dlib C++ Library - global_function_search.h

    // Copyright (C) 2017  Davis E. King (davis@dlib.net)
    // License: Boost Software License   See LICENSE.txt for the full license.
    #ifndef DLIB_GLOBAL_FuNCTION_SEARCH_Hh_
    #define DLIB_GLOBAL_FuNCTION_SEARCH_Hh_

    #include "global_function_search_abstract.h"
    #include <vector>
    #include "../matrix.h"
    #include <mutex>
    #include "../rand.h"
    #include "upper_bound_function.h"
    #include "../test_for_odr_violations.h"

    namespace dlib
    {

    // ----------------------------------------------------------------------------------------

        struct function_spec
        {
            function_spec(
                matrix<double,0,1> bound1,
                matrix<double,0,1> bound2
            );

            function_spec(
                matrix<double,0,1> bound1,
                matrix<double,0,1> bound2,
                std::vector<bool> is_integer
            );

            matrix<double,0,1> lower;
            matrix<double,0,1> upper;
            std::vector<bool> is_integer_variable;
        };

    // ----------------------------------------------------------------------------------------

        namespace gopt_impl
        {
            struct outstanding_function_eval_request
            {
                size_t request_id = 0;   // unique id for this eval request
                matrix<double,0,1> x;   // function x to evaluate

                // trust region specific stuff
                bool was_trust_region_generated_request = false;
                double predicted_improvement = std::numeric_limits<double>::quiet_NaN();
                double anchor_objective_value = std::numeric_limits<double>::quiet_NaN(); // objective value at center of TR step

                bool operator==(const outstanding_function_eval_request& item) const { return request_id == item.request_id; }
            };

            struct funct_info
            {
                funct_info() = delete;
                funct_info(const funct_info&) = delete;
                funct_info& operator=(const funct_info&) = delete;

                funct_info(
                    const function_spec& spec,
                    size_t function_idx,
                    const std::shared_ptr<std::mutex>& m
                ) :
                    spec(spec), function_idx(function_idx), m(m)
                {
                    best_x = zeros_matrix(spec.lower);
                }

                upper_bound_function build_upper_bound_with_all_function_evals (
                ) const;

                static double find_nn (
                    const std::vector<function_evaluation>& evals,
                    const matrix<double,0,1>& x
                );

                function_spec spec;
                size_t function_idx = 0;
                std::shared_ptr<std::mutex> m;
                upper_bound_function ub;
                std::vector<outstanding_function_eval_request> outstanding_evals;
                matrix<double,0,1> best_x;
                double best_objective_value = -std::numeric_limits<double>::infinity();
                double radius = 0;
            };

        }

    // ----------------------------------------------------------------------------------------

        class function_evaluation_request
        {
        public:

            function_evaluation_request() = delete;
            function_evaluation_request(const function_evaluation_request&) = delete;
            function_evaluation_request& operator=(const function_evaluation_request&) = delete;

            function_evaluation_request(function_evaluation_request&& item);
            function_evaluation_request& operator=(function_evaluation_request&& item);

            ~function_evaluation_request();

            size_t function_idx (
            ) const;

            const matrix<double,0,1>& x (
            ) const;

            bool has_been_evaluated (
            ) const;

            void set (
                double y
            );

            void swap(function_evaluation_request& item);

        private:

            friend class global_function_search;

            explicit function_evaluation_request(
                const gopt_impl::outstanding_function_eval_request& req,
                const std::shared_ptr<gopt_impl::funct_info>& info
            ) : req(req), info(info) {}

            bool m_has_been_evaluated = false;
            gopt_impl::outstanding_function_eval_request req;
            std::shared_ptr<gopt_impl::funct_info> info;
        };

    // ----------------------------------------------------------------------------------------

        class global_function_search
        {
        public:

            global_function_search() = default;

            explicit global_function_search(
                const function_spec& function
            );

            explicit global_function_search(
                const std::vector<function_spec>& functions_
            );

            global_function_search(
                const std::vector<function_spec>& functions_,
                const std::vector<std::vector<function_evaluation>>& initial_function_evals,
                const double relative_noise_magnitude = 0.001
            );

            global_function_search(const global_function_search&) = delete;
            global_function_search& operator=(const global_function_search& item) = delete;

            global_function_search(global_function_search&& item) = default;
            global_function_search& operator=(global_function_search&& item) = default;

            size_t num_functions(
            ) const;

            void set_seed (
                time_t seed
            );

            void get_function_evaluations (
                std::vector<function_spec>& specs,
                std::vector<std::vector<function_evaluation>>& function_evals
            ) const;

            void get_best_function_eval (
                matrix<double,0,1>& x,
                double& y,
                size_t& function_idx
            ) const;

            function_evaluation_request get_next_x (
            );

            double get_pure_random_search_probability (
            ) const;

            void set_pure_random_search_probability (
                double prob
            );

            double get_solver_epsilon (
            ) const;

            void set_solver_epsilon (
                double eps
            );

            double get_relative_noise_magnitude (
            ) const;

            void set_relative_noise_magnitude (
                double value
            );

            size_t get_monte_carlo_upper_bound_sample_num (
            ) const;

            void set_monte_carlo_upper_bound_sample_num (
                size_t num
            );

        private:

            std::shared_ptr<gopt_impl::funct_info> best_function(
            ) const;

            std::shared_ptr<gopt_impl::funct_info> best_function(
                size_t& idx
            ) const;

            bool has_outstanding_trust_region_request (
            ) const;

            dlib::rand rnd;
            double pure_random_search_probability = 0.02;
            double min_trust_region_epsilon = 0;
            double relative_noise_magnitude = 0.001;
            size_t num_random_samples = 5000;
            bool do_trust_region_step = true;

            size_t next_request_id = 1;

            std::vector<std::shared_ptr<gopt_impl::funct_info>> functions;
            std::shared_ptr<std::mutex> m;

        };

    // ----------------------------------------------------------------------------------------

    }

    #endif // DLIB_GLOBAL_FuNCTION_SEARCH_Hh_