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Merged
merged 4 commits into from
Mar 25, 2025
Merged

Expose SAMIN options #1136

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215e6d6
Update samin.jl
pkofod Mar 24, 2025
c49b852
Merge branch 'master' into pkm/simanopt
pkofod Mar 24, 2025
5fc14ac
Fix time and add tests
pkofod Mar 25, 2025
2404fae
Update Project.toml
pkofod Mar 25, 2025
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36 changes: 20 additions & 16 deletions src/multivariate/solvers/constrained/samin.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -22,10 +22,11 @@
```julia
SAMIN(; nt::Int = 5 # reduce temperature every nt*ns*dim(x_init) evaluations
ns::Int = 5 # adjust bounds every ns*dim(x_init) evaluations
t0::T = 2.0 # Initial temperature
rt::T = 0.9 # geometric temperature reduction factor: when temp changes, new temp is t=rt*t
r_expand::T = 10.0 # geometric temperature promotion factor for situation with low coverage: when temp changes, new temp is t=r_expand*t
bounds_ratio::T = 0.6 # cut-off for bounds increment (1-bounds_ratio for decrease)
neps::Int = 5 # number of previous best values the final result is compared to
f_tol::T = 1e-12 # the required tolerance level for function value comparisons
x_tol::T = 1e-6 # the required tolerance level for x
coverage_ok::Bool = false, # if false, increase temperature until initial parameter space is covered
verbosity::Int = 1) # scalar: 0, 1, 2 or 3 (default = 1).
```
Expand All @@ -41,12 +42,13 @@ algorithm
@with_kw struct SAMIN{T}<:AbstractConstrainedOptimizer
nt::Int = 5 # reduce temperature every nt*ns*dim(x_init) evaluations
ns::Int = 5 # adjust bounds every ns*dim(x_init) evaluations
t0::T = 2.0 # Initial temperature
rt::T = 0.9 # geometric temperature reduction factor: when temp changes, new temp is t=rt*t
r_expand::T = 10.0 # geometric temperature promotion factor for situation with low coverage: when temp changes, new temp is t=r_expand*t
bounds_ratio::T = 0.6 # cut-off for bounds increment (1-bounds_ratio for decrease)
neps::Int = 5 # number of previous best values the final result is compared to
f_tol::T = 1e-12 # the required tolerance level for function value comparisons
x_tol::T = 1e-6 # the required tolerance level for x
coverage_ok::Bool = false # if false, increase temperature until initial parameter space is covered
verbosity::Int = 1 # scalar: 0, 1, 2 or 3 (default = 1: see final results).
verbosity::Int = 0 # scalar: 0, 1, 2 or 3 (default = 1: see final results).
end
# * verbosity: scalar: 0, 1, 2 or 3 (default = 1).
# * 0 = no screen output
Expand All @@ -58,22 +60,24 @@ Base.summary(::SAMIN) = "SAMIN"

function optimize(obj_fn, lb::AbstractArray, ub::AbstractArray, x::AbstractArray{Tx}, method::SAMIN, options::Options = Options()) where Tx

t0 = time() # Initial time stamp used to control early stopping by options.time_limit
time0 = time() # Initial time stamp used to control early stopping by options.time_limit

hline = "="^80
d = NonDifferentiable(obj_fn, x)

tr = OptimizationTrace{typeof(value(d)), typeof(method)}()
tracing = options.store_trace || options.show_trace || options.extended_trace || options.callback !== nothing

@unpack nt, ns, rt, neps, f_tol, x_tol, coverage_ok, verbosity = method
@unpack nt, ns, t0, rt, r_expand, bounds_ratio, neps, coverage_ok, verbosity = method
verbose = verbosity > 0

x_tol, f_tol = options.f_abstol, options.x_abstol

x0 = copy(x)
n = size(x,1) # dimension of parameter
# Set initial values
nacc = 0 # total accepted trials
t = 2.0 # temperature - will initially rise or fall to cover parameter space. Then it will fall
t = t0 # temperature - will initially rise or fall to cover parameter space. Then it will fall
converge = 0 # convergence indicator 0 (failure), 1 (normal success), or 2 (convergence but near bounds)
x_converged = false
f_converged = false
Expand All @@ -96,7 +100,7 @@ function optimize(obj_fn, lb::AbstractArray, ub::AbstractArray, x::AbstractArray
options.show_trace && print_header(method)
iteration = 0
_time = time()
trace!(tr, d, (x=xopt, iteration=iteration), iteration, method, options, _time-t0)
trace!(tr, d, (x=xopt, iteration=iteration), iteration, method, options, _time-time0)
stopped_by_callback = false
# main loop, first increase temperature until parameter space covered, then reduce until convergence
while converge==0
Expand Down Expand Up @@ -160,12 +164,12 @@ function optimize(obj_fn, lb::AbstractArray, ub::AbstractArray, x::AbstractArray

