001    /*
002     * Licensed to the Apache Software Foundation (ASF) under one or more
003     * contributor license agreements.  See the NOTICE file distributed with
004     * this work for additional information regarding copyright ownership.
005     * The ASF licenses this file to You under the Apache License, Version 2.0
006     * (the "License"); you may not use this file except in compliance with
007     * the License.  You may obtain a copy of the License at
008     *
009     *      http://www.apache.org/licenses/LICENSE-2.0
010     *
011     * Unless required by applicable law or agreed to in writing, software
012     * distributed under the License is distributed on an "AS IS" BASIS,
013     * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
014     * See the License for the specific language governing permissions and
015     * limitations under the License.
016     */
017    
018    package org.apache.commons.math3.optimization.direct;
019    
020    import org.apache.commons.math3.analysis.MultivariateFunction;
021    import org.apache.commons.math3.exception.DimensionMismatchException;
022    import org.apache.commons.math3.exception.NumberIsTooSmallException;
023    import org.apache.commons.math3.util.FastMath;
024    import org.apache.commons.math3.util.MathUtils;
025    
026    /**
027     * <p>Adapter extending bounded {@link MultivariateFunction} to an unbouded
028     * domain using a penalty function.</p>
029     *
030     * <p>
031     * This adapter can be used to wrap functions subject to simple bounds on
032     * parameters so they can be used by optimizers that do <em>not</em> directly
033     * support simple bounds.
034     * </p>
035     * <p>
036     * The principle is that the user function that will be wrapped will see its
037     * parameters bounded as required, i.e when its {@code value} method is called
038     * with argument array {@code point}, the elements array will fulfill requirement
039     * {@code lower[i] <= point[i] <= upper[i]} for all i. Some of the components
040     * may be unbounded or bounded only on one side if the corresponding bound is
041     * set to an infinite value. The optimizer will not manage the user function by
042     * itself, but it will handle this adapter and it is this adapter that will take
043     * care the bounds are fulfilled. The adapter {@link #value(double[])} method will
044     * be called by the optimizer with unbound parameters, and the adapter will check
045     * if the parameters is within range or not. If it is in range, then the underlying
046     * user function will be called, and if it is not the value of a penalty function
047     * will be returned instead.
048     * </p>
049     * <p>
050     * This adapter is only a poor man solution to simple bounds optimization constraints
051     * that can be used with simple optimizers like {@link SimplexOptimizer} with {@link
052     * NelderMeadSimplex} or {@link MultiDirectionalSimplex}. A better solution is to use
053     * an optimizer that directly supports simple bounds like {@link CMAESOptimizer} or
054     * {@link BOBYQAOptimizer}. One caveat of this poor man solution is that if start point
055     * or start simplex is completely outside of the allowed range, only the penalty function
056     * is used, and the optimizer may converge without ever entering the range.
057     * </p>
058     *
059     * @see MultivariateFunctionMappingAdapter
060     *
061     * @version $Id: MultivariateFunctionPenaltyAdapter.java 1422230 2012-12-15 12:11:13Z erans $
062     * @deprecated As of 3.1 (to be removed in 4.0).
063     * @since 3.0
064     */
065    
066    @Deprecated
067    public class MultivariateFunctionPenaltyAdapter implements MultivariateFunction {
068    
069        /** Underlying bounded function. */
070        private final MultivariateFunction bounded;
071    
072        /** Lower bounds. */
073        private final double[] lower;
074    
075        /** Upper bounds. */
076        private final double[] upper;
077    
078        /** Penalty offset. */
079        private final double offset;
080    
081        /** Penalty scales. */
082        private final double[] scale;
083    
084        /** Simple constructor.
