-DE strategyの整理

-JADEの修正

Author: tomitomi3

LibOptimization/My Project/AssemblyInfo.vb

@@ -12,7 +12,7 @@ Imports System.Runtime.InteropServices
 <Assembly: AssemblyDescription("Numeric Optimization Library for .NET Framework")>
 <Assembly: AssemblyCompany("")> 
 <Assembly: AssemblyProduct("LibOptimization")>
-<Assembly: AssemblyCopyright("tomitomi3")>
+<Assembly: AssemblyCopyright("tomitomi3 (https://github.com/tomitomi3/LibOptimization)")>
 <Assembly: AssemblyTrademark("")> 
 
 <Assembly: ComVisible(False)>

LibOptimization/Optimization/clsOptDE.vb

@@ -22,6 +22,7 @@ Namespace Optimization
  ''' [1]Storn, R., Price, K., "Differential Evolution – A Simple and Efficient Heuristic for Global Optimization over Continuous Spaces", Journal of Global Optimization 11: 341–359.
  ''' [2]Price, K. and Storn, R., "Minimizing the Real Functions of the ICEC’96 contest by Differential Evolution", IEEE International Conference on Evolutionary Computation (ICEC’96), may 1996, pp. 842–844.
  ''' [3]Sk. Minhazul Islam, Swagatam Das, "An Adaptive Differential Evolution Algorithm With Novel Mutation and Crossover Strategies for Global Numerical Optimization", IEEE TRANSACTIONS ON SYSTEMS, MAN, AND CYBERNETICS—PART B: CYBERNETICS, VOL. 42, NO. 2, APRIL 2012, pp482-500.
+ ''' [4]田邊遼司, and 福永Alex. "自動チューナーを用いた異なる最大評価回数における Differential Evolution アルゴリズムのパラメータ設定の調査." 進化計算学会論文誌 6.2 (2015): 67-81.
  ''' 
  ''' Implment:
  ''' N.Tomi(tomi.nori+github at gmail.com)
@@ -66,12 +67,6 @@ Namespace Optimization
  ''' </summary>
  Public Property F As Double = 0.5
 
- ''' <summary>
- ''' Differential weight(Scaling factor)(Default:0.5)
- ''' CurrentToBest, randToBest
- ''' </summary>
- Public Property Fdash As Double = 0.5
-
  ''' <summary>
  ''' Cross over ratio(Default:0.9)
  ''' </summary>
@@ -83,23 +78,23 @@ Namespace Optimization
  Public Property DEStrategy As EnumDEStrategyType = EnumDEStrategyType.DE_rand_1_bin
 
  ''' <summary>
- ''' Enum Differential Evolution Strategy
+ ''' Enum Differential Evolution Strategy[3][4]
  ''' </summary>
  Public Enum EnumDEStrategyType
- ''' <summary>DE/rand/1/bin 強い大域検索</summary>
+ ''' <summary>DE/rand/1/bin - global searchability(大域検索)</summary>
  DE_rand_1_bin
- ''' <summary>DE/rand/2/bin 強い大域検索</summary>
+ ''' <summary>DE/rand/2/bin - Strong global searchability(強い大域検索)</summary>
  DE_rand_2_bin
- ''' <summary>DE/best/1/bin 強い局所検索</summary>
+ ''' <summary>DE/best/1/bin - local searchability(局所検索)</summary>
  DE_best_1_bin
- ''' <summary>DE/best/2/bin 強い局所検索</summary>
+ ''' <summary>DE/best/2/bin - Strong local searchability(強い局所検索)</summary>
  DE_best_2_bin
- ''' <summary>DE/current/1/bin 弱い大域検索</summary>
- DE_current_1_bin
- ''' <summary>DE/currentToBest/1/bin 弱い局所検索</summary>
+ ''' <summary>DE/currentToRand/1/bin</summary>
+ DE_current_to_rand_1_bin
+ ''' <summary>DE/currentToBest/1/bin - local searchability(局所検索)</summary>
  DE_current_to_Best_1_bin
- ''' <summary>DE/randToBest/1/bin 大域・局所検索</summary>
- DE_rand_to_Best_1_bin
+ ''' <summary>DE/currentToBest/2/bin - local searchability(局所検索)</summary>
+ DE_current_to_Best_2_bin
  End Enum
 
