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Add wrapper and build scripts for https://github.com/dweindl/fides-cpp (C++ rewrite of https://github.com/fides-dev/fides). So far, only BFGS is supported via HDF5 optimizer options.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,44 @@ | ||
| #!/usr/bin/env bash | ||
| # Download and build fides-cpp | ||
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| build_blaze() { | ||
| cd "${script_dir}" | ||
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| if [[ ! -d "${blaze_dir}" ]]; then | ||
| if [[ ! -f "blaze-3.8.tar.gz" ]]; then | ||
| wget https://bitbucket.org/blaze-lib/blaze/downloads/blaze-3.8.tar.gz | ||
| fi | ||
| tar -xzf blaze-3.8.tar.gz | ||
| cd blaze-3.8 | ||
| cmake -S . -B build/ -DCMAKE_INSTALL_PREFIX="$(pwd)/build/install" | ||
| cd build | ||
| make -j2 install | ||
| fi | ||
| } | ||
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| build_fides() { | ||
| if [ ! -d "${fides_dir}" ]; then | ||
| cd "${script_dir}" | ||
| git clone https://github.com/dweindl/fides-cpp.git | ||
| cd "${fides_dir}" | ||
| git checkout 9906bdac6a1966ddd4b37b96f98ad8f89770c128 | ||
| fi | ||
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| cd "${fides_dir}" | ||
| cmake -S . -B build -DBUILD_TESTING=OFF | ||
| cd build | ||
| make ${make_opts} | ||
| } | ||
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| set -euo pipefail | ||
| script_dir=$(dirname "$0") | ||
| script_dir=$(cd "${script_dir}" && pwd) | ||
| cd "${script_dir}" | ||
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| make_opts=${MAKEOPTS-} | ||
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| fides_dir=${script_dir}/fides-cpp | ||
| blaze_dir=${script_dir}/blaze-3.8 | ||
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| build_blaze | ||
| build_fides |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,28 @@ | ||
| #ifndef LOCAL_OPTIMIZATION_FIDES_H | ||
| #define LOCAL_OPTIMIZATION_FIDES_H | ||
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| #include <parpeoptimization/optimizationProblem.h> | ||
| #include <parpeoptimization/optimizer.h> | ||
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| namespace parpe { | ||
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| class OptimizerFides : public Optimizer | ||
| { | ||
| public: | ||
| OptimizerFides() = default; | ||
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| /** | ||
| * @brief Minimize an objective function given as OptimizationProblem using | ||
| * fides optimizer | ||
| * | ||
| * @param problem | ||
| * @return . | ||
| */ | ||
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| std::tuple<int, double, std::vector<double>> optimize( | ||
| OptimizationProblem* problem) override; | ||
| }; | ||
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| } // namespace parpe | ||
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| #endif |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,162 @@ | ||
| #include <parpeoptimization/localOptimizationFides.h> | ||
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| #include "parpecommon/logging.h" | ||
| #include "parpeoptimization/optimizationOptions.h" | ||
| #include "parpeoptimization/optimizationProblem.h" | ||
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| #include <blaze/math/CustomVector.h> | ||
| #include <fides/minimize.hpp> | ||
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| using blaze::columnVector; | ||
| using blaze::CustomVector; | ||
| using blaze::DynamicVector; | ||
| using blaze::unaligned; | ||
| using blaze::unpadded; | ||
| using UnalignedUnpadded = CustomVector<int, unaligned, unpadded, columnVector>; | ||
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| namespace gsl { | ||
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| template<typename Type, bool TF, typename Alloc, typename Tag> | ||
| auto | ||
| make_span(DynamicVector<Type, TF, Alloc, Tag>& dv) | ||
| { | ||
| return gsl::span<Type>(dv.data(), dv.size()); | ||
| } | ||
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| template<typename Type, bool TF, typename Alloc, typename Tag> | ||
| auto | ||
| make_span(DynamicVector<Type, TF, Alloc, Tag> const& dv) | ||
| { | ||
| return gsl::span<const Type>(dv.data(), dv.size()); | ||
| } | ||
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| } // namespace gsl | ||
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| namespace parpe { | ||
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| fides::Options | ||
| get_optimization_options(OptimizationOptions const& parpe_options) | ||
| { | ||
| fides::Options fides_options; | ||
| fides_options.maxiter = parpe_options.maxOptimizerIterations; | ||
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| parpe_options.for_each<int>( | ||
