:
Antonin Portelli
2016-04-01 21:40:22 +01:00
parent ca73ef1269
commit 2de5a9440b
6 changed files with 308 additions and 17 deletions
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13
configure.ac
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@@ -45,6 +45,12 @@ AC_ARG_WITH([Minuit2],
[AM_CFLAGS="$AM_CFLAGS -I$with_Minuit2/include"]
[AM_CXXFLAGS="$AM_CXXFLAGS -I$with_Minuit2/include"]
[AM_LDFLAGS="$AM_LDFLAGS -L$with_Minuit2/lib"])
AC_ARG_WITH([nlopt],
[AS_HELP_STRING([--with-nlopt=prefix],
[try this for a non-standard install prefix of the nlopt library])],
[AM_CFLAGS="$AM_CFLAGS -I$with_nlopt/include"]
[AM_CXXFLAGS="$AM_CXXFLAGS -I$with_nlopt/include"]
[AM_LDFLAGS="$AM_LDFLAGS -L$with_nlopt/lib"])
AC_ARG_WITH([LatCore],
[AS_HELP_STRING([--with-LatCore=prefix],
[use this option for a non-standard install prefix of the LatCore library])],
@@ -84,6 +90,13 @@ AC_CHECK_LIB([m],[cos],[],[AC_MSG_ERROR([libm library not found])])
AC_CHECK_LIB([gslcblas],[cblas_dgemm],[],
[AC_MSG_ERROR([GSL CBLAS library not found])])
AC_CHECK_LIB([gsl],[gsl_blas_dgemm],[],[AC_MSG_ERROR([GSL library not found])])
AC_CHECK_LIB([nlopt_cxx],[nlopt_create],
[AC_DEFINE([HAVE_NLOPT],
[1],
[Define to 1 if you have the `NLopt' library (-lnlopt_cxx).])]
[have_nlopt=true]
[LIBS="$LIBS -lnlopt_cxx"],[])
AM_CONDITIONAL([HAVE_NLOPT], [test x$have_nlopt = xtrue])
AC_CHECK_LIB([LatCore],[_ZN7LatCore12testFunctionEv],[],
[AC_MSG_ERROR([LatCore library not found])])
SAVED_LDFLAGS=$LDFLAGS

28
examples/exFit.cpp
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@@ -3,6 +3,7 @@
#include <LatAnalyze/CompiledModel.hpp>
#include <LatAnalyze/Io.hpp>
#include <LatAnalyze/MinuitMinimizer.hpp>
#include <LatAnalyze/NloptMinimizer.hpp>
#include <LatAnalyze/RandGen.hpp>
#include <LatAnalyze/XYStatData.hpp>
@@ -37,25 +38,36 @@ int main(void)
data.x(i2, 1) = xBuf[1];
data.y(data.dataIndex(i1, i2)) = rg.gaussian(f(xBuf, exactPar),
yErr);
printf("% 8e % 8e % 8e % 8e % 8e\n", data.x(i1, 0), xErr,
data.x(i2, 1), data.y(i1), yErr);
}
}
cout << endl;
data.setXError(0, DVec::Constant(data.getXSize(0), xErr));
data.assumeXExact(true, 1);
data.setYError(0, DVec::Constant(data.getYSize(), yErr));
cout << data << endl;
// fit
// set minimizers
DVec init = DVec::Constant(2, 0.1);
FitResult p;
MinuitMinimizer minimizer;
NloptMinimizer globalMin(NloptMinimizer::Algorithm::GN_CRS2_LM);
MinuitMinimizer localMin;
vector<Minimizer *> min{&globalMin, &localMin};
globalMin.setVerbosity(Minimizer::Verbosity::Normal);
globalMin.setPrecision(0.01);
globalMin.setMaxIteration(10000);
globalMin.useLowLimit(0);
globalMin.setLowLimit(0, 0.);
globalMin.useHighLimit(0);
globalMin.setHighLimit(0, 20.);
globalMin.useLowLimit(1);
globalMin.setLowLimit(1, 0.);
globalMin.useHighLimit(1);
globalMin.setHighLimit(1, 20.);
localMin.setVerbosity(Minimizer::Verbosity::Normal);
// fit
f.parName().setName(0, "m");
f.parName().setName(1, "A");
minimizer.setVerbosity(Minimizer::Verbosity::Normal);
p = data.fit(minimizer, init, f);
p = data.fit(min, init, f);
p.print();
return EXIT_SUCCESS;

