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• egg

cmaes

CMA-ES (Evolution Strategy with Covariance Matrix Adaptation) optimization library.

Usage

(require-extension cmaes)

Documentation

The CMA-ES CMA-ES (Covariance Matrix Adaptation Evolution Strategy) is an evolutionary algorithm for difficult non-linear non-convex optimization problems in a continuous domain.

The Chicken cmaes library provides a Scheme interface to the core

procedures of CMA-ES.

Initialization procedures

[procedure] init:: [PARAMETER1 ...] -> [H FUNVALS]
[procedure] init-from-file:: FILEPATH -> [H FUNVALS]
[procedure] read-signals:: H * [PARAMETER1 ...] -> VOID
[procedure] read-signals-from-file:: H * FILEPATH -> VOID

Core procedures

[procedure] sample-population:: H -> VECTOR

Computes a population of lambda N-dimensional multivariate normally distributed samples.

[procedure] update-distribution:: H -> F64VECTOR

Sets a new mean value and estimates the new covariance matrix and a new step size for the normal search distribution. Returns the new mean value.

Support procedures

Examples

(use srfi-4 cmaes)


;; the objective (fitness) function to be minimized 
(define (fitfun x N)
  (let recur ((i 2) (sum (+ (* 1e4 (f64vector-ref x 0) (f64vector-ref x 0)) 
			    (* 1e4 (f64vector-ref x 1) (f64vector-ref x 1)) )))
    (if (< i N)
	(recur (+ 1 i) (+ sum (* (f64vector-ref x i) (f64vector-ref x i))))
 	sum))
  )


(let-values (((h funvals) (init-from-file "initials.par")))
  
  (read-signals-from-file h "signals.par") 

  (let recur ((h h))

    (let ((stop (terminated? h)))

      (if (not stop)

	  (let ((pop (sample-population h))
		(lam (get-parameter h 'lambda))
		(n (get-parameter h 'dim)))
	    
	    (let inner-recur ((i 0))
	      (if (< i lam)
		  (begin
		    (f64vector-set! funvals i (fitfun (vector-ref pop i) n))
		    (inner-recur (+ 1 i)))))
	    
	    (update-distribution h funvals)
	    
	    (read-signals-from-file h "signals.par")
	    
	    (recur h)
	    
	    )
	  
	  (print stop)
	  )))

 (write-to-file h 'all "allcmaes.dat")
 
  (let ((xfinal (get-new h "xmean")))

    (printf "xmean = ~A~%" xfinal)

    (terminate h)

    (free h)
    ))

About this egg

Author

The CMA-ES C library was written by Nikolaus Hansen. The Chicken Scheme cmaes library was written by

[[/users/ivan-raikov|Ivan Raikov]].

Version history

1.0

Initial release

License

CMA-ES C library is copyright 1996, 2003, 2007 Nikolaus Hansen.
Chicken Scheme bindings for CMA-ES are copyright 2012 Ivan Raikov.

This program is free software: you can redistribute it and/or modify
it under the terms of the GNU General Public License version 2 as published by
the Free Software Foundation.

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.

A full copy of the GPL license can be found at
<http://www.gnu.org/licenses/>.