NelderMead.hpp

// Unfit: Data fitting and optimization software
//
// Copyright (C) 2012- Dr Martin Buist & Dr Alberto Corrias
// Contacts: martin.buist _at_ nus.edu.sg; alberto _at_ nus.edu.sg
//
// See the 'Contributors' file for a list of those who have contributed
// to this work.
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU General Public License as published by
// the Free Software Foundation, either version 3 of the License, or
// (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
// GNU General Public License for more details.
//
// You should have received a copy of the GNU General Public License
// along with this program.  If not, see <http://www.gnu.org/licenses/>.
//
#ifndef UNFIT_INCLUDE_NELDERMEAD_HPP_
#define UNFIT_INCLUDE_NELDERMEAD_HPP_

#include <vector>
#include "GenericCostFunction.hpp"
#include "GenericOptimizer.hpp"

namespace Unfit
{
class NelderMead : public GenericOptimizer
{
  friend class TestNelderMead;
 public:
  NelderMead();

  virtual ~NelderMead() {}

  int FindMin(GenericCostFunction &CostFunction,
      std::vector<double> &coordinates) override;

  void Reset() override;

 private:
  enum Operation {
    Reflected,
    Expanded,
    ContractedIn,
    ContractedOut,
    Shrunk,
    Restarted
  };

  int GeneratePopulation(GenericCostFunction &CostFunction,
      const std::vector<double> &initial_point);

  void ComputeCentroid();

  bool ContractInside(GenericCostFunction &CostFunction);

  bool ContractOutside(GenericCostFunction &CostFunction);

  bool Reflect(GenericCostFunction &CostFunction);

  bool Expand(GenericCostFunction &CostFunction);

  bool Shrink(GenericCostFunction &CostFunction);

  bool IsDegenerate();

  void InitialiseVectors();

  void UseAdaptiveParameters();

  void PrintInitialOutput(double best_cost) const override;

  void PrintIterationOutput(double best_cost) const override;

  int ProcessFindMin(GenericCostFunction &CostFunction);

  int RegeneratePopulation(GenericCostFunction &CostFunction);

  std::vector<double> contract_;
  std::vector<double> centroid_;
  std::vector<double> reflect_;
  std::vector<double> expand_;
  std::size_t dimensions_;
  std::size_t best_vertex_;
  std::size_t worst_vertex_;
  std::size_t next_worst_vertex_;
  std::size_t cost_;
  double restart_best_cost_;
  enum Operation process_;
};

}  // namespace Unfit

#endif