use rand_distr::{Distribution, Normal};
use crate::algorithms::parallel_eval::evaluate_batch;
use crate::core::candidate::Candidate;
use crate::core::objective::Direction;
use crate::core::population::Population;
use crate::core::problem::Problem;
use crate::core::result::OptimizationResult;
use crate::core::rng::rng_from_seed;
use crate::internal::eigen::symmetric_eigen;
use crate::operators::real::RealBounds;
use crate::pareto::front::best_candidate;
use crate::traits::Optimizer;
#[derive(Debug, Clone)]
pub struct CmaEsConfig {
pub population_size: usize,
pub generations: usize,
pub initial_sigma: f64,
pub eigen_decomposition_period: usize,
pub initial_mean: Option<Vec<f64>>,
pub seed: u64,
}
impl Default for CmaEsConfig {
fn default() -> Self {
Self {
population_size: 16,
generations: 200,
initial_sigma: 0.5,
eigen_decomposition_period: 1,
initial_mean: None,
seed: 42,
}
}
}
#[derive(Debug, Clone)]
pub struct CmaEs {
pub config: CmaEsConfig,
pub bounds: RealBounds,
}
impl CmaEs {
pub fn new(config: CmaEsConfig, bounds: RealBounds) -> Self {
Self { config, bounds }
}
}
impl<P> Optimizer<P> for CmaEs
where
P: Problem<Decision = Vec<f64>> + Sync,
{
fn run(&mut self, problem: &P) -> OptimizationResult<P::Decision> {
assert!(
self.config.population_size >= 4,
"CmaEs population_size must be >= 4",
);
assert!(
self.config.initial_sigma > 0.0,
"CmaEs initial_sigma must be positive",
);
assert!(
self.config.eigen_decomposition_period >= 1,
"CmaEs eigen_decomposition_period must be >= 1",
);
let objectives = problem.objectives();
assert!(
objectives.is_single_objective(),
"CmaEs only supports single-objective problems",
);
let direction = objectives.objectives[0].direction;
let n = self.bounds.bounds.len();
let n_f = n as f64;
let lambda = self.config.population_size;
let lambda_f = lambda as f64;
let mu = lambda / 2;
assert!(mu >= 1, "CmaEs derived mu (= lambda/2) must be >= 1");
let mut rng = rng_from_seed(self.config.seed);
let raw_weights: Vec<f64> = (0..mu)
.map(|i| ((lambda_f + 1.0) / 2.0).ln() - ((i + 1) as f64).ln())
.collect();
let sum_w: f64 = raw_weights.iter().sum();
let weights: Vec<f64> = raw_weights.iter().map(|w| w / sum_w).collect();
let mu_eff = 1.0 / weights.iter().map(|w| w * w).sum::<f64>();
let c_sigma = (mu_eff + 2.0) / (n_f + mu_eff + 5.0);
let d_sigma = 1.0 + 2.0 * ((mu_eff - 1.0) / (n_f + 1.0)).sqrt().max(0.0) + c_sigma;
let c_c = (4.0 + mu_eff / n_f) / (n_f + 4.0 + 2.0 * mu_eff / n_f);
let c_1 = 2.0 / ((n_f + 1.3).powi(2) + mu_eff);
let c_mu = ((1.0 - c_1) * 2.0 * (mu_eff - 2.0 + 1.0 / mu_eff)
/ ((n_f + 2.0).powi(2) + mu_eff))
.min(1.0 - c_1);
let chi_n = n_f.sqrt() * (1.0 - 1.0 / (4.0 * n_f) + 1.0 / (21.0 * n_f * n_f));
let mut mean: Vec<f64> = if let Some(provided) = self.config.initial_mean.clone() {
assert_eq!(
provided.len(),
self.bounds.bounds.len(),
"CmaEs initial_mean.len() must equal the bounds dimension",
);
provided
.into_iter()
.zip(self.bounds.bounds.iter())
.map(|(v, &(lo, hi))| v.clamp(lo, hi))
.collect()
} else {
self.bounds
.bounds
.iter()
.map(|&(lo, hi)| 0.5 * (lo + hi))
.collect()