| [&fides_options](const std::pair<const std::string, const std::string>& pair, int) { | ||
| const std::string& key = pair.first; | ||
| const std::string& val = pair.second; | ||
| auto &options = fides_options; | ||
| if (key == "maxiter") { | ||
| options.maxiter = std::stoi(val); | ||
| } else if (key == "maxtime") { | ||
| options.maxtime = std::chrono::seconds(std::stoi(val)); | ||
| } else if (key == "fatol") { | ||
| options.fatol = std::stod(val); | ||
| } else if (key == "frtol") { | ||
| options.frtol = std::stod(val); | ||
| } else if (key == "xtol") { | ||
| options.xtol = std::stod(val); | ||
| } else if (key == "gatol") { | ||
| options.gatol = std::stod(val); | ||
| } else if (key == "grtol") { | ||
| options.grtol = std::stod(val); | ||
| } else if (key == "subspace_solver") { | ||
| auto result = std::find_if( | ||
| fides::subspace_dim_to_str.cbegin(), | ||
| fides::subspace_dim_to_str.cend(), | ||
| [key](const auto& kv) { return kv.second == key; }); | ||
| if (result != fides::subspace_dim_to_str.cend()) | ||
| options.subspace_solver = result->first; | ||
| else | ||
| logmessage(LOGLVL_WARNING, | ||
| "Invalid value %s provided for option " | ||
| "'subspace_solver'. Ignoring.", | ||
| val.c_str()); | ||
| } else if (key == "stepback_strategy") { | ||
| auto result = std::find_if( | ||
| fides::step_back_strategy_str.cbegin(), | ||
| fides::step_back_strategy_str.cend(), | ||
| [key](const auto& kv) { return kv.second == key; }); | ||
| if (result != fides::step_back_strategy_str.cend()) | ||
| options.stepback_strategy = result->first; | ||
| else | ||
| logmessage(LOGLVL_WARNING, | ||
| "Invalid value %s provided for option " | ||
| "'stepback_strategy'. Ignoring.", | ||
| val.c_str()); | ||
| } else if (key == "theta_max") { | ||
| options.theta_max = std::stoi(val); | ||
| } else if (key == "delta_init") { | ||
| options.delta_init = std::stoi(val); | ||
| } else if (key == "mu") { | ||
| options.mu = std::stoi(val); | ||
| } else if (key == "eta") { | ||
| options.eta = std::stoi(val); | ||
| } else if (key == "gamma1") { | ||
| options.gamma1 = std::stoi(val); | ||
| } else if (key == "gamma2") { | ||
| options.gamma2 = std::stoi(val); | ||
| } else if (key == "refine_stepback") { | ||
| options.refine_stepback = std::stoi(val); | ||
| } else { | ||
| logmessage(LOGLVL_WARNING, | ||
| "Ignoring unknown optimization option %s.", | ||
| key.c_str()); | ||
| return; | ||
| } | ||
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| logmessage(LOGLVL_DEBUG, | ||
| "Set optimization option %s to %s.", | ||
| key.c_str(), | ||
| val.c_str()); | ||
| }, | ||
| 0); | ||
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| return fides_options; | ||
| } | ||
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| std::tuple<int, double, std::vector<double>> | ||
| OptimizerFides::optimize(OptimizationProblem* problem) | ||
| { | ||
| auto reporter = problem->getReporter(); | ||
| auto numParams = | ||
| static_cast<std::size_t>(problem->cost_fun_->numParameters()); | ||
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| DynamicVector<double> x0(numParams); | ||
| problem->fillInitialParameters(x0); | ||
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| DynamicVector<double> lb(numParams); | ||
| problem->fillParametersMin(lb); | ||
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| DynamicVector<double> ub(numParams); | ||
| problem->fillParametersMax(ub); | ||
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| WallTimer optimization_timer; | ||
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| auto fun = [&problem](DynamicVector<double> x) { | ||
| static __thread int numFunctionCalls = 0; | ||
| ++numFunctionCalls; | ||
| DynamicVector<double> g(x.size(), NAN); | ||
| double fval = NAN; | ||
| problem->cost_fun_->evaluate( | ||
| gsl::make_span(x), fval, gsl::make_span(g), nullptr, nullptr); | ||
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| return std::make_tuple(fval, g, blaze::DynamicMatrix<double>()); | ||
| }; | ||
|
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| auto fides_options = | ||
| get_optimization_options(problem->getOptimizationOptions()); | ||
| // TODO to config | ||
| fides::BFGS hessian_approximation; | ||
| fides::Optimizer optimizer( | ||
| fun, lb, ub, fides_options, &hessian_approximation); | ||
|
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| reporter->starting(x0); | ||
| auto [fval, x, grad, hess] = optimizer.minimize(x0); | ||
| reporter->finished(fval, x, static_cast<int>(optimizer.exit_flag_)); | ||
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| return std::make_tuple(static_cast<int>(optimizer.exit_flag_) <= 0, | ||
| fval, | ||
| std::vector<double>(x.begin(), x.end())); | ||
| } | ||
|
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| } // namespace parpe |
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