  ''' <summary>population</summary>
@@ -230,77 +225,79 @@ Namespace Optimization
  Dim child = New clsPoint(Me.m_func)
  Dim j = Me.m_rand.Next() Mod Me.m_func.NumberOfVariable
  Dim D = Me.m_func.NumberOfVariable - 1
- If Me.DEStrategy = EnumDEStrategyType.DE_rand_1_bin Then
- 'DE/rand/1/bin
- For k = 0 To Me.m_func.NumberOfVariable - 1
- If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
- child(j) = p1(j) + Me.F * (p2(j) - p3(j))
- Else
- child(j) = xi(k)
- End If
- j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
- Next
- ElseIf Me.DEStrategy = EnumDEStrategyType.DE_rand_2_bin Then
- 'DE/rand/2/bin
- For k = 0 To Me.m_func.NumberOfVariable - 1
- If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
- child(j) = p1(j) + Me.F * (p2(j) + p3(j) - p4(j) - p5(j))
- Else
- child(j) = xi(k)
- End If
- j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
- Next
- ElseIf Me.DEStrategy = EnumDEStrategyType.DE_best_1_bin Then
- 'DE/best/1/bin
- For k = 0 To Me.m_func.NumberOfVariable - 1
- If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
- child(j) = best(j) + Me.F * (p1(j) - p2(j))
- Else
- child(j) = xi(k)
- End If
- j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
- Next
- ElseIf Me.DEStrategy = EnumDEStrategyType.DE_best_2_bin Then
- 'DE/best/2/bin
- For k = 0 To Me.m_func.NumberOfVariable - 1
- If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
- child(j) = best(j) + Me.F * (p1(j) + p2(j) - p3(j) - p4(j))
- Else
- child(j) = xi(k)
- End If
- j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
- Next
- ElseIf Me.DEStrategy = EnumDEStrategyType.DE_current_1_bin Then
- 'DE/current-to(target-to)/1/bin
- For k = 0 To Me.m_func.NumberOfVariable - 1
- If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
- child(j) = xi(j) + Me.F * (p2(j) - p3(j))
- Else
- child(j) = xi(k)
- End If
- j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
- Next
- ElseIf Me.DEStrategy = EnumDEStrategyType.DE_current_to_Best_1_bin Then
- 'DE/current-to-best/1/bin
- For k = 0 To Me.m_func.NumberOfVariable - 1
- If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
- child(j) = xi(j) + Me.Fdash * (best(j) - p1(j)) + Me.F * (p2(j) - p3(j))
- Else
- child(j) = xi(k)
- End If
- j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
- Next
- ElseIf Me.DEStrategy = EnumDEStrategyType.DE_rand_to_Best_1_bin Then
- 'DE/rand-to-best/1/bin
- For k = 0 To Me.m_func.NumberOfVariable - 1
- If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
- child(j) = p1(j) + Me.Fdash * (best(j) - p1(j)) + Me.F * (p2(j) - p3(j))
- Else
- child(j) = xi(k)
- End If
- j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
- Next
- End If
+
+ Select Case Me.DEStrategy
+ Case EnumDEStrategyType.DE_best_1_bin
+ 'DE/best/1/bin
+ For k = 0 To Me.m_func.NumberOfVariable - 1
+ If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
+ child(j) = best(j) + Me.F * (p1(j) - p2(j))
+ Else
+ child(j) = xi(k)
+ End If
+ j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
+ Next
+ Case EnumDEStrategyType.DE_best_2_bin
+ 'DE/best/2/bin
+ For k = 0 To Me.m_func.NumberOfVariable - 1
+ If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
+ child(j) = best(j) + Me.F * (p1(j) + p2(j) - p3(j) - p4(j))
+ Else
+ child(j) = xi(k)
+ End If
+ j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
+ Next
+ Case EnumDEStrategyType.DE_current_to_Best_1_bin
+ 'DE/current-to-best/1/bin
+ For k = 0 To Me.m_func.NumberOfVariable - 1
+ If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
+ child(j) = xi(j) + Me.F * (best(j) - p1(j)) + Me.F * (p2(j) - p3(j))
+ Else
+ child(j) = xi(k)
+ End If
+ j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
+ Next
+ Case EnumDEStrategyType.DE_current_to_Best_2_bin
+ 'DE/current-to-best/2/bin
+ For k = 0 To Me.m_func.NumberOfVariable - 1
+ If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
+ child(j) = xi(j) + Me.F * (best(j) - p1(j)) + Me.F * (p2(j) - p3(j)) + Me.F * (p4(j) - p5(j))
+ Else
+ child(j) = xi(k)
+ End If
+ j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
+ Next
+ Case EnumDEStrategyType.DE_current_to_rand_1_bin
+ 'DE/current-to-rand/1/bin
+ For k = 0 To Me.m_func.NumberOfVariable - 1
+ If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
+ child(j) = xi(j) + Me.F * (p2(j) - p3(j))
+ Else
+ child(j) = xi(k)
+ End If
+ j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
+ Next
+ Case EnumDEStrategyType.DE_rand_1_bin
+ 'DE/rand/1/bin
+ For k = 0 To Me.m_func.NumberOfVariable - 1
+ If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
+ child(j) = p1(j) + Me.F * (p2(j) - p3(j))
+ Else
+ child(j) = xi(k)
+ End If
+ j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
+ Next
+ Case EnumDEStrategyType.DE_rand_2_bin
+ 'DE/rand/2/bin
+ For k = 0 To Me.m_func.NumberOfVariable - 1
+ If Me.m_rand.NextDouble() < Me.CrossOverRatio OrElse k = D Then
+ child(j) = p1(j) + Me.F * (p2(j) + p3(j) - p4(j) - p5(j))
+ Else
+ child(j) = xi(k)
+ End If
+ j = (j + 1) Mod Me.m_func.NumberOfVariable 'next
+ Next
+ End Select
  child.ReEvaluate() 'Evaluate child
 