};
let mut sigma = self.config.initial_sigma;
let mut c_matrix: Vec<Vec<f64>> = (0..n)
.map(|i| (0..n).map(|j| if i == j { 1.0 } else { 0.0 }).collect())
.collect();
let mut b: Vec<Vec<f64>> = c_matrix.to_vec();
let mut d: Vec<f64> = vec![1.0; n];
let mut p_sigma = vec![0.0_f64; n];
let mut p_c = vec![0.0_f64; n];
let mut evaluations = 0usize;
let normal = Normal::new(0.0, 1.0).expect("Normal::new(0, 1)");
let mut best_candidate_seen: Option<Candidate<Vec<f64>>> = None;
for generation in 0..self.config.generations {
if generation % self.config.eigen_decomposition_period == 0 {
#[allow(clippy::needless_range_loop)] for i in 0..n {
for j in (i + 1)..n {
let avg = 0.5 * (c_matrix[i][j] + c_matrix[j][i]);
c_matrix[i][j] = avg;
c_matrix[j][i] = avg;
}
}
let (eigenvalues, eigenvectors) = symmetric_eigen(&c_matrix, 1e-14, 100);
d = eigenvalues.iter().map(|&v| v.max(1e-20).sqrt()).collect();
b = (0..n)
.map(|r| (0..n).map(|c| eigenvectors[c][r]).collect())
.collect();
}
let mut z_samples: Vec<Vec<f64>> = Vec::with_capacity(lambda);
let mut x_samples: Vec<Vec<f64>> = Vec::with_capacity(lambda);
for _ in 0..lambda {
let z: Vec<f64> = (0..n).map(|_| normal.sample(&mut rng)).collect();
let bd_z: Vec<f64> = (0..n)
.map(|i| (0..n).map(|j| b[i][j] * d[j] * z[j]).sum::<f64>())
.collect();
let x: Vec<f64> = (0..n)
.map(|i| {
let v = mean[i] + sigma * bd_z[i];
let (lo, hi) = self.bounds.bounds[i];
v.clamp(lo, hi)
})
.collect();
z_samples.push(z);
x_samples.push(x);
}
let evaluated = evaluate_batch(problem, x_samples.clone());
evaluations += evaluated.len();
for c in &evaluated {
let beats_best = match &best_candidate_seen {
None => true,
Some(b) => better_than_so(&c.evaluation, &b.evaluation, direction),
};
if beats_best {
best_candidate_seen = Some(c.clone());
}
}
let mut order: Vec<usize> = (0..lambda).collect();
order.sort_by(|&a, &b_| {
compare_so(
&evaluated[a].evaluation,
&evaluated[b_].evaluation,
direction,
)
});
let old_mean = mean.clone();
let mut new_mean = vec![0.0_f64; n];
for k in 0..mu {
let xk = &x_samples[order[k]];
let wk = weights[k];
for i in 0..n {
new_mean[i] += wk * xk[i];
}
}
mean = new_mean;
let mut z_weighted = vec![0.0_f64; n];
for k in 0..mu {
let zk = &z_samples[order[k]];
let wk = weights[k];
for i in 0..n {
z_weighted[i] += wk * zk[i];
}
}
let factor_p_sigma = (c_sigma * (2.0 - c_sigma) * mu_eff).sqrt();
let bz: Vec<f64> = (0..n)
.map(|i| (0..n).map(|j| b[i][j] * z_weighted[j]).sum::<f64>())
.collect();
for i in 0..n {
p_sigma[i] = (1.0 - c_sigma) * p_sigma[i] + factor_p_sigma * bz[i];
}
let p_sigma_norm = p_sigma.iter().map(|x| x * x).sum::<f64>().sqrt();
sigma *= ((c_sigma / d_sigma) * (p_sigma_norm / chi_n - 1.0)).exp();
let h_sigma = if p_sigma_norm
/ (1.0 - (1.0 - c_sigma).powi(2 * (generation as i32 + 1))).sqrt()
< (1.4 + 2.0 / (n_f + 1.0)) * chi_n
{
1.0
} else {
0.0
};
let factor_p_c = h_sigma * (c_c * (2.0 - c_c) * mu_eff).sqrt();
for i in 0..n {
p_c[i] = (1.0 - c_c) * p_c[i] + factor_p_c * (mean[i] - old_mean[i]) / sigma;
}
let delta_h = (1.0 - h_sigma) * c_c * (2.0 - c_c);
#[allow(clippy::needless_range_loop)]
