Optimizers

Each optimizer in Shark is an iterative algorithm which tries to find a local minimum of an objective function. For single objective optimization, we would like to find the global optimum of the objective function \(f\) :

\[x^* = \arg \min_x f(x)\]

However, if the function has more than one local optimum, we can usually only find one of them. That is, re-starts may be required.

In multi-objective optimization (also known as multi-criteria or vector optimization), the goal is to optimize with respect to multiple objective functions at once. This usually does not lead to a single point solution, since there exist trade-offs between the different objectives. Therefore, the typical goal of vector optimization is to approximate the set of Pareto optimal solutions as good as possible. A solution is Pareto optimal if it cannot be improved in one objective without getting worse in another one.

Optimizers try to find this solution in a stepwise fashion. Let us consider single-objective optimization for now. Given a solution \(x(t)\) at time step \(t\) with objective value \(f(x(t))\), the optimizer looks for a new point \(x(t+1)\) such that \(f(x(t+1))<f(x(t))\). Two important types of optimizers can be distinguished. The first, gradient-based algorithms use the gradient of the objective function. The other approach is direct/derivative-free search, which traverses the search space without calculating derivative information explicitly. Direct search algorithms can be as simple as grid search, which simply probes a predefined grid of points, or more elaborate, like evolutionary algorithms, which try to infer or substitute for gradient information by comparing sets of function values. Shark supports both these kinds of optimizers, and the following tutorials introduces their basics. An overview over notable implemented optimizers can be found at the bottom of this tutorial here.

Note

Shark always assumes minimization tasks. This is no restriction as \(\arg \max_x f(x) = \arg \min_x -f(x)\).

List of Classes

• Overview and Base-Classes

• Gradient-Based Optimizers

• Direct-Search Optimizers

• Multi-Objective Optimizers

The base class ‘AbstractOptimizer<SearchPointType, ResultType, SolutionSetType>’

AbstractOptimizer is a general and flexible interface for single- as well as multi-objective optimization on different search sapces. We first describe the general interface before we take a look at the special cases of both single- and multi-objective optimization.

The three template parameters are used to infer the objective function type and all types are made public using typedefs:

Types	Description
SearchPointType	Single point in the search space, representing an input of the objective function. Most likely RealVector.
ResultType	Return type of the objective function. For single objective functions, this is double.
SolutionSetType	Represents the current best solution of the optimizer. For single objective functions, this is a point-value pair.
ObjectiveFunctionType	Type of objective function the algorithm can optimize. Alias for AbstractObjectiveFunction<SearchPointType,ResultType>.

Every optimizer imposes a set of requirements on the objective functions. These are organized as a set of flags which can be queried using convenience functions. Note that there is a big difference to the flag system of ObjectiveFunctions, Models or Kernels described in some of the other tutorials: the flags of the latter describe capabilities and not requirements, as is the case here. Via these flags, it can be easily checked whether an objective function is compatible with an optimizer or not.

Flag, Accessor function	Description
REQUIRES_VALUE, requiresValue	The algorithm needs the value of the objective function for a given point to decide which step to take next. This means AbstractObjectiveFunction::eval() is allowed to be called and needs to return a meaningful value.
REQUIRES_FIRST_DERIVATIVE, requiresFirstDerivative	The algorithm needs the first derivative of the function.
REQUIRES_SECOND_DERIVATIVE, requiresSecondDerivative	The algorithm needs the second derivative of the function.
CAN_SOLVE_CONSTRAINED, canSolveConstrained	The algorithm can solve constrained functions. For this it is necessary that the objective function implements AbstractObjectiveFunction::isFeasible().
REQUIRES_CLOSEST_FEASIBLE, requiresClosestFeasible	Some algorithms need the ability to receive the nearest feasible point given an infeasible one.

An optimizer is allowed to check the presence of the correct flags in the objective function. Moreover, it is allowed to check the flags without actually requiring them. This allows for different solving strategies given the special traits of the objective functions. If an objective function abides by the requirements of the optimizer, the following functions can be called to obtain the local optimum:

Method	Description
init(ObjectiveFunctionType)	Initializes the optimizer with numInitPoints() random starting point proposed by the objective function. The function must set the flag CAN_PROPOSE_STARTING_POINT and implement the function AbstractObjectiveFunction::proposeStartingPoint().
init(ObjectiveFunctionType,std::vector<SearchPointType>)	Initialize the algorithm using a prespecified set of starting points. Number of points should be numInitPoints() but the algorithm can try to generate additional points if required.
numInitPoints()	Returns the number of initialisation points required by the algorithm.
step(ObjectiveFunctionType)	Performs one step of the learning algorithm on the objective function.
SolutionSetType solution()	Returns the current best solution found.

Also, optimizers offer several other helper functions (and, in addition to the below, are serializable):

Method	Description
name()	Returns the name of the optimizer. Useful for text output of results.

Here is a short example on how this interface can be used:

MyObjectiveFunction f;
MyOptimizer opt;
f.init();
opt.init(f);

while( !someStoppingCriteronMet(opt,f) ) {
    opt.step(f);
}
// get the optimal solution
MyOptimizer::SolutionSetType solution = opt.solution();

The base class ‘AbstractSingleObjectiveOptimizer<SearchPointType>’

To this point, we have not clarified how the result of solution() looks like. For Single objective optimizers, the solution type is an instance of SingleObjectiveResultSet. It stores the best point found so far as well as its function value. Printing out the result of the last example would look like:

std::cout << "value:" << opt.solution().value << " point:" << opt.solution().point;

For initialization, usually only a single starting point is needed. This can either be generated by the function if it can propose a random starting point, or it can be provided as second argument to init:

Method	Description
init(ObjectiveFunctionType, SearchPointType)	Initializes the optimizer with a given starting point.

For a new optimizer, only the new version of init and step need to be implemented. The optimizer is allowed to evaluate the given starting point during initialization.

The base class ‘AbstractMultiObjectiveOptimizer<SearchPointType>’

Todo

ADD TUTORIAL