22
examples/exFitSample.cpp
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@@ -2,6 +2,7 @@
#include <cmath>
#include <LatAnalyze/CompiledModel.hpp>
#include <LatAnalyze/MinuitMinimizer.hpp>
#include <LatAnalyze/NloptMinimizer.hpp>
#include <LatAnalyze/RandGen.hpp>
#include <LatAnalyze/XYSampleData.hpp>
@@ -43,16 +44,29 @@ int main(void)
}
}
data.assumeXExact(true, 1);
cout << data << endl;
// fit
// set minimizers
DVec init = DVec::Constant(2, 0.1);
SampleFitResult p;
MinuitMinimizer minimizer;
NloptMinimizer globalMin(NloptMinimizer::Algorithm::GN_CRS2_LM);
MinuitMinimizer localMin;
vector<Minimizer *> min{&globalMin, &localMin};
globalMin.setPrecision(0.01);
globalMin.setMaxIteration(10000);
globalMin.useLowLimit(0);
globalMin.setLowLimit(0, 0.);
globalMin.useHighLimit(0);
globalMin.setHighLimit(0, 20.);
globalMin.useLowLimit(1);
globalMin.setLowLimit(1, 0.);
globalMin.useHighLimit(1);
globalMin.setHighLimit(1, 20.);
// fit
f.parName().setName(0, "m");
f.parName().setName(1, "A");
p = data.fit(minimizer, init, f);
p = data.fit(min, init, f);
p.print();
return EXIT_SUCCESS;

4
lib/Makefile.am
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@@ -86,6 +86,10 @@ if HAVE_MINUIT
libLatAnalyze_la_SOURCES += MinuitMinimizer.cpp
libLatAnalyze_la_HEADERS += MinuitMinimizer.hpp
endif
if HAVE_NLOPT
libLatAnalyze_la_SOURCES += NloptMinimizer.cpp
libLatAnalyze_la_HEADERS += NloptMinimizer.hpp
endif
libLatAnalyze_la_CXXFLAGS = $(COM_CXXFLAGS)
ACLOCAL_AMFLAGS = -I .buildutils/m4

175
lib/NloptMinimizer.cpp Normal file
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@@ -0,0 +1,175 @@
/*
* NloptMinimizer.cpp, part of LatAnalyze 3
*
* Copyright (C) 2013 - 2016 Antonin Portelli
*
* LatAnalyze 3 is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* LatAnalyze 3 is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with LatAnalyze 3. If not, see <http://www.gnu.org/licenses/>.
*/
#include <LatAnalyze/NloptMinimizer.hpp>
#include <LatAnalyze/includes.hpp>
using namespace std;
using namespace Latan;
/******************************************************************************
* NloptMinimizer implementation *
******************************************************************************/
// constructors ////////////////////////////////////////////////////////////////
NloptMinimizer::NloptMinimizer(const Algorithm algorithm)
{
setAlgorithm(algorithm);
}
NloptMinimizer::NloptMinimizer(const Index dim, const Algorithm algorithm)
: Minimizer(dim)
{
setAlgorithm(algorithm);
}
// access //////////////////////////////////////////////////////////////////////
NloptMinimizer::Algorithm NloptMinimizer::getAlgorithm(void) const
{
return algorithm_;
}
void NloptMinimizer::setAlgorithm(const Algorithm algorithm)
{
algorithm_ = algorithm;
}
// minimization ////////////////////////////////////////////////////////////////
const DVec & NloptMinimizer::operator()(const DoubleFunction &f)
{
DVec &x = getState();
// resize minimizer state to match function number of arguments
if (f.getNArg() != x.size())
{
resize(f.getNArg());
}
// create and set minimizer
nlopt::opt min(getAlgorithm(), x.size());
NloptFuncData data;
vector<double> lb(x.size()), hb(x.size());
min.set_maxeval(getMaxIteration());
min.set_xtol_rel(getPrecision());
data.f = &f;
min.set_min_objective(&funcWrapper, &data);
for (Index i = 0; i < x.size(); ++i)
{
lb[i] = hasLowLimit(i) ? getLowLimit(i) : -HUGE_VAL;
hb[i] = hasHighLimit(i) ? getHighLimit(i) : HUGE_VAL;
}
min.set_lower_bounds(lb);
min.set_upper_bounds(hb);
// minimise
double res;
vector<double> vx(x.size());
nlopt::result status;
unsigned int n = 0;
for (Index i = 0; i < x.size(); ++i)
{
vx[i] = x(i);
}
do
{
if (getVerbosity() >= Verbosity::Normal)
{
cout << "========== NLopt minimization, pass #" << n + 1;
cout << " ==========" << endl;
cout << "Algorithm: " << min.get_algorithm_name() << endl;
cout << "Max eval.= " << min.get_maxeval();
cout << " -- Precision= " << min.get_xtol_rel() << endl;
cout << "starting f(x)= " << f(x) << endl;
}
try
{
status = min.optimize(vx, res);
}
catch (invalid_argument &e)
{
LATAN_ERROR(Runtime, "NLopt has reported receving invalid "
"arguments (if you are using a global minimizer, did "
"you specify limits for all variables?)");
}
if (getVerbosity() >= Verbosity::Normal)
{
cout << "Found minimum " << res << " at:" << endl;
for (Index i = 0; i < x.size(); ++i)
{
printf("%8s= %e\n", f.varName().getName(i).c_str(), vx[i]);
}
cout << "after " << data.evalCount << " evaluations" << endl;
cout << "Minimization ended with code " << status;
cout << " (" << returnMessage(status) << ")";
cout << endl;
}
data.evalCount = 0;
for (Index i = 0; i < x.size(); ++i)
{
x(i) = vx[i];
}
n++;
} while ((status != nlopt::XTOL_REACHED) and (status != nlopt::SUCCESS)
and (n < getMaxPass()));
if (getVerbosity() >= Verbosity::Normal)
{
cout << "=================================================" << endl;
}
if ((status != nlopt::XTOL_REACHED) and (status != nlopt::SUCCESS))
{
LATAN_WARNING("invalid minimum: " + returnMessage(status));
}
return x;
}
// NLopt return code parser ////////////////////////////////////////////////////
string NloptMinimizer::returnMessage(const nlopt::result status)
{
switch (status)
{
case nlopt::SUCCESS:
return "success";
case nlopt::STOPVAL_REACHED:
return "stopping value reached";
case nlopt::FTOL_REACHED:
return "tolerance on function reached";
case nlopt::XTOL_REACHED:
return "tolerance on variable reached";
case nlopt::MAXEVAL_REACHED:
return "maximum function evaluation reached";
case nlopt::MAXTIME_REACHED:
return "maximum time reached";
default:
return "";
}
}
// NLopt function wrapper //////////////////////////////////////////////////////
double NloptMinimizer::funcWrapper(unsigned int n __dumb, const double *arg,
double *grad , void *vdata)
{
NloptFuncData &data = *static_cast<NloptFuncData *>(vdata);
assert(grad == nullptr);
data.evalCount++;
return (*data.f)(arg);
}