for i in 0..n {
for j in 0..n {
let mut update = (1.0 - c_1 - c_mu) * c_matrix[i][j]
+ c_1 * (p_c[i] * p_c[j] + delta_h * c_matrix[i][j]);
let mut rank_mu_term = 0.0;
for k in 0..mu {
let xk = &x_samples[order[k]];
let yi = (xk[i] - old_mean[i]) / sigma;
let yj = (xk[j] - old_mean[j]) / sigma;
rank_mu_term += weights[k] * yi * yj;
}
update += c_mu * rank_mu_term;
c_matrix[i][j] = update;
}
}
for (i, m) in mean.iter_mut().enumerate() {
let (lo, hi) = self.bounds.bounds[i];
*m = m.clamp(lo, hi);
}
}
let best = best_candidate_seen.expect("at least one generation evaluated");
let final_pop = vec![best.clone()];
let front = vec![best.clone()];
let best_opt = best_candidate(&final_pop, &objectives);
OptimizationResult::new(
Population::new(final_pop),
front,
best_opt,
evaluations,
self.config.generations,
)
}
}
#[cfg(feature = "async")]
impl CmaEs {
pub async fn run_async<P>(
&mut self,
problem: &P,
concurrency: usize,
) -> OptimizationResult<Vec<f64>>
where
P: crate::core::async_problem::AsyncProblem<Decision = Vec<f64>>,
{
use crate::algorithms::parallel_eval_async::evaluate_batch_async;
assert!(
self.config.population_size >= 4,
"CmaEs population_size must be >= 4",
);
assert!(
self.config.initial_sigma > 0.0,
"CmaEs initial_sigma must be positive",
);
assert!(
self.config.eigen_decomposition_period >= 1,
"CmaEs eigen_decomposition_period must be >= 1",
);
let objectives = problem.objectives();
assert!(
objectives.is_single_objective(),
"CmaEs only supports single-objective problems",
);
let direction = objectives.objectives[0].direction;
let n = self.bounds.bounds.len();
let n_f = n as f64;
let lambda = self.config.population_size;
let lambda_f = lambda as f64;
let mu = lambda / 2;
assert!(mu >= 1, "CmaEs derived mu (= lambda/2) must be >= 1");
let mut rng = rng_from_seed(self.config.seed);
let raw_weights: Vec<f64> = (0..mu)
.map(|i| ((lambda_f + 1.0) / 2.0).ln() - ((i + 1) as f64).ln())
.collect();
let sum_w: f64 = raw_weights.iter().sum();
let weights: Vec<f64> = raw_weights.iter().map(|w| w / sum_w).collect();
let mu_eff = 1.0 / weights.iter().map(|w| w * w).sum::<f64>();
let c_sigma = (mu_eff + 2.0) / (n_f + mu_eff + 5.0);
let d_sigma = 1.0 + 2.0 * ((mu_eff - 1.0) / (n_f + 1.0)).sqrt().max(0.0) + c_sigma;
let c_c = (4.0 + mu_eff / n_f) / (n_f + 4.0 + 2.0 * mu_eff / n_f);
let c_1 = 2.0 / ((n_f + 1.3).powi(2) + mu_eff);
let c_mu = ((1.0 - c_1) * 2.0 * (mu_eff - 2.0 + 1.0 / mu_eff)
/ ((n_f + 2.0).powi(2) + mu_eff))
.min(1.0 - c_1);
let chi_n = n_f.sqrt() * (1.0 - 1.0 / (4.0 * n_f) + 1.0 / (21.0 * n_f * n_f));
let mut mean: Vec<f64> = if let Some(provided) = self.config.initial_mean.clone() {
assert_eq!(
provided.len(),
self.bounds.bounds.len(),
"CmaEs initial_mean.len() must equal the bounds dimension",
);
provided
.into_iter()
.zip(self.bounds.bounds.iter())
.map(|(v, &(lo, hi))| v.clamp(lo, hi))
.collect()
} else {
self.bounds
.bounds
.iter()
.map(|&(lo, hi)| 0.5 * (lo + hi))
.collect()
};
let mut sigma = self.config.initial_sigma;
let mut c_matrix: Vec<Vec<f64>> = (0..n)
