gctl_optimization/example/ex2.cpp

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#include "../lib/optimization.h"

#define M 100
#define N 90

// get random floating points
double random_double(double l, double t)
{
	return (t-l)*rand()*1.0/RAND_MAX + l;
}

// get random integral numbers
int random_int(int small, int big)
{
	return (rand() % (big - small)) + small;
}

class ex2 : public gctl::lgd_solver
{
protected:
    gctl::matrix<double> kernel;
    gctl::array<double> obs, tmp;

protected:
    double LGD_Evaluate(const gctl::array<double> &x, gctl::array<double> &g);

public:
    ex2();
    virtual ~ex2(){}

    void CalObs(const gctl::array<double> &x);
};

ex2::ex2()
{
    kernel.resize(M, N);
    tmp.resize(M);
    obs.resize(M);

    srand(time(0));
	// 添加一些大数
	int tmp_id, tmp_size;
	double tmp_val;
	for (int i = 0; i < M; i++)
	{
		tmp_size = random_int(25, 35);
		for (int j = 0; j < tmp_size; j++)
		{
			tmp_id = random_int(0, N);
			tmp_val = random_double(-10, 10);

			kernel[i][tmp_id] = tmp_val;
		}
	}
}

double ex2::LGD_Evaluate(const gctl::array<double> &x, gctl::array<double> &g)
{
    for (int i = 0; i < M; i++)
    {
        tmp[i] = 0.0;
        for (int j = 0; j < N; j++)
        {
            tmp[i] += kernel[i][j] * x[j];
        }
        tmp[i] -= obs[i];
		//tmp[i] /= 1e-1;
    }

	for (int j = 0; j < N; j++)
	{
        g[j] = 0.0;
        for (int i = 0; i < M; i++)
        {
            g[j] += kernel[i][j]*tmp[i];
        }
		g[j] *= 2.0/M;
	}

    double sum = 0.0;
    for (int i = 0; i < M; i++)
    {
        sum += tmp[i]*tmp[i];
    }
	return sum/M;
}

void ex2::CalObs(const gctl::array<double> &x)
{
    // 计算正演值
	for (int i = 0; i < M; i++)
	{
		obs[i] = 0.0;
		for (int j = 0; j < N; j++)
		{
			obs[i] += kernel[i][j]*x[j];
		}
		// 添加噪声
		obs[i] += random_double(-1e-3, 1e-3);
	}
}

int main(int argc, char const *argv[])
{
    gctl::array<double> m(N, 0.0), mean_m(N, 0.0), stddev_m(N, 0.0), low(N), hig(N);

    // 生成一组正演解 包含一些大值和一些小值
	gctl::array<double> fm(N);
	int N2 = (int) N/2;
	for (int i = 0; i < N2; i++)
	{
		//fm[i] = random_double(5, 10);
		fm[i] = 10.0;
	}

	for (int i = N2; i < N; i++)
	{
		//fm[i] = random_double(1, 2);
		fm[i] = 1.0;
	}

	for (int i = 0; i < N2; i++)
	{
		low[i] = 9.0; // 对解的范围进行约束
		hig[i] = 11.0;
	}

	for (int i = N2; i < N; i++)
	{
		low[i] = 0.0;
		hig[i] = 2.0;
	}

    ex2 e;
    e.CalObs(fm);

	gctl::lgd_para my_para = e.default_lgd_para();
	my_para.flight_times = 20000;
	my_para.batch = 100;
    e.set_lgd_para(my_para);
    e.LGD_Minimize(m, mean_m, stddev_m, low, hig);

	for (int i = 0; i < N; i++)
	{
		std::cout << fm[i] << " " << m[i] << " " << mean_m[i] << " " << stddev_m[i] << " " << fabs(mean_m[i] - fm[i]) << std::endl;
	}
	return 0;
}