Changeset 1421 in algoquant

Timestamp:

5/12/2013 10:31:30 PM (7 months ago)

Author:

haksunli

Message:

FIX: updated the DEOptim code with the latest SuanShu API

File:

• core/src/main/java/com/numericalmethod/algoquant/model/signal/crossover/strategy/SMA2CrossoverDynamic.java (modified) (2 diffs)

core/src/main/java/com/numericalmethod/algoquant/model/signal/crossover/strategy/SMA2CrossoverDynamic.java

@@ -43 +43 @@
 import com.numericalmethod.suanshu.optimization.multivariate.constrained.integer.bruteforce.BruteForceIPProblem;
 import com.numericalmethod.suanshu.optimization.multivariate.constrained.integer.bruteforce.BruteForceIPProblem.IntegerDomain;
+import com.numericalmethod.suanshu.optimization.multivariate.geneticalgorithm.minimizer.deoptim.*;
+import com.numericalmethod.suanshu.optimization.multivariate.geneticalgorithm.minimizer.deoptim.constrained.IntegralConstrainedCellFactory;
+import com.numericalmethod.suanshu.optimization.problem.*;
+import com.numericalmethod.suanshu.stats.random.univariate.uniform.UniformRNG;
 import org.joda.time.DateTime;
 import org.joda.time.Period;
@@ -144 +148 @@
         StrategyOptimizer optimizer = new StrategyOptimizer(
                 new StrategyOptimizer.Minimizer() {
-                    @Override
-                    public Result minimize(RealScalarFunction objFunc, double epsilon,
-                                           Vector... searchPoints) {
-                        try {
-                            //optimization by brute force on the integral domain
-                            IntegerDomain fastLagDomain = new BruteForceIPProblem.IntegerDomain(1, 1, 2, 1);//fastLag ∈ [1, 2]
-                            IntegerDomain slowLagDomain = new BruteForceIPProblem.IntegerDomain(2, 2, 25, 5);//slowLag ∈ [2, 25]
-                            IntegerDomain domains[] = new IntegerDomain[]{fastLagDomain, slowLagDomain};
-                            BruteForceIPProblem problem = new BruteForceIPProblem(objFunc, null, null, domains, epsilon);
-                            BruteForceIPMinimizer solver = new BruteForceIPMinimizer(epsilon, 20);
-                            BruteForceIPMinimizer.Solution soln = solver.solve(problem);
-
-                            //optimization by DeOptim
-//                        DeOptimCellFactory factory = new IntegralCellFactory(new DeRand1Bin(0.5, 0.5), IntegralCellFactory.ALL_INTEGERS);
-//                        DeOptim solver = new DeOptim(factory, true, new RNG());
-//                        solver.solve(objFunc, precision, 80);
-
-                            Vector minimizer = soln.search(searchPoints);//initial params
-                            return new Result(minimizer, soln.minimum());
-                        } catch (Exception ex) {
-                            return new Result(null, Double.POSITIVE_INFINITY);
-                        }
+            @Override
+            public Result minimize(RealScalarFunction objFunc, double epsilon,
+                                   Vector... searchPoints) {
+                try {
+                    MinimizationSolution<Vector> soln;
+                    if (false) {
+                        System.out.println("optimization by brute force on the integral domain");
+                        IntegerDomain fastLagDomain = new BruteForceIPProblem.IntegerDomain(1, 1, 2, 1);//fastLag &isin; [1, 2]
+                        IntegerDomain slowLagDomain = new BruteForceIPProblem.IntegerDomain(2, 2, 25, 5);//slowLag &isin; [2, 25]
+                        IntegerDomain domains[] = new IntegerDomain[]{fastLagDomain, slowLagDomain};
+                        BruteForceIPProblem problem = new BruteForceIPProblem(objFunc, null, null, domains, epsilon);
+                        BruteForceIPMinimizer solver = new BruteForceIPMinimizer(epsilon, 20);
+                        soln = solver.solve(problem);
+                        ((BruteForceIPMinimizer.Solution) soln).search(searchPoints);//initial params
+                    } else {
+                        System.out.println("optimization by DEOptim");
+                        DEOptim solver = new DEOptim(
+                                new DEOptim.NewCellFactory() {
+                            @Override
+                            public DEOptimCellFactory newCellFactory() {
+                                return new IntegralConstrainedCellFactory(new Rand1Bin(0.5, 0.5), new IntegralConstrainedCellFactory.AllIntegers());
+                            }
+                        }, true, new UniformRNG(), epsilon, 80, 10);
+                        soln = solver.solve(new C2OptimProblemImpl(objFunc));
+                        ((IterativeMinimizer<Vector>) soln).search(searchPoints);//initial params
                     }
-                },
+
+                    Vector minimizer = soln.minimizer();
+                    double minimum = soln.minimum();
+                    return new Result(minimizer, minimum);
+                } catch (Exception ex) {
+                    return new Result(null, Double.POSITIVE_INFINITY);
+                }
+            }
+        },
                 strategyFactory,
                 performanceMeasureFactory);