.map(|i| (0..n).map(|j| if i == j { 1.0 } else { 0.0 }).collect())
.collect();
let mut b: Vec<Vec<f64>> = c_matrix.to_vec();
let mut d: Vec<f64> = vec![1.0; n];
let mut p_sigma = vec![0.0_f64; n];
let mut p_c = vec![0.0_f64; n];
let mut evaluations = 0usize;
let normal = Normal::new(0.0, 1.0).expect("Normal::new(0, 1)");
let mut best_candidate_seen: Option<Candidate<Vec<f64>>> = None;
for generation in 0..self.config.generations {
if generation % self.config.eigen_decomposition_period == 0 {
#[allow(clippy::needless_range_loop)]
for i in 0..n {
for j in (i + 1)..n {
let avg = 0.5 * (c_matrix[i][j] + c_matrix[j][i]);
c_matrix[i][j] = avg;
c_matrix[j][i] = avg;
}
}
let (eigenvalues, eigenvectors) = symmetric_eigen(&c_matrix, 1e-14, 100);
d = eigenvalues.iter().map(|&v| v.max(1e-20).sqrt()).collect();
b = (0..n)
.map(|r| (0..n).map(|c| eigenvectors[c][r]).collect())
.collect();
}
let mut z_samples: Vec<Vec<f64>> = Vec::with_capacity(lambda);
let mut x_samples: Vec<Vec<f64>> = Vec::with_capacity(lambda);
for _ in 0..lambda {
let z: Vec<f64> = (0..n).map(|_| normal.sample(&mut rng)).collect();
let bd_z: Vec<f64> = (0..n)
.map(|i| (0..n).map(|j| b[i][j] * d[j] * z[j]).sum::<f64>())
.collect();
let x: Vec<f64> = (0..n)
.map(|i| {
let v = mean[i] + sigma * bd_z[i];
let (lo, hi) = self.bounds.bounds[i];
v.clamp(lo, hi)
})
.collect();
z_samples.push(z);
x_samples.push(x);
}
let evaluated = evaluate_batch_async(problem, x_samples.clone(), concurrency).await;
evaluations += evaluated.len();
for c in &evaluated {
let beats_best = match &best_candidate_seen {
None => true,
Some(b) => better_than_so(&c.evaluation, &b.evaluation, direction),
};
if beats_best {
best_candidate_seen = Some(c.clone());
}
}
let mut order: Vec<usize> = (0..lambda).collect();
order.sort_by(|&a, &b_| {
compare_so(
&evaluated[a].evaluation,
&evaluated[b_].evaluation,
direction,
)
});
let old_mean = mean.clone();
let mut new_mean = vec![0.0_f64; n];
for k in 0..mu {
let xk = &x_samples[order[k]];
let wk = weights[k];
for i in 0..n {
new_mean[i] += wk * xk[i];
}
}
mean = new_mean;
let mut z_weighted = vec![0.0_f64; n];
for k in 0..mu {
let zk = &z_samples[order[k]];
let wk = weights[k];
for i in 0..n {
z_weighted[i] += wk * zk[i];
}
}
let factor_p_sigma = (c_sigma * (2.0 - c_sigma) * mu_eff).sqrt();
let bz: Vec<f64> = (0..n)
.map(|i| (0..n).map(|j| b[i][j] * z_weighted[j]).sum::<f64>())
.collect();
for i in 0..n {
p_sigma[i] = (1.0 - c_sigma) * p_sigma[i] + factor_p_sigma * bz[i];
}
let p_sigma_norm = p_sigma.iter().map(|x| x * x).sum::<f64>().sqrt();
sigma *= ((c_sigma / d_sigma) * (p_sigma_norm / chi_n - 1.0)).exp();
let h_sigma = if p_sigma_norm
/ (1.0 - (1.0 - c_sigma).powi(2 * (generation as i32 + 1))).sqrt()
< (1.4 + 2.0 / (n_f + 1.0)) * chi_n
{
1.0
} else {
0.0
};
let factor_p_c = h_sigma * (c_c * (2.0 - c_c) * mu_eff).sqrt();
for i in 0..n {
p_c[i] = (1.0 - c_c) * p_c[i] + factor_p_c * (mean[i] - old_mean[i]) / sigma;
}
let delta_h = (1.0 - h_sigma) * c_c * (2.0 - c_c);
#[allow(clippy::needless_range_loop)]
for i in 0..n {
for j in 0..n {
let mut update = (1.0 - c_1 - c_mu) * c_matrix[i][j]
