| DiceOptim-package {DiceOptim} | R Documentation |
Kriging-based optimization methods for computer experiments
Description
Sequential and parallel Kriging-based optimization methods relying on expected improvement criteria.
Details
| Package: | DiceOptim |
| Type: | Package |
| Version: | 2.0 |
| Date: | July 2016 |
| License: | GPL-2 | GPL-3 |
Note
This work is a follow-up of DiceOptim 1.0, which was produced within the frame of the DICE (Deep Inside Computer Experiments) Consortium between ARMINES, Renault, EDF, IRSN, ONERA and TOTAL S.A.
The authors would like to thank Yves Deville for his precious advice in R programming and packaging, as well as the DICE members for useful feedbacks, and especially Yann Richet (IRSN) for numerous discussions concerning the user-friendliness of this package.
Package rgenoud >=5.3.3. is recommended.
Important functions or methods:
EGO.nsteps | Standard Efficient Global Optimization algorithm with a fixed number of iterations (nsteps) |
| ---with model updates including re-estimation of covariance hyperparameters | |
EI | Expected Improvement criterion (single infill point, noise-free, constraint free problems) |
max_EI | Maximization of the EI criterion. No need to specify any objective function |
qEI.nsteps | EGO algorithm with batch-sequential (parallel) infill strategy |
noisy.optimizer | EGO algorithm for noisy objective functions |
EGO.cst | EGO algorithm for (non-linear) constrained problems |
easyEGO.cst | User-friendly wrapper for EGO.cst |
Author(s)
Victor Picheny (INRA, Castanet-Tolosan, France)
David Ginsbourger (Idiap Research Institute and University of Bern, Switzerland)
Olivier Roustant (Mines Saint-Etienne, France).
with contributions by M. Binois, C. Chevalier, S. Marmin and T. Wagner
References
N.A.C. Cressie (1993), Statistics for spatial data, Wiley series in probability and mathematical statistics.
D. Ginsbourger (2009), Multiples metamodeles pour l'approximation et l'optimisation de fonctions numeriques multivariables, Ph.D. thesis, Ecole Nationale Superieure des Mines de Saint-Etienne, 2009. https://tel.archives-ouvertes.fr/tel-00772384
D. Ginsbourger, R. Le Riche, and L. Carraro (2010), chapter "Kriging is well-suited to parallelize optimization", in Computational Intelligence in Expensive Optimization Problems, Studies in Evolutionary Learning and Optimization, Springer.
D.R. Jones (2001), A taxonomy of global optimization methods based on response surfaces, Journal of Global Optimization, 21, 345-383.
D.R. Jones, M. Schonlau, and W.J. Welch (1998), Efficient global optimization of expensive black-box functions, Journal of Global Optimization, 13, 455-492.
W.R. Jr. Mebane and J.S. Sekhon (2011), Genetic optimization using derivatives: The rgenoud package for R, Journal of Statistical Software, 51(1), 1-55, https://www.jstatsoft.org/v51/i01/.
J. Mockus (1988), Bayesian Approach to Global Optimization. Kluwer academic publishers.
V. Picheny and D. Ginsbourger (2013), Noisy kriging-based optimization methods: A unified implementation within the DiceOptim package, Computational Statistics & Data Analysis, 71, 1035-1053.
C.E. Rasmussen and C.K.I. Williams (2006), Gaussian Processes for Machine Learning, the MIT Press, http://www.gaussianprocess.org/gpml/
B.D. Ripley (1987), Stochastic Simulation, Wiley.
O. Roustant, D. Ginsbourger and Yves Deville (2012), DiceKriging, DiceOptim: Two R Packages for the Analysis of Computer Experiments by Kriging-Based Metamodeling and Optimization, Journal of Statistical Software, 42(11), 1–26, https://www.jstatsoft.org/article/view/v042i11.
T.J. Santner, B.J. Williams, and W.J. Notz (2003), The design and analysis of computer experiments, Springer.
