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optimizer.hpp
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optimizer.hpp
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#include <eigen3/Eigen/Core>
#include <functional>
#include <float.h>
// Vanilla Particle Swarm Optimization
class VPSO
{
public:
std::function<double(Eigen::ArrayXd)> f;
Eigen::ArrayXd *pos;
Eigen::ArrayXd *pos_best;
Eigen::ArrayXd *vel;
Eigen::ArrayXd record_pos;
double record_val;
double *y;
double *y_best;
size_t particle_count;
size_t dims;
double omega = 0.95;
double phi_p = 0.025;
double phi_g = 0.025;
double l_constraint = -1;
double u_constraint = 1;
VPSO(std::function<double(Eigen::ArrayXd)> func, size_t n, size_t dims_)
{
f = func;
particle_count = n;
dims = dims_;
pos = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
pos_best = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
vel = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
y = (double *)malloc(particle_count * sizeof(double));
y_best = (double *)malloc(particle_count * sizeof(double));
}
VPSO(std::function<double(Eigen::ArrayXd)> func, size_t n, size_t dims_, double w, double pp, double pg)
{
f = func;
particle_count = n;
dims = dims_;
pos = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
pos_best = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
vel = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
y = (double *)malloc(particle_count * sizeof(double));
y_best = (double *)malloc(particle_count * sizeof(double));
omega = w;
phi_g = pg;
phi_p = pp;
}
VPSO(std::function<double(Eigen::ArrayXd)> func, size_t n, size_t dims_, double lc, double uc)
{
f = func;
particle_count = n;
dims = dims_;
pos = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
pos_best = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
vel = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
y = (double *)malloc(particle_count * sizeof(double));
y_best = (double *)malloc(particle_count * sizeof(double));
l_constraint = lc;
u_constraint = uc;
}
VPSO(std::function<double(Eigen::ArrayXd)> func, size_t n, size_t dims_, double w, double pp, double pg, double lc, double uc)
{
f = func;
particle_count = n;
dims = dims_;
pos = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
pos_best = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
vel = (Eigen::ArrayXd *)malloc(particle_count * sizeof(Eigen::ArrayXd));
y = (double *)malloc(particle_count * sizeof(double));
y_best = (double *)malloc(particle_count * sizeof(double));
omega = w;
phi_g = pg;
phi_p = pp;
l_constraint = lc;
u_constraint = uc;
}
double evaluate(Eigen::ArrayXd n)
{
return f(n);
}
void initialize()
{
for (size_t i = 0; i < particle_count; ++i)
{
pos[i] = (u_constraint - l_constraint) * (Eigen::ArrayXd::Random(dims)/2.0 + 0.5) + l_constraint;
pos_best[i] = pos[i];
vel[i] = Eigen::ArrayXd::Random(dims);
y_best[i] = DBL_MAX;
}
}
void score()
{
for (size_t i = 0; i < particle_count; ++i)
{
y[i] = evaluate(pos[i]);
}
}
void move(double dt)
{
Eigen::ArrayXd best_pos;
double best_val;
int mindex;
mindex = std::min_element(y_best, y_best + particle_count) - y_best;
record_pos = pos_best[mindex];
record_val = y_best[mindex];
for (size_t i = 0; i < particle_count; ++i)
{
vel[i] = omega * vel[i] +
phi_p * Eigen::ArrayXd::Random(dims).abs() * (pos_best[i] - pos[i]) +
phi_g * Eigen::ArrayXd::Random(dims).abs() * (record_pos - pos[i]);
pos[i] = pos[i] + dt * vel[i];
pos_best[i] = y[i] < y_best[i] ? pos[i] : pos_best[i];
y_best[i] = y[i] < y_best[i] ? y[i] : y_best[i];
pos[i] = pos[i].max(-10).min(10);
}
}
};