if tracing
# update trace; callbacks can stop routine early by returning true
stopped_by_callback = trace!(tr, d, (x=xopt,iteration=iteration), iteration, method, options, time()-t0)
stopped_by_callback = trace!(tr, d, (x=xopt,iteration=iteration), iteration, method, options, time()-time0)
end

# If options.iterations exceeded, terminate the algorithm
_time = time()
if f_calls(d) >= options.iterations || _time-t0 > options.time_limit || stopped_by_callback
if f_calls(d) >= options.iterations || _time-time0 > options.time_limit || stopped_by_callback

if verbose
println(hline)
Expand Down Expand Up @@ -206,7 +210,7 @@ function optimize(obj_fn, lb::AbstractArray, ub::AbstractArray, x::AbstractArray
h_calls(d),
true,
options.time_limit,
_time-t0,NamedTuple())
_time-time0,NamedTuple())
end
end
end
Expand All @@ -215,8 +219,8 @@ function optimize(obj_fn, lb::AbstractArray, ub::AbstractArray, x::AbstractArray
for i = 1:n
if (lb[i] != ub[i])
ratio = nacp[i] / ns
if(ratio > 0.6) bounds[i] = bounds[i] * (1.0 + 2.0 * (ratio - 0.6) / 0.4) end
if(ratio < .4) bounds[i] = bounds[i] / (1.0 + 2.0 * ((0.4 - ratio) / 0.4)) end
if(ratio > bounds_ratio) bounds[i] = bounds[i] * (1.0 + 2.0 * (ratio - 0.6) / 0.4) end
if(ratio < 1-bounds_ratio) bounds[i] = bounds[i] / (1.0 + 2.0 * ((0.4 - ratio) / 0.4)) end
# keep within initial bounds
if(bounds[i] > (ub[i] - lb[i]))
bounds[i] = ub[i] - lb[i]
Expand Down Expand Up @@ -309,7 +313,7 @@ function optimize(obj_fn, lb::AbstractArray, ub::AbstractArray, x::AbstractArray
f_old = copy(fopt)
x = copy(xopt)
else # coverage not ok - increase temperature quickly to expand search area
t *= 10.0
t *= r_expand
for i = neps:-1:2
fstar[i] = fstar[i-1]
end
Expand Down Expand Up @@ -343,7 +347,7 @@ function optimize(obj_fn, lb::AbstractArray, ub::AbstractArray, x::AbstractArray
h_calls(d),
true,
options.time_limit,
_time-t0,
_time-time0,
NamedTuple())

end
Expand Down
25 changes: 18 additions & 7 deletions test/multivariate/solvers/constrained/samin.jl
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Original file line number Diff line number Diff line change
@@ -1,9 +1,20 @@
@testset "SAMIN" begin
prob = MVP.UnconstrainedProblems.examples["Himmelblau"]

xtrue = prob.solutions
f = OptimTestProblems.MultivariateProblems.objective(prob)
x0 = prob.initial_x
res = optimize(f, x0.-100., x0.+100.0, x0, Optim.SAMIN(), Optim.Options(iterations=1000000))
@test Optim.minimum(res) < 1e-6
@testset "SAMIN $i" for i in keys(MVP.UnconstrainedProblems.examples)
prob = MVP.UnconstrainedProblems.examples[i]
if i !== "Himmelblau"
continue
end
xtrue = prob.solutions
f = OptimTestProblems.MultivariateProblems.objective(prob)
x0 = prob.initial_x
res = optimize(
f,
x0 ./ 1.1 .- 2.0,
x0 .* 1.1 .+ 2.0,
x0,
Optim.SAMIN(t0 = 2.0, r_expand = 9.0, verbosity = 0),
Optim.Options(iterations = 100000),
)
@test Optim.minimum(res) < 1e-5
end
end
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