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montecarlo.cc

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// SuperMix version 1.0  C++ source file
//
// Copyright (c) 1999 California Institute of Technology.
// All rights reserved.
//
// Redistribution and use in source and binary forms for noncommercial
// purposes are permitted provided that the above copyright notice and
// this paragraph are duplicated in all such forms and that any
// documentation and other materials related to such distribution and
// use acknowledge that the software was developed by California
// Institute of Technology. Redistribution and/or use in source or
// binary forms is not permitted for any commercial purpose. Use of
// this software does not include a permitted use of the Institute's
// name or trademark for any purpose.
//
// DISCLAIMER:
// THIS SOFTWARE AND/OR RELATED MATERIALS ARE PROVIDED "AS-IS" WITHOUT
// WARRANTY OF ANY KIND INCLUDING ANY WARRANTIES OF PERFORMANCE OR
// MERCHANTABILITY OR FITNESS FOR A PARTICULAR USE OR PURPOSE (AS SET
// FORTH IN UCC 23212-2313) OR FOR ANY PURPOSE WHATSOEVER, FOR THE
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// DAMAGE OR INJURY TO PROPERTY AND LOST PROFITS, REGARDLESS OF
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// FACT SHALL KNOW OF THE POSSIBILITY.  THE USER BEARS ALL RISK
// RELATING TO QUALITY AND PERFORMANCE OF THE SOFTWARE AND/OR RELATED
// MATERIALS.
//
// ************************************************************************
// montecarlo.cc
//
// 9/25/00:  Added one final error function calc to minimize()
// 9/22/00:  Added calls to minimizer::stop() in minimize()
// 9/8/00:   Simple efficiency improvement to randomize()
// 6/13/00:  Added verbose output improvements
//

#include <stdlib.h>
#include <time.h>
#include "error.h"
#include "montecarlo.h"

montecarlo::montecarlo(abstract_error_func & aef) :
  minimizer(aef), p_(aef), m(0), n(100), display_f(false), display_r(0.0)
{ srand48(time(0)); verbose(); }

montecarlo::montecarlo(abstract_error_func & aef, minimizer & method) :
  minimizer(aef), p_(aef), m(&method), n(100), display_f(false), display_r(0.0)
{ srand48(time(0)); verbose(); }

void montecarlo::randomize()
{
  static real_vector x, y;     // only allocate once
  x = erf.get_min_parms();     // x gets sized here
  y = erf.get_max_parms();     // y gets sized here

  for (int i = x.minindex(); i <= x.maxindex(); ++i) {
    x[i] += drand48()*(y[i] - x[i]);
  }

  erf.set_parms(x);
}

double montecarlo::minimize()
{
  // set up local minimizer
  if(target_on) {
    if(m) m->set_target(target);
    else  p_.set_target(target);
  }
  else {
    if(m) m->no_target();
    else  p_.no_target();
  }
  if(is_very_verbose) {
    if(m) m->verbose();
    else  p_.verbose();
  }
  else {
    if(m) m->quiet();
    else  p_.quiet();
  }

  // the first iteration will use the provided initial point:
  erf.set_parms(erf.get_initial_parms());
  best_e = (m) ? m->minimize() : p_.minimize();
  best_x = erf.get_parms();
  if(is_verbose)
    error::stream() << 1 << " : " << best_e << " : " 
                    << erf.get_parms_user() << endl;

  // check for early termination
  if(stop(1)) return best_e;

  // the rest of the iterations:
  for( unsigned i = 1; i < n; ++i) {
    randomize();
    double e = (m) ? m->minimize() : p_.minimize();
    if(e < best_e) {
      best_e = e;
      best_x = erf.get_parms();
      if(is_verbose)
        error::stream() << i+1 << " : " << best_e << " : " 
                        << erf.get_parms_user() << endl;
    }
    // some other tests in case of verbose output:
    else if(display_f && is_verbose) 
      error::stream() << i+1 << " : " << e << " : " 
                      << erf.get_parms_user() << endl;
    else if(display_r > 0.0 && is_verbose) {
      if((best_e > 0.0 && e <= (1+display_r)*best_e)||
         (best_e < 0.0 && e <= (1-display_r)*best_e))
        error::stream() << i+1 << " : " << e << " : " 
                        << erf.get_parms_user() << endl;
    }

    // check for early termination
    if(stop(i+1)) break;
  }

  // set error function parameters to the best seen and
  // recalculate error fuction one last time to make its
  // internal state consistent with the return value.
  erf.set_parms(best_x);
  return erf();
}

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