085         * <p>
086         * When the optimizer provided points are out of range, the value of the
087         * penalty function will be used instead of the value of the underlying
088         * function. In order for this penalty to be effective in rejecting this
089         * point during the optimization process, the penalty function value should
090         * be defined with care. This value is computed as:
091         * <pre>
092         *   penalty(point) = offset + &sum;<sub>i</sub>[scale[i] * &radic;|point[i]-boundary[i]|]
093         * </pre>
094         * where indices i correspond to all the components that violates their boundaries.
095         * </p>
096         * <p>
097         * So when attempting a function minimization, offset should be larger than
098         * the maximum expected value of the underlying function and scale components
099         * should all be positive. When attempting a function maximization, offset
100         * should be lesser than the minimum expected value of the underlying function
101         * and scale components should all be negative.
102         * minimization, and lesser than the minimum expected value of the underlying
103         * function when attempting maximization.
104         * </p>
105         * <p>
106         * These choices for the penalty function have two properties. First, all out
107         * of range points will return a function value that is worse than the value
108         * returned by any in range point. Second, the penalty is worse for large
109         * boundaries violation than for small violations, so the optimizer has an hint
110         * about the direction in which it should search for acceptable points.
111         * </p>
112         * @param bounded bounded function
113         * @param lower lower bounds for each element of the input parameters array
114         * (some elements may be set to {@code Double.NEGATIVE_INFINITY} for
115         * unbounded values)
116         * @param upper upper bounds for each element of the input parameters array
117         * (some elements may be set to {@code Double.POSITIVE_INFINITY} for
118         * unbounded values)
119         * @param offset base offset of the penalty function
120         * @param scale scale of the penalty function
121         * @exception DimensionMismatchException if lower bounds, upper bounds and
122         * scales are not consistent, either according to dimension or to bounadary
123         * values
124         */
125        public MultivariateFunctionPenaltyAdapter(final MultivariateFunction bounded,
126                                                      final double[] lower, final double[] upper,
127                                                      final double offset, final double[] scale) {
128    
129            // safety checks
130            MathUtils.checkNotNull(lower);
131            MathUtils.checkNotNull(upper);
132            MathUtils.checkNotNull(scale);
133            if (lower.length != upper.length) {
134                throw new DimensionMismatchException(lower.length, upper.length);
135            }
136            if (lower.length != scale.length) {
137                throw new DimensionMismatchException(lower.length, scale.length);
138            }
139            for (int i = 0; i < lower.length; ++i) {
140                // note the following test is written in such a way it also fails for NaN
141                if (!(upper[i] >= lower[i])) {
142                    throw new NumberIsTooSmallException(upper[i], lower[i], true);
143                }
144            }
145    
146            this.bounded = bounded;
147            this.lower   = lower.clone();
148            this.upper   = upper.clone();
149            this.offset  = offset;
150            this.scale   = scale.clone();
151    
152        }
153    
154        /** Compute the underlying function value from an unbounded point.
155         * <p>
156         * This method simply returns the value of the underlying function
157         * if the unbounded point already fulfills the bounds, and compute
158         * a replacement value using the offset and scale if bounds are
159         * violated, without calling the function at all.
160         * </p>
161         * @param point unbounded point
162         * @return either underlying function value or penalty function value
163         */
164        public double value(double[] point) {
165    
166            for (int i = 0; i < scale.length; ++i) {
167                if ((point[i] < lower[i]) || (point[i] > upper[i])) {
168                    // bound violation starting at this component
169                    double sum = 0;
170                    for (int j = i; j < scale.length; ++j) {
171                        final double overshoot;
172                        if (point[j] < lower[j]) {
173                            overshoot = scale[j] * (lower[j] - point[j]);
174                        } else if (point[j] > upper[j]) {
175                            overshoot = scale[j] * (point[j] - upper[j]);
176                        } else {
177                            overshoot = 0;
178                        }
179                        sum += FastMath.sqrt(overshoot);
180                    }
181                    return offset + sum;
182                }
183            }
184    
185            // all boundaries are fulfilled, we are in the expected
186            // domain of the underlying function
187            return bounded.value(point);
188    
189        }
190    
191    }