+ c_1 * (p_c[i] * p_c[j] + delta_h * c_matrix[i][j]);
let mut rank_mu_term = 0.0;
for k in 0..mu {
let xk = &x_samples[order[k]];
let yi = (xk[i] - old_mean[i]) / sigma;
let yj = (xk[j] - old_mean[j]) / sigma;
rank_mu_term += weights[k] * yi * yj;
}
update += c_mu * rank_mu_term;
c_matrix[i][j] = update;
}
}
for (i, m) in mean.iter_mut().enumerate() {
let (lo, hi) = self.bounds.bounds[i];
*m = m.clamp(lo, hi);
}
}
let best = best_candidate_seen.expect("at least one generation evaluated");
let final_pop = vec![best.clone()];
let front = vec![best.clone()];
let best_opt = best_candidate(&final_pop, &objectives);
OptimizationResult::new(
Population::new(final_pop),
front,
best_opt,
evaluations,
self.config.generations,
)
}
}
fn compare_so(
a: &crate::core::evaluation::Evaluation,
b: &crate::core::evaluation::Evaluation,
direction: Direction,
) -> std::cmp::Ordering {
match (a.is_feasible(), b.is_feasible()) {
(true, false) => std::cmp::Ordering::Less,
(false, true) => std::cmp::Ordering::Greater,
(false, false) => a
.constraint_violation
.partial_cmp(&b.constraint_violation)
.unwrap_or(std::cmp::Ordering::Equal),
(true, true) => match direction {
Direction::Minimize => a.objectives[0]
.partial_cmp(&b.objectives[0])
.unwrap_or(std::cmp::Ordering::Equal),
Direction::Maximize => b.objectives[0]
.partial_cmp(&a.objectives[0])
.unwrap_or(std::cmp::Ordering::Equal),
},
}
}
fn better_than_so(
a: &crate::core::evaluation::Evaluation,
b: &crate::core::evaluation::Evaluation,
direction: Direction,
) -> bool {
compare_so(a, b, direction) == std::cmp::Ordering::Less
}
impl crate::traits::AlgorithmInfo for CmaEs {
fn name(&self) -> &'static str {
"CMA-ES"
}
fn full_name(&self) -> &'static str {
"Covariance Matrix Adaptation Evolution Strategy"
}
fn seed(&self) -> Option<u64> {
Some(self.config.seed)
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::core::evaluation::Evaluation;
use crate::core::objective::{Objective, ObjectiveSpace};
use crate::tests_support::{SchafferN1, Sphere1D};
struct Rosenbrock5D;
impl Problem for Rosenbrock5D {
type Decision = Vec<f64>;
fn objectives(&self) -> ObjectiveSpace {
ObjectiveSpace::new(vec![Objective::minimize("f")])
}
fn evaluate(&self, x: &Vec<f64>) -> Evaluation {
let f: f64 = (0..(x.len() - 1))
.map(|i| {
let a = 1.0 - x[i];
let b = x[i + 1] - x[i] * x[i];
a * a + 100.0 * b * b
})
.sum();
Evaluation::new(vec![f])
}
}
#[test]
fn finds_minimum_of_sphere() {
let mut opt = CmaEs::new(
CmaEsConfig {
population_size: 12,
generations: 100,
initial_sigma: 0.5,
eigen_decomposition_period: 1,
initial_mean: None,
seed: 1,
},
RealBounds::new(vec![(-5.0, 5.0)]),
);
let r = opt.run(&Sphere1D);
let best = r.best.unwrap();
assert!(
best.evaluation.objectives[0] < 1e-8,
"got f = {}",
best.evaluation.objectives[0],
);
}
#[test]
fn finds_minimum_of_rosenbrock_5d() {
let mut opt = CmaEs::new(
CmaEsConfig {
population_size: 16,
generations: 400,
initial_sigma: 0.5,
eigen_decomposition_period: 1,
initial_mean: None,
seed: 1,
},
RealBounds::new(vec![(-5.0, 5.0); 5]),
);
let r = opt.run(&Rosenbrock5D);
