From 750ce1282d4604df96ab9a3d676dba448d9d838f Mon Sep 17 00:00:00 2001 From: Thibaut Horel Date: Sun, 13 Sep 2015 03:22:37 -0400 Subject: Final tweaks to the optimization --- hawkes/main.py | 96 +++++++++++++++++++++++++++++++++------------------------- 1 file changed, 54 insertions(+), 42 deletions(-) (limited to 'hawkes/main.py') diff --git a/hawkes/main.py b/hawkes/main.py index a922812..cddc85b 100644 --- a/hawkes/main.py +++ b/hawkes/main.py @@ -23,7 +23,9 @@ def gss(f, a, b, tol=1e-20): a = c c = d d = a + GR * (b - a) - return (b + a) / 2 + sys.stderr.write("gss:" + " ".join(map(str, [a, b, fc, fd])) + "\n") + sys.stderr.flush() + return (b + a) / 2, fc def iter_events(events): @@ -55,42 +57,63 @@ def ll(lamb, alpha, mu): return -(r1 - r2 - r3) -def sa(x, y, z, sigma=0.1, niter=100): - T = 1 - e = 1.01 - for _ in xrange(niter): +def sa(x, y, z, sigma=0.5, niter=70, fc=None): + T = 0.1 + e = 1.1 + if fc: + fo = fc + else: fo = ll(x, y, z) - #print T, sigma, x, y, z, fo + for _ in xrange(niter): + sys.stderr.write("sa: " + " ".join(map(str, [T, sigma, x, y, z, fo])) + + "\n") + sys.stderr.flush() yn = max(y + gauss(0, sigma * y + 1e-10), 0) zn = max(z + gauss(0, sigma * z + 1e-10), 0) fn = ll(x, yn, zn) if fn < fo or exp((fo - fn) / T) > random(): y = yn z = zn - sigma *= e + sigma *= 2 + fo = fn else: sigma /= e if sigma < 1e-5: break T *= 0.99 - return y, z + return y, z, fo -def optimize_with_sa(x, y, z): +def optimize_with_sa(x, y, z, niter=200): + + def f(x): + return ll(x, y, z) + # y, z = sa(x, y, z) - while True: - x = gss(f, 0, 1, tol=1e-10) - y, z = sa(x, y, z) - print x, y, z, ll(x, y, z) + y, z, fc = sa(x, y, z) + for _ in xrange(niter): + x, fc = gss(f, 0, 1e-3, tol=1e-10) + y, z, fc = sa(x, y, z, fc=fc) + print x, y, z, fc sys.stdout.flush() -def optimize_with_gss(x, y, z): - while True: - x = gss(f, 0, 1, tol=1e-20) - y = gss(g, 0, 1, tol=1e-20) - z = gss(h, 0, 1, tol=1e-20) - print x, y, z, ll(x, y, z) +def optimize_with_gss(x, y, z, niter=100): + + def f(x): + return ll(x, y, z) + + def g(y): + return ll(x, y, z) + + def h(z): + return ll(x, y, z) + + for _ in xrange(niter): + y, fc = gss(g, 0, 1, tol=1e-10) + z, fc = gss(h, 0, 1, tol=1e-10) + x, fc = gss(f, 0, 1e-3, tol=1e-10) + print x, y, z, fc sys.stdout.flush() @@ -100,7 +123,7 @@ def coarse_search(): v = map(float, line.strip().split()) d[tuple(v[:3])] = v[3] p = Pool(5) - lamb = [20. ** i for i in range(-15, 15)] + lamb = [20. ** i for i in range(-10, 0)] alpha = [20. ** i for i in range(-15, 15)] mu = [20. ** i for i in range(-15, 15)] @@ -112,32 +135,21 @@ def coarse_search(): sys.stdout.flush() p.map(aux, product(lamb, alpha, mu)) - # for l, a, m in product(lamb, alpha, mu): - # print l, a, m, ll(*(l, a, m)) if __name__ == "__main__": nodes, edges, events, event_edges = load(open("data2.pickle", "rb")) - def f(x): - global y, z - return ll(x, y, z) - - def g(y): - global x, z - return ll(x, y, z) + x = 1.2e-5 + y = 0.002 + z = 0.004 + # sa(x, y, z) - def h(z): - global x, y - return ll(x, y, z) + with open(sys.argv[1]) as fh: + l = [map(float, line.strip().split()[:3]) for line in fh] + for e in l: + optimize_with_sa(*e) - # x, y, z = map(float, sys.argv[1:]) - x = 1.8e-5 - y = 1. - z = 1. - #x, y, z = 1.8387870804e-05, 0.0383954874502, 0.00108402386463 - x, y, z = 1.83e-5, 0.00125, 0.00125 - #optimize_with_sa(x, y, z) - #optimize_with_gss(x, y, z) - print ll(x, y, z) - #coarse_search() + # optimize_with_gss(x, y, z) + # print ll(x, y, z) + # coarse_search() -- cgit v1.2.3-70-g09d2