M. Schonlau (1997), Computer experiments and global optimization, Ph.D. thesis, University of Waterloo.
Examples
set.seed(123)
###############################################################
### 2D optimization USING EGO.nsteps and qEGO.nsteps ########
###############################################################
# a 9-points factorial design, and the corresponding response
d <- 2
n <- 9
design.fact <- expand.grid(seq(0,1,length=3), seq(0,1,length=3))
names(design.fact)<-c("x1", "x2")
design.fact <- data.frame(design.fact)
names(design.fact)<-c("x1", "x2")
response.branin <- data.frame(apply(design.fact, 1, branin))
names(response.branin) <- "y"
# model identification
fitted.model1 <- km(~1, design=design.fact, response=response.branin,
covtype="gauss", control=list(pop.size=50,trace=FALSE), parinit=c(0.5, 0.5))
### EGO, 5 steps ##################
library(rgenoud)
nsteps <- 5
lower <- rep(0,d)
upper <- rep(1,d)
oEGO <- EGO.nsteps(model=fitted.model1, fun=branin, nsteps=nsteps,
lower=lower, upper=upper, control=list(pop.size=20, BFGSburnin=2))
print(oEGO$par)
print(oEGO$value)
# graphics
n.grid <- 15
x.grid <- y.grid <- seq(0,1,length=n.grid)
design.grid <- expand.grid(x.grid, y.grid)
response.grid <- apply(design.grid, 1, branin)
z.grid <- matrix(response.grid, n.grid, n.grid)
contour(x.grid, y.grid, z.grid, 40)
title("EGO")
points(design.fact[,1], design.fact[,2], pch=17, col="blue")
points(oEGO$par, pch=19, col="red")
text(oEGO$par[,1], oEGO$par[,2], labels=1:nsteps, pos=3)
### Parallel EGO, 3 steps with batches of 3 ##############
nsteps <- 3
lower <- rep(0,d)
upper <- rep(1,d)
npoints <- 3 # The batchsize
oEGO <- qEGO.nsteps(model = fitted.model1, branin, npoints = npoints, nsteps = nsteps,
crit="exact", lower, upper, optimcontrol = NULL)
print(oEGO$par)
print(oEGO$value)
# graphics
contour(x.grid, y.grid, z.grid, 40)
title("qEGO")
points(design.fact[,1], design.fact[,2], pch=17, col="blue")
points(oEGO$par, pch=19, col="red")
text(oEGO$par[,1], oEGO$par[,2], labels=c(tcrossprod(rep(1,npoints),1:nsteps)), pos=3)
##########################################################################
### 2D OPTIMIZATION, NOISY OBJECTIVE ###
##########################################################################
set.seed(10)
library(DiceDesign)
# Set test problem parameters
doe.size <- 9
dim <- 2
test.function <- get("branin2")
lower <- rep(0,1,dim)
upper <- rep(1,1,dim)
noise.var <- 0.1
# Build noisy simulator
funnoise <- function(x)
{ f.new <- test.function(x) + sqrt(noise.var)*rnorm(n=1)
return(f.new)}
# Generate DOE and response
doe <- as.data.frame(lhsDesign(doe.size, dim)$design)
y.tilde <- funnoise(doe)
# Create kriging model
model <- km(y~1, design=doe, response=data.frame(y=y.tilde),
covtype="gauss", noise.var=rep(noise.var,1,doe.size),
lower=rep(.1,dim), upper=rep(1,dim), control=list(trace=FALSE))
# Optimisation with noisy.optimizer
optim.param <- list()
optim.param$quantile <- .7
optim.result <- noisy.optimizer(optim.crit="EQI", optim.param=optim.param, model=model,
n.ite=5, noise.var=noise.var, funnoise=funnoise, lower=lower, upper=upper,
NoiseReEstimate=FALSE, CovReEstimate=FALSE)
print(optim.result$best.x)
##########################################################################
### 2D OPTIMIZATION, 2 INEQUALITY CONSTRAINTS ###
##########################################################################
set.seed(25468)
library(DiceDesign)
fun <- goldsteinprice
fun1.cst <- function(x){return(-branin(x) + 25)}
fun2.cst <- function(x){return(3/2 - x[1] - 2*x[2] - .5*sin(2*pi*(x[1]^2 - 2*x[2])))}
constraint <- function(x){return(c(fun1.cst(x), fun2.cst(x)))}
lower <- rep(0, 2)
upper <- rep(1, 2)
## Optimization using the Expected Feasible Improvement criterion
res <- easyEGO.cst(fun=fun, constraint=constraint, n.cst=2, lower=lower, upper=upper, budget=10,
control=list(method="EFI", inneroptim="genoud", maxit=20))
cat("best design found:", res$par, "\n")
cat("corresponding objective and constraints:", res$value, "\n")
# Objective function in colour, constraint boundaries in red
# Initial DoE: white circles, added points: blue crosses, best solution: red cross
n.grid <- 15
test.grid <- expand.grid(X1 = seq(0, 1, length.out = n.grid), X2 = seq(0, 1, length.out = n.grid))
obj.grid <- apply(test.grid, 1, fun)
cst1.grid <- apply(test.grid, 1, fun1.cst)
cst2.grid <- apply(test.grid, 1, fun2.cst)
filled.contour(seq(0, 1, length.out = n.grid), seq(0, 1, length.out = n.grid), nlevels = 50,
matrix(obj.grid, n.grid), main = "Two inequality constraints",
xlab = expression(x[1]), ylab = expression(x[2]), color = terrain.colors,
plot.axes = {axis(1); axis(2);
contour(seq(0, 1, length.out = n.grid), seq(0, 1, length.out = n.grid),
matrix(cst1.grid, n.grid), level = 0, add=TRUE,
drawlabels=FALSE, lwd=1.5, col = "red")
contour(seq(0, 1, length.out = n.grid), seq(0, 1, length.out = n.grid),
matrix(cst2.grid, n.grid), level = 0, add=TRUE,drawlabels=FALSE,
lwd=1.5, col = "red")
points(res$history$X, col = "blue", pch = 4, lwd = 2)
points(res$par[1], res$par[2], col = "red", pch = 4, lwd = 2, cex=2)
}
)