SimulatedAnnealingFitter.cxx

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// @(#)root/tmva $Id$
// Author: Andraes Hoecker, Kamil Kraszewski, Maciej Kruk

/**********************************************************************************
 * Project: TMVA - a Root-integrated toolkit for multivariate data analysis       *
 * Package: TMVA                                                                  *
 * Class  : SimulatedAnnealingFitter                                              *
 * Web    : http://tmva.sourceforge.net                                           *
 *                                                                                *
 * Description:                                                                   *
 *      Implementation                                                            *
 *                                                                                *
 * Authors (alphabetical):                                                        *
 *      Krzysztof Danielowski <danielow@cern.ch>       - IFJ & AGH, Poland        *
 *      Andreas Hoecker       <Andreas.Hocker@cern.ch> - CERN, Switzerland        *
 *      Kamil Kraszewski      <kalq@cern.ch>           - IFJ & UJ, Poland         *
 *      Maciej Kruk           <mkruk@cern.ch>          - IFJ & AGH, Poland        *
 *                                                                                *
 * Copyright (c) 2008:                                                            *
 *      IFJ-Krakow, Poland                                                        *
 *      CERN, Switzerland                                                         *
 *      MPI-K Heidelberg, Germany                                                 *
 *                                                                                *
 * Redistribution and use in source and binary forms, with or without             *
 * modification, are permitted according to the terms listed in LICENSE           *
 * (http://tmva.sourceforge.net/LICENSE)                                          *
 **********************************************************************************/

/*! \class TMVA::SimulatedAnnealingFitter
\ingroup TMVA
Fitter using a Simulated Annealing Algorithm
*/

#include "TMVA/SimulatedAnnealingFitter.h"

#include "TMVA/Configurable.h"
#include "TMVA/FitterBase.h"
#include "TMVA/Interval.h"
#include "TMVA/MsgLogger.h"
#include "TMVA/SimulatedAnnealing.h"
#include "TMVA/Types.h"

#include "Rtypes.h"
#include "TString.h"

ClassImp(TMVA::SimulatedAnnealingFitter)

////////////////////////////////////////////////////////////////////////////////
/// constructor

TMVA::SimulatedAnnealingFitter::SimulatedAnnealingFitter( IFitterTarget& target,
                                                          const TString& name,
                                                          const std::vector<Interval*>& ranges,
                                                          const TString& theOption )
: TMVA::FitterBase( target, name, ranges, theOption )
{
   // default parameters settings for Simulated Annealing algorithm
   DeclareOptions();
   ParseOptions();
}

////////////////////////////////////////////////////////////////////////////////
/// declare SA options.
///
///  - MaxCalls                 <int>      maximum number of calls for simulated annealing
///  - TemperatureGradient      <float>    temperature gradient for simulated annealing
///  - UseAdaptiveTemperature   <bool>     use of adaptive temperature for simulated annealing
///  - InitialTemperature       <float>    initial temperature for simulated annealing
///  - MinTemperature           <float>    minimum temperature for simulated annealing
///  - Eps                      <int>      number of epochs for simulated annealing
///  - NFunLoops                <int>      number of loops for simulated annealing
///  - NEps                     <int>      number of epochs for simulated annealing

void TMVA::SimulatedAnnealingFitter::DeclareOptions()
{

   // default settings
   fMaxCalls                = 100000;
   fInitialTemperature      = 1e+6;
   fMinTemperature          = 1e-6;
   fEps                     = 1e-10;
   fTemperatureScale        = 1.0;
   fAdaptiveSpeed           = 1.0;
   fTemperatureAdaptiveStep = 0.009875;
   fKernelTemperatureS      = "IncAdaptive";
   fUseDefaultScale         = kFALSE;
   fUseDefaultTemperature   = kFALSE;

   DeclareOptionRef(fMaxCalls,               "MaxCalls",              "Maximum number of minimisation calls");
   DeclareOptionRef(fInitialTemperature,     "InitialTemp",           "Initial temperature");
   DeclareOptionRef(fMinTemperature,         "MinTemp",               "Minimum temperature");
   DeclareOptionRef(fEps,                    "Eps",                   "Epsilon");
   DeclareOptionRef(fTemperatureScale,       "TempScale",             "Temperature scale");
   DeclareOptionRef(fAdaptiveSpeed,          "AdaptiveSpeed",         "Adaptive speed");
   DeclareOptionRef(fTemperatureAdaptiveStep,"TempAdaptiveStep",      "Step made in each generation temperature adaptive");
   DeclareOptionRef(fUseDefaultScale,        "UseDefaultScale",       "Use default temperature scale for temperature minimisation algorithm");
   DeclareOptionRef(fUseDefaultTemperature,  "UseDefaultTemp",        "Use default initial temperature");

   DeclareOptionRef(fKernelTemperatureS,     "KernelTemp",            "Temperature minimisation algorithm");
   AddPreDefVal(TString("IncAdaptive"));
   AddPreDefVal(TString("DecAdaptive"));
   AddPreDefVal(TString("Sqrt"));
   AddPreDefVal(TString("Log"));
   AddPreDefVal(TString("Sin"));
   AddPreDefVal(TString("Homo"));
   AddPreDefVal(TString("Geo"));
}

////////////////////////////////////////////////////////////////////////////////
/// set SA configuration parameters

void TMVA::SimulatedAnnealingFitter::SetParameters( Int_t    maxCalls,
                                                    Double_t initialTemperature,
                                                    Double_t minTemperature,
                                                    Double_t eps,
                                                    TString  kernelTemperatureS,
                                                    Double_t temperatureScale,
                                                    Double_t temperatureAdaptiveStep,
                                                    Bool_t   useDefaultScale,
                                                    Bool_t   useDefaultTemperature)
{
   fMaxCalls                 = maxCalls;
   fInitialTemperature       = initialTemperature;
   fMinTemperature           = minTemperature;
   fEps                      = eps;
   fKernelTemperatureS       = kernelTemperatureS;
   fTemperatureScale         = temperatureScale;
   fTemperatureAdaptiveStep = temperatureAdaptiveStep;
   fUseDefaultScale          = useDefaultScale;
   fUseDefaultTemperature    = useDefaultTemperature;
}

////////////////////////////////////////////////////////////////////////////////
/// Execute fitting

Double_t TMVA::SimulatedAnnealingFitter::Run( std::vector<Double_t>& pars )
{
   Log() << kHEADER << "<SimulatedAnnealingFitter> Optimisation, please be patient ... " << Endl;
   Log() << kINFO << "(progress timing may be inaccurate for SA)" << Endl;

   SimulatedAnnealing sa( GetFitterTarget(), fRanges );

   // set driving parameters
   sa.SetOptions( fMaxCalls, fInitialTemperature, fMinTemperature, fEps, fKernelTemperatureS,
                  fTemperatureScale, fAdaptiveSpeed, fTemperatureAdaptiveStep,
                  fUseDefaultScale, fUseDefaultTemperature );

  if (fIPyMaxIter){
     *fIPyMaxIter = fMaxCalls;
     sa.SetIPythonInteractive(fExitFromTraining, fIPyCurrentIter);
   }
   // minimise
   Double_t fcn = sa.Minimize( pars );

   return fcn;
}