  'Limit solution space

LibOptimization/Optimization/clsOptDEJADE.vb

@@ -14,8 +14,8 @@ Namespace Optimization
  ''' Refference:
  ''' [1]Z.-H. Zhan, J. Zhang, Y. Li, and H. Chung, “JADE: Adaptive Differential Evolution With Optional External Archive” IEEE Trans. Systems, Man, and Cybernetics-Part B, vol. 39, no. 6, pp. 1362-1381, Dec. 2009. 
  ''' [2]阪井 節子,高濱 徹行, "パラメータの相関を考慮した適応型差分進化アルゴリズムJADEの改良", 不確実性の下での数理モデルとその周辺 Mathematical Model under Uncertainty and Related Topics RIMS 研究集会報告集
- '''  (JADEの原著論文が見れなかったので[2]文献を参照)
- ''' 
+ ''' [3]田邊遼司, and 福永Alex. "自動チューナーを用いた異なる最大評価回数における Differential Evolution アルゴリズムのパラメータ設定の調査." 進化計算学会論文誌 6.2 (2015): 67-81. ''' 
+ '''  
  ''' Implment:
  ''' N.Tomi(tomi.nori+github at gmail.com)
  ''' </remarks>
@@ -57,6 +57,9 @@ Namespace Optimization
  ''' <summary>population</summary>
  Private m_parents As New List(Of clsPoint)
 
+ ''' <summary>archive</summary>
+ Private m_archive As New List(Of clsPoint)
+
  ''' <summary>Constant raio 0 to 1(Adaptive paramter for muF, muCR)(Default:0.1)</summary>
  Public Property C As Double = 0.1
 
@@ -90,6 +93,7 @@ Namespace Optimization
  Me.m_iteration = 0
  Me.m_parents.Clear()
  Me.m_error.Clear()
+ Me.m_archive.Clear()
 
  'init muF, muCR
  muCR = 0.5
@@ -196,31 +200,46 @@ Namespace Optimization
  CR = 1.0
  End If
 
