org.apache.commons.math.optimization.univariate.BrentOptimizer Maven / Gradle / Ivy
/*
* Licensed to the Apache Software Foundation (ASF) under one or more
* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF licenses this file to You under the Apache License, Version 2.0
* (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
package org.apache.commons.math.optimization.univariate;
import org.apache.commons.math.FunctionEvaluationException;
import org.apache.commons.math.MaxIterationsExceededException;
import org.apache.commons.math.exception.NotStrictlyPositiveException;
import org.apache.commons.math.optimization.GoalType;
import org.apache.commons.math.util.FastMath;
/**
* Implements Richard Brent's algorithm (from his book "Algorithms for
* Minimization without Derivatives", p. 79) for finding minima of real
* univariate functions. This implementation is an adaptation partly
* based on the Python code from SciPy (module "optimize.py" v0.5).
*
* @version $Revision: 1070725 $ $Date: 2011-02-15 02:31:12 +0100 (mar. 15 févr. 2011) $
* @since 2.0
*/
public class BrentOptimizer extends AbstractUnivariateRealOptimizer {
/**
* Golden section.
*/
private static final double GOLDEN_SECTION = 0.5 * (3 - FastMath.sqrt(5));
/**
* Construct a solver.
*/
public BrentOptimizer() {
setMaxEvaluations(1000);
setMaximalIterationCount(100);
setAbsoluteAccuracy(1e-11);
setRelativeAccuracy(1e-9);
}
/** {@inheritDoc} */
@Override
protected double doOptimize()
throws MaxIterationsExceededException, FunctionEvaluationException {
return localMin(getGoalType() == GoalType.MINIMIZE,
getMin(), getStartValue(), getMax(),
getRelativeAccuracy(), getAbsoluteAccuracy());
}
/**
* Find the minimum of the function within the interval {@code (lo, hi)}.
*
* If the function is defined on the interval {@code (lo, hi)}, then
* this method finds an approximation {@code x} to the point at which
* the function attains its minimum.
* {@code t} and {@code eps} define a tolerance {@code tol = eps |x| + t}
* and the function is never evaluated at two points closer together than
* {@code tol}. {@code eps} should be no smaller than 2 macheps and
* preferable not much less than sqrt(macheps), where
* macheps is the relative machine precision. {@code t} should be
* positive.
* @param isMinim {@code true} when minimizing the function.
* @param lo Lower bound of the interval.
* @param mid Point inside the interval {@code [lo, hi]}.
* @param hi Higher bound of the interval.
* @param eps Relative accuracy.
* @param t Absolute accuracy.
* @return the optimum point.
* @throws MaxIterationsExceededException if the maximum iteration count
* is exceeded.
* @throws FunctionEvaluationException if an error occurs evaluating the function.
*/
private double localMin(boolean isMinim,
double lo, double mid, double hi,
double eps, double t)
throws MaxIterationsExceededException, FunctionEvaluationException {
if (eps <= 0) {
throw new NotStrictlyPositiveException(eps);
}
if (t <= 0) {
throw new NotStrictlyPositiveException(t);
}
double a;
double b;
if (lo < hi) {
a = lo;
b = hi;
} else {
a = hi;
b = lo;
}
double x = mid;
double v = x;
double w = x;
double d = 0;
double e = 0;
double fx = computeObjectiveValue(x);
if (!isMinim) {
fx = -fx;
}
double fv = fx;
double fw = fx;
while (true) {
double m = 0.5 * (a + b);
final double tol1 = eps * FastMath.abs(x) + t;
final double tol2 = 2 * tol1;
// Check stopping criterion.
if (FastMath.abs(x - m) > tol2 - 0.5 * (b - a)) {
double p = 0;
double q = 0;
double r = 0;
double u = 0;
if (FastMath.abs(e) > tol1) { // Fit parabola.
r = (x - w) * (fx - fv);
q = (x - v) * (fx - fw);
p = (x - v) * q - (x - w) * r;
q = 2 * (q - r);
if (q > 0) {
p = -p;
} else {
q = -q;
}
r = e;
e = d;
if (p > q * (a - x) &&
p < q * (b - x) &&
FastMath.abs(p) < FastMath.abs(0.5 * q * r)) {
// Parabolic interpolation step.
d = p / q;
u = x + d;
// f must not be evaluated too close to a or b.
if (u - a < tol2 || b - u < tol2) {
if (x <= m) {
d = tol1;
} else {
d = -tol1;
}
}
} else {
// Golden section step.
if (x < m) {
e = b - x;
} else {
e = a - x;
}
d = GOLDEN_SECTION * e;
}
} else {
// Golden section step.
if (x < m) {
e = b - x;
} else {
e = a - x;
}
d = GOLDEN_SECTION * e;
}
// Update by at least "tol1".
if (FastMath.abs(d) < tol1) {
if (d >= 0) {
u = x + tol1;
} else {
u = x - tol1;
}
} else {
u = x + d;
}
double fu = computeObjectiveValue(u);
if (!isMinim) {
fu = -fu;
}
// Update a, b, v, w and x.
if (fu <= fx) {
if (u < x) {
b = x;
} else {
a = x;
}
v = w;
fv = fw;
w = x;
fw = fx;
x = u;
fx = fu;
} else {
if (u < x) {
a = u;
} else {
b = u;
}
if (fu <= fw || w == x) {
v = w;
fv = fw;
w = u;
fw = fu;
} else if (fu <= fv || v == x || v == w) {
v = u;
fv = fu;
}
}
} else { // termination
setFunctionValue(isMinim ? fx : -fx);
return x;
}
incrementIterationsCounter();
}
}
}