rt-opt 0.2.0

Metaheuristic global optimization algorithm

rt_opt: Run-and-tumble global optimizer

Metaheuristic global optimization algorithm combining a bacterial run-and-tumble chemotactic search (see, e.g., here) with a local, gradient-based search around the best minimum candidate points. The algorithm's goal is to find the global minimum of an objective function f over a (possibly bounded) region Ω, that is, to find

min f(x), x ∈ Ω,
f: Ω ⊂ ℝⁿ → ℝ.

For the local, gradient-based search, a bounded BFGS algorithm is used.

Since the chemotactic search becomes more and more ineffective with increasing problem dimensionality, Sequential Random Embeddings are used to solve the optimization problem once its dimensionality exceeds a given threshold. The idea of Sequential Random Embeddings is basically to reduce high-dimensional problems to low-dimensional ones by embedding the original, high-dimensional search space ℝⁿ into a low dimensional one, ℝ^m, by sequentially applying the random linear transformation

x₀ = 0
x_k+1 = α_k+1x_k + A • y_k+1,
x ∈ ℝⁿ,    y ∈ ℝ^m,     A ∈ N(0, 1)^n×m,    α ∈ ℝ,

and minimizing the objective function f(α_k+1x_k + A • y_k+1) w.r.t. (α_k+1, y_k+1) for each k in a given range.

Installation

rt_opt can be most conveniently installed via pip:

pip install rt_opt

Usage

For a quick start, try to find the global minimum of the Eggholder function within the default square x_i ∈ [-512, 512] ∀ i = 1, 2:

import time

import numpy as np

from rt_opt.optimizer import optimize
from rt_opt.testproblems import Eggholder


problem = Eggholder()
box_bounds = np.vstack((problem.bounds.lower, problem.bounds.upper)).T
start = time.time()
ret = optimize(problem.f, bounds=box_bounds)
end = time.time()

print(f'Function minimum found at x = {ret.x}, yielding f(x) = {ret.fun}.')
print(f'Optimization took {end - start:.3f} seconds.')
print(f'Optimization error is {np.abs(ret.fun - problem.min.f)}.')



>>> Function minimum found at x = [512.         404.23180623], yielding f(x) = -959.6406627208495.
>>> Optimization took 0.097 seconds.
>>> Optimization error is 1.3642420526593924e-12.

Non-rectangular bounds

If your optimization problem involves an arbitrary, non-rectangular bounded domain, you may as well provide a custom bounds callback. Every such callback must return a tuple (x_projected, bounds_hit), where x_projected is the input variable x projected to the defined search region. That is, if x is within this region, it is returned unchanged, whereas if it is outside this region, it is projected to the region's boundaries. The second output, bounds_hit, indicates whether the boundary has been hit for each component of x. If, for example, x is three-dimensional and has hit the search region's boundaries in x₁ and x₂, but not in x₃, bounds_hit = [True, True, False]. Here, we define a "boundary hit" in any component of x in the following way:
bounds_hit[i] = True iff either x + δê_i or x - δê_i is outside the defined search domain ∀ δ ∈ ℝ⁺, where ê_i is the i-th unit vector.

In the following example, we try to find the global minimum of the Eggholder function within a circle with radius 512 around the origin:

import numpy as np
import matplotlib.pyplot as plt

from rt_opt.optimizer import optimize
from rt_opt.testproblems import Eggholder


RADIUS = 512


def bounds_circle(x):
    """
    Callback function for defining a circular bounded domain with a given radius around the origin.
    """

    bounds_hit = np.zeros(len(x), dtype=bool)
    if np.sqrt(np.sum(np.square(x))) > RADIUS:  # x outside of the circle
        x = x / (np.sqrt(np.sum(np.square(x)))) * RADIUS
        bounds_hit = np.ones(len(x), dtype=bool)

    return x, bounds_hit


def gridmap2d(fun, x_specs, y_specs):
    """
    Helper function for plotting the objective function.
    """

    grid_x = np.linspace(*x_specs)
    grid_y = np.linspace(*y_specs)
    arr_z = np.empty(len(grid_x) * len(grid_y))
    i = 0
    for y in grid_y:
        for x in grid_x:
            arr_z[i] = fun(np.array([x, y]))
            i += 1
    arr_x, arr_y = np.meshgrid(grid_x, grid_y)
    arr_z.shape = arr_x.shape
    return arr_x, arr_y, arr_z


problem = Eggholder()
ret = optimize(problem.f, x0=[0, 0], bounds=bounds_circle, domain_scale=RADIUS)

print(f'Function minimum found at x = {ret.x}, yielding f(x) = {ret.fun}.')

# Plot objective function and optimizer traces
fig, ax = plt.subplots()
X, Y, Z = gridmap2d(problem.f, (-512, 512, 100), (-512, 512, 100))
cp = ax.contourf(X, Y, Z, levels=20)
ax.set_xlim([-512, 512])
ax.set_ylim([-512, 512])
fig.colorbar(cp)
for single_trace in ret.trace.transpose(1, 0, 2):
    ax.plot(single_trace[:, 0], single_trace[:, 1], 'o', c='white', ms=0.4)
ax.set_xlabel('x')
ax.set_ylabel('y')
ax.set_title(f'Problem: Eggholder', fontsize=10)
plt.show()



>>> Function minimum found at x = [418.56055019 171.04305027], yielding f(x) = -629.6336812770477.

Performance

For a performance comparison of rt_opt with other global optimization algorithms, namely differential_evolution and dual_annealing from scipy, as well as dlib's LIPO-based find_min_global, see here. The comparison results were obtained by running demo.py, where each of these four algorithms was evaluated 100 times with default parameters on a couple of 2D and 15D test functions (details on these functions can be found here).