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Storing a non-accepted eval on a chain; candidate exchange chains with replacement. #46

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Storing a non-accepted eval on a chain; candidate exchange chains with replacement. #46

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1f41a4b
Updated set_eval!() to store best value only if eval is accepted
theloudis Dec 3, 2019
0130814
Candidate exchange pairs of chains are chose WITH replacement
theloudis Dec 3, 2019
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16 changes: 8 additions & 8 deletions src/mopt/AlgoBGP.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -56,7 +56,7 @@ mutable struct BGPChain <: AbstractChain
sigma_update_steps :: Int64 # update sampling vars every sigma_update_steps iterations
sigma_adjust_by :: Float64 # adjust sampling vars by sigma_adjust_by percent up or down
smpl_iters :: Int64 # max number of trials to get a new parameter from MvNormal that lies within support
min_improve :: Float64
min_improve :: Float64
batches :: Vector{UnitRange{Int}} # vector of indices to update together.

"""
Expand Down Expand Up @@ -93,7 +93,7 @@ mutable struct BGPChain <: AbstractChain
this.m = m
# how many bundles + rest
nb, rest = divrem(np,batch_size)
this.sigma = sig
this.sigma = sig
this.batches = UnitRange{Int}[]
i = 1
for ib in 1:nb
Expand Down Expand Up @@ -232,7 +232,7 @@ function set_eval!(c::BGPChain,ev::Eval)
else
c.curr_val[c.iter] = c.curr_val[c.iter-1]
end
if (ev.value < c.best_val[c.iter-1])
if (ev.value < c.best_val[c.iter-1]) & (ev.accepted==true)
c.best_val[c.iter] = ev.value
c.best_id[c.iter] = c.iter
else
Expand Down Expand Up @@ -262,7 +262,7 @@ end

Computes the next `Eval` for chain `c`:

1. Get last accepted param
1. Get last accepted param
2. get a new param via [`proposal`](@ref)
3. [`evaluateObjective`](@ref)
4. Accept or Reject the new value via [`doAcceptReject!`](@ref)
Expand Down Expand Up @@ -392,7 +392,7 @@ end
"""
proposal(c::BGPChain)

Gaussian Transition Kernel centered on current parameter value.
Gaussian Transition Kernel centered on current parameter value.

1. Map all ``k`` parameters into ``\\mu \\in [0,1]^k``.
2. update all parameters by sampling from `MvNormal`, ``N(\\mu,\\sigma)``, where ``sigma`` is `c.sigma` until all params are in ``[0,1]^k``
Expand All @@ -411,8 +411,8 @@ function proposal(c::BGPChain)

# map into [0,1]
# (x-a)/(b-a) = z \in [0,1]
mu01 = mapto_01(mu,lb,ub)
mu01 = mapto_01(mu,lb,ub)

# Transition Kernel is q(.|theta(t-1)) ~ TruncatedN(theta(t-1), Sigma,lb,ub)

# if there is only one batch of params
Expand Down Expand Up @@ -626,7 +626,7 @@ function exchangeMoves!(algo::MAlgoBGP)
props = [(i,j) for i in 1:algo["N"], j in 1:algo["N"] if (i<j)]
# N pairs of chains are chosen uniformly in all possibel pairs with replacement
samples = algo["N"] < 3 ? algo["N"]-1 : algo["N"]
pairs = sample(props,samples,replace=false)
pairs = sample(props,samples,replace=true)

# @debug(logger,"")
# @debug(logger,"exchangeMoves: proposing pairs")
Expand Down