73
lib/NloptMinimizer.hpp Normal file
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@@ -0,0 +1,73 @@
/*
* NloptMinimizer.hpp, part of LatAnalyze 3
*
* Copyright (C) 2013 - 2016 Antonin Portelli
*
* LatAnalyze 3 is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* LatAnalyze 3 is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with LatAnalyze 3. If not, see <http://www.gnu.org/licenses/>.
*/
#ifndef Latan_NloptMinimizer_hpp_
#define Latan_NloptMinimizer_hpp_
#include <LatAnalyze/Global.hpp>
#include <LatAnalyze/Derivative.hpp>
#include <LatAnalyze/Function.hpp>
#include <LatAnalyze/Minimizer.hpp>
#include <nlopt.hpp>
BEGIN_LATAN_NAMESPACE
/******************************************************************************
* interface to NLOpt minimizers *
* ( http://ab-initio.mit.edu/wiki/index.php/NLopt ) *
* -------------------------------------------------------------------------- *
* cf. http://ab-initio.mit.edu/wiki/index.php/NLopt_Algorithms for algorithm *
* references and naming conventions *
******************************************************************************/
class NloptMinimizer: public Minimizer
{
public:
typedef nlopt::algorithm Algorithm;
private:
struct NloptFuncData
{
const DoubleFunction *f{nullptr};
unsigned int evalCount{0};
};
public:
// constructor
NloptMinimizer(const Algorithm algorithm = defaultAlg_);
explicit NloptMinimizer(const Index dim,
const Algorithm algorithm = defaultAlg_);
// destructor
virtual ~NloptMinimizer(void) = default;
// access
Algorithm getAlgorithm(void) const;
void setAlgorithm(const Algorithm algorithm);
// minimization
virtual const DVec & operator()(const DoubleFunction &f);
private:
// NLopt return code parser
static std::string returnMessage(const nlopt::result status);
// NLopt function wrapper
static double funcWrapper(unsigned int n, const double *arg,
double *grad , void *vdata);
private:
Algorithm algorithm_;
static constexpr Algorithm defaultAlg_ = Algorithm::LN_NELDERMEAD;
};
END_LATAN_NAMESPACE
#endif // Latan_NloptMinimizer_hpp_