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4aca54a Nov 30, 2014
@schaul @mmaker @wernight
146 lines (121 sloc) 5.7 KB
from __future__ import print_function
__author__ = 'Tom Schaul, Sun Yi, Tobias Glasmachers'
from import HansenRanking
from pybrain.optimization.distributionbased.distributionbased import DistributionBasedOptimizer
from pybrain.auxiliary.importancemixing import importanceMixing
from scipy.linalg import expm2
from scipy import dot, array, randn, eye, outer, exp, trace, floor, log, sqrt
class XNES(DistributionBasedOptimizer):
""" NES with exponential parameter representation. """
# parameters, which can be set but have a good (adapted) default value
covLearningRate = None
centerLearningRate = 1.0
scaleLearningRate = None
uniformBaseline = True
batchSize = None
shapingFunction = HansenRanking()
importanceMixing = False
forcedRefresh = 0.01
# fixed settings
mustMaximize = True
storeAllEvaluations = True
storeAllEvaluated = True
storeAllDistributions = False
def _additionalInit(self):
# good heuristic default parameter settings
dim = self.numParameters
if self.covLearningRate is None:
self.covLearningRate = 0.6*(3+log(dim))/dim/sqrt(dim)
if self.scaleLearningRate is None:
self.scaleLearningRate = self.covLearningRate
if self.batchSize is None:
if self.importanceMixing:
self.batchSize = 10*dim
self.batchSize = 4+int(floor(3*log(dim)))
# some bookkeeping variables
self._center = self._initEvaluable.copy()
self._A = eye(self.numParameters) # square root of covariance matrix
self._invA = eye(self.numParameters)
self._logDetA = 0.
self._allPointers = []
self._allGenSteps = [0]
if self.storeAllDistributions:
self._allDistributions = [(self._center.copy(), self._A.copy())]
def _learnStep(self):
""" Main part of the algorithm. """
I = eye(self.numParameters)
utilities = self.shapingFunction(self._currentEvaluations)
utilities /= sum(utilities) # make the utilities sum to 1
if self.uniformBaseline:
utilities -= 1./self.batchSize
samples = array(list(map(self._base2sample, self._population)))
dCenter = dot(samples.T, utilities)
covGradient = dot(array([outer(s,s) - I for s in samples]).T, utilities)
covTrace = trace(covGradient)
covGradient -= covTrace/self.numParameters * I
dA = 0.5 * (self.scaleLearningRate * covTrace/self.numParameters * I
+self.covLearningRate * covGradient)
self._lastLogDetA = self._logDetA
self._lastInvA = self._invA
self._center += self.centerLearningRate * dot(self._A, dCenter)
self._A = dot(self._A, expm2(dA))
self._invA = dot(expm2(-dA), self._invA)
self._logDetA += 0.5 * self.scaleLearningRate * covTrace
if self.storeAllDistributions:
self._allDistributions.append((self._center.copy(), self._A.copy()))
def _lastA(self): return self._allDistributions[-2][1]
def _lastCenter(self): return self._allDistributions[-2][0]
def _population(self):
if self._wasUnwrapped:
return [self._allEvaluated[i].params for i in self._pointers]
return [self._allEvaluated[i] for i in self._pointers]
def _currentEvaluations(self):
fits = [self._allEvaluations[i] for i in self._pointers]
if self._wasOpposed:
fits = [-x for x in fits]
return fits
def _produceSample(self):
return randn(self.numParameters)
def _sample2base(self, sample):
""" How does a sample look in the outside (base problem) coordinate system? """
return dot(self._A, sample)+self._center
def _base2oldsample(self, e):
""" How would the point have looked in the previous reference coordinates? """
return dot(self._lastInvA, (e - self._lastCenter))
def _base2sample(self, e):
""" How does the point look in the present one reference coordinates? """
return dot(self._invA, (e - self._center))
def _oldpdf(self, s):
s = self._base2oldsample(self._sample2base(s))
return exp(-0.5*dot(s,s)- self._lastLogDetA)
def _newpdf(self, s):
return exp(-0.5*dot(s,s)- self._logDetA)
def _produceSamples(self):
""" Append batch size new samples and evaluate them. """
reuseindices = []
if self.numLearningSteps == 0 or not self.importanceMixing:
[self._oneEvaluation(self._sample2base(self._produceSample())) for _ in range(self.batchSize)]
self._pointers = list(range(len(self._allEvaluated)-self.batchSize, len(self._allEvaluated)))
reuseindices, newpoints = importanceMixing(list(map(self._base2sample, self._currentEvaluations)),
self._oldpdf, self._newpdf, self._produceSample, self.forcedRefresh)
[self._oneEvaluation(self._sample2base(s)) for s in newpoints]
self._pointers = ([self._pointers[i] for i in reuseindices]+
list(range(len(self._allEvaluated)-self.batchSize+len(reuseindices), len(self._allEvaluated))))
if __name__ == '__main__':
from pybrain.rl.environments.functions.unimodal import RosenbrockFunction
from scipy import ones
dim = 10
f = RosenbrockFunction(dim)
l = XNES(f, -ones(dim))
print(('Evaluations needed:', len(l._allEvaluations)))