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Implement Active-CMA-ES #235

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egomeh wants to merge 3 commits into Shark-ML:master from egomeh:master

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egomeh commented Jun 17, 2018

This PR provides active updates in the CMA-ES algorithm.

The code is implemented and test with reference to the pycma code found at https://github.com/CMA-ES/pycma

egomeh added 3 commits

June 17, 2018 20:19


          implement active updates in cma-es

f682183


          Make sure that active updates are default to false

df7c353


          Add tests for active updates

ee22132

Ulfgard reviewed

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Ulfgard left a comment

i think the code is not as unified as it could be. but my comments should make it a lot easier already. But i have the feeling that we can unify both cases just by setting the negative weights to 0 if no active updates are needed.

include/shark/Algorithms/DirectSearch/CMA.h

               	bool m_userSetMu; /// <The user set a value via setMu, do not overwrite with default
               	bool m_userSetLambda; /// <The user set a value via setMu, do not overwrite with default
+              	bool m_useActiveUpdates = false; /// <Indicates if active updates should be applied

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Ulfgard Jun 17, 2018

please put that in the constructor, everything should be at one place.

include/shark/Algorithms/DirectSearch/Individual.h

@@ @@ -79,6 +79,15 @@ class Individual { @@
               		}
               	};
+              	///\brief Reverse ordering relation by the fitness of the individuals(only single objective)

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Ulfgard Jun 17, 2018

you could use a lambda function for that, we are trying to replace all those small functors with them.

src/Algorithms/DirectSearch/CMA.cpp

		m_weights(i) = (double)(mu-i);
		negativeWeights(i) = static_cast<double>(mu - (m_lambda - i - 1.));

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Ulfgard Jun 17, 2018

you should not need the static_cast because subtracting a double from mu leads to a double, unlike the line before where an unsigned integral type is assigned to double.

src/Algorithms/DirectSearch/CMA.cpp

-              	double alphaMu = 2.;
-              	double rankMuAlpha = 0.3;//but is it really?
-              	m_cMu = std::min(1. - m_c1, alphaMu * ( rankMuAlpha + m_muEff - 2. + 1./m_muEff) / (sqr(m_numberOfVariables + 2) + alphaMu * m_muEff / 2)); // eq. (49)
+              	m_cMu = std::min(1. - m_c1, 2. * (.25 + m_muEff + 1. / m_muEff - 2.) / (std::pow(m_numberOfVariables + 2., 2.) + 2. * m_muEff / 2.)); // eq. (49)

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Ulfgard Jun 17, 2018

replace std::pow(a,2.0) by sqr(a)

also this line should be the exact same as before when substitution alphaMu by 2 and changing rankMuAlpha to 0.25

src/Algorithms/DirectSearch/CMA.cpp

+              			row(vectors, weightIndex) = normalized;
+              		}
+              		m_evolutionPathC = (1. - m_cC) * m_evolutionPathC + hSig * (std::sqrt(m_cC * (2. - m_cC) * m_muEff) / m_sigma) * (m - m_mean);

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Ulfgard Jun 17, 2018

this is the same as linke 382. (m-mean)/sigma is y. Please try to unify!

Contributor Author

egomeh Jun 17, 2018

Indeed it should, I did have some weird error when I did it with y instead, but that might origin from somewhere else. I will try to update it!

src/Algorithms/DirectSearch/CMA.cpp

               	if(hSigLHS < hSigRHS) hSig = 1.;
               	double deltaHSig = (1.-hSig*hSig) * m_cC * (2. - m_cC);
-              	m_evolutionPathC = (1. - m_cC ) * m_evolutionPathC + hSig * std::sqrt( m_cC * (2. - m_cC) * m_muEff ) * y; // eq. (42)
-              	noalias(C) = (1.-m_c1 - m_cMu) * C + m_c1 * ( blas::outer_prod( m_evolutionPathC, m_evolutionPathC ) + deltaHSig * C) + m_cMu * 1./sqr( m_sigma ) * Z; // eq. (43)
+              	const double c1a = m_c1 * (1. - (1. - (hSig * hSig)) * m_cC * (2. - m_cC));

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Ulfgard Jun 17, 2018

please move inside the if, if you don't use it in both branches (or later)

src/Algorithms/DirectSearch/CMA.cpp

+              			if (tempWeights[weightIndex] < 0.)
+              			{
+              				const double mahalanobisNorm = sqrt(sum(sqr((trans(B) % normalized) / D)));

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Ulfgard Jun 17, 2018

const double mahalanobisNorm = norm_2((trans(B) % normalized) / D)

or even simpler

const double mahalanobisNorm = norm_2(selectedOffspring[j].chromosome())

src/Algorithms/DirectSearch/CMA.cpp

+              				tempWeights[weightIndex] *= static_cast<double>(m_numberOfVariables) / sqr(mahalanobisNorm + 1e-9);
+              			}
+              			row(vectors, weightIndex) = normalized;

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Ulfgard Jun 17, 2018

noalias(row(vectors,weightIndex)) = normalized;

we don't want to copy!

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