- 'Sort Evaluate
- m_parents.Sort()
+ 'pick pBest
+ Dim pbest As clsPoint = Nothing
+ Dim pBestIndex = CInt(Me.PopulationSize * Random.NextDouble())
+ If pBestIndex <= 2 Then
+ If Random.NextDouble() > 0.5 Then
+ pbest = Me.m_parents(0)
+ Else
+ pbest = Me.m_parents(1)
+ End If
+ ElseIf pBestIndex = Me.PopulationSize Then
+ pbest = m_parents(PopulationSize - 1) 'worst
+ Else
+ pbest = m_parents(Random.Next(0, pBestIndex))
+ End If
 
- 'pick different parent without i
- Dim randIndex As List(Of Integer) = clsUtil.RandomPermutaion(m_parents.Count, i)
+ 'xi,g
  Dim xi = m_parents(i)
- Dim p1 As clsPoint = m_parents(randIndex(0))
- Dim p2 As clsPoint = m_parents(randIndex(1))
+
+ 'pick xr1,g different parent without i
+ Dim tempIndex1 = clsUtil.RandomPermutaion(m_parents.Count, i)
+ Dim r1Index = tempIndex1(0)
+ Dim p1 As clsPoint = m_parents(r1Index)
+
+ 'pick xr2~,g different parent without i, xr1,g
+ Dim sumIndex = m_parents.Count + m_archive.Count
+ Dim tempIndex2 = clsUtil.RandomPermutaion(0, sumIndex, {i, r1Index})
+ Dim r2Index = tempIndex2(0)
+ Dim p2 As clsPoint = Nothing
+ If r2Index >= m_parents.Count Then
+ r2Index = r2Index - m_parents.Count
+ p2 = m_archive(r2Index)
+ Else
+ p2 = m_parents(r2Index)
+ End If
 
  'Mutation and Crossover
  Dim child = New clsPoint(ObjectiveFunction)
  Dim j = Random.Next() Mod ObjectiveFunction.NumberOfVariable
  Dim D = ObjectiveFunction.NumberOfVariable - 1
 
- 'DE/current-to-pbest/1 for JADE Strategy. current 100p% p<-(0,1)
- Dim p = CInt(Me.PopulationSize * Random.NextDouble()) 'range is 0 to PopulationSize
- Dim pbest As clsPoint = Nothing
- If p = 0 Then
- pbest = m_parents(0) 'best
- ElseIf p >= Me.PopulationSize Then
- pbest = m_parents(PopulationSize - 1) 'worst
- Else
- pbest = m_parents(Random.Next(0, p))
- End If
-
  'crossover
  For k = 0 To ObjectiveFunction.NumberOfVariable - 1
  If Random.NextDouble() < CR OrElse k = D Then
@@ -237,6 +256,9 @@ Namespace Optimization
 
  'Survive
  If child.Eval < m_parents(i).Eval Then
+ 'add archive
+ m_archive.Add(m_parents(i).Copy)
+
  'replace
  m_parents(i) = child
 
@@ -245,18 +267,29 @@ Namespace Optimization
  sumFSquare += F ^ 2
  sumCR += CR
  countSuccess += 1
+ Else
+
  End If
  Next 'population iteration
 
+ 'remove archive
+ Dim removeCount = m_archive.Count - PopulationSize
+ If removeCount > 0 Then
+ clsUtil.RandomizeArray(m_archive)
+ m_archive.RemoveRange(m_archive.Count - removeCount, removeCount)
+ End If
+
  'calc muF, muCR
  If countSuccess > 0 Then
- muCR = (1 - C) * muCR + C * (sumCR / countSuccess) '(1-c) * muCR + c * meanA(CRs)
+ 'μCR = (1 − c) · μCR + c · meanA(SCR)
+ muCR = (1 - C) * muCR + C * (sumCR / countSuccess)
+ 'μF = (1 − c) · μF + c · meanL (SF)
  muF = (1 - C) * muF + C * (sumFSquare / sumF)
  Else
  muCR = (1 - C) * muCR
  muF = (1 - C) * muF
- 'Console.WriteLine("muF={0}, muCR={1}", muF, muCR)
  End If
+ 'Console.WriteLine("muF={0}, muCR={1}", muF, muCR)
  Next
 
  Return False