let best = r.best.unwrap();
assert!(
best.evaluation.objectives[0] < 1.0,
"got f = {}",
best.evaluation.objectives[0],
);
}
#[test]
fn deterministic_with_same_seed() {
let cfg = CmaEsConfig {
population_size: 8,
generations: 30,
initial_sigma: 0.5,
eigen_decomposition_period: 1,
initial_mean: None,
seed: 99,
};
let mut a = CmaEs::new(cfg.clone(), RealBounds::new(vec![(-5.0, 5.0)]));
let mut b = CmaEs::new(cfg, RealBounds::new(vec![(-5.0, 5.0)]));
let ra = a.run(&Sphere1D);
let rb = b.run(&Sphere1D);
assert_eq!(
ra.best.unwrap().evaluation.objectives,
rb.best.unwrap().evaluation.objectives,
);
}
#[test]
#[should_panic(expected = "single-objective")]
fn multi_objective_panics() {
let mut opt = CmaEs::new(CmaEsConfig::default(), RealBounds::new(vec![(-5.0, 5.0)]));
let _ = opt.run(&SchafferN1);
}
#[test]
#[should_panic(expected = "population_size must be >= 4")]
fn small_population_panics() {
let mut opt = CmaEs::new(
CmaEsConfig {
population_size: 3,
generations: 1,
initial_sigma: 0.5,
eigen_decomposition_period: 1,
initial_mean: None,
seed: 0,
},
RealBounds::new(vec![(-1.0, 1.0)]),
);
let _ = opt.run(&Sphere1D);
}
#[test]
fn compare_so_feasibility_first_under_min() {
let mut a = Evaluation::new(vec![10.0]);
a.constraint_violation = 0.0;
let mut b = Evaluation::new(vec![1.0]);
b.constraint_violation = 1.0;
assert_eq!(
compare_so(&a, &b, Direction::Minimize),
std::cmp::Ordering::Less
);
assert_eq!(
compare_so(&b, &a, Direction::Minimize),
std::cmp::Ordering::Greater
);
}
#[test]
fn compare_so_two_feasible_under_min_and_max() {
let a = Evaluation::new(vec![1.0]);
let b = Evaluation::new(vec![2.0]);
assert_eq!(
compare_so(&a, &b, Direction::Minimize),
std::cmp::Ordering::Less
);
assert_eq!(
compare_so(&b, &a, Direction::Minimize),
std::cmp::Ordering::Greater
);
assert_eq!(
compare_so(&a, &b, Direction::Maximize),
std::cmp::Ordering::Greater
);
assert_eq!(
compare_so(&b, &a, Direction::Maximize),
std::cmp::Ordering::Less
);
}
#[test]
fn compare_so_two_infeasible_compares_violation() {
let mut a = Evaluation::new(vec![0.0]);
a.constraint_violation = 0.5;
let mut b = Evaluation::new(vec![0.0]);
b.constraint_violation = 1.0;
assert_eq!(
compare_so(&a, &b, Direction::Minimize),
std::cmp::Ordering::Less
);
assert_eq!(
compare_so(&b, &a, Direction::Minimize),
std::cmp::Ordering::Greater
);
}
#[test]
fn better_than_so_matches_compare_so() {
let a = Evaluation::new(vec![1.0]);
let b = Evaluation::new(vec![2.0]);
assert!(better_than_so(&a, &b, Direction::Minimize));
assert!(!better_than_so(&b, &a, Direction::Minimize));
assert!(better_than_so(&b, &a, Direction::Maximize));
let c = Evaluation::new(vec![1.0]);
assert!(!better_than_so(&a, &c, Direction::Minimize));
}
#[test]
fn cmaes_decreases_sphere_objective_over_generations() {
let mut opt = CmaEs::new(
CmaEsConfig {
population_size: 8,
generations: 30,
initial_sigma: 0.5,
eigen_decomposition_period: 1,
initial_mean: None,
seed: 7,
},
RealBounds::new(vec![(-3.0, 3.0); 2]),
);
let r = opt.run(&Sphere1D);
let best = r.best.unwrap().evaluation.objectives[0];
assert!(best < 1.0, "best = {best}");
}
}