differentialevolution_mt.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2012 Ralph Schreyer
 Copyright (C) 2012 Mateusz Kapturski
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
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 <quantlib-dev@lists.sf.net>. The license is also available online at
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 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 license for more details.
*/
 
/*
 Copyright (C) 2016 Quaternion Risk Management Ltd.
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
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 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.*/
 
/*! \file differentialevolution_mt.hpp
    \brief Multithreaded version of QL class
*/
 
#pragma once
 
#include <qle/math/method_mt.hpp>
#include <qle/math/problem_mt.hpp>
 
#include <ql/math/optimization/constraint.hpp>
#include <ql/math/optimization/differentialevolution.hpp>
#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
class DifferentialEvolution_MT : public OptimizationMethod_MT {
public:
    using Strategy = DifferentialEvolution::Strategy;
    using CrossoverType = DifferentialEvolution::CrossoverType;
    using Candidate = DifferentialEvolution::Candidate;
    using Configuration = DifferentialEvolution::Configuration;
 
    DifferentialEvolution_MT(Configuration configuration = Configuration(), std::string maxTime = "")
        : configuration_(configuration), maxTime_(maxTime), rng_(configuration.seed) {}
 
    virtual EndCriteria::Type minimize(Problem_MT& p, const EndCriteria& endCriteria) override;
 
    const Configuration& configuration() const { return configuration_; }
 
private:
    void updateCost(std::vector<Candidate>& population, Problem_MT& p) const;
 
    Configuration configuration_;
    std::string maxTime_;
    Array upperBound_, lowerBound_;
    mutable Array currGenSizeWeights_, currGenCrossover_;
    Candidate bestMemberEver_;
    MersenneTwisterUniformRng rng_;
 
    bool checkMaxTime() const;
 
    void fillInitialPopulation(std::vector<Candidate>& population, const Problem_MT& p) const;
 
    void getCrossoverMask(std::vector<Array>& crossoverMask, std::vector<Array>& invCrossoverMask,
                          const Array& mutationProbabilities) const;
 
    Array getMutationProbabilities(const std::vector<Candidate>& population) const;
 
    void adaptSizeWeights() const;
 
    void adaptCrossover() const;
 
    void calculateNextGeneration(std::vector<Candidate>& population, Problem_MT& p) const;
 
    Array rotateArray(Array inputArray) const;
 
    void crossover(const std::vector<Candidate>& oldPopulation, std::vector<Candidate>& population,
                   const std::vector<Candidate>& mutantPopulation, const std::vector<Candidate>& mirrorPopulation,
                   Problem_MT& p) const;
};
 